unemployment         package:lmtest         R Documentation(latin1)

_U_n_e_m_p_l_o_y_m_e_n_t _D_a_t_a

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

     Unemployment Data.

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

     data(unemployment)

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

     A multivariate yearly time series from 1890 to 1979 with variables

     _U_N unemployment rate,

     _m broad money supply,

     _p implicit deflator of Gross National Product,

     _G real purchases of goods and services,

     _x real exports.

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

     The data was originally studied by Rea (1983), 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:

     J.D. Rea (1983), The Explanatory Power of Alternative Theories of
     Inflation and Unemployment, 1895-1979. _Review of Economics and
     Statistics_ *65*, 183-195

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

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

     data(unemployment)

     ## data transformation
     myunemployment <- window(unemployment, start=1895, end=1956)
     time <- 6:67

     ## page 144, fit Rea OLS model
     ## last line in Table 6.12

     modelRea <- UN ~ log(m/p) + log(G) + log(x) + time
     lm(modelRea, data = myunemployment)
     ## coefficients of logged variables differ by factor 100

     ## page 143, fit test statistics in table 6.11
     ##############################################

     if(require(strucchange, quietly = TRUE)) {
     ## Chow 1941
     sctest(modelRea, point=c(1940,1), data=myunemployment, type="Chow") }

     ## Breusch-Pagan
     bptest(modelRea, data=myunemployment, studentize=FALSE)
     bptest(modelRea, data=myunemployment)

     ## RESET (a)-(b)
     reset(modelRea, data=myunemployment)
     reset(modelRea, power=2, type="regressor", data=myunemployment)

     ## Harvey-Collier
     harvtest(modelRea, order.by = ~ log(m/p), data=myunemployment)
     harvtest(modelRea, order.by = ~ log(G), data=myunemployment)
     harvtest(modelRea, order.by = ~ log(x), data=myunemployment)
     harvtest(modelRea, data=myunemployment)

     ## Rainbow
     raintest(modelRea, order.by = "mahalanobis", data=myunemployment)

