R: Purchasing Power Parity and other parity relationships
Parity
R Documentation
Purchasing Power Parity and other parity relationships
Description
A panel of 104 quarterly observations from 1973Q1 to 1998Q4
total number of observations : 1768
observation : country
country : OECD
Usage
data(Parity)
Format
A data frame containing :
country
country codes: a factor with 17 levels
time
the quarter index, 1973Q1-1998Q4
ls
log spot exchange rate vs. USD
lp
log price level
is
short term interest rate
il
long term interest rate
ld
log price differential vs. USA
uis
U.S. short term interest rate
uil
U.S. long term interest rate
Source
Coakley, J., Fuertes, A. M., and Smith, R. (2006) “Unobserved
heterogeneity in panel time series models”, Computational
Statistics & Data Analysis, 50(9), 2361–2380.
References
Coakley, J., Fuertes, A. M., and Smith, R. (2006) “Unobserved
heterogeneity in panel time series models”, Computational
Statistics & Data Analysis, 50(9), 2361–2380.
Driscoll, J. C., and Kraay, A. C. (1998). “Consistent
covariance matrix estimation with spatially dependent panel data”,
Review of economics and statistics, 80(4), 549–560.