US Macroeconomic Data (1950–2000, Greene)
Time series data on 12 US macroeconomic variables for 1950–2000.
data("USMacroG")A quarterly multiple time series from 1950(1) to 2000(4) with 12 variables.
Real gross domestic product (in billion USD),
Real consumption expenditures,
Real investment by private sector,
Real government expenditures,
Real disposable personal income,
Consumer price index,
Nominal money stock,
Quarterly average of month end 90 day treasury bill rate,
Unemployment rate,
Population (in million), interpolation of year end figures using constant growth rate per quarter,
Inflation rate,
Ex post real interest rate (essentially, tbill - inflation).
Online complements to Greene (2003). Table F5.1.
Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.
## data and trend as used by Greene (2003)
data("USMacroG")
ltrend <- 1:nrow(USMacroG) - 1
## Example 6.1
## Table 6.1
library("dynlm")
fm6.1 <- dynlm(log(invest) ~ tbill + inflation + log(gdp) + ltrend, data = USMacroG)
fm6.3 <- dynlm(log(invest) ~ I(tbill - inflation) + log(gdp) + ltrend, data = USMacroG)
summary(fm6.1)
summary(fm6.3)
deviance(fm6.1)
deviance(fm6.3)
vcov(fm6.1)[2,3]
## F test
linearHypothesis(fm6.1, "tbill + inflation = 0")
## alternatively
anova(fm6.1, fm6.3)
## t statistic
sqrt(anova(fm6.1, fm6.3)[2,5])
## Example 8.2
## Ct = b0 + b1*Yt + b2*Y(t-1) + v
fm1 <- dynlm(consumption ~ dpi + L(dpi), data = USMacroG)
## Ct = a0 + a1*Yt + a2*C(t-1) + u
fm2 <- dynlm(consumption ~ dpi + L(consumption), data = USMacroG)
## Cox test in both directions:
coxtest(fm1, fm2)
## ...and do the same for jtest() and encomptest().
## Notice that in this particular case two of them are coincident.
jtest(fm1, fm2)
encomptest(fm1, fm2)
## encomptest could also be performed `by hand' via
fmE <- dynlm(consumption ~ dpi + L(dpi) + L(consumption), data = USMacroG)
waldtest(fm1, fmE, fm2)
## More examples can be found in:
## help("Greene2003")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.