npext              package:urca              R Documentation(latin1)

_N_e_l_s_o_n & _P_l_o_s_s_e_r _e_x_t_e_n_d_e_d _d_a_t_a _s_e_t

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

     This data set contains the fourteen U.S. economic time series used
     by Schotman & Dijk. All series are transformed by taking
     logarithms except for the bond yield. The sample period ends in
     1988.

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

     data(npext)

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

     A data frame containing fourteen series.

           'year'  Time index from 1860 until 1988.
        'realgnp'  Real GNP, [Billions of 1958 Dollars],
                   [1909 - 1988]
         'nomgnp'  Nominal GNP,
                   [Millions of Current Dollars], [1909 - 1988]
       'gnpperca'  Real Per Capita GNP,
                   [1958 Dollars], [1909 - 1988]
        'indprod'  Industrial Production Index,
                   [1967 = 100], [1860 - 1988]
       'employmt'  Total Employment,
                   [Thousands], [1890 - 1988]
       'unemploy'  Total Unemployment Rate,
                   [Percent], [1890 - 1988]
        'gnpdefl'  GNP Deflator,
                   [1958 = 100], [1889 - 1988]
            'cpi'  Consumer Price Index,
                   [1967 = 100], [1860 - 1988]
          'wages'  Nominal Wages
                   (Average annual earnings per full-time employee in manufacturing),
                   [current Dollars], [1900 - 1988]
        'realwag'  Real Wages,
                   [Nominal wages/CPI], [1900 - 1988]
              'M'  Money Stock (M2),
                   [Billions of Dollars, annual averages], [1889 - 1988]
       'velocity'  Velocity of Money,
                   [1869 - 1988]
       'interest'  Bond Yield (Basic Yields of 30-year corporate bonds),
                   [Percent per annum], [1900 - 1988]
          'sp500'  Stock Prices,
                   [Index; 1941 - 43 = 100], [1871 - 1988]

_A_u_t_h_o_r(_s):

     Bernhard Pfaff

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

     Schotman, P.C. and van Dijk, H.K. (1991), On Bayesian Routes to
     Unit Roots, _Journal of Applied Econometrics_, *6*, 387-401.

     Koop, G. and Steel, M.F.J. (1994), A Decision-Theoretic Analysis
     of the Unit-Root Hypothesis using Mixtures of Elliptical Models,
     _Journal of Business and Economic Statistics_, *12*, 95-107.

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

     <URL: http://www.amstat.org/publications/jbes/>

