USMacroG {AER} | R Documentation |
Time series data on 12 US macroeconomic variables for 1950–2000.
data("USMacroG")
A quarterly multiple time series from 1950(1) to 2000(4) with 12 variables.
tbill - inflation
).Online complements to Greene (2003). Table F5.1.
http://pages.stern.nyu.edu/~wgreene/Text/tables/tablelist5.htm
Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.
Greene2003
, USMacroSW
, USMacroSWQ
,
USMacroSWM
, USMacroB
## data and trend as used by Greene (2003) data("USMacroG") USMacroG <- as.ts(merge(as.zoo(USMacroG), trend = 1:nrow(USMacroG) - 1)) ## Example 6.1 ## Table 6.1 library("dynlm") fm6.1 <- dynlm(log(invest) ~ tbill + inflation + log(gdp) + trend, data = USMacroG) fm6.3 <- dynlm(log(invest) ~ I(tbill - inflation) + log(gdp) + trend, data = USMacroG) summary(fm6.1) summary(fm6.3) deviance(fm6.1) deviance(fm6.3) vcov(fm6.1)[2,3] ## F test linear.hypothesis(fm6.1, "tbill + inflation = 0") ## alternatively anova(fm6.1, fm6.3) ## t statistic sqrt(anova(fm6.1, fm6.3)[2,5]) ## Example 8.2 ## Ct = b0 + b1*Yt + b2*Y(t-1) + v fm1 <- dynlm(consumption ~ dpi + L(dpi), data = USMacroG) ## Ct = a0 + a1*Yt + a2*C(t-1) + u fm2 <- dynlm(consumption ~ dpi + L(consumption), data = USMacroG) ## Cox test in both directions: coxtest(fm1, fm2) ## ...and do the same for jtest() and encomptest(). ## Notice that in this particular case two of them are coincident. jtest(fm1, fm2) encomptest(fm1, fm2) ## encomptest could also be performed `by hand' via fmE <- dynlm(consumption ~ dpi + L(dpi) + L(consumption), data = USMacroG) waldtest(fm1, fmE, fm2) ## More examples can be found in: ## help("Greene2003")