M1Germany               package:dynlm               R Documentation

_G_e_r_m_a_n _M_1 _M_o_n_e_y _D_e_m_a_n_d

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

     German M1 money demand.

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

     data(M1Germany)

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

     'M1Germany' is a '"zoo"' series containing 4 quarterly time series
      from 1960(1) to 1996(3).

     _l_o_g_m_1 logarithm of real M1 per capita,

     _l_o_g_p_r_i_c_e logarithm of a price index,

     _l_o_g_g_n_p logarithm of real per capita gross national product,

     _i_n_t_e_r_e_s_t long-run interest rate,

_D_e_t_a_i_l_s:

     This is essentially the same data set as 'GermanM1',  the
     important difference is that it is stored as a 'zoo' series  and
     not as a data frame. It does not contain differenced and lagged
     versions of the variables (as 'GermanM1') does, because these do
     not have to be  computed explicitely before applying 'dynlm'.

     The (short) story behind the data is the following (for more
     detailed information see 'GermanM1'): Ltkepohl et al. (1999)
     investigate the linearity and stability of German M1 money demand:
     they find a stable regression relation for the time before the
     monetary union on 1990-06-01 but a clear structural instability
     afterwards. Zeileis et al. (2005) re-analyze this data set in a
     monitoring situation.

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

     The data is provided by the German central bank and is available
     online in the data archive of the Journal of Applied Econometrics
     <URL:
     http://qed.econ.queensu.ca/jae/1999-v14.5/lutkepohl-terasvirta-wol
     ters/>.

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

     Ltkepohl H., Tersvirta T., Wolters J. (1999), Investigating
     Stability and Linearity of a German M1 Money Demand Function,
     _Journal of Applied Econometrics_, *14*, 511-525.

     Zeileis A., Leisch F., Kleiber C., Hornik K. (2005), Monitoring
     Structural Change in Dynamic Econometric Models, _Journal of
     Applied Econometrics_, *20*, 99-121.

_S_e_e _A_l_s_o:

     'GermanM1'

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

     data(M1Germany)
     ## fit the model of Ltkepohl et al. (1999) on the history period
     ## before the monetary unification 
     histfm <- dynlm(d(logm1) ~ d(L(loggnp, 2)) + d(interest) + d(L(interest)) + d(logprice) +
                             L(logm1) + L(loggnp) + L(interest) +
                             season(logm1),
                     data = M1Germany, start = c(1961, 1), end = c(1990, 2))

     ## fit on extended sample period
     fm <- update(histfm, end = c(1995, 4))

     if(require(strucchange)) {
       scus <- gefp(fm, fit = NULL)
       plot(scus, functional = supLM(0.1))
     }

