R: Nelson & Plosser extended data set

npext {urca} | R Documentation

## Nelson \& Plosser extended data set

### Description

This data set contains the fourteen U.S. economic time series used by Schotman \& Dijk. All series are transformed by taking logarithms except for the bond yield. The sample period ends in 1988.

### Usage

    data(npext)

### Format

A data frame containing fourteen series.

`year` | Time index from 1860 until 1988.
`realgnp` | Real GNP, [Billions of 1958 Dollars],
| [1909 -- 1988]
`nomgnp` | Nominal GNP,
| [Millions of Current Dollars], [1909 -- 1988]
`gnpperca` | Real Per Capita GNP,
| [1958 Dollars], [1909 -- 1988]
`indprod` | Industrial Production Index,
| [1967 = 100], [1860 -- 1988]
`employmt` | Total Employment,
| [Thousands], [1890 -- 1988]
`unemploy` | Total Unemployment Rate,
| [Percent], [1890 -- 1988]
`gnpdefl` | GNP Deflator,
| [1958 = 100], [1889 -- 1988]
`cpi` | Consumer Price Index,
| [1967 = 100], [1860 -- 1988]
`wages` | Nominal Wages
| (Average annual earnings per full-time employee in manufacturing),
| [current Dollars], [1900 -- 1988]
`realwag` | Real Wages,
| [Nominal wages/CPI], [1900 -- 1988]
`M` | Money Stock (M2),
| [Billions of Dollars, annual averages], [1889 -- 1988]
`velocity` | Velocity of Money,
| [1869 -- 1988]
`interest` | Bond Yield (Basic Yields of 30-year corporate bonds),
| [Percent per annum], [1900 -- 1988]
`sp500` | Stock Prices,
| [Index; 1941 -- 43 = 100], [1871 -- 1988]

### Author(s)

Bernhard Pfaff

### Source

Schotman, P.C. and van Dijk, H.K. (1991), On Bayesian Routes to Unit Roots, Journal of Applied Econometrics, 6, 387–401.

Koop, G. and Steel, M.F.J. (1994), A Decision-Theoretic Analysis of the Unit-Root Hypothesis using Mixtures of Elliptical Models, Journal of Business and Economic Statistics, 12, 95–107.

### References

http://www.amstat.org/publications/jbes/

[Package urca version 1.3-0 Index]