lmtest (version 0.9-40)

unemployment: Unemployment Data

Description

Unemployment Data.

Usage

data(unemployment)

Format

A multivariate yearly time series from 1890 to 1979 with variables

UN

unemployment rate,

m

broad money supply,

p

implicit deflator of Gross National Product,

G

real purchases of goods and services,

x

real exports.

References

J.D. Rea (1983), The Explanatory Power of Alternative Theories of Inflation and Unemployment, 1895-1979. Review of Economics and Statistics 65, 183--195

W. Kr<e4>mer & H. Sonnberger (1986), The Linear Regression Model under Test. Heidelberg: Physica

Examples

# NOT RUN {
data(unemployment)

## data transformation
myunemployment <- window(unemployment, start=1895, end=1956)
time <- 6:67

## page 144, fit Rea OLS model
## last line in Table 6.12

modelRea <- UN ~ log(m/p) + log(G) + log(x) + time
lm(modelRea, data = myunemployment)
## coefficients of logged variables differ by factor 100

## page 143, fit test statistics in table 6.11
##############################################

if(require(strucchange, quietly = TRUE)) {
## Chow 1941
sctest(modelRea, point=c(1940,1), data=myunemployment, type="Chow") }

## Breusch-Pagan
bptest(modelRea, data=myunemployment, studentize=FALSE)
bptest(modelRea, data=myunemployment)

## RESET (a)-(b)
reset(modelRea, data=myunemployment)
reset(modelRea, power=2, type="regressor", data=myunemployment)

## Harvey-Collier
harvtest(modelRea, order.by = ~ log(m/p), data=myunemployment)
harvtest(modelRea, order.by = ~ log(G), data=myunemployment)
harvtest(modelRea, order.by = ~ log(x), data=myunemployment)
harvtest(modelRea, data=myunemployment)

## Rainbow
raintest(modelRea, order.by = "mahalanobis", data=myunemployment)
# }