BenderlyZwick {AER} | R Documentation |
Time series data, 1952–1982.
data("BenderlyZwick")
An annual multiple time series from 1952 to 1982 with 5 variables.
The first three columns of the data are from Table 1 in Benderly and Zwick (1985). The remaining columns are taken from the online complements of Baltagi (2002). The first column is identical in both sources, the other two variables differ in their numeric values and additionally the growth series seems to be lagged differently. Baltagi (2002) states Lott and Ray (1992) as the source for his version of the data set which is available from
http://www.springeronline.com/sgw/cda/frontpage/0,10735,4-165-2-107420-0,00.html
Baltagi, B.H. (2002). Econometrics, 3rd ed. Berlin, Springer.
Benderly, J., and Zwick, B. (1985). Inflation, Real Balances, Output and Real Stock Returns. American Economic Review, 75, 1115–1123.
Lott, W.F., and Ray, S.C. (1992). Applied Econometrics: Problems with Data Sets. New York: The Dryden Press.
Zaman, A., Rousseeuw, P.J., and Orhan, M. (2001). Econometric Applications of High-Breakdown Robust Regression Rechniques. Economics Letters, 71, 1–8.
data("BenderlyZwick") plot(BenderlyZwick) ## Benderly and Zwick (1985), p. 1116 library("dynlm") bz_ols <- dynlm(returns ~ growth + inflation, data = BenderlyZwick/100, start = 1956, end = 1981) summary(bz_ols) ## Zaman, Rousseeuw and Orhan (2001) ## use larger period, without scaling bz_ols2 <- dynlm(returns ~ growth + inflation, data = BenderlyZwick, start = 1954, end = 1981) summary(bz_ols2)