Description

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.

Format

A data frame with 482 observations on 2 variables.

Source

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

See Also

TVECM.HStest: Hansen and Seo test.

TVECM for estimating a TVECM.