Time series data, 1952–1982.
An annual multiple time series from 1952 to 1982 with 5 variables.
real annual returns on stocks, measured using the Ibbotson-Sinquefeld data base.
annual growth rate of output, measured by real GNP (from the given year to the next year).
inflation rate, measured as growth of price rate (from December of the previous year to December of the present year).
annual growth rate of real GNP as given by Baltagi.
inflation rate as given by Baltagi
The first three columns of the data are from Table 1 in Benderly and Zwick (1985). The remaining columns are taken from the online complements of Baltagi (2002). The first column is identical in both sources, the other two variables differ in their numeric values and additionally the growth series seems to be lagged differently. Baltagi (2002) states Lott and Ray (1992) as the source for his version of the data set.
Baltagi, B.H. (2002). Econometrics, 3rd ed. Berlin, Springer.
Benderly, J., and Zwick, B. (1985). Inflation, Real Balances, Output and Real Stock Returns. American Economic Review, 75, 1115–1123.
Lott, W.F., and Ray, S.C. (1992). Applied Econometrics: Problems with Data Sets. New York: The Dryden Press.
Zaman, A., Rousseeuw, P.J., and Orhan, M. (2001). Econometric Applications of High-Breakdown Robust Regression Techniques. Economics Letters, 71, 1–8.
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data("BenderlyZwick") plot(BenderlyZwick) ## Benderly and Zwick (1985), p. 1116 library("dynlm") bz_ols <- dynlm(returns ~ growth + inflation, data = BenderlyZwick/100, start = 1956, end = 1981) summary(bz_ols) ## Zaman, Rousseeuw and Orhan (2001) ## use larger period, without scaling bz_ols2 <- dynlm(returns ~ growth + inflation, data = BenderlyZwick, start = 1954, end = 1981) summary(bz_ols2)
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