currencysubstitution: Currency Substitution

In lmtest: Testing Linear Regression Models

Currency Substitution

Description

Currency Substitution Data.

Usage

data(currencysubstitution)

Format

A multivariate quarterly time series from 1960(4) to 1975(4) with variables

logCUS

logarithm of the ratio of Canadian holdings of Canadian dollar balances and Canadian holdings of U.S. dollar balances,

Iu

yield on U.S. Treasury bills,

Ic

yield on Canadian Treasury bills,

logY

logarithm of Canadian real gross national product.

Source

The data was originally studied by Miles (1978), the data set is given in Krämer and Sonnberger (1986). Below we replicate a few examples from their book. Some of these results differ more or less seriously and are sometimes parameterized differently.

References

M. Miles (1978), Currency Substitution, Flexible Exchange Rates, and Monetary Independence. American Economic Review 68, 428–436

W. Krämer & H. Sonnberger (1986), The Linear Regression Model under Test. Heidelberg: Physica

Examples

data(currencysubstitution)

## page 130, fit Miles OLS model and Bordo-Choudri OLS model
## third and last line in Table 6.3

modelMiles <- logCUS ~ log((1+Iu)/(1+Ic))
lm(modelMiles, data=currencysubstitution)
dwtest(modelMiles, data=currencysubstitution)

modelBordoChoudri <- logCUS ~ I(Iu-Ic) + Ic + logY
lm(modelBordoChoudri, data=currencysubstitution)
dwtest(modelBordoChoudri, data=currencysubstitution)


## page 131, fit test statistics in Table 6.4 b)
################################################

if(require(strucchange, quietly = TRUE)) {
## Fluctuation test
sctest(modelMiles, type="fluctuation", data=currencysubstitution,
 rescale=FALSE) }

## RESET
reset(modelMiles, data=currencysubstitution)
reset(modelMiles, power=2, type="regressor", data=currencysubstitution)
reset(modelMiles, type="princomp", data=currencysubstitution)

## Harvey-Collier
harvtest(modelMiles, order.by = ~log((1+Iu)/(1+Ic)), data=currencysubstitution)

## Rainbow
raintest(modelMiles, order.by = "mahalanobis", data=currencysubstitution)


## page 132, fit test statistics in Table 6.4 d)
################################################

if(require(strucchange, quietly = TRUE)) {
## Chow 1970(2)
sctest(modelBordoChoudri, point=c(1970,2), data=currencysubstitution,
 type="Chow") }

## Breusch-Pagan
bptest(modelBordoChoudri, data=currencysubstitution, studentize=FALSE)
bptest(modelBordoChoudri, data=currencysubstitution)

## RESET
reset(modelBordoChoudri, data=currencysubstitution)
reset(modelBordoChoudri, power=2, type="regressor", data=currencysubstitution)
reset(modelBordoChoudri, type="princomp", data=currencysubstitution)

## Harvey-Collier
harvtest(modelBordoChoudri, order.by = ~ I(Iu-Ic), data=currencysubstitution)
harvtest(modelBordoChoudri, order.by = ~ Ic, data=currencysubstitution)
harvtest(modelBordoChoudri, order.by = ~ logY, data=currencysubstitution)

## Rainbow
raintest(modelBordoChoudri, order.by = "mahalanobis", data=currencysubstitution)

lmtest documentation built on March 22, 2022, 1:06 a.m.