R: Data set used by Dickey, Jansen & Thornton (1994)
Raotbl1
R Documentation
Data set used by Dickey, Jansen & Thornton (1994)
Description
This data set contains the time series used by David A. Dickey, Dennis
W. Jansen and Daniel L. Thornton in their article: “A Primer on
Cointegrating with an Application to Money and Income”.
Usage
data(Raotbl1)
Format
A data frame with quarterly oberservations (ts objects) starting in
1953:1 until 1988:4 for the following 4 variables (all transformed to
natural logarithms.
k
Ratio of currency to total checkable deposits.
ksa
seasonally adjusted series of k.
r3m
Nominal 3 month T-Bill rate.
r10y
Nominal yield on 10-year Government securities.
rgnp
Real GNP.
Author(s)
Bernhard Pfaff
Source
Dickey, David A., Dennis W. Jansen and Daniel L. Thornton (1994), A
Primer on Cointegration with an Application to Money and Income, in:
Cointegration for the Applied Economist, ed. B. Bhaskara Rao, chapter
2, Data Appendix, Table D.1.