M1Germany {dynlm} | R Documentation |
German M1 money demand.
data(M1Germany)
M1Germany
is a "zoo"
series containing 4 quarterly
time series from 1960(1) to 1996(3).
This is essentially the same data set as GermanM1
,
the important difference is that it is stored as a zoo
series
and not as a data frame. It does not contain differenced and lagged versions
of the variables (as GermanM1
) does, because these do not have to be
computed explicitely before applying dynlm
.
The (short) story behind the data is the following (for more detailed information
see GermanM1
):
Lütkepohl et al. (1999) investigate the linearity and
stability of German M1 money demand: they find a stable regression relation
for the time before the monetary union on 1990-06-01 but a clear structural
instability afterwards. Zeileis et al. (2005) re-analyze this data set
in a monitoring situation.
The data is provided by the German central bank and is available online in the data archive of the Journal of Applied Econometrics http://qed.econ.queensu.ca/jae/1999-v14.5/lutkepohl-terasvirta-wolters/.
Lütkepohl H., Teräsvirta T., Wolters J. (1999), Investigating Stability and Linearity of a German M1 Money Demand Function, Journal of Applied Econometrics, 14, 511–525.
Zeileis A., Leisch F., Kleiber C., Hornik K. (2005), Monitoring Structural Change in Dynamic Econometric Models, Journal of Applied Econometrics, 20, 99–121.
data(M1Germany) ## fit the model of Lütkepohl et al. (1999) on the history period ## before the monetary unification histfm <- dynlm(d(logm1) ~ d(L(loggnp, 2)) + d(interest) + d(L(interest)) + d(logprice) + L(logm1) + L(loggnp) + L(interest) + season(logm1), data = M1Germany, start = c(1961, 1), end = c(1990, 2)) ## fit on extended sample period fm <- update(histfm, end = c(1995, 4)) if(require(strucchange)) { scus <- gefp(fm, fit = NULL) plot(scus, functional = supLM(0.1)) }