urca: Denmark – R documentation

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Denmark

Data set for Denmark, Johansen \& Juselius (1990)

Description

This data set contains the series used by S. Johansen and K. Juselius for estimating a money demand function of Denmark.

Usage

data(denmark)

Format

A data frame with 55 observations on the following 6 variables.

`period`	Time index from 1974:Q1 until 1987:Q3.
`LRM`	Logarithm of real money, M2.
`LRY`	Logarithm of real income.
`LPY`	Logarithm of price deflator.
`IBO`	Bond rate.
`IDE`	Bank deposit rate.

Author(s)

Bernhard Pfaff

Source

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.

References

http://www.math.ku.dk/~sjo/

urca

Unit Root and Cointegration Tests for Time Series Data

v1.3-0

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Eric Zivot [ctb], Matthieu Stigler [ctb]

Initial release

2016-09-06