R: US Ex-post Real Interest Rate

RealInt {strucchange} | R Documentation

## US Ex-post Real Interest Rate

### Description

US ex-post real interest rate: the three-month treasury bill deflated by the CPI inflation rate.

### Usage

    data("RealInt")

### Format

A quarterly time series from 1961(1) to 1986(3).

### Source

The data is available online in the data archive of the Journal of Applied Econometrics http://qed.econ.queensu.ca/jae/2003-v18.1/bai-perron/.

### References

Bai J., Perron P. (2003), Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, 18, 1-22.

Zeileis A., Kleiber C. (2005), Validating Multiple Structural Change Models - A Case Study. Journal of Applied Econometrics, 20, 685-690.

### Examples

    ## load and plot data
    data("RealInt")
    plot(RealInt)

    ## estimate breakpoints
    bp.ri <- breakpoints(RealInt ~ 1, h = 15)
    plot(bp.ri)
    summary(bp.ri)

    ## fit segmented model with three breaks
    fac.ri <- breakfactor(bp.ri, breaks = 3, label = "seg")
    fm.ri <- lm(RealInt ~ 0 + fac.ri)
    summary(fm.ri)

    ## setup kernel HAC estimator
    vcov.ri <- function(x, ...) kernHAC(x, kernel = "Quadratic Spectral",
      prewhite = 1, approx = "AR(1)", ...)

    ## Results from Table 1 in Bai & Perron (2003):
    ## coefficient estimates
    coef(bp.ri, breaks = 3)
    ## corresponding standard errors
    sapply(vcov(bp.ri, breaks = 3, vcov = vcov.ri), sqrt)
    ## breakpoints and confidence intervals
    confint(bp.ri, breaks = 3, vcov = vcov.ri)

    ## Visualization
    plot(RealInt)
    lines(as.vector(time(RealInt)), fitted(fm.ri), col = 4)
    lines(confint(bp.ri, breaks = 3, vcov = vcov.ri))

[Package strucchange version 1.5-2 Index]