US Ex-post Real Interest Rate
US ex-post real interest rate: the three-month treasury bill deflated by the CPI inflation rate.
data("RealInt")A quarterly time series from 1961(1) to 1986(3).
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/.
Bai J., Perron P. (2003), Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, 18, 1-22.
Zeileis A., Kleiber C. (2005), Validating Multiple Structural Change Models - A Case Study. Journal of Applied Econometrics, 20, 685-690.
## load and plot data
data("RealInt")
plot(RealInt)
## estimate breakpoints
bp.ri <- breakpoints(RealInt ~ 1, h = 15)
plot(bp.ri)
summary(bp.ri)
## fit segmented model with three breaks
fac.ri <- breakfactor(bp.ri, breaks = 3, label = "seg")
fm.ri <- lm(RealInt ~ 0 + fac.ri)
summary(fm.ri)
## setup kernel HAC estimator
vcov.ri <- function(x, ...) kernHAC(x, kernel = "Quadratic Spectral",
prewhite = 1, approx = "AR(1)", ...)
## Results from Table 1 in Bai & Perron (2003):
## coefficient estimates
coef(bp.ri, breaks = 3)
## corresponding standard errors
sapply(vcov(bp.ri, breaks = 3, vcov = vcov.ri), sqrt)
## breakpoints and confidence intervals
confint(bp.ri, breaks = 3, vcov = vcov.ri)
## Visualization
plot(RealInt)
lines(as.vector(time(RealInt)), fitted(fm.ri), col = 4)
lines(confint(bp.ri, breaks = 3, vcov = vcov.ri))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.