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Reconciling interest rates evidence with theory : rejecting unit roots when the HD(1) is a competing alternative

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Revisiting the term of interest rates: evidence from USA

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Chapter 14 Forecasting Interest Rates: An Application of the Stochastic Unit Root and Stochastic Cointegration Frameworks

Sollis, Robert - In: Forecasting in the presence of structural breaks and …, (pp. 535-559). 2008

This paper investigates forecasting US Treasury bond and Dollar Eurocurrency rates using the stochastic unit root (STUR) model of Leybourne et al. (1996), and the stochastic cointegration (SC) model of Harris et al. (2002, 2006). Both models have time-varying parameter representations and are...

Persistent link: https://www.econbiz.de/10015382990