R: German M1 Money Demand

GermanM1 {strucchange} | R Documentation

## German M1 Money Demand

### Description

German M1 money demand.

### Usage

    data("GermanM1")

### Format

`GermanM1` is a data frame containing 12 quarterly time series from 1961(1) to 1995(4) and two further variables. `historyM1` is the subset of `GermanM1` up to 1990(2), i.e., the data before the German monetary unification on 1990-06-01. `monitorM1` is the complement of `historyM1`, i.e., the data after the unification. All three data frames contain the variables

m

  time series. Logarithm of real M1 per capita,

p

  time series. Logarithm of a price index,

y

  time series. Logarithm of real per capita gross national product,

R

  time series. Long-run interest rate,

dm

  time series. First differences of `m`,

dy2

  time series. First differences of lag 2 of `y`,

dR

  time series. First differences of `R`,

dR1

  time series. First differences of lag 1 of `R`,

dp

  time series. First differences of `p`,

m1

  time series. Lag 1 of `m`,

y1

  time series. Lag 1 of `y`,

R1

  time series. Lag 1 of `R`,

season

  factor coding the seasonality,

ecm.res

  vector containing the OLS residuals of the Lütkepohl et al. (1999) model fitted in the history period.

### Details

Lütkepohl et al. (1999) investigate the linearity and stability of German M1 money demand: they find a stable regression relation for the time before the monetary union on 1990-06-01 but a clear structural instability afterwards.

Zeileis et al. (2005) use a model with `ecm.res` instead of `m1`, `y1` and `R1`, which leads to equivalent results in the history period but slightly different results in the monitoring period. The reason for the replacement is that stationary regressors are needed for the structural change tests. See references and the examples below for more details.

### Source

The data is provided by the German central bank and is available online in the data archive of the Journal of Applied Econometrics http://qed.econ.queensu.ca/jae/1999-v14.5/lutkepohl-terasvirta-wolters/.

### References

Lütkepohl H., Teräsvirta T., Wolters J. (1999), Investigating Stability and Linearity of a German M1 Money Demand Function, Journal of Applied Econometrics, 14, 511-525.

Zeileis A., Leisch F., Kleiber C., Hornik K. (2005), Monitoring Structural Change in Dynamic Econometric Models, Journal of Applied Econometrics, 20, 99–121.

### Examples

    data("GermanM1")
    ## Lütkepohl et al. (1999) use the following model
    LTW.model <- dm ~ dy2 + dR + dR1 + dp + m1 + y1 + R1 + season
    ## Zeileis et al. (2005) use
    M1.model <- dm ~ dy2 + dR + dR1 + dp + ecm.res + season

    ## historical tests
    ols <- efp(LTW.model, data = GermanM1, type = "OLS-CUSUM")
    plot(ols)
    re <- efp(LTW.model, data = GermanM1, type = "fluctuation")
    plot(re)
    fs <- Fstats(LTW.model, data = GermanM1, from = 0.1)
    plot(fs)

    ## monitoring
    M1 <- historyM1
    ols.efp <- efp(M1.model, type = "OLS-CUSUM", data = M1)
    newborder <- function(k) 1.5778*k/118
    ols.mefp <- mefp(ols.efp, period = 2)
    ols.mefp2 <- mefp(ols.efp, border = newborder)
    M1 <- GermanM1
    ols.mon <- monitor(ols.mefp)
    ols.mon2 <- monitor(ols.mefp2)
    plot(ols.mon)
    lines(boundary(ols.mon2), col = 2)

    ## dating
    bp <- breakpoints(LTW.model, data = GermanM1)
    summary(bp)
    plot(bp)

    plot(fs)
    lines(confint(bp))

[Package strucchange version 1.5-2 Index]