Classical {ETM} | R Documentation |
artificial datas
number of observations : 50
data(Classical)
A dataframe containing :
“These are artificial data generated from the classical normal linear model y_t = beta_1 + beta_2 X_t2 + beta_3 X_t3 + u_t, where u_t is NID(0,σ^2). In the DGP, beta_1 = 5.0, beta_2 = 1.0, beta_3=0.3, and sigma^2=1.0.”
Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, chapter 1.