zeroyld

zeroyldMeta

<p>U.S. Term Structure Data, 1951-1991. Dataset used by Hansen and Seo (2002). The data contains the 12 month short rate and 120 month long rate.</p>

datasets

Implements nonlinear autoregressive (AR) time series models. For univariate series, a non-parametric approach is available through additive nonlinear AR. Parametric modeling and testing for regime switching dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).

Matthieu Stigler

tsDyn

Nonlinear Time Series Models with Regime Switching

Antonio Fabio Di Narzo

Jose Luis Aznarte

zeroyld function

<p><code>zeroyld</code> contains two variables, while <code>zeryldMeta</code> contains also <code>Year</code> and <code>Month</code> columns.</p>  <p></p><p></p><p><code>zeroyld</code> is a data frame with 482 observations and 2 variables:</p><table class="table">
<tr><td><code>short.run</code></td><td>numeric</td><td>Short term, 12 month</td></tr>
<tr><td><code>long.run</code></td><td>numeric</td><td>Long term, 120 month</td></tr>
</table><p></p><p></p>

Format

zeroyld time series — zeroyld

<p><code>zeroyld</code> contains two variables, while <code>zeryldMeta</code> contains also <code>Year</code> and <code>Month</code> columns.</p>  

<p><code>zeroyld</code> is a data frame with 482 observations and 2 variables:</p><table class='table'>
<tr><td><code>short.run</code></td><td>numeric</td><td>Short term, 12 month</td></tr>
<tr><td><code>long.run</code></td><td>numeric</td><td>Long term, 120 month</td></tr>
</table>



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zeroyld: zeroyld time series

Description

Usage

Arguments

Format

See Also

Examples

`short.run`	numeric	Short term, 12 month
`long.run`	numeric	Long term, 120 month