Cigarette Consumption Panel Data
Panel data on cigarette consumption for the 48 continental US States from 1985–1995.
data("CigarettesSW")A data frame containing 48 observations on 7 variables for 2 periods.
Factor indicating state.
Factor indicating year.
Consumer price index.
State population.
Number of packs per capita.
State personal income (total, nominal).
Average state, federal and average local excise taxes for fiscal year.
Average price during fiscal year, including sales tax.
Average excise taxes for fiscal year, including sales tax.
Online complements to Stock and Watson (2007).
Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.
## Stock and Watson (2007)
## data and transformations
data("CigarettesSW")
CigarettesSW <- transform(CigarettesSW,
rprice = price/cpi,
rincome = income/population/cpi,
rtax = tax/cpi,
rtdiff = (taxs - tax)/cpi
)
c1985 <- subset(CigarettesSW, year == "1985")
c1995 <- subset(CigarettesSW, year == "1995")
## convenience function: HC1 covariances
hc1 <- function(x) vcovHC(x, type = "HC1")
## Equations 12.9--12.11
fm_s1 <- lm(log(rprice) ~ rtdiff, data = c1995)
coeftest(fm_s1, vcov = hc1)
fm_s2 <- lm(log(packs) ~ fitted(fm_s1), data = c1995)
fm_ivreg <- ivreg(log(packs) ~ log(rprice) | rtdiff, data = c1995)
coeftest(fm_ivreg, vcov = hc1)
## Equation 12.15
fm_ivreg2 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + rtdiff, data = c1995)
coeftest(fm_ivreg2, vcov = hc1)
## Equation 12.16
fm_ivreg3 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + rtdiff + rtax,
data = c1995)
coeftest(fm_ivreg3, vcov = hc1)
## More examples can be found in:
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