lmtest (version 0.9-5)

jocci: U.S. Macroeconomic Time Series

Description

Several macroeconomic time series from the U.S.

Usage

data(fyff)
data(gmdc)
data(ip)
data(jocci)
data(lhur)
data(pw561)

source

Stock & Watson (1996) study the stability of 76 macroeconomic time series, which can be obtained from Mark W. Watson's homepage http://www.wws.princeton.edu/~mwatson/.

Details

The description from Stock & Watson (1996) for the time series (with the transformation used): [object Object],[object Object],[object Object],[object Object],[object Object],[object Object] Stock & Watson (1996) fitted an AR(6) model to all transformed time series.

References

J.H. Stock & M.W. Watson (1996), Evidence on Structural Instability in Macroeconomic Time Series Relations. Journal of Business & Economic Statistics 14, 11--30.

Examples

data(jocci)

dwtest(dy ~ 1, data = jocci)
bgtest(dy ~ 1, data = jocci)
ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6
bgtest(ar6.model, data = jocci)

var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2)
bptest(ar6.model, var.model, data = jocci)