lmtest (version 0.9-40)

USDistLag: US Macroeconomic Data

Description

US macroeconomic data for fitting a distributed lag model.

Usage

data(USDistLag)

Format

An annual time series from 1963 to 1982 with 2 variables.

consumption

real consumption,

gnp

gross national product (deflated by CPI).

References

Greene W.H. (1993), Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.

Executive Office of the President (1983), Economic Report of the President. US Government Printing Office, Washington, DC.

Examples

# NOT RUN {
## Willam H. Greene, Econometric Analysis, 2nd Ed.
## Chapter 7
## load data set, p. 221, Table 7.7
data(USDistLag)

## fit distributed lag model, p.221, Example 7.8
usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1)))
colnames(usdl) <- c("con", "gnp", "con1", "gnp1")

## C(t) = b0 + b1*Y(t) + b2*C(t-1) + u
fm <- lm(con ~ gnp + con1, data = usdl)
summary(fm)
vcov(fm)
# }