Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, Maria A. - Departament d'Estructura Econòmica, Facultad de Economía - 2010
In this paper we consider the possibility that a linear cointegrated regression model with multiples structural changes would provide a better empirical description of the term structure model of interest rates. Our methodology is based on instability tests recently proposed in Kejriwal and...