Question: Again consider the monthly 1 -year and 10 -year Treasury constant maturity rates from April 1953 to October 2009. Are the two interest rate series

Again consider the monthly 1 -year and 10 -year Treasury constant maturity rates from April 1953 to October 2009. Are the two interest rate series threshold cointegrated? Use the interest spread $s_{t}=r_{10, t}-r_{1, t}$ as the threshold variable, where $r_{i t}$ is the $i$-year Treasury constant maturity rate. If they are threshold cointegrated, build a multivariate threshold model for the two series.

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