A multivariate yearly time series from 1960 to 1979 with variables
w
wages,
CPI
consumer price index,
u
unemployment,
mw
minimum wage.
Source
The data was originally studied by Nicols (1983), 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
D.A. Nicols (1983),
Macroeconomic Determinants of Wage Adjustments in White Collar Occupations.
Review of Economics and Statistics65, 203–213
W. Krämer & H. Sonnberger (1986),
The Linear Regression Model under Test. Heidelberg: Physica
Examples
data(wages)
## data transformation to include lagged series
mywages <- cbind(wages, lag(wages[,2], k = -1), lag(wages[,2], k = -2))
colnames(mywages) <- c(colnames(wages), "CPI2", "CPI3")
mywages <- window(mywages, start=1962, end=1979)
## page 142, fit Nichols OLS model
## equation (6.10)
modelNichols <- w ~ CPI + CPI2 + CPI3 + u + mw
lm(modelNichols, data = mywages)
## page 143, fit test statistics in table 6.11
##############################################
if(require(strucchange, quietly = TRUE)) {
## Chow 1972
sctest(modelNichols, point=c(1971,1), data=mywages, type="Chow") }
## Breusch-Pagan
bptest(modelNichols, data=mywages, studentize=FALSE)
bptest(modelNichols, data=mywages)
## RESET (a)-(b)
reset(modelNichols, data=mywages)
reset(modelNichols, power=2, type="regressor", data=mywages)
## Harvey-Collier
harvtest(modelNichols, order.by = ~ CPI, data=mywages)
harvtest(modelNichols, order.by = ~ CPI2, data=mywages)
harvtest(modelNichols, order.by = ~ CPI3, data=mywages)
harvtest(modelNichols, order.by = ~ u, data=mywages)
## Rainbow
raintest(modelNichols, order.by = "mahalanobis", data=mywages)