USInvest | R Documentation |
Time series data on investments in the US, 1968–1982.
data("USInvest")
An annual multiple time series from 1968 to 1982 with 4 variables.
Nominal gross national product,
Nominal investment,
Consumer price index,
Interest rate (average yearly discount rate at the New York Federal Reserve Bank).
Online complements to Greene (2003). Table F3.1.
https://pages.stern.nyu.edu/~wgreene/Text/tables/tablelist5.htm
Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.
Greene2003
data("USInvest") ## Chapter 3 in Greene (2003) ## transform (and round) data to match Table 3.1 us <- as.data.frame(USInvest) us$invest <- round(0.1 * us$invest/us$price, digits = 3) us$gnp <- round(0.1 * us$gnp/us$price, digits = 3) us$inflation <- c(4.4, round(100 * diff(us$price)/us$price[-15], digits = 2)) us$trend <- 1:15 us <- us[, c(2, 6, 1, 4, 5)] ## p. 22-24 coef(lm(invest ~ trend + gnp, data = us)) coef(lm(invest ~ gnp, data = us)) ## Example 3.1, Table 3.2 cor(us)[1,-1] pcor <- solve(cor(us)) dcor <- 1/sqrt(diag(pcor)) pcor <- (-pcor * (dcor %o% dcor))[1,-1] ## Table 3.4 fm <- lm(invest ~ trend + gnp + interest + inflation, data = us) fm1 <- lm(invest ~ 1, data = us) anova(fm1, fm) ## More examples can be found in: ## help("Greene2003")
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