Data set for Denmark, Johansen \& Juselius (1990)

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Description

This data set contains the series used by S. Johansen and K. Juselius for estimating a money demand function of Denmark.

Usage

1

Format

A data frame with 55 observations on the following 6 variables.

period Time index from 1974:Q1 until 1987:Q3.
LRM Logarithm of real money, M2.
LRY Logarithm of real income.
LPY Logarithm of price deflator.
IBO Bond rate.
IDE Bank deposit rate.

Author(s)

Bernhard Pfaff

Source

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.

References

http://www.math.ku.dk/~sjo/

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