wages             package:lmtest             R Documentation(latin1)

_W_a_g_e_s

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

     Wages Data.

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

     data(wages)

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

     A multivariate yearly time series from 1960 to 1979 with variables

     _w wages,

     _C_P_I consumer price index,

     _u unemployment,

     _m_w minimum wage.

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

     The data was originally studied by Nicols (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:

     D.A. Nicols (1983), Macroeconomic Determinants of Wage Adjustments
     in White Collar Occupations. _Review of Economics and Statistics_
     *65*, 203-213

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

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

     data(wages)

     ## data transformation to include lagged series
     mywages <- cbind(wages, lag(wages[,2], k = -1), lag(wages[,2], k = -2))
     colnames(mywages) <- c(colnames(wages), "CPI2", "CPI3")
     mywages <- window(mywages, start=1962, end=1979)

     ## page 142, fit Nichols OLS model
     ## equation (6.10)

     modelNichols <- w ~ CPI + CPI2 + CPI3 + u + mw
     lm(modelNichols, data = mywages)

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

     if(require(strucchange, quietly = TRUE)) {
     ## Chow 1972
     sctest(modelNichols, point=c(1971,1), data=mywages, type="Chow") }

     ## Breusch-Pagan
     bptest(modelNichols, data=mywages, studentize=FALSE)
     bptest(modelNichols, data=mywages)

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

     ## Harvey-Collier
     harvtest(modelNichols, order.by = ~ CPI, data=mywages)
     harvtest(modelNichols, order.by = ~ CPI2, data=mywages)
     harvtest(modelNichols, order.by = ~ CPI3, data=mywages)
     harvtest(modelNichols, order.by = ~ u, data=mywages)

     ## Rainbow
     raintest(modelNichols, order.by = "mahalanobis", data=mywages)

