pesaran26: Pesaran's sample of 26 countries

In GVAR: Vector Error Correction Model (VECM), VECM with exogenous I(1) variables, Global VAR (GVAR)

Description

This dataset contains a set of variables for 26 countries/regions as presented in Pesaran (2007). The variables include real GDP, consumer price index, equity price index, exchange rate, short- and long-term interest rates and an oil price index. Please note that this data is not available for all countries.
In addition, a matrix containing the average trade weights is provided.

Usage

data(pesaran26)

Format

2 objects can be loaded:

Data	a list of length 27, containing the timeseries data of the 26 countries and the exogenous variable.
weight	a matrix of size 26x26.

Details

For further details see Supplement A (Data & Bootstrap) of Pesaran (2007).

Source

Stephane Dees, Filippo di Mauro, Hashem Pesaran, and L. Vanessa Smith. Exploring the international linkages of the Euro area: A global VAR analysis. Journal of applied Econometrics, 22(1), 2007.

Examples

data(pesaran26)
# list of countries
names(Data)
# weight matrix
round(weight,3)

GVAR documentation built on May 2, 2019, 6:30 p.m.