SW_infl4cast: Forecasts based on models found in Stock and Watson (1999).

In nielsaka/modelconf: Estimation of Model Confidence Sets

Description

This data set is taken from an article by Hansen, Lunde and Nason (2011). It allows to apply the functions of this package and to compare the results with the original outcomes in the paper.

Format

A data frame with 168 observations on the following 21 variables.

list("Obs")

a numeric vector

list("NoChange.A")

a numeric vector

list("NoChange.B")

a numeric vector

list("uniar")

a numeric vector

list("dtip")

a numeric vector

list("dtgmpyq")

a numeric vector

list("dtmsmtq")

a numeric vector

list("dtlpnag")

a numeric vector

list("ipxmca")

a numeric vector

list("hsbp")

a numeric vector

list("lhmu25")

a numeric vector

list("ip")

a numeric vector

list("gmpyq")

a numeric vector

list("msmtq")

a numeric vector

list("lpnag")

a numeric vector

list("dipxmca")

a numeric vector

list("dhsbp")

a numeric vector

list("dlhmu25")

a numeric vector

list("dlhur")

a numeric vector

list("lhur")

a numeric vector

Details

...

Source

Hansen, P. R., Lunde, A., Nason, J. M. 2011. "The Model Confidence Set", Econometrica, 79(2), 453 - 497

References

Stock and Watson (....)

Examples

data(SW_infl4cast)

nielsaka/modelconf documentation built on Jan. 25, 2020, 12:21 p.m.