R: Currency Substitution

currencysubstitution {lmtest} | R Documentation

## Currency Substitution

### Description

Currency Substitution Data.

### Usage

    data(currencysubstitution)

### Format

A multivariate quarterly time series from 1960(4) to 1975(4) with variables

logCUS

  logarithm of the ratio of Canadian holdings of Canadian dollar balances and Canadian holdings of U.S. dollar balances,

Iu

  yield on U.S. Treasury bills,

Ic

  yield on Canadian Treasury bills,

logY

  logarithm of Canadian real gross national product.

### Source

The data was originally studied by Miles (1978), 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

M. Miles (1978), Currency Substitution, Flexible Exchange Rates, and Monetary Independence. American Economic Review 68, 428–436

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

### Examples

    data(currencysubstitution)

    ## page 130, fit Miles OLS model and Bordo-Choudri OLS model
    ## third and last line in Table 6.3

    modelMiles <- logCUS ~ log((1+Iu)/(1+Ic))
    lm(modelMiles, data=currencysubstitution)
    dwtest(modelMiles, data=currencysubstitution)

    modelBordoChoudri <- logCUS ~ I(Iu-Ic) + Ic + logY
    lm(modelBordoChoudri, data=currencysubstitution)
    dwtest(modelBordoChoudri, data=currencysubstitution)

    ## page 131, fit test statistics in Table 6.4 b)
    ################################################

    if(require(strucchange, quietly = TRUE)) {
    ## Fluctuation test
    sctest(modelMiles, type="fluctuation", data=currencysubstitution,
     rescale=FALSE) }

    ## RESET
    reset(modelMiles, data=currencysubstitution)
    reset(modelMiles, power=2, type="regressor", data=currencysubstitution)
    reset(modelMiles, type="princomp", data=currencysubstitution)

    ## Harvey-Collier
    harvtest(modelMiles, order.by = ~log((1+Iu)/(1+Ic)), data=currencysubstitution)

    ## Rainbow
    raintest(modelMiles, order.by = "mahalanobis", data=currencysubstitution)

    ## page 132, fit test statistics in Table 6.4 d)
    ################################################

    if(require(strucchange, quietly = TRUE)) {
    ## Chow 1970(2)
    sctest(modelBordoChoudri, point=c(1970,2), data=currencysubstitution,
     type="Chow") }

    ## Breusch-Pagan
    bptest(modelBordoChoudri, data=currencysubstitution, studentize=FALSE)
    bptest(modelBordoChoudri, data=currencysubstitution)

    ## RESET
    reset(modelBordoChoudri, data=currencysubstitution)
    reset(modelBordoChoudri, power=2, type="regressor", data=currencysubstitution)
    reset(modelBordoChoudri, type="princomp", data=currencysubstitution)

    ## Harvey-Collier
    harvtest(modelBordoChoudri, order.by = ~ I(Iu-Ic), data=currencysubstitution)
    harvtest(modelBordoChoudri, order.by = ~ Ic, data=currencysubstitution)
    harvtest(modelBordoChoudri, order.by = ~ logY, data=currencysubstitution)

    ## Rainbow
    raintest(modelBordoChoudri, order.by = "mahalanobis", data=currencysubstitution)

[Package lmtest version 0.9-37 Index]