A multivariate quarterly time series from 1970(2) to 1974(4) with variables
TG1.TG0
difference of current and preceding target for the growth
rate of the
money supply,
AG0.TG0
difference of actual growth rate and target growth
rate for the preceding period.
Source
The data was originally studied by Hetzel (1981), the data set is given in
Krämer and Sonnberger (1986). Below we replicate a few examples from their
book.
Some of these results differ more or less seriously and are sometimes
parameterized differently.
References
R.L. Hetzel (1981),
The Federal Reserve System and Control of the Money Supply in the 1970's.
Journal of Money, Credit and Banking13, 31–43
W. Krämer & H. Sonnberger (1986),
The Linear Regression Model under Test. Heidelberg: Physica
Examples
data(growthofmoney)
## page 137, fit Hetzel OLS model
## first/second line in Table 6.7
modelHetzel <- TG1.TG0 ~ AG0.TG0
lm(modelHetzel, data=growthofmoney)
dwtest(modelHetzel, data=growthofmoney)
## page 135, fit test statistics in Table 6.8
#############################################
if(require(strucchange, quietly = TRUE)) {
## Chow 1974(1)
sctest(modelHetzel, point=c(1973,4), data=growthofmoney, type="Chow") }
## RESET
reset(modelHetzel, data=growthofmoney)
reset(modelHetzel, power=2, type="regressor", data=growthofmoney)
reset(modelHetzel, type="princomp", data=growthofmoney)
## Harvey-Collier
harvtest(modelHetzel, order.by= ~ AG0.TG0, data=growthofmoney)
## Rainbow
raintest(modelHetzel, order.by = "mahalanobis", data=growthofmoney)
## Identification of outliers
#############################
## Figure 6.1
plot(modelHetzel, data=growthofmoney)
abline(v=0)
abline(h=0)
abline(coef(lm(modelHetzel, data=growthofmoney)), col=2)
## Table 6.7, last line
growthofmoney2 <- as.data.frame(growthofmoney[-c(5:6),])
lm(modelHetzel, data=growthofmoney2)
dwtest(modelHetzel, data=growthofmoney2)