US Labor Productivity
US labor productivity in the manufacturing/durables sector.
data("durab")durab is a multivariate monthly time series from 1947(3)
to 2001(4) with variables
growth rate of the Industrial Production Index to average weekly labor hours in the manufacturing/durables sector,
lag 1 of the series y,
The data set is available from Bruce Hansen's homepage http://www.ssc.wisc.edu/~bhansen/. For more information see Hansen (2001).
Hansen B. (2001), The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity, Journal of Economic Perspectives, 15, 117–128.
Zeileis A., Leisch F., Kleiber C., Hornik K. (2005), Monitoring Structural Change in Dynamic Econometric Models, Journal of Applied Econometrics, 20, 99–121.
data("durab")
## use AR(1) model as in Hansen (2001) and Zeileis et al. (2005)
durab.model <- y ~ lag
## historical tests
## OLS-based CUSUM process
ols <- efp(durab.model, data = durab, type = "OLS-CUSUM")
plot(ols)
## F statistics
fs <- Fstats(durab.model, data = durab, from = 0.1)
plot(fs)
## F statistics based on heteroskadisticy-consistent covariance matrix
fsHC <- Fstats(durab.model, data = durab, from = 0.1,
vcov = function(x, ...) vcovHC(x, type = "HC", ...))
plot(fsHC)
## monitoring
Durab <- window(durab, start=1964, end = c(1979, 12))
ols.efp <- efp(durab.model, type = "OLS-CUSUM", data = Durab)
newborder <- function(k) 1.723 * k/192
ols.mefp <- mefp(ols.efp, period=2)
ols.mefp2 <- mefp(ols.efp, border=newborder)
Durab <- window(durab, start=1964)
ols.mon <- monitor(ols.mefp)
ols.mon2 <- monitor(ols.mefp2)
plot(ols.mon)
lines(boundary(ols.mon2), col = 2)
## Note: critical value for linear boundary taken from Table III
## in Zeileis et al. 2005: (1.568 + 1.896)/2 = 1.732 is a linear
## interpolation between the values for T = 2 and T = 3 at
## alpha = 0.05. A typo switched 1.732 to 1.723.
## dating
bp <- breakpoints(durab.model, data = durab)
summary(bp)
plot(summary(bp))
plot(ols)
lines(breakpoints(bp, breaks = 1), col = 3)
lines(breakpoints(bp, breaks = 2), col = 4)
plot(fs)
lines(breakpoints(bp, breaks = 1), col = 3)
lines(breakpoints(bp, breaks = 2), col = 4)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.