jocci {lmtest}R Documentation

U.S. Macroeconomic Time Series

Description

Several macroeconomic time series from the U.S.

Usage

data(fyff)
data(gmdc)
data(ip)
data(jocci)
data(lhur)
data(pw561)

Format

All data sets are multivariate monthly time series from 1959(8) to 1993(12) (except 1993(10) for jocci) with variables

y
original time series,
dy
transformed times series (first differences or log first differences),
dy1
transformed series at lag 1,
dy2
transformed series at lag 2,
dy3
transformed series at lag 3,
dy4
transformed series at lag 4,
dy5
transformed series at lag 5,
dy6
transformed series at lag 6.

Details

The description from Stock & Watson (1996) for the time series (with the transformation used):

fyff
interest rate (first differences),
gmdc
pce, impl pr defl: pce (1987 = 100) (log first differences),
ip
index of industrial production (log first differences),
jocci
department of commerce commodity price index (log first differences),
lhur
unemployment rate: all workers, 16 years & over (%, sa) (first differences),
pw561
producer price index: crude petroleum (82 = 100, nsa) (log first differences).

Stock & Watson (1996) fitted an AR(6) model to all transformed time series.

Source

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/.

References

J.H. Stock & M.W. Watson (1996), Evidence on Structural Instability in Macroeconomic Time Series Relations. Journal of Business & Economic Statistics 14, 11–30.

Examples

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)

[Package lmtest version 0.9-14 Index]