growthofmoney         package:lmtest         R Documentation(latin1)

_G_r_o_w_t_h _o_f _M_o_n_e_y _S_u_p_p_l_y

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

     Growth of Money Supply Data.

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

     data(growthofmoney)

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

     A multivariate quarterly time series from 1970(2) to 1974(4) with
     variables

     _T_G_1._T_G_0 difference of current and preceding target for the growth
          rate of the money supply,

     _A_G_0._T_G_0 difference of actual growth rate and target growth rate
          for the preceding period.

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

     The data was originally studied by Hetzel (1981), 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:

     R.L. Hetzel (1981), The Federal Reserve System and Control of the
     Money Supply in the 1970's. _Journal of Money, Credit and Banking_
     *13*, 31-43

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

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

     data(growthofmoney)

     ## page 137, fit Hetzel OLS model
     ## first/second line in Table 6.7

     modelHetzel <- TG1.TG0 ~ AG0.TG0
     lm(modelHetzel, data=growthofmoney)
     dwtest(modelHetzel, data=growthofmoney)

     ## page 135, fit test statistics in Table 6.8
     #############################################

     if(require(strucchange, quietly = TRUE)) {
     ## Chow 1974(1)
     sctest(modelHetzel, point=c(1973,4), data=growthofmoney, type="Chow") }

     ## RESET
     reset(modelHetzel, data=growthofmoney)
     reset(modelHetzel, power=2, type="regressor", data=growthofmoney)
     reset(modelHetzel, type="princomp", data=growthofmoney)

     ## Harvey-Collier
     harvtest(modelHetzel, order.by= ~ AG0.TG0, data=growthofmoney)

     ## Rainbow
     raintest(modelHetzel, order.by = "mahalanobis", data=growthofmoney)

     ## Identification of outliers
     #############################

     ## Figure 6.1
     plot(modelHetzel, data=growthofmoney)
     abline(v=0)
     abline(h=0)
     abline(coef(lm(modelHetzel, data=growthofmoney)), col=2)

     ## Table 6.7, last line
     growthofmoney2 <- as.data.frame(growthofmoney[-c(5:6),])
     lm(modelHetzel, data=growthofmoney2)
     dwtest(modelHetzel, data=growthofmoney2)

