R: U.S. Macroeconomic Time Series

jocci {lmtest} | R Documentation

## U.S. Macroeconomic Time Series

### Description

Several macroeconomic time series from the U.S.

### Usage

    data(fyff)
    data(gmdc)
    data(ip)
    data(jocci)
    data(lhur)
    data(pw561)

### Format

All data sets are multivariate monthly time series from 1959(8) to 1993(12) (except 1993(10) for `jocci`) with variables

y

  original time series,

dy

  transformed times series (first differences or log first differences),

dy1

  transformed series at lag 1,

dy2

  transformed series at lag 2,

dy3

  transformed series at lag 3,

dy4

  transformed series at lag 4,

dy5

  transformed series at lag 5,

dy6

  transformed series at lag 6.

### Details

The description from Stock & Watson (1996) for the time series (with the transformation used):

fyff

  interest rate (first differences),

gmdc

  pce, implicit price deflator: pce (1987 = 100) (log first differences),

ip

  index of industrial production (log first differences),

jocci

  department of commerce commodity price index (log first differences),

lhur

  unemployment rate: all workers, 16 years & over (%, sa) (first differences),

pw561

  producer price index: crude petroleum (82 = 100, nsa) (log first differences).

Stock & Watson (1996) fitted an AR(6) model to all transformed time series.

### Source

Stock & Watson (1996) study the stability of 76 macroeconomic time series, which can be obtained from Mark W. Watson's homepage at http://www.princeton.edu/~mwatson/ddisk/bivtvp.zip.

### References

J.H. Stock & M.W. Watson (1996), Evidence on Structural Instability in Macroeconomic Time Series Relations. Journal of Business & Economic Statistics 14, 11–30.

### Examples

    data(jocci)

    dwtest(dy ~ 1, data = jocci)
    bgtest(dy ~ 1, data = jocci)
    ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6
    bgtest(ar6.model, data = jocci)

    var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2)
    bptest(ar6.model, var.model, data = jocci)

[Package lmtest version 0.9-37 Index]