Klein Model I
Klein's Model I for the US economy.
data("KleinI")An annual multiple time series from 1920 to 1941 with 9 variables.
Consumption.
Corporate profits.
Private wage bill.
Investment.
Previous year's capital stock.
Gross national product.
Government wage bill.
Government spending.
Taxes.
Online complements to Greene (2003). Table F15.1.
Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.
Klein, L. (1950). Economic Fluctuations in the United States, 1921–1941. New York: John Wiley.
Maddala, G.S. (1977). Econometrics. New York: McGraw-Hill.
data("KleinI", package = "AER")
plot(KleinI)
## Greene (2003), Tab. 15.3, OLS
library("dynlm")
fm_cons <- dynlm(consumption ~ cprofits + L(cprofits) + I(pwage + gwage), data = KleinI)
fm_inv <- dynlm(invest ~ cprofits + L(cprofits) + capital, data = KleinI)
fm_pwage <- dynlm(pwage ~ gnp + L(gnp) + I(time(gnp) - 1931), data = KleinI)
summary(fm_cons)
summary(fm_inv)
summary(fm_pwage)
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