CigarettesSW: Cigarette Consumption Panel Data

Description

Panel data on cigarette consumption for the 48 continental US States from 1985--1995.

Usage

data("CigarettesSW")

Arguments

Format

A data frame containing 48 observations on 7 variables for 2 periods.

state: Factor indicating state.
year: Factor indicating year.
cpi: Consumer price index.
population: State population.
packs: Number of packs per capita.
income: State personal income (total, nominal).
tax: Average state, federal and average local excise taxes for fiscal year.
price: Average price during fiscal year, including sales tax.
taxs: Average excise taxes for fiscal year, including sales tax.

References

Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.

Examples

Run this code

## Stock and Watson (2007)
## data and transformations 
data("CigarettesSW")
CigarettesSW <- transform(CigarettesSW,
  rprice  = price/cpi,
  rincome = income/population/cpi,
  rtax    = tax/cpi,
  rtdiff  = (taxs - tax)/cpi
)
c1985 <- subset(CigarettesSW, year == "1985")
c1995 <- subset(CigarettesSW, year == "1995")

## convenience function: HC1 covariances
hc1 <- function(x) vcovHC(x, type = "HC1")

## Equations 12.9--12.11
fm_s1 <- lm(log(rprice) ~ rtdiff, data = c1995)
coeftest(fm_s1, vcov = hc1)
fm_s2 <- lm(log(packs) ~ fitted(fm_s1), data = c1995)
fm_ivreg <- ivreg(log(packs) ~ log(rprice) | rtdiff, data = c1995)
coeftest(fm_ivreg, vcov = hc1)

## Equation 12.15
fm_ivreg2 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + rtdiff, data = c1995)
coeftest(fm_ivreg2, vcov = hc1)
## Equation 12.16
fm_ivreg3 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + rtdiff + rtax,
  data = c1995)
coeftest(fm_ivreg3, vcov = hc1)

## More examples can be found in:
## help("StockWatson2007")