Nelson \& Plosser extended data set
This data set contains the fourteen U.S. economic time series used by Schotman \& Dijk. All series are transformed by taking logarithms except for the bond yield. The sample period ends in 1988.
data(npext)
A data frame containing fourteen series.
year |
Time index from 1860 until 1988. |
realgnp |
Real GNP, [Billions of 1958 Dollars], |
| [1909 -- 1988] | |
nomgnp |
Nominal GNP, |
| [Millions of Current Dollars], [1909 -- 1988] | |
gnpperca |
Real Per Capita GNP, |
| [1958 Dollars], [1909 -- 1988] | |
indprod |
Industrial Production Index, |
| [1967 = 100], [1860 -- 1988] | |
employmt |
Total Employment, |
| [Thousands], [1890 -- 1988] | |
unemploy |
Total Unemployment Rate, |
| [Percent], [1890 -- 1988] | |
gnpdefl |
GNP Deflator, |
| [1958 = 100], [1889 -- 1988] | |
cpi |
Consumer Price Index, |
| [1967 = 100], [1860 -- 1988] | |
wages |
Nominal Wages |
| (Average annual earnings per full-time employee in manufacturing), | |
| [current Dollars], [1900 -- 1988] | |
realwag |
Real Wages, |
| [Nominal wages/CPI], [1900 -- 1988] | |
M |
Money Stock (M2), |
| [Billions of Dollars, annual averages], [1889 -- 1988] | |
velocity |
Velocity of Money, |
| [1869 -- 1988] | |
interest |
Bond Yield (Basic Yields of 30-year corporate bonds), |
| [Percent per annum], [1900 -- 1988] | |
sp500 |
Stock Prices, |
| [Index; 1941 -- 43 = 100], [1871 -- 1988] | |
Bernhard Pfaff
Schotman, P.C. and van Dijk, H.K. (1991), On Bayesian Routes to Unit Roots, Journal of Applied Econometrics, 6, 387–401.
Koop, G. and Steel, M.F.J. (1994), A Decision-Theoretic Analysis of the Unit-Root Hypothesis using Mixtures of Elliptical Models, Journal of Business and Economic Statistics, 12, 95–107.
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