US Macroeconomic Data
US macroeconomic data for fitting a distributed lag model.
data(USDistLag)
An annual time series from 1963 to 1982 with 2 variables.
real consumption,
gross national product (deflated by CPI).
Table 7.7 in Greene (1993)
Greene W.H. (1993), Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.
Executive Office of the President (1983), Economic Report of the President. US Government Printing Office, Washington, DC.
## Willam H. Greene, Econometric Analysis, 2nd Ed.
## Chapter 7
## load data set, p. 221, Table 7.7
data(USDistLag)
## fit distributed lag model, p.221, Example 7.8
usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1)))
colnames(usdl) <- c("con", "gnp", "con1", "gnp1")
## C(t) = b0 + b1*Y(t) + b2*C(t-1) + u
fm <- lm(con ~ gnp + con1, data = usdl)
summary(fm)
vcov(fm)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.