USDistLag {lmtest} | R Documentation |
US macroeconomic data for fitting a distributed lag model.
data(USDistLag)
An annual time series from 1963 to 1982 with 2 variables.
Table 7.7 in Greene (1993)
Greene W.H. (1993), Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.
Executive Office of the President (1983), Economic Report of the President. US Government Printing Office, Washington, DC.
## Willam H. Greene, Econometric Analysis, 2nd Ed. ## Chapter 7 ## load data set, p. 221, Table 7.7 data(USDistLag) ## fit distributed lag model, p.221, Example 7.8 usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1))) colnames(usdl) <- c("con", "gnp", "con1", "gnp1") ## C(t) = b0 + b1*Y(t) + b2*C(t-1) + u fm <- lm(con ~ gnp + con1, data = usdl) summary(fm) vcov(fm)