R: Unemployment Data

unemployment {lmtest} | R Documentation

## Unemployment Data

### Description

Unemployment Data.

### Usage

    data(unemployment)

### Format

A multivariate yearly time series from 1890 to 1979 with variables

UN

  unemployment rate,

m

  broad money supply,

p

  implicit deflator of Gross National Product,

G

  real purchases of goods and services,

x

  real exports.

### Source

The data was originally studied by Rea (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

J.D. Rea (1983), The Explanatory Power of Alternative Theories of Inflation and Unemployment, 1895-1979. Review of Economics and Statistics 65, 183–195

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

### Examples

    data(unemployment)

    ## data transformation
    myunemployment <- window(unemployment, start=1895, end=1956)
    time <- 6:67

    ## page 144, fit Rea OLS model
    ## last line in Table 6.12

    modelRea <- UN ~ log(m/p) + log(G) + log(x) + time
    lm(modelRea, data = myunemployment)
    ## coefficients of logged variables differ by factor 100

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

    if(require(strucchange, quietly = TRUE)) {
    ## Chow 1941
    sctest(modelRea, point=c(1940,1), data=myunemployment, type="Chow") }

    ## Breusch-Pagan
    bptest(modelRea, data=myunemployment, studentize=FALSE)
    bptest(modelRea, data=myunemployment)

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

    ## Harvey-Collier
    harvtest(modelRea, order.by = ~ log(m/p), data=myunemployment)
    harvtest(modelRea, order.by = ~ log(G), data=myunemployment)
    harvtest(modelRea, order.by = ~ log(x), data=myunemployment)
    harvtest(modelRea, data=myunemployment)

    ## Rainbow
    raintest(modelRea, order.by = "mahalanobis", data=myunemployment)

[Package lmtest version 0.9-37 Index]