moneydemand: Money Demand

In lmtest: Testing Linear Regression Models

Money Demand

Description

Money Demand Data.

Usage

data(moneydemand)

Format

A multivariate yearly time series from 1879 to 1974 with variables

logM

logarithm of quantity of money,

logYp

logarithm of real permanent income,

Rs

short term interest rate,

Rm

rate of return on money,

Rl

not documented in the sources,

logSpp

logarithm of an operational measure of the variability of the rate of price changes.

Source

The data was originally studied by Allen (1982), the data set is given in Krämer and Sonnberger (1986). Below we replicate a few examples from the book. Some of these results differ more or less seriously and are sometimes parameterized differently.

References

S.D. Allen (1982), Klein's Price Variability Terms in the U.S. Demand for Money. Journal of Money, Credit and Banking 14, 525–530

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

Examples

data(moneydemand)
moneydemand <- window(moneydemand, start=1880, end=1972)

## page 125, fit Allen OLS model (and Durbin-Watson test),
## last line in Table 6.1

modelAllen <- logM ~ logYp + Rs + Rl + logSpp
lm(modelAllen, data = moneydemand)
dwtest(modelAllen, data = moneydemand)

## page 127, fit test statistics in Table 6.1 c)
################################################

## Breusch-Pagan
bptest(modelAllen, studentize = FALSE, data = moneydemand)
bptest(modelAllen, studentize = TRUE, data = moneydemand)

## RESET
reset(modelAllen, data = moneydemand)
reset(modelAllen, power = 2, type = "regressor", data = moneydemand)
reset(modelAllen, type = "princomp", data = moneydemand)

## Harvey-Collier tests (up to sign of the test statistic)
harvtest(modelAllen, order.by = ~logYp, data = moneydemand)
harvtest(modelAllen, order.by = ~Rs, data = moneydemand)
harvtest(modelAllen, order.by = ~Rl, data = moneydemand)
harvtest(modelAllen, order.by = ~logSpp, data = moneydemand)

## Rainbow test
raintest(modelAllen, order.by = "mahalanobis", data = moneydemand)


if(require(strucchange, quietly = TRUE)) {
## Chow (1913)
sctest(modelAllen, point=c(1913,1), data = moneydemand, type = "Chow") }

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

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