eg1.DSE.data: Four Time Series used in Gilbert (1993)

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Data is for Canada. The series start in March 1961 (April 1961 for eg1.DSE.data.diff) and end in June 1991, giving 364 observations on each variable (363 for eg1.DSE.data.diff).

The input series is 90-day interest rates (R90) in both eg1.DSE.data and eg1.DSE.data.diff.

The output series are M1, GDP lagged two months, and CPI. M1, GDP and CPI were all seasonally adjusted data. These are not transformed in eg1.DSE.data and are first difference of logs in eg1.DSE.data.diff.

GDP is lagged because it is not available on as timely a basis. (The data was used in an example where the intent was to build a model for timely monitoring.)

The Statistics Canada series identifiers are B14017, B1627, I37026, and B820200.

The data for M1 (B1627) were taken prior to revisions made in December 1993.

The file eg1.dat contains the same data as eg1.DSE.data in a simple ASCII file.

Usage

	data(eg1.DSE.data)
	data(eg1.DSE.data.diff)

Format

The objects eg1.DSE.data and eg1.DSE.data.diff are TSdata objects. The file eg1.dat is an ASCII file with 5 columns, the first enumerating the observations, the second giving the input series, and the third to fifth giving the output series. The input series name is "R90" and the output series names are "M1", "GDPl2" and "CPI". GDPl2 is GDP lagged two months

Source

Statistics Canada, Bank of Canada.

References

Gilbert, P.D. (1993) State Space and ARMA Models: An Overview of the Equivalence. Bank of Canada Working Paper 93-4. Available at http://www.bankofcanada.ca/1993/03/publications/research/working-paper-199/.

See Also

TSdata

dse documentation built on March 26, 2020, 7:12 p.m.