jocci | R Documentation |

Several macroeconomic time series from the U.S.

data(fyff) data(gmdc) data(ip) data(jocci) data(lhur) data(pw561)

All data sets are multivariate monthly time series from
1959(8) to 1993(12) (except 1993(10) for `jocci`

) with variables

- y
original time series,

- dy
transformed times series (first differences or log first differences),

- dy1
transformed series at lag 1,

- dy2
transformed series at lag 2,

- dy3
transformed series at lag 3,

- dy4
transformed series at lag 4,

- dy5
transformed series at lag 5,

- dy6
transformed series at lag 6.

The description from Stock & Watson (1996) for the time series (with the transformation used):

- fyff
interest rate (first differences),

- gmdc
pce, implicit price deflator: pce (1987 = 100) (log first differences),

- ip
index of industrial production (log first differences),

- jocci
department of commerce commodity price index (log first differences),

- lhur
unemployment rate: all workers, 16 years & over (%, sa) (first differences),

- pw561
producer price index: crude petroleum (82 = 100, nsa) (log first differences).

Stock & Watson (1996) fitted an AR(6) model to all transformed time series.

Stock & Watson (1996) study the stability of 76 macroeconomic time series, which can be obtained from Mark W. Watson's homepage at http://www.princeton.edu/~mwatson/ddisk/bivtvp.zip.

J.H. Stock & M.W. Watson (1996),
Evidence on Structural Instability in Macroeconomic Time Series Relations.
*Journal of Business & Economic Statistics* **14**, 11–30.

data(jocci) dwtest(dy ~ 1, data = jocci) bgtest(dy ~ 1, data = jocci) ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6 bgtest(ar6.model, data = jocci) var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2) bptest(ar6.model, var.model, data = jocci)

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

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