U.S. Term Structure Data, 1947-1991. Dataset used by Hansen and Seo (2002). The data contains the 12 month short rate and 120 month long rate.
Format
A data frame with 482 observations on 2 variables.
[,1]
short.run
numeric
Short term, 12 month
[,2]
long.run
numeric
Long term, 120 month
Source
Hansen, B. and Seo, B. (2002), Testing for two-regime threshold cointegration in vector error-correction models, Journal of Econometrics, 110, pages 293 - 318