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AER (version 1.2-14)

USInvest: US Investment Data

Description

Time series data on investments in the US, 1968--1982.

Usage

data("USInvest")

Arguments

Format

An annual multiple time series from 1968 to 1982 with 4 variables.

gnp

Nominal gross national product,

invest

Nominal investment,

price

Consumer price index,

interest

Interest rate (average yearly discount rate at the New York Federal Reserve Bank).

References

Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.

See Also

Greene2003

Examples

Run this code
data("USInvest")

## Chapter 3 in Greene (2003)
## transform (and round) data to match Table 3.1
us <- as.data.frame(USInvest)
us$invest <- round(0.1 * us$invest/us$price, digits = 3)
us$gnp <- round(0.1 * us$gnp/us$price, digits = 3)
us$inflation <- c(4.4, round(100 * diff(us$price)/us$price[-15], digits = 2))
us$trend <- 1:15
us <- us[, c(2, 6, 1, 4, 5)]

## p. 22-24
coef(lm(invest ~ trend + gnp, data = us))
coef(lm(invest ~ gnp, data = us))

## Example 3.1, Table 3.2
cor(us)[1,-1]
pcor <- solve(cor(us))
dcor <- 1/sqrt(diag(pcor))
pcor <- (-pcor * (dcor %o% dcor))[1,-1]

## Table 3.4
fm  <- lm(invest ~ trend + gnp + interest + inflation, data = us)
fm1 <- lm(invest ~ 1, data = us)
anova(fm1, fm)

## More examples can be found in:
## help("Greene2003")

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