NPEXT: Nelson and Plosser extended data set

npextR Documentation

Nelson and Plosser extended data set

Description

This data set contains the fourteen U.S. economic time series used by Schotman and Dijk. All series are transformed by taking logarithms except for the bond yield. The sample period ends in 1988.

Usage

data(npext)

Format

A data frame containing fourteen series.

year Time index from 1860 until 1988.
realgnp Real GNP, [Billions of 1958 Dollars],
[1909 -- 1988]
nomgnp Nominal GNP,
[Millions of Current Dollars], [1909 -- 1988]
gnpperca Real Per Capita GNP,
[1958 Dollars], [1909 -- 1988]
indprod Industrial Production Index,
[1967 = 100], [1860 -- 1988]
employmt Total Employment,
[Thousands], [1890 -- 1988]
unemploy Total Unemployment Rate,
[Percent], [1890 -- 1988]
gnpdefl GNP Deflator,
[1958 = 100], [1889 -- 1988]
cpi Consumer Price Index,
[1967 = 100], [1860 -- 1988]
wages Nominal Wages
(Average annual earnings per full-time employee in manufacturing),
[current Dollars], [1900 -- 1988]
realwag Real Wages,
[Nominal wages/CPI], [1900 -- 1988]
M Money Stock (M2),
[Billions of Dollars, annual averages], [1889 -- 1988]
velocity Velocity of Money,
[1869 -- 1988]
interest Bond Yield (Basic Yields of 30-year corporate bonds),
[Percent per annum], [1900 -- 1988]
sp500 Stock Prices,
[Index; 1941 -- 43 = 100], [1871 -- 1988]

Author(s)

Bernhard Pfaff

Source

Schotman, P.C. and van Dijk, H.K. (1991), On Bayesian Routes to Unit Roots, Journal of Applied Econometrics, 6, 387–401.

Koop, G. and Steel, M.F.J. (1994), A Decision-Theoretic Analysis of the Unit-Root Hypothesis using Mixtures of Elliptical Models, Journal of Business and Economic Statistics, 12, 95–107.

References

https://www.amstat.org


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