NPEXT: Nelson and Plosser extended data set
In urca: Unit Root and Cointegration Tests for Time Series Data

npext

R 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.