RealInt: US Ex-post Real Interest Rate data, 1961(1):1986(3)

In bcp: Bayesian Analysis of Change Point Problems

Description

US ex-post real interest rate: the three-month treasury bill deflated by the CPI inflation rate.

Usage

RealInt

Format

A quarterly time series from 1961(1) to 1986(3).

Source

The data is available online in the data archive of the Journal of Applied Econometrics. url: http://qed.econ.queensu.ca/jae/2003-v18.1/bai-perron/.

References

1. J. Bai and P. Perron (2003), Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, 18, 1-22. http://qed.econ.queensu.ca/jae/2003-v18.1/bai-perron/.

2. Achim Zeileis, Friedrich Leisch, Kurt Hornik, Christian Kleiber (2002), strucchange: An R Package for Testing for Structural Change in Linear Regression Models, Journal of Statistical Software, 7(2), 1–38. http://www.jstatsoft.org/v07/i02/.

Examples

 
demo(RealInt)

bcp documentation built on May 2, 2019, 9:16 a.m.