NelPlo: Nelson-Plosser Macroeconomic Time Series

In tseries: Time Series Analysis and Computational Finance

Nelson–Plosser Macroeconomic Time Series

Description

These are the extended Nelson-Plosser Data.

Usage

data(NelPlo)

Format

14 macroeconomic time series: cpi, ip, gnp.nom, vel, emp, int.rate, nom.wages, gnp.def, money.stock, gnp.real, stock.prices, gnp.capita, real.wages, and unemp and the joint series NelPlo.

Details

The series are of various lengths but all end in 1988. The data set contains the following series: consumer price index, industrial production, nominal GNP, velocity, employment, interest rate, nominal wages, GNP deflator, money stock, real GNP, stock prices (S&P500), GNP per capita, real wages, unemployment.

Source

C. R. Nelson and C. I. Plosser (1982), Trends and Random Walks in Macroeconomic Time Series. Journal of Monetary Economics, 10, 139–162. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/0304-3932(82)90012-5")}.

Formerly in the Journal of Business and Economic Statistics data archive, currently at http://korora.econ.yale.edu/phillips/data/np&enp.dat.

References

G. Koop and M. F. J. Steel (1994), A Decision-Theoretic Analysis of the Unit-Root Hypothesis using Mixtures of Elliptical Models. Journal of Business and Economic Statistics, 12, 95–107. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/07350015.1994.10509993")}.

tseries documentation built on Sept. 23, 2024, 5:11 p.m.