# wages: Wages In lmtest: Testing Linear Regression Models

 wages R Documentation

## Wages

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.