USDistLag: US Macroeconomic Data

In lmtest: Testing Linear Regression Models

US Macroeconomic Data

Description

US macroeconomic data for fitting a distributed lag model.

Usage

data(USDistLag)

Format

An annual time series from 1963 to 1982 with 2 variables.

consumption

real consumption,

gnp

gross national product (deflated by CPI).

Source

Table 7.7 in Greene (1993)

References

Greene W.H. (1993), Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.

Executive Office of the President (1983), Economic Report of the President. US Government Printing Office, Washington, DC.

Examples

## Willam H. Greene, Econometric Analysis, 2nd Ed.
## Chapter 7
## load data set, p. 221, Table 7.7
data(USDistLag)

## fit distributed lag model, p.221, Example 7.8
usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1)))
colnames(usdl) <- c("con", "gnp", "con1", "gnp1")

## C(t) = b0 + b1*Y(t) + b2*C(t-1) + u
fm <- lm(con ~ gnp + con1, data = usdl)
summary(fm)
vcov(fm)

lmtest documentation built on March 22, 2022, 1:06 a.m.