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SciencesPo (version 1.3.9)

swatson93: Stock's and Watson's (1993) Data.

Description

Data set used by Stock and Watson (1993) to estimate co-integration. This dataset contains the following columns:
  • lnm1 Log M1.
  • lnp Log NNP price deflator.
  • lnnnp Log NNP.
  • cprate A numeric vector.
  • year Commercial paper rate.

Usage

data(swatson93)

Arguments

encoding

UTF-8

format

A data.frame object with ncol(SciencesPo::swatson93) variables and nrow(SciencesPo::swatson93) observations.

source

Hayashi, F. (2000). Econometrics. Princeton. New Jersey, USA: Princeton University. http://fmwww.bc.edu/ec-p/data/Hayashi/

References

Stock, J. H., and Watson, M. W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica: Journal of the Econometric Society, 783--820.