Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - In: International Review of Economics & Finance 25 (2013) C, pp. 24-34
In this paper we consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical description of the Spanish term structure of interest rates. Our methodology is based on instability tests recently proposed in Kejriwal and...