US Investment Data
Time series data on investments in the US, 1968–1982.
data("USInvest")An annual multiple time series from 1968 to 1982 with 4 variables.
Nominal gross national product,
Nominal investment,
Consumer price index,
Interest rate (average yearly discount rate at the New York Federal Reserve Bank).
Online complements to Greene (2003). Table F3.1.
Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.
data("USInvest")
## Chapter 3 in Greene (2003)
## transform (and round) data to match Table 3.1
us <- as.data.frame(USInvest)
us$invest <- round(0.1 * us$invest/us$price, digits = 3)
us$gnp <- round(0.1 * us$gnp/us$price, digits = 3)
us$inflation <- c(4.4, round(100 * diff(us$price)/us$price[-15], digits = 2))
us$trend <- 1:15
us <- us[, c(2, 6, 1, 4, 5)]
## p. 22-24
coef(lm(invest ~ trend + gnp, data = us))
coef(lm(invest ~ gnp, data = us))
## Example 3.1, Table 3.2
cor(us)[1,-1]
pcor <- solve(cor(us))
dcor <- 1/sqrt(diag(pcor))
pcor <- (-pcor * (dcor %o% dcor))[1,-1]
## Table 3.4
fm <- lm(invest ~ trend + gnp + interest + inflation, data = us)
fm1 <- lm(invest ~ 1, data = us)
anova(fm1, fm)
## More examples can be found in:
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