wages: Wages

In lmtest: Testing Linear Regression Models

Wages

Description

Wages Data.

Usage

data(wages)

Format

A multivariate yearly time series from 1960 to 1979 with variables

w

wages,

CPI

consumer price index,

u

unemployment,

mw

minimum wage.

Source

The data was originally studied by Nicols (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

D.A. Nicols (1983), Macroeconomic Determinants of Wage Adjustments in White Collar Occupations. Review of Economics and Statistics 65, 203–213

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

Examples

data(wages)

## data transformation to include lagged series
mywages <- cbind(wages, lag(wages[,2], k = -1), lag(wages[,2], k = -2))
colnames(mywages) <- c(colnames(wages), "CPI2", "CPI3")
mywages <- window(mywages, start=1962, end=1979)

## page 142, fit Nichols OLS model
## equation (6.10)

modelNichols <- w ~ CPI + CPI2 + CPI3 + u + mw
lm(modelNichols, data = mywages)

## page 143, fit test statistics in table 6.11
##############################################

if(require(strucchange, quietly = TRUE)) {
## Chow 1972
sctest(modelNichols, point=c(1971,1), data=mywages, type="Chow") }

## Breusch-Pagan
bptest(modelNichols, data=mywages, studentize=FALSE)
bptest(modelNichols, data=mywages)

## RESET (a)-(b)
reset(modelNichols, data=mywages)
reset(modelNichols, power=2, type="regressor", data=mywages)

## Harvey-Collier
harvtest(modelNichols, order.by = ~ CPI, data=mywages)
harvtest(modelNichols, order.by = ~ CPI2, data=mywages)
harvtest(modelNichols, order.by = ~ CPI3, data=mywages)
harvtest(modelNichols, order.by = ~ u, data=mywages)

## Rainbow
raintest(modelNichols, order.by = "mahalanobis", data=mywages)

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