durab              package:strucchange              R Documentation

_U_S _L_a_b_o_r _P_r_o_d_u_c_t_i_v_i_t_y

_D_e_s_c_r_i_p_t_i_o_n:

     US labor productivity in the manufacturing/durables sector.

_U_s_a_g_e:

     data(durab)

_F_o_r_m_a_t:

     'durab' is a multivariate monthly time series from 1947(3) to
     2001(4) with variables

     _y growth rate of the Industrial Production Index to average weekly
          labor hours in the manufacturing/durables sector,

     _l_a_g lag 1 of the series 'y',

_S_o_u_r_c_e:

     The data set is available from Bruce Hansen's homepage <URL:
     http://www.ssc.wisc.edu/~bhansen/>. For more information see
     Hansen (2001).

_R_e_f_e_r_e_n_c_e_s:

     Hansen B. (2001), The New Econometrics of Structural Change:
     Dating Breaks in U.S. Labor Productivity, _Journal of Economic
     Perspectives_, *15*, 117-128.

     Zeileis A., Leisch F., Kleiber C., Hornik K. (2002), Monitoring
     Structural Change in Dynamic Econometric Models, Report 64, SFB
     "Adaptive Information Systems and Modelling in Economics and
     Management Science", Vienna University of Economics, <URL:
     http://www.wu-wien.ac.at/am/reports.htm#78>.

_E_x_a_m_p_l_e_s:

     data(durab)
     ## use AR(1) model as in Hansen (2001) and Zeileis et al. (2002)
     durab.model <- y ~ lag

     ## historical tests
     ## OLS-based CUSUM process
     ols <- efp(durab.model, data = durab, type = "OLS-CUSUM")
     plot(ols)
     ## F statistics
     fs <- Fstats(durab.model, data = durab, from = 0.1)
     plot(fs)

     ## F statistics based on heteroskadisticy-consistent covariance matrix
     if("package:sandwich" %in% search() || require(sandwich)) {
       fsHC <- Fstats(durab.model, data = durab, from = 0.1,
                      vcov = function(x, ...) vcovHC(x, type = "HC", ...))
       plot(fsHC)
     }

     ## monitoring
     Durab <- window(durab, start=1964, end = c(1979, 12))
     ols.efp <- efp(durab.model, type = "OLS-CUSUM", data = Durab)
     newborder <- function(k) 1.5778*k/192
     ols.mefp <- mefp(ols.efp, period=2)
     ols.mefp2 <- mefp(ols.efp, border=newborder)
     Durab <- window(durab, start=1964)
     ols.mon <- monitor(ols.mefp)
     ols.mon2 <- monitor(ols.mefp2)
     plot(ols.mon)
     lines(boundary(ols.mon2), col = 2)

     ## dating
     bp <- breakpoints(durab.model, data = durab)
     summary(bp)
     plot(summary(bp))

     plot(ols)
     lines(breakpoints(bp, breaks = 1), col = 3)
     lines(breakpoints(bp, breaks = 2), col = 4)
     plot(fs)
     lines(breakpoints(bp, breaks = 1), col = 3)
     lines(breakpoints(bp, breaks = 2), col = 4)

