MDEM: Data set for the _Monetary Demand Model_

In pvars: VAR Modeling for Heterogeneous Panels

Data set for the Monetary Demand Model

Description

The data set MDEM consists of annual observations for the nominal short-term interest rate R and the logarithm of the real money aggregate m1 and real GDP gdp. It covers the period 1957 to 1996 (T=40) for N=19 countries.

Usage

data("MDEM")

Format

A long-format data panel of class 'data.frame', where the columns id_i and id_t indicate the country and year respectively.

Source

The prepared data is sourced from OECD and IMF's International Financial Statistics of the year 1998, see the open terms of use. Employed by Carrion-i-Silvestre and Surdeanu (2011:24, Ch.6.1), it has been originally compiled and described in the unpublished appendix of Mark and Sul (2003). See the related working paper of Mark and Sul (1999, Appendix B).

References

Carrion-i-Silvestre, J. L., and Surdeanu L. (2011): "Panel Cointegration Rank Testing with Cross-Section Dependence", Studies in Nonlinear Dynamics & Econometrics, 15 (4), pp. 1-43.

Mark, N. C., and Sul, D. (1999): "A Computationally Simple Cointegration Vector Estimator for Panel Data", Working Paper, Department of Economics, Ohio State University.

Mark, N. C., and Sul, D. (2003): "Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand," Oxford Bulletin of Economics and Statistics, 65, pp. 655-680.

See Also

Other data sets: ERPT, EURO, EU_w, ICAP, MERM, PCAP, PCIT

pvars documentation built on Nov. 5, 2025, 6:57 p.m.