Denmark: Data set for Denmark, Johansen and Juselius (1990)

In urca: Unit Root and Cointegration Tests for Time Series Data

Data set for Denmark, Johansen and Juselius (1990)

Description

This data set contains the series used by S. Johansen and K. Juselius for estimating a money demand function of Denmark.

Usage

data(denmark)

Format

A data frame with 55 observations on the following 6 variables.

period	Time index from 1974:Q1 until 1987:Q3.
LRM	Logarithm of real money, M2.
LRY	Logarithm of real income.
LPY	Logarithm of price deflator.
IBO	Bond rate.
IDE	Bank deposit rate.

Author(s)

Bernhard Pfaff

Source

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.

References

http://web.math.ku.dk/~sjo/

urca documentation built on Sept. 9, 2022, 3:06 p.m.