houses | R Documentation |
Credit market data for US housing starts
data(houses) fair_houses()
A data frame with 138 rows and 7 columns
houses
)A dataset containing the monthly mortgage rates and other attributes of the US market for new, non-farm houses from July 1958 to December 1969. The variables are as follows:
DATE
The date of the record.
HS
Private non-farm housing starts in thousands of units
(Not seasonally adjusted).
RM
FHA Mortgage rate series on new homes in units of 100 (
beginning-of-month Data).
DSLA
Savings capital (deposits) of savings and loan associations in
millions of dollars.
DMSB
Deposits of mutual savings banks in millions of dollars.
DHLB
Advances of the federal home loan bank to savings and loan
associations in million of dollars.
W
Number of working days in month.
fair_houses
)Loads the houses
dataset and creates the additional variables used by
Fair & Jaffee (1972) doi: 10.2307/1913181. These are
ID
A dummy entity identifier that is always equal to one since the
houses data have only a time series component.
DSF
Flow of deposits in savings and loan associations and mutual
savings banks in million of dollars. Equal to
DSLA_{t} + DMSB_{t} - (DSLA_{t-1} + DMSB_{t-1}).
DHF
Flow of advances of the federal home loan bank to savings and loan
associations in million of dollars. Equal to
DHLB_{t} - DHLB_{t-1}.
MONTH
The month of the date of the observation.
L1RM
FHA Mortgage rate series on new homes in units of 100, lagged by
one date.
L2RM
FHA Mortgage rate series on new homes in units of 100, lagged by
two dates.
L1HS
Private non-farm housing starts in thousands of units (Not
seasonally adjusted), lagged by one date.
CSHS
The cumulative sum of past housing starts. Used to proxy the
stock of houses
MA6DSF
Moving average of order 6 of the flow of deposits in savings
associations and loan associations and mutual savings banks.
MA3DHF
Moving average of order 3 of the flow of advances of the
federal home loan bank to savings and loan associations.
TREND
A time trend variable.
Returns A modified version of the houses
dataset.
fair_houses
: Generate Fair & Jaffee (1972) dataset
RM
Fair (1971)
Fair, R. C. (1971). A short-run forecasting model of the United States economy. Heath Lexington Books.
Fair, R. C., & Jaffee, D. M. (1972). Methods of Estimation for Markets in Disequilibrium. Econometrica, 40(3), 497. doi: 10.2307/1913181
Maddala, G. S., & Nelson, F. D. (1974). Maximum Likelihood Methods for Models of Markets in Disequilibrium. Econometrica, 42(6), 1013. doi: 10.2307/1914215
Hwang, H. (1980). A test of a disequilibrium model. Journal of Econometrics, 12(3), 319–333. doi: 10.1016/0304-4076(80)90059-7
data(houses) head(houses) head(fair_houses())
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