UK Phillips Curve Equation Data
Macroeconomic time series from the United Kingdom with variables for estimating the Phillips curve equation.
data("PhillipsCurve")A multivariate annual time series from 1857 to 1987 with the columns
Logarithm of the consumer price index,
Logarithm of nominal wages,
Unemployment rate,
First differences of p,
First differences of w,
First differences of u
Lag 1 of u,
Lag 1 of dp.
The data is available online in the data archive of the Journal of Applied Econometrics http://qed.econ.queensu.ca/jae/2003-v18.1/bai-perron/.
Alogoskoufis G.S., Smith R. (1991), The Phillips Curve, the Persistence of Inflation, and the Lucas Critique: Evidence from Exchange Rate Regimes, American Economic Review, 81, 1254-1275.
Bai J., Perron P. (2003), Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, 18, 1-22.
## load and plot data
data("PhillipsCurve")
uk <- window(PhillipsCurve, start = 1948)
plot(uk[, "dp"])
## AR(1) inflation model
## estimate breakpoints
bp.inf <- breakpoints(dp ~ dp1, data = uk, h = 8)
plot(bp.inf)
summary(bp.inf)
## fit segmented model with three breaks
fac.inf <- breakfactor(bp.inf, breaks = 2, label = "seg")
fm.inf <- lm(dp ~ 0 + fac.inf/dp1, data = uk)
summary(fm.inf)
## Results from Table 2 in Bai & Perron (2003):
## coefficient estimates
coef(bp.inf, breaks = 2)
## corresponding standard errors
sqrt(sapply(vcov(bp.inf, breaks = 2), diag))
## breakpoints and confidence intervals
confint(bp.inf, breaks = 2)
## Phillips curve equation
## estimate breakpoints
bp.pc <- breakpoints(dw ~ dp1 + du + u1, data = uk, h = 5, breaks = 5)
## look at RSS and BIC
plot(bp.pc)
summary(bp.pc)
## fit segmented model with three breaks
fac.pc <- breakfactor(bp.pc, breaks = 2, label = "seg")
fm.pc <- lm(dw ~ 0 + fac.pc/dp1 + du + u1, data = uk)
summary(fm.pc)
## Results from Table 3 in Bai & Perron (2003):
## coefficient estimates
coef(fm.pc)
## corresponding standard errors
sqrt(diag(vcov(fm.pc)))
## breakpoints and confidence intervals
confint(bp.pc, breaks = 2, het.err = FALSE)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.