jocci                 package:lmtest                 R Documentation

_U._S. _M_a_c_r_o_e_c_o_n_o_m_i_c _T_i_m_e _S_e_r_i_e_s

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

     Several macroeconomic time series from the U.S.

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

     data(fyff)
     data(gmdc)
     data(ip)
     data(jocci)
     data(lhur)
     data(pw561)

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

     All data sets are multivariate monthly time series from 1959(8) to
     1993(12) (except 1993(10) for 'jocci') with variables

     _y original time series,

     _d_y transformed times series (first differences or log first
          differences),

     _d_y_1 transformed series at lag 1,

     _d_y_2 transformed series at lag 2,

     _d_y_3 transformed series at lag 3,

     _d_y_4 transformed series at lag 4,

     _d_y_5 transformed series at lag 5,

     _d_y_6 transformed series at lag 6.

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

     The description from Stock & Watson (1996) for the time series
     (with the transformation used):

     _f_y_f_f interest rate (first differences),

     _g_m_d_c pce, impl pr defl: pce (1987 = 100) (log first differences),

     _i_p index of industrial production (log first differences),

     _j_o_c_c_i department of commerce commodity price index (log first
          differences),

     _l_h_u_r unemployment rate: all workers, 16 years & over (%, sa)
          (first differences),

     _p_w_5_6_1 producer price index: crude petroleum (82 = 100, nsa) (log
          first differences).

     Stock & Watson (1996) fitted an AR(6) model to all transformed
     time series.

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

     Stock & Watson (1996) study the stability of 76 macroeconomic time
     series, which can be obtained from Mark W. Watson's homepage <URL:
     http://www.wws.princeton.edu/~mwatson/>.

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

     J.H. Stock & M.W. Watson (1996), Evidence on Structural
     Instability in Macroeconomic Time Series Relations. _Journal of
     Business & Economic Statistics_ *14*, 11-30.

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

     data(jocci)

     dwtest(dy ~ 1, data = jocci)
     bgtest(dy ~ 1, data = jocci)
     ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6
     bgtest(ar6.model, data = jocci)

     var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2)
     bptest(ar6.model, var.model, data = jocci)

