Gil-Alana, Luis A.; Moreno, Antonio - In: Journal of Banking & Finance 36 (2012) 4, pp. 1181-1193
The estimates of the US term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally integrated (I(d)) model which simultaneously determines both the order of integration of the short-term...