R: Wages

wages {lmtest} | R Documentation

## Wages

### Description

Wages Data.

### Usage

    data(wages)

### Format

A multivariate yearly time series from 1960 to 1979 with variables

w

  wages,

CPI

  consumer price index,

u

  unemployment,

mw

  minimum wage.

### Source

The data was originally studied by Nicols (1983), the data set is given in Krämer and Sonnberger (1986). Below we replicate a few examples from their book. Some of these results differ more or less seriously and are sometimes parameterized differently.

### References

D.A. Nicols (1983), Macroeconomic Determinants of Wage Adjustments in White Collar Occupations. Review of Economics and Statistics 65, 203–213

W. Krämer & H. Sonnberger (1986), The Linear Regression Model under Test. Heidelberg: Physica

### Examples

    data(wages)

    ## data transformation to include lagged series
    mywages <- cbind(wages, lag(wages[,2], k = -1), lag(wages[,2], k = -2))
    colnames(mywages) <- c(colnames(wages), "CPI2", "CPI3")
    mywages <- window(mywages, start=1962, end=1979)

    ## page 142, fit Nichols OLS model
    ## equation (6.10)

    modelNichols <- w ~ CPI + CPI2 + CPI3 + u + mw
    lm(modelNichols, data = mywages)

    ## page 143, fit test statistics in table 6.11
    ##############################################

    if(require(strucchange, quietly = TRUE)) {
    ## Chow 1972
    sctest(modelNichols, point=c(1971,1), data=mywages, type="Chow") }

    ## Breusch-Pagan
    bptest(modelNichols, data=mywages, studentize=FALSE)
    bptest(modelNichols, data=mywages)

    ## RESET (a)-(b)
    reset(modelNichols, data=mywages)
    reset(modelNichols, power=2, type="regressor", data=mywages)

    ## Harvey-Collier
    harvtest(modelNichols, order.by = ~ CPI, data=mywages)
    harvtest(modelNichols, order.by = ~ CPI2, data=mywages)
    harvtest(modelNichols, order.by = ~ CPI3, data=mywages)
    harvtest(modelNichols, order.by = ~ u, data=mywages)

    ## Rainbow
    raintest(modelNichols, order.by = "mahalanobis", data=mywages)

[Package lmtest version 0.9-37 Index]