jocci {lmtest} | R Documentation |
Several macroeconomic time series from the U.S.
data(fyff) data(gmdc) data(ip) data(jocci) data(lhur) data(pw561)
All data sets are multivariate monthly time series from
1959(8) to 1993(12) (except 1993(10) for jocci
) with variables
The description from Stock & Watson (1996) for the time series (with the transformation used):
Stock & Watson (1996) fitted an AR(6) model to all transformed time series.
Stock & Watson (1996) study the stability of 76 macroeconomic time series, which can be obtained from Mark W. Watson's homepage http://www.wws.princeton.edu/~mwatson/.
J.H. Stock & M.W. Watson (1996), Evidence on Structural Instability in Macroeconomic Time Series Relations. Journal of Business & Economic Statistics 14, 11–30.
data(jocci) dwtest(dy ~ 1, data = jocci) bgtest(dy ~ 1, data = jocci) ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6 bgtest(ar6.model, data = jocci) var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2) bptest(ar6.model, var.model, data = jocci)