R: US Labor Productivity

durab {strucchange} | R Documentation

## US Labor Productivity

### Description

US labor productivity in the manufacturing/durables sector.

### Usage

    data("durab")

### Format

`durab` is a multivariate monthly time series from 1947(3) to 2001(4) with variables

y

  growth rate of the Industrial Production Index to average weekly labor hours in the manufacturing/durables sector,

lag

  lag 1 of the series `y`,

### Source

The data set is available from Bruce Hansen's homepage http://www.ssc.wisc.edu/~bhansen/. For more information see Hansen (2001).

### References

Hansen B. (2001), The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity, Journal of Economic Perspectives, 15, 117–128.

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("durab")
    ## use AR(1) model as in Hansen (2001) and Zeileis et al. (2005)
    durab.model <- y ~ lag

    ## historical tests
    ## OLS-based CUSUM process
    ols <- efp(durab.model, data = durab, type = "OLS-CUSUM")
    plot(ols)
    ## F statistics
    fs <- Fstats(durab.model, data = durab, from = 0.1)
    plot(fs)

    ## F statistics based on heteroskadisticy-consistent covariance matrix
    fsHC <- Fstats(durab.model, data = durab, from = 0.1,
    	       vcov = function(x, ...) vcovHC(x, type = "HC", ...))
    plot(fsHC)

    ## monitoring
    Durab <- window(durab, start=1964, end = c(1979, 12))
    ols.efp <- efp(durab.model, type = "OLS-CUSUM", data = Durab)
    newborder <- function(k) 1.723 * k/192
    ols.mefp <- mefp(ols.efp, period=2)
    ols.mefp2 <- mefp(ols.efp, border=newborder)
    Durab <- window(durab, start=1964)
    ols.mon <- monitor(ols.mefp)
    ols.mon2 <- monitor(ols.mefp2)
    plot(ols.mon)
    lines(boundary(ols.mon2), col = 2)
    ## Note: critical value for linear boundary taken from Table III
    ## in Zeileis et al. 2005: (1.568 + 1.896)/2 = 1.732 is a linear
    ## interpolation between the values for T = 2 and T = 3 at
    ## alpha = 0.05. A typo switched 1.732 to 1.723.

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

    plot(ols)
    lines(breakpoints(bp, breaks = 1), col = 3)
    lines(breakpoints(bp, breaks = 2), col = 4)
    plot(fs)
    lines(breakpoints(bp, breaks = 1), col = 3)
    lines(breakpoints(bp, breaks = 2), col = 4)

[Package strucchange version 1.5-2 Index]