currencysubstitution     package:lmtest     R Documentation(latin1)

_C_u_r_r_e_n_c_y _S_u_b_s_t_i_t_u_t_i_o_n

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

     Currency Subsitution Data.

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

     data(currencysubstitution)

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

     A multivariate quarterly time series from 1960(4) to 1975(4) with
     variables

     _l_o_g_C_U_S logarithm of the ratio of canadian holdings of Canadian
          dollar balances and canadian holdings of U.S. dollar
          balances,

     _I_u yield on U.S. Treasury bills,

     _I_c yield on Canadian Treasury bills,

     _l_o_g_Y logarithm of Canadian real gross national product.

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

     The data was originally studied by Miles (1978), the data set is
     given in Krmer and Sonnberger (1986). Below we replicate a few
     examples  from 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:

     M. Miles (1978), Currency Substitution, Flexible Exchange Rates,
     and Monetary Independence. _American Economic Review_ *68*,
     428-436

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

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

     data(currencysubstitution)

     ## page 130, fit Miles OLS model and Bordo-Choudri OLS model
     ## third and last line in Table 6.3

     modelMiles <- logCUS ~ log((1+Iu)/(1+Ic))
     lm(modelMiles, data=currencysubstitution)
     dwtest(modelMiles, data=currencysubstitution)

     modelBordoChoudri <- logCUS ~ I(Iu-Ic) + Ic + logY
     lm(modelBordoChoudri, data=currencysubstitution)
     dwtest(modelBordoChoudri, data=currencysubstitution)

     ## page 131, fit test statistics in Table 6.4 b)
     ################################################

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

     ## RESET
     reset(modelMiles, data=currencysubstitution)
     reset(modelMiles, power=2, type="regressor", data=currencysubstitution)
     reset(modelMiles, type="princomp", data=currencysubstitution)

     ## Harvey-Collier
     harvtest(modelMiles, order.by = ~log((1+Iu)/(1+Ic)), data=currencysubstitution)

     ## Rainbow
     raintest(modelMiles, order.by = "mahalanobis", data=currencysubstitution)

     ## page 132, fit test statistics in Table 6.4 d)
     ################################################

     if(require(strucchange, quietly = TRUE)) {
     ## Chow 1970(2)
     sctest(modelBordoChoudri, point=c(1970,2), data=currencysubstitution,
      type="Chow") }

     ## Breusch-Pagan
     bptest(modelBordoChoudri, data=currencysubstitution, studentize=FALSE)
     bptest(modelBordoChoudri, data=currencysubstitution)

     ## RESET
     reset(modelBordoChoudri, data=currencysubstitution)
     reset(modelBordoChoudri, power=2, type="regressor", data=currencysubstitution)
     reset(modelBordoChoudri, type="princomp", data=currencysubstitution)

     ## Harvey-Collier
     harvtest(modelBordoChoudri, order.by = ~ I(Iu-Ic), data=currencysubstitution)
     harvtest(modelBordoChoudri, order.by = ~ Ic, data=currencysubstitution)
     harvtest(modelBordoChoudri, order.by = ~ logY, data=currencysubstitution)

     ## Rainbow
     raintest(modelBordoChoudri, order.by = "mahalanobis", data=currencysubstitution)

