Last data update: 2014.03.03
R: U.S. Macroeconomic Time Series
U.S. Macroeconomic Time Series
Description
Several macroeconomic time series from the U.S.
Usage
data(fyff)
data(gmdc)
data(ip)
data(jocci)
data(lhur)
data(pw561)
Format
All data sets are multivariate monthly time series from
1959(8) to 1993(12) (except 1993(10) for jocci
) with variables
y original time series,
dy transformed times series (first differences
or log first differences),
dy1 transformed series at lag 1,
dy2 transformed series at lag 2,
dy3 transformed series at lag 3,
dy4 transformed series at lag 4,
dy5 transformed series at lag 5,
dy6 transformed series at lag 6.
Details
The description from Stock & Watson (1996) for the time series
(with the transformation used):
fyff interest rate (first differences),
gmdc pce, implicit price deflator: pce (1987 = 100) (log first differences),
ip index of industrial production (log first differences),
jocci department of commerce commodity price index (log first differences),
lhur unemployment rate: all workers, 16 years & over (%, sa) (first differences),
pw561 producer price index: crude petroleum (82 = 100, nsa) (log first differences).
Stock & Watson (1996) fitted an AR(6) model to all transformed time series.
Source
Stock & Watson (1996) study the stability of 76 macroeconomic time series, which can be obtained
from Mark W. Watson's homepage at http://www.princeton.edu/~mwatson/ddisk/bivtvp.zip .
References
J.H. Stock & M.W. Watson (1996),
Evidence on Structural Instability in Macroeconomic Time Series Relations.
Journal of Business & Economic Statistics 14 , 11–30.
Examples
data(jocci)
dwtest(dy ~ 1, data = jocci)
bgtest(dy ~ 1, data = jocci)
ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6
bgtest(ar6.model, data = jocci)
var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2)
bptest(ar6.model, var.model, data = jocci)
Results