unemployment: Unemployment Data

In lmtest: Testing Linear Regression Models

Unemployment Data

Description

Unemployment Data.

Usage

data(unemployment)

Format

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.

Source

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.

References

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

Examples

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.