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USConsump1993

US Consumption Data (1950–1993)


Description

Time series data on US income and consumption expenditure, 1950–1993.

Usage

data("USConsump1993")

Format

An annual multiple time series from 1950 to 1993 with 2 variables.

income

Disposable personal income (in 1987 USD).

expenditure

Personal consumption expenditures (in 1987 USD).

Source

The data is from Baltagi (2002).

References

Baltagi, B.H. (2002). Econometrics, 3rd ed. Berlin, Springer.

See Also

Examples

## data from Baltagi (2002)
data("USConsump1993", package = "AER")
plot(USConsump1993, plot.type = "single", col = 1:2)

## Chapter 5 (p. 122-125)
fm <- lm(expenditure ~ income, data = USConsump1993)
summary(fm)
## Durbin-Watson test (p. 122)
dwtest(fm)
## Breusch-Godfrey test (Table 5.4, p. 124)
bgtest(fm)
## Newey-West standard errors (Table 5.5, p. 125)
coeftest(fm, vcov = NeweyWest(fm, lag = 3, prewhite = FALSE, adjust = TRUE)) 

## Chapter 8
library("strucchange")
## Recursive residuals
rr <- recresid(fm)
rr
## Recursive CUSUM test
rcus <- efp(expenditure ~ income, data = USConsump1993)
plot(rcus)
sctest(rcus)
## Harvey-Collier test
harvtest(fm)
## NOTE" Mistake in Baltagi (2002) who computes
## the t-statistic incorrectly as 0.0733 via
mean(rr)/sd(rr)/sqrt(length(rr))
## whereas it should be (as in harvtest)
mean(rr)/sd(rr) * sqrt(length(rr))

## Rainbow test
raintest(fm, center = 23)

## J test for non-nested models
library("dynlm")
fm1 <- dynlm(expenditure ~ income + L(income), data = USConsump1993)
fm2 <- dynlm(expenditure ~ income + L(expenditure), data = USConsump1993)
jtest(fm1, fm2)

## Chapter 14
## ACF and PACF for expenditures and first differences
exps <- USConsump1993[, "expenditure"]
(acf(exps))
(pacf(exps))
(acf(diff(exps)))
(pacf(diff(exps)))

## dynamic regressions, eq. (14.8)
fm <- dynlm(d(exps) ~ I(time(exps) - 1949) + L(exps))
summary(fm)

AER

Applied Econometrics with R

v1.2-10
GPL-2 | GPL-3
Authors
Christian Kleiber [aut] (<https://orcid.org/0000-0002-6781-4733>), Achim Zeileis [aut, cre] (<https://orcid.org/0000-0003-0918-3766>)
Initial release
2022-06-13

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