R: US Macroeconomic Data

USDistLag {lmtest} | R Documentation

## US Macroeconomic Data

### Description

US macroeconomic data for fitting a distributed lag model.

### Usage

    data(USDistLag)

### Format

An annual time series from 1963 to 1982 with 2 variables.

consumption

  real consumption,

gnp

  gross national product (deflated by CPI).

### Source

Table 7.7 in Greene (1993)

### References

Greene W.H. (1993), Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.

Executive Office of the President (1983), Economic Report of the President. US Government Printing Office, Washington, DC.

### Examples

    ## Willam H. Greene, Econometric Analysis, 2nd Ed.
    ## Chapter 7
    ## load data set, p. 221, Table 7.7
    data(USDistLag)

    ## fit distributed lag model, p.221, Example 7.8
    usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1)))
    colnames(usdl) <- c("con", "gnp", "con1", "gnp1")

    ## C(t) = b0 + b1*Y(t) + b2*C(t-1) + u
    fm <- lm(con ~ gnp + con1, data = usdl)
    summary(fm)
    vcov(fm)

[Package lmtest version 0.9-37 Index]