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

DOI10.1016/0165-1889(94)90025-6MaRDI QIDQ5906546zbMATH OpenOpenAlexFDO

Authors Martin Sola, John Driffill

Publication date 8 November 1999

Published in Journal of Economic Dynamics and 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 growth models (91B62) Economic time series analysis (91B84)

Cites work

• Changes in regime and the term structure. A note
• scientific article; zbMATH DE number 4060924 (Why is no real title available?)
• Inference in Linear Time Series Models with some Unit Roots
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Statistical analysis of cointegration vectors

Cited in

(5)

• 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.
• On the power of tests for superexogeneity and structural invariance
• On pricing and hedging options in regime-switching models with feedback effect

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