unemp: US Quarterly Unemployment Series

In mFilter: Miscellaneous Time Series Filters

Description

Quarterly US unemployment series for 1959.1 to 2000.4.

number of observations : 168

observation : country

country : United States

Usage

data(unemp)

Format

A time series containing :

unemp

unemployment rate (average of months in quarter)

Author(s)

Mehmet Balcilar, [e-mail]

Source

Bureau of Labor Statistics, OECD, Federal Reserve.

References

Stock, James H. and Mark W. Watson (2003) Introduction to Econometrics, Addison-Wesley Educational Publishers, chapter 12 and 14.

Examples

## library(mFilter)

data(unemp)

unemp.hp <- mFilter(unemp,filter="HP")  # Hodrick-Prescott filter
unemp.bk <- mFilter(unemp,filter="BK")  # Baxter-King filter
unemp.cf <- mFilter(unemp,filter="CF")  # Christiano-Fitzgerald filter

opar <- par(no.readonly=TRUE)
par(mfrow=c(2,1),mar=c(3,3,2,1))
plot(unemp,main="Unemployment Series & Estimated Trend",col=1,ylab="")
lines(unemp.hp$trend,col=2)
lines(unemp.bk$trend,col=3)
lines(unemp.cf$trend,col=4)
legend("topleft",legend=c("series", "HP","BK","CF"),col=1:4,
       lty=rep(1,4),ncol=2)

plot(unemp.hp$cycle,main="Estimated Cyclical Component",col=2,
     ylim=c(-2,2),ylab="")
lines(unemp.bk$cycle,col=3)
lines(unemp.cf$cycle,col=4)
legend("topleft",legend=c("HP","BK","CF"),col=2:4,lty=rep(1,3),ncol=2)
par(opar)

Example output

mFilter documentation built on June 5, 2019, 1:03 a.m.