Investment: US Investment Data

In sandwich: Robust Covariance Matrix Estimators

US Investment Data

Description

US data for fitting an investment equation.

Usage

data(Investment)

Format

An annual time series from 1963 to 1982 with 7 variables.

GNP

nominal gross national product (in billion USD),

Investment

nominal gross private domestic investment (in billion USD),

Price

price index, implicit price deflator for GNP,

Interest

interest rate, average yearly discount rate charged by the New York Federal Reserve Bank,

RealGNP

real GNP (= GNP/Price),

RealInv

real investment (= Investment/Price),

RealInt

approximation to the real interest rate (= Interest - 100 * diff(Price)/Price).

Source

Table 15.1 in Greene (1993)

References

Greene W.H. (1993). Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.

Executive Office of the President (1984). Economic Report of the President. US Government Printing Office, Washington, DC.

Examples

## Willam H. Greene, Econometric Analysis, 2nd Ed.
## Chapter 15
## load data set, p. 411, Table 15.1
data(Investment)

## fit linear model, p. 412, Table 15.2
fm <- lm(RealInv ~ RealGNP + RealInt, data = Investment)
summary(fm)

## visualize residuals, p. 412, Figure 15.1
plot(ts(residuals(fm), start = 1964),
  type = "b", pch = 19, ylim = c(-35, 35), ylab = "Residuals")
sigma <- sqrt(sum(residuals(fm)^2)/fm$df.residual) ## maybe used df = 26 instead of 16 ??
abline(h = c(-2, 0, 2) * sigma, lty = 2)

if(require(lmtest)) {
## Newey-West covariances, Example 15.3
coeftest(fm, vcov = NeweyWest(fm, lag = 4))
## Note, that the following is equivalent:
coeftest(fm, vcov = kernHAC(fm, kernel = "Bartlett", bw = 5, prewhite = FALSE, adjust = FALSE))

## Durbin-Watson test, p. 424, Example 15.4
dwtest(fm)

## Breusch-Godfrey test, p. 427, Example 15.6
bgtest(fm, order = 4)
}

## visualize fitted series
plot(Investment[, "RealInv"], type = "b", pch = 19, ylab = "Real investment")
lines(ts(fitted(fm), start = 1964), col = 4)


## 3-d visualization of fitted model
if(require(scatterplot3d)) {
s3d <- scatterplot3d(Investment[,c(5,7,6)],
  type = "b", angle = 65, scale.y = 1, pch = 16)
s3d$plane3d(fm, lty.box = "solid", col = 4)
}

sandwich documentation built on Sept. 30, 2024, 9:17 a.m.