hpdata: Hoover and Perez (1999) data
In gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods

hpdata

R Documentation

Hoover and Perez (1999) data

Description

Data used by Hoover and Perez (1999) in their evaluation of General-to-Specific (GETS) modelling. A detailed description of the data is found in their Table 1 (page 172). The data are quarterly, comprise 20 variables (the first variable is the quarterly index) and runs from 1959:1 to 1995:1. This corresponds to 145 observations. The original source of the data is Citibank.

Usage

data(hpdata)

Format

Date: a factor that contains the (quarterly) dates of the observations
DCOINC: index of four coincident indicators
GD: GNP price deflator
GGEQ: government purchases of goods and services
GGFEQ: federal purchases of goods and services
GGFR: federal government receipts
GNPQ: GNP
GYDQ: disposable personal income
GPIQ: gross private domestic investment
FMRRA: total member bank reserves
FMBASE: monetary base (feredal reserve bank of St. Louis)
FM1DQ: M1
FM2DQ: M2
FSDJ: Dow Jones stock price
FYAAAC: Moody's AAA corporate bond yield
LHC: labour force (16 years+, civilian)
LHUR: unemployment rate
MU: unfilled orders (manufacturing, all industries)
MO: new orders (manufacturing, all industries)
GCQ: personal consumption expenditure

Details

The data have been used for comparison and illustration of GETS model selection in several studies of the GETS methodology, including Hendry and Krolzig (1999, 2005), Doornik (2009) and Sucarrat and Escribano (2012).

Source

Retrieved 14 October 2014 from: https://www.csus.edu/indiv/p/perezs/data/data.htm

References

David F. Hendry and Hans-Martin Krolzig (1999): 'Improving on 'Data mining reconsidered' by K.D. Hoover and S.J Perez', Econometrics Journal, Vol. 2, pp. 202-219.

David F. Hendry and Hans-Martin Krolzig (2005): 'The properties of automatic Gets modelling', Economic Journal 115, C32-C61.

Jurgen Doornik (2009): 'Autometrics', in Jennifer L. Castle and Neil Shephard (eds), 'The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry', Oxford University Press, Oxford, pp. 88-121.

Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): 'Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks'. Journal of Statistical Software 86, Number 3, pp. 1-44.

Examples

##load Hoover and Perez (1999) data:
data(hpdata)

##make quarterly data-matrix of zoo type:
newhpdata <- zooreg(hpdata[,-1], start=c(1959,1), frequency=4)

##plot data:
plot(newhpdata)

##transform data to log-differences in percent:
dloghpdata <- diff(log(newhpdata))*100

##plot log-differenced data:
plot(dloghpdata)

gets documentation built on Oct. 10, 2022, 1:06 a.m.