bondyield           package:lmtest           R Documentation(latin1)

_B_o_n_d _Y_i_e_l_d

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

     Bond Yield Data.

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

     data(bondyield)

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

     A multivariate quarterly time series from 1961(1) to 1975(4) with
     variables

     _R_A_A_R_U_S difference of interest rate on government and corporate
          bonds,

     _M_O_O_D measure of consumer sentiment,

     _E_P_I index of employment pressure,

     _E_X_P interest rate expectations,

     _Y artifical time series based on RAARUS,

     _K artifical time series based on RAARUS.

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

     The data was originally studied by Cook and Hendershott (1978) and
     Yawitz and Marshall (1981), the data set is given in Krmer and
     Sonnberger (1986). Below we replicate a few examples given in
     their book.  Some of these results differ more or less seriously
     and are sometimes parameterized differently.

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

     T.Q. Cook & P.H. Hendershott (1978), The Impact of Taxes, Risk and
     Relative Security Supplies of Interest Rate Differentials. _The
     Journal of Finance_ *33*, 1173-1186

     J.B. Yawitz & W. J. Marshall (1981), Measuring the Effect of
     Callability on Bond Yields. _Journal of Money, Credit and Banking_
     *13*, 60-71

     W. Krmer & H. Sonnberger (1986), _The Linear Regression Model
     under Test_. Heidelberg: Physica

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

     data(bondyield)

     ## page 134, fit Cook-Hendershott OLS model and Yawitz-Marshall OLS model
     ## third and last line in Table 6.5

     modelCH <- RAARUS ~ MOOD + EPI + EXP + RUS
     lm(modelCH, data=bondyield)
     dwtest(modelCH, data=bondyield)
     ## wrong sign of RUS coefficient

     modelYM <- RAARUS ~ MOOD + Y + K
     lm(modelYM, data=bondyield)
     dwtest(modelYM, data=bondyield)
     ## coefficient of Y and K differ by factor 100

     ## page 135, fit test statistics in Table 6.6 b)
     ################################################

     ## Chow 1971(1)
     if(require(strucchange, quietly = TRUE)) {
     sctest(modelCH, point=c(1971,1), data=bondyield, type="Chow") }

     ## Breusch-Pagan
     bptest(modelCH, data=bondyield, studentize=FALSE)
     bptest(modelCH, data=bondyield)

     ## Fluctuation test
     if(require(strucchange, quietly = TRUE)) {
     sctest(modelCH, type="fluctuation", data=bondyield, rescale=FALSE)}

     ## RESET
     reset(modelCH, data=bondyield)
     reset(modelCH, power=2, type="regressor", data=bondyield)
     reset(modelCH, type="princomp", data=bondyield)

     ## Harvey-Collier
     harvtest(modelCH, order.by= ~ MOOD, data=bondyield)
     harvtest(modelCH, order.by= ~ EPI, data=bondyield)
     harvtest(modelCH, order.by= ~ EXP, data=bondyield)
     harvtest(modelCH, order.by= ~ RUS, data=bondyield)

     ## Rainbow
     raintest(modelCH, order.by = "mahalanobis", data=bondyield)

     ## page 136, fit test statistics in Table 6.6 d)
     ################################################

     ## Chow 1966(1)
     if(require(strucchange, quietly = TRUE)) {
     sctest(modelYM, point=c(1965,4), data=bondyield, type="Chow") }

     ## Fluctuation test
     if(require(strucchange, quietly = TRUE)) {
     sctest(modelYM, type="fluctuation", data=bondyield, rescale=FALSE) }

     ## RESET
     reset(modelYM, data=bondyield)
     reset(modelYM, power=2, type="regressor", data=bondyield)
     reset(modelYM, type="princomp", data=bondyield)

     ## Harvey-Collier
     harvtest(modelYM, order.by= ~ MOOD, data=bondyield)
     harvtest(modelYM, order.by= ~ Y, data=bondyield)
     harvtest(modelYM, order.by= ~ K, data=bondyield)

     ## Rainbow
     raintest(modelYM, order.by = "mahalanobis", data=bondyield)

