Are the two interest rate series threshold cointegrated

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Again consider the monthly 1-year and 10-year Treasury constant maturity rates from April 1953 to October 2000.

Are the two interest rate series threshold-cointegrated?

Use the interest spread st = r10,t - r1,t as the threshold variable, where rit is the i-year Treasury constant maturity rate.

If they are threshold-cointegrated, build a multivariate threshold model for the two series.

Reference no: EM131224896

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