U.S. Term Structure Data, 1947-1991. Dataset used by Hansen and Seo (2002). The data contains the 12 month short rate and 120 month long rate.
A data frame with 482 observations on 2 variables.
|| ||numeric||Short term, 12 month|
|| ||numeric||Long term, 120 month|
Hansen, B. and Seo, B. (2002), Testing for two-regime threshold cointegration in vector error-correction models, Journal of Econometrics, 110, pages 293 - 318
The data can be downloaded from: http://www.ssc.wisc.edu/~bhansen/progs/joe_02r.zip.
The authors themselves took the data from the wepage of Huston McCulloch: http://www.econ.ohio-state.edu/jhm/ts/mcckwon/mccull.htm
TVECM.HStest: Hansen and Seo test.
TVECM for estimating a TVECM.