houses: Credit market data for US housing starts

In diseq: Estimation Methods for Markets in Equilibrium and Disequilibrium

Credit market data for US housing starts

Description

Credit market data for US housing starts

Usage

data(houses)

fair_houses()

Format

A data frame with 138 rows and 7 columns

Details

The basic houses dataset (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.

Generate the variables of the Fair & Jaffee (1972) dataset. (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.

Functions

• fair_houses: Generate Fair & Jaffee (1972) dataset

Source

• HS Economic Reports of the President

• RM Fair (1971)

• DSLA Federal Reserve Bulletins

• DMSB Federal Reserve Bulletins

• DHLB Federal Reserve Bulletins

• W Manually calculated

References

• 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

Examples

data(houses)
head(houses)
head(fair_houses())

diseq documentation built on June 2, 2022, 1:10 a.m.