R: Growth of Money Supply

growthofmoney {lmtest} | R Documentation

## Growth of Money Supply

### Description

Growth of Money Supply Data.

### Usage

    data(growthofmoney)

### Format

A multivariate quarterly time series from 1970(2) to 1974(4) with variables

TG1.TG0

  difference of current and preceding target for the growth rate of the money supply,

AG0.TG0

  difference of actual growth rate and target growth rate for the preceding period.

### Source

The data was originally studied by Hetzel (1981), 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

R.L. Hetzel (1981), The Federal Reserve System and Control of the Money Supply in the 1970's. Journal of Money, Credit and Banking 13, 31–43

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

### Examples

    data(growthofmoney)

    ## page 137, fit Hetzel OLS model
    ## first/second line in Table 6.7

    modelHetzel <- TG1.TG0 ~ AG0.TG0
    lm(modelHetzel, data=growthofmoney)
    dwtest(modelHetzel, data=growthofmoney)

    ## page 135, fit test statistics in Table 6.8
    #############################################

    if(require(strucchange, quietly = TRUE)) {
    ## Chow 1974(1)
    sctest(modelHetzel, point=c(1973,4), data=growthofmoney, type="Chow") }

    ## RESET
    reset(modelHetzel, data=growthofmoney)
    reset(modelHetzel, power=2, type="regressor", data=growthofmoney)
    reset(modelHetzel, type="princomp", data=growthofmoney)

    ## Harvey-Collier
    harvtest(modelHetzel, order.by= ~ AG0.TG0, data=growthofmoney)

    ## Rainbow
    raintest(modelHetzel, order.by = "mahalanobis", data=growthofmoney)

    ## Identification of outliers
    #############################

    ## Figure 6.1
    plot(modelHetzel, data=growthofmoney)
    abline(v=0)
    abline(h=0)
    abline(coef(lm(modelHetzel, data=growthofmoney)), col=2)

    ## Table 6.7, last line
    growthofmoney2 <- as.data.frame(growthofmoney[-c(5:6),])
    lm(modelHetzel, data=growthofmoney2)
    dwtest(modelHetzel, data=growthofmoney2)

[Package lmtest version 0.9-37 Index]