Klein, L. (1950). Economic Fluctuations in the United States, 1921–1941. New York: John Wiley.
Maddala, G.S. (1977). Econometrics. New York: McGraw-Hill.
See Also
Greene2003
Examples
data("KleinI", package = "AER")
plot(KleinI)
## Greene (2003), Tab. 15.3, OLS
library("dynlm")
fm_cons <- dynlm(consumption ~ cprofits + L(cprofits) + I(pwage + gwage), data = KleinI)
fm_inv <- dynlm(invest ~ cprofits + L(cprofits) + capital, data = KleinI)
fm_pwage <- dynlm(pwage ~ gnp + L(gnp) + I(time(gnp) - 1931), data = KleinI)
summary(fm_cons)
summary(fm_inv)
summary(fm_pwage)
## More examples can be found in:
## help("Greene2003")
Results
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> library(AER)
Loading required package: car
Loading required package: lmtest
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: sandwich
Loading required package: survival
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/AER/KleinI.Rd_%03d_medium.png", width=480, height=480)
> ### Name: KleinI
> ### Title: Klein Model I
> ### Aliases: KleinI
> ### Keywords: datasets
>
> ### ** Examples
>
> data("KleinI", package = "AER")
> plot(KleinI)
>
> ## Greene (2003), Tab. 15.3, OLS
> library("dynlm")
> fm_cons <- dynlm(consumption ~ cprofits + L(cprofits) + I(pwage + gwage), data = KleinI)
> fm_inv <- dynlm(invest ~ cprofits + L(cprofits) + capital, data = KleinI)
> fm_pwage <- dynlm(pwage ~ gnp + L(gnp) + I(time(gnp) - 1931), data = KleinI)
> summary(fm_cons)
Time series regression with "ts" data:
Start = 1921, End = 1941
Call:
dynlm(formula = consumption ~ cprofits + L(cprofits) + I(pwage +
gwage), data = KleinI)
Residuals:
Min 1Q Median 3Q Max
-2.17345 -0.43597 -0.03466 0.78508 1.61650
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 16.23660 1.30270 12.464 5.62e-10 ***
cprofits 0.19293 0.09121 2.115 0.0495 *
L(cprofits) 0.08988 0.09065 0.992 0.3353
I(pwage + gwage) 0.79622 0.03994 19.933 3.16e-13 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 1.026 on 17 degrees of freedom
Multiple R-squared: 0.981, Adjusted R-squared: 0.9777
F-statistic: 292.7 on 3 and 17 DF, p-value: 7.938e-15
> summary(fm_inv)
Time series regression with "ts" data:
Start = 1921, End = 1941
Call:
dynlm(formula = invest ~ cprofits + L(cprofits) + capital, data = KleinI)
Residuals:
Min 1Q Median 3Q Max
-2.56562 -0.63169 0.03687 0.41542 1.49226
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 10.12579 5.46555 1.853 0.081374 .
cprofits 0.47964 0.09711 4.939 0.000125 ***
L(cprofits) 0.33304 0.10086 3.302 0.004212 **
capital -0.11179 0.02673 -4.183 0.000624 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 1.009 on 17 degrees of freedom
Multiple R-squared: 0.9313, Adjusted R-squared: 0.9192
F-statistic: 76.88 on 3 and 17 DF, p-value: 4.299e-10
> summary(fm_pwage)
Time series regression with "ts" data:
Start = 1921, End = 1941
Call:
dynlm(formula = pwage ~ gnp + L(gnp) + I(time(gnp) - 1931), data = KleinI)
Residuals:
Min 1Q Median 3Q Max
-1.29418 -0.46875 0.01376 0.45027 1.19569
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 1.49704 1.27003 1.179 0.254736
gnp 0.43948 0.03241 13.561 1.52e-10 ***
L(gnp) 0.14609 0.03742 3.904 0.001142 **
I(time(gnp) - 1931) 0.13025 0.03191 4.082 0.000777 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.7671 on 17 degrees of freedom
Multiple R-squared: 0.9874, Adjusted R-squared: 0.9852
F-statistic: 444.6 on 3 and 17 DF, p-value: 2.411e-16
>
> ## More examples can be found in:
> ## help("Greene2003")
>
>
>
>
>
> dev.off()
null device
1
>