A dataset containing the monthly U.S. interest rate spread between the 3-month Treasury bill secondary market rate and the effective federal funds rate from 1954 July to 2019 July (781 observations). This series was studied in the empirical application of Virolainen (2021) introducing the G-StMAR model.
A class 'ts' time series object containing 781 observations.
Virolainen S. 2021. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, doi: 10.1515/snde-2020-0060
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