R: Bond Yield

bondyield {lmtest} | R Documentation

## Bond Yield

### Description

Bond Yield Data.

### Usage

    data(bondyield)

### Format

A multivariate quarterly time series from 1961(1) to 1975(4) with variables

RAARUS

  difference of interest rate on government and corporate bonds,

MOOD

  measure of consumer sentiment,

EPI

  index of employment pressure,

EXP

  interest rate expectations,

Y

  artificial time series based on RAARUS,

K

  artificial time series based on RAARUS.

### Source

The data was originally studied by Cook and Hendershott (1978) and Yawitz and Marshall (1981), the data set is given in Krämer and Sonnberger (1986). Below we replicate a few examples given in their book. Some of these results differ more or less seriously and are sometimes parameterized differently.

### References

T.Q. Cook & P.H. Hendershott (1978), The Impact of Taxes, Risk and Relative Security Supplies of Interest Rate Differentials. The Journal of Finance 33, 1173–1186

J.B. Yawitz & W. J. Marshall (1981), Measuring the Effect of Callability on Bond Yields. Journal of Money, Credit and Banking 13, 60–71

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

### Examples

    data(bondyield)

    ## page 134, fit Cook-Hendershott OLS model and Yawitz-Marshall OLS model
    ## third and last line in Table 6.5

    modelCH <- RAARUS ~ MOOD + EPI + EXP + RUS
    lm(modelCH, data=bondyield)
    dwtest(modelCH, data=bondyield)
    ## wrong sign of RUS coefficient

    modelYM <- RAARUS ~ MOOD + Y + K
    lm(modelYM, data=bondyield)
    dwtest(modelYM, data=bondyield)
    ## coefficient of Y and K differ by factor 100

    ## page 135, fit test statistics in Table 6.6 b)
    ################################################

    ## Chow 1971(1)
    if(require(strucchange, quietly = TRUE)) {
    sctest(modelCH, point=c(1971,1), data=bondyield, type="Chow") }

    ## Breusch-Pagan
    bptest(modelCH, data=bondyield, studentize=FALSE)
    bptest(modelCH, data=bondyield)

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

    ## RESET
    reset(modelCH, data=bondyield)
    reset(modelCH, power=2, type="regressor", data=bondyield)
    reset(modelCH, type="princomp", data=bondyield)

    ## Harvey-Collier
    harvtest(modelCH, order.by= ~ MOOD, data=bondyield)
    harvtest(modelCH, order.by= ~ EPI, data=bondyield)
    harvtest(modelCH, order.by= ~ EXP, data=bondyield)
    harvtest(modelCH, order.by= ~ RUS, data=bondyield)

    ## Rainbow
    raintest(modelCH, order.by = "mahalanobis", data=bondyield)

    ## page 136, fit test statistics in Table 6.6 d)
    ################################################

    ## Chow 1966(1)
    if(require(strucchange, quietly = TRUE)) {
    sctest(modelYM, point=c(1965,4), data=bondyield, type="Chow") }

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

    ## RESET
    reset(modelYM, data=bondyield)
    reset(modelYM, power=2, type="regressor", data=bondyield)
    reset(modelYM, type="princomp", data=bondyield)

    ## Harvey-Collier
    harvtest(modelYM, order.by= ~ MOOD, data=bondyield)
    harvtest(modelYM, order.by= ~ Y, data=bondyield)
    harvtest(modelYM, order.by= ~ K, data=bondyield)

    ## Rainbow
    raintest(modelYM, order.by = "mahalanobis", data=bondyield)

[Package lmtest version 0.9-37 Index]