Testing the term structure of interest rates using a stationary vector autoregression with regime switching

DOI10.1016/0165-1889(94)90025-6zbMath0875.90214OpenAlexW2080880958MaRDI QIDQ5894587

Martin Sola, John Driffill

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)90025-6

zbMATH Keywords

Regime switchingTerm structure of interest ratesVector autoregressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (4)

Forecasts of US short-term interest rates: a flexible forecast combination approach ⋮ An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk ⋮ Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model ⋮ Multivariate contemporaneous-threshold autoregressive models

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Changes in regime and the term structure. A note
• Inference in Linear Time Series Models with some Unit Roots

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