R/us_fiscal_sww.R

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

#' @title A 10-variable US fiscal system for the period 1948 Q1 -- 2025 Q3 
#'
#' @description A system used to identify the US fiscal policy shocks used by Shang, Wang, Woźniak (2026). 
#' Last data update was implemented on 2026-08-18.
#'
#' @usage data(us_fiscal_sww)
#' 
#' @format A matrix and a \code{ts} object with time series of over three hundred observations on 10 variables:
#' \describe{
#'   \item{ttr}{quarterly US total tax revenue expressed in log, real, per person terms}
#'   \item{gs}{quarterly US total government spending expressed in log, real, per person terms}
#'   \item{gdp}{quarterly US gross domestic product expressed in log, real, per person terms}
#'   \item{FFR}{quarterly Federal Funds Effective Rate}
#'   \item{cons}{quarterly private consumption expressed in log, real, per person terms}
#'   \item{rw}{quarterly real wages expressed in log, real, per person terms}
#'   \item{inv}{quarterly private non-residential investment expressed in log, real, per person terms}
#'   \item{m2}{quarterly Monetary Base M2SL expressed in log, real, per person terms}
#'   \item{ppiic}{quarterly Producer Price Index by Commodity: Industrial Commodities expressed in log, real, per person terms}
#'   \item{pi}{quarterly inflation rate expressed in log, real, per person terms}
#' }
#' 
#' The system was defined by Mountford, Uhlig (2009) and used by Shang, Wang, Woźniak (2026). 
#' 
#' @references 
#' Lütkepohl, H., Shang, F., Uzeda, L., and Woźniak, T. (2025) 
#' Partial identification of structural vector autoregressions with non-centred stochastic volatility. 
#' \emph{Journal of Econometrics} \bold{256}, 106107, \doi{10.1016/j.jeconom.2025.106107}.
#' 
#' Mountford, A. and H. Uhlig (2009) What are the effects of fiscal policy shocks? 
#' \emph{Journal of Applied Econometrics} \bold{24}, 960–992., \doi{10.1002/jae.1079}.
#' 
#' 
#' @source 
#' U.S. Bureau of Economic Analysis, National Income and Product Accounts, \url{https://www.bea.gov/}
#' 
#' FRED Economic Database, Federal Reserve Bank of St. Louis, \url{https://fred.stlouisfed.org/}
#' 
#' @examples 
#' data(us_fiscal_sww)   # upload the data
#' plot(us_fiscal_sww)   # plot the data
"us_fiscal_sww"