USDistLag               package:lmtest               R Documentation

_U_S _M_a_c_r_o_e_c_n_o_m_i_c _D_a_t_a

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

     US macroeconomic data for fitting a distributed lag model.

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

     data(USDistLag)

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

     An annual time series from 1963 to 1982 with 2 variables.

     _c_o_n_s_u_m_p_t_i_o_n real consumption,

     _g_n_p gross national product (deflated by CPI).

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

     Table 7.7 in Greene (1993)

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

     Greene W.H. (1993), _Econometric Analysis_, 2nd edition. Macmillan
     Publishing Company, New York.

     Executive Office of the President (1983), _Economic Report of the
     President_. US Government Printing Office, Washington, DC.

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

     ## Willam H. Greene, Econometric Analysis, 2nd Ed.
     ## Chapter 7
     ## load data set, p. 221, Table 7.7
     data(USDistLag)

     ## fit distributed lag model, p.221, Example 7.8
     usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1)))
     colnames(usdl) <- c("con", "gnp", "con1", "gnp1")

     ## C(t) = b0 + b1*Y(t) + b2*C(t-1) + u
     fm <- lm(con ~ gnp + con1, data = usdl)
     summary(fm)
     vcov(fm)

