TBFF: Spread between the 3-month Treasury bill rate and the...
In uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models
TBFF R Documentation
Spread between the 3-month Treasury bill rate and the effective federal funds rate: TBFF
Description
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.
Usage
TBFF
Format
A class 'ts' time series object containing 781 observations.
Source
https://fred.stlouisfed.org/series/TB3SMFFM
References
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
uGMAR documentation built on Aug. 19, 2023, 5:10 p.m.
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| TBFF | R Documentation |
Spread between the 3-month Treasury bill rate and the effective federal funds rate: TBFF
Description
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.
Usage
TBFF
Format
A class 'ts' time series object containing 781 observations.
Source
https://fred.stlouisfed.org/series/TB3SMFFM
References
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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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