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

DOI10.1016/0165-1889(94)90025-6zbMath0925.90066OpenAlexW2080880958MaRDI QIDQ5906546

John Driffill, Martin Sola

Publication date: 8 November 1999

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (5)

On the power of tests for superexogeneity and structural invariance ⋮ On pricing and hedging options in regime-switching models with feedback effect ⋮ Switching state-space models: likelihood function, filtering and smoothing ⋮ Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching ⋮ Short rate nonlinearities and regime switches.

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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