bondyield {lmtest} | R Documentation |
Bond Yield Data.
data(bondyield)
A multivariate quarterly time series from 1961(1) to 1975(4) with variables
The data was originally studied by Cook and Hendershott (1978) and Yawitz and Marshall (1981), the data set is given in Krämer and Sonnberger (1986). Below we replicate a few examples given in their book. Some of these results differ more or less seriously and are sometimes parameterized differently.
T.Q. Cook & P.H. Hendershott (1978), The Impact of Taxes, Risk and Relative Security Supplies of Interest Rate Differentials. The Journal of Finance 33, 1173–1186
J.B. Yawitz & W. J. Marshall (1981), Measuring the Effect of Callability on Bond Yields. Journal of Money, Credit and Banking 13, 60–71
W. Krämer & H. Sonnberger (1986), The Linear Regression Model under Test. Heidelberg: Physica
data(bondyield) ## page 134, fit Cook-Hendershott OLS model and Yawitz-Marshall OLS model ## third and last line in Table 6.5 modelCH <- RAARUS ~ MOOD + EPI + EXP + RUS lm(modelCH, data=bondyield) dwtest(modelCH, data=bondyield) ## wrong sign of RUS coefficient modelYM <- RAARUS ~ MOOD + Y + K lm(modelYM, data=bondyield) dwtest(modelYM, data=bondyield) ## coefficient of Y and K differ by factor 100 ## page 135, fit test statistics in Table 6.6 b) ################################################ ## Chow 1971(1) if(require(strucchange, quietly = TRUE)) { sctest(modelCH, point=c(1971,1), data=bondyield, type="Chow") } ## Breusch-Pagan bptest(modelCH, data=bondyield, studentize=FALSE) bptest(modelCH, data=bondyield) ## Fluctuation test if(require(strucchange, quietly = TRUE)) { sctest(modelCH, type="fluctuation", data=bondyield, rescale=FALSE)} ## RESET reset(modelCH, data=bondyield) reset(modelCH, power=2, type="regressor", data=bondyield) reset(modelCH, type="princomp", data=bondyield) ## Harvey-Collier harvtest(modelCH, order.by= ~ MOOD, data=bondyield) harvtest(modelCH, order.by= ~ EPI, data=bondyield) harvtest(modelCH, order.by= ~ EXP, data=bondyield) harvtest(modelCH, order.by= ~ RUS, data=bondyield) ## Rainbow raintest(modelCH, order.by = "mahalanobis", data=bondyield) ## page 136, fit test statistics in Table 6.6 d) ################################################ ## Chow 1966(1) if(require(strucchange, quietly = TRUE)) { sctest(modelYM, point=c(1965,4), data=bondyield, type="Chow") } ## Fluctuation test if(require(strucchange, quietly = TRUE)) { sctest(modelYM, type="fluctuation", data=bondyield, rescale=FALSE) } ## RESET reset(modelYM, data=bondyield) reset(modelYM, power=2, type="regressor", data=bondyield) reset(modelYM, type="princomp", data=bondyield) ## Harvey-Collier harvtest(modelYM, order.by= ~ MOOD, data=bondyield) harvtest(modelYM, order.by= ~ Y, data=bondyield) harvtest(modelYM, order.by= ~ K, data=bondyield) ## Rainbow raintest(modelYM, order.by = "mahalanobis", data=bondyield)