Data is for Canada.
The series start in March 1961 (April 1961 for
and end in June 1991, giving 364
observations on each variable (363 for
The input series is 90-day interest rates (R90) in both
The output series are M1, GDP lagged two months, and CPI.
M1, GDP and CPI were all seasonally adjusted data.
These are not transformed in
eg1.DSE.data and are first
difference of logs in
GDP is lagged because it is not available on as timely a basis. (The data was used in an example where the intent was to build a model for timely monitoring.)
The Statistics Canada series identifiers are B14017, B1627, I37026, and B820200.
The data for M1 (B1627) were taken prior to revisions made in December 1993.
eg1.dat contains the same data as
in a simple ASCII file.
TSdata objects. The file
eg1.dat is an ASCII
file with 5 columns, the first enumerating
the observations, the second giving the input series, and the third to
fifth giving the output series.
The input series name is "R90" and the output series names are
"M1", "GDPl2" and "CPI". GDPl2 is GDP lagged two months
Statistics Canada, Bank of Canada.
Gilbert, P.D. (1993) State Space and ARMA Models: An Overview of the Equivalence. Bank of Canada Working Paper 93-4. Available at http://www.bankofcanada.ca/1993/03/publications/research/working-paper-199/.
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