U.S. Macroeconomic Time Series
Several macroeconomic time series from the U.S.
data(fyff) data(gmdc) data(ip) data(jocci) data(lhur) data(pw561)
All data sets are multivariate monthly time series from
1959(8) to 1993(12) (except 1993(10) for jocci) with variables
original time series,
transformed times series (first differences or log first differences),
transformed series at lag 1,
transformed series at lag 2,
transformed series at lag 3,
transformed series at lag 4,
transformed series at lag 5,
transformed series at lag 6.
The description from Stock & Watson (1996) for the time series (with the transformation used):
interest rate (first differences),
pce, implicit price deflator: pce (1987 = 100) (log first differences),
index of industrial production (log first differences),
department of commerce commodity price index (log first differences),
unemployment rate: all workers, 16 years & over (%, sa) (first differences),
producer price index: crude petroleum (82 = 100, nsa) (log first differences).
Stock & Watson (1996) fitted an AR(6) model to all transformed time series.
Stock & Watson (1996) study the stability of 76 macroeconomic time series, which can be obtained from Mark W. Watson's homepage at http://www.princeton.edu/~mwatson/ddisk/bivtvp.zip.
J.H. Stock & M.W. Watson (1996), Evidence on Structural Instability in Macroeconomic Time Series Relations. Journal of Business & Economic Statistics 14, 11–30.
data(jocci) dwtest(dy ~ 1, data = jocci) bgtest(dy ~ 1, data = jocci) ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6 bgtest(ar6.model, data = jocci) var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2) bptest(ar6.model, var.model, data = jocci)
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