dees2007: Dees, di Mauro, Pesaran & Smith data set

In franzmohr/bgvars: Bayesian Inference of Global Vector Autoregressive and Gloal Vector Error Correction Models

Dees, di Mauro, Pesaran & Smith data set

Description

The data set of Dees et al. (2007) contains economic time series for 26 economies and oil prices from 1979Q2 to 2003Q4.

Usage

data("dees2007")

Format

A named list containing the following elements:

country_data

A named list of 26 time-series objects with 99 quarterly observations from 1979Q2 to 2003Q4 of the following variables:

• y: log real GDP

• p: rate of inflation

• rs: short-term interest rate

• rl: long-term interest rate

• q: log real equity prices

• ep: log real exchange rate

global_data

A time-series object containing 99 quarterly observations from 1979Q2 to 2003Q4 of log of oil prices.

weight_data

A named 26 \times 26 weight matrix.

dees_specs

A named list of country model specifications as used in Dees et al. (2007).

See the supplementary material to Dees et al. (2007) for further details on the sources and compilation of the data (http://qed.econ.queensu.ca/jae/datasets/dees001/).

References

Dees, S., di Mauro, F., Pesaran, M. H., & Smith, V. (2007). Exploring the international linkages of the euro area: A global VAR analysis. Journal of Applied Econometrics, 22(1), 1–38. https://doi.org/10.1002/jae.932

franzmohr/bgvars documentation built on Sept. 2, 2023, 12:45 p.m.