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Doing some computing on Bonds

sagredo

Joined
7/1/08
Messages
7
Points
11
I've been using Matlab to do some work with bonds, and was having some trouble if anyone could shed some light on this:

Do US & UK short term interest rates display a unit root? I've been considering using the Dickey Fuller test with an intercept term to test for unit root in the residual. Also, if the assumption of integration is not rejected, are they also cointegrated? Any help with these questions would be greatly appreciated.

:sos:
 
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