unemployment | R Documentation |

Unemployment Data.

data(unemployment)

A multivariate yearly time series from 1890 to 1979 with variables

- UN
unemployment rate,

- m
broad money supply,

- p
implicit deflator of Gross National Product,

- G
real purchases of goods and services,

- x
real exports.

The data was originally studied by Rea (1983), the data set is given in Krämer and Sonnberger (1986). Below we replicate a few examples from their book. Some of these results differ more or less seriously and are sometimes parameterized differently.

J.D. Rea (1983),
The Explanatory Power of Alternative Theories of Inflation and Unemployment,
1895-1979.
*Review of Economics and Statistics* **65**, 183–195

W. Krämer & H. Sonnberger (1986),
*The Linear Regression Model under Test*. Heidelberg: Physica

data(unemployment) ## data transformation myunemployment <- window(unemployment, start=1895, end=1956) time <- 6:67 ## page 144, fit Rea OLS model ## last line in Table 6.12 modelRea <- UN ~ log(m/p) + log(G) + log(x) + time lm(modelRea, data = myunemployment) ## coefficients of logged variables differ by factor 100 ## page 143, fit test statistics in table 6.11 ############################################## if(require(strucchange, quietly = TRUE)) { ## Chow 1941 sctest(modelRea, point=c(1940,1), data=myunemployment, type="Chow") } ## Breusch-Pagan bptest(modelRea, data=myunemployment, studentize=FALSE) bptest(modelRea, data=myunemployment) ## RESET (a)-(b) reset(modelRea, data=myunemployment) reset(modelRea, power=2, type="regressor", data=myunemployment) ## Harvey-Collier harvtest(modelRea, order.by = ~ log(m/p), data=myunemployment) harvtest(modelRea, order.by = ~ log(G), data=myunemployment) harvtest(modelRea, order.by = ~ log(x), data=myunemployment) harvtest(modelRea, data=myunemployment) ## Rainbow raintest(modelRea, order.by = "mahalanobis", data=myunemployment)

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

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