CigarettesSW {AER} | R Documentation |
Panel data on cigarette consumption for the 48 continental US States from 1985–1995.
data("CigarettesSW")
A data frame containing 48 observations on 7 variables for 2 periods.
Online complements to Stock and Watson (2007).
http://wps.aw.com/aw_stock_ie_2/
Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.
## Stock and Watson (2007) ## data and transformations data("CigarettesSW") CigarettesSW$rprice <- with(CigarettesSW, price/cpi) CigarettesSW$rincome <- with(CigarettesSW, income/population/cpi) CigarettesSW$tdiff <- with(CigarettesSW, (taxs - tax)/cpi) c1985 <- subset(CigarettesSW, year == "1985") c1995 <- subset(CigarettesSW, year == "1995") ## convenience function: HC1 covariances hc1 <- function(x) vcovHC(x, type = "HC1") ## Equations 12.9--12.11 fm_s1 <- lm(log(rprice) ~ tdiff, data = c1995) coeftest(fm_s1, vcov = hc1) fm_s2 <- lm(log(packs) ~ fitted(fm_s1), data = c1995) fm_ivreg <- ivreg(log(packs) ~ log(rprice) | tdiff, data = c1995) coeftest(fm_ivreg, vcov = hc1) ## Equation 12.15 fm_ivreg2 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + tdiff, data = c1995) coeftest(fm_ivreg2, vcov = hc1) ## Equation 12.16 fm_ivreg3 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + tdiff + I(tax/cpi), data = c1995) coeftest(fm_ivreg3, vcov = hc1) ## More examples can be found in: ## help("StockWatson2007")