BenderlyZwick: Benderly and Zwick Data: Inflation, Growth and Stock Returns

Description

Time-series data, 1952--1982.

Usage

data("BenderlyZwick")

Arguments

source

The first three columns of the data is from Table 1 in Benderly and Zwick (1985). The remaining columns are taken from the online complements of Baltagi (2002). The first column is identical in both sources, the other two variables differ in their numeric values and additionally the growth series seems to be lagged differently. Baltagi (2002) states Lott and Ray (1992) as the source for his version of the data set which is available from http://www.springeronline.com/sgw/cda/frontpage/0,10735,4-165-2-107420-0,00.html

References

Baltagi, B.H. (2002). Econometrics, 3rd ed. Berlin, Springer. Benderly, J., and Zwick, B. (1985). Inflation, Real Balances, Output and Real Stock Returns. American Economic Review, 75, 1115--1123. Lott, W.F., and Ray, S.C. (1992). Applied Econometrics: Problems with Data Sets. New York: The Dryden Press. Zaman, A., Rousseeuw, P.J., and Orhan, M. (2001). Econometric Applications of High-Breakdown Robust Regression Rechniques. Economics Letters, 71, 1--8.

Examples

Run this code

data("BenderlyZwick")
plot(BenderlyZwick)

## Benderly and Zwick (1985), p. 1116
library("dynlm")
bz_ols <- dynlm(returns ~ growth + inflation,
  data = BenderlyZwick/100, start = 1956, end = 1981)
summary(bz_ols)

## Zaman, Rousseeuw and Orhan (2001)
## use larger period, without scaling
bz_ols2 <- dynlm(returns ~ growth + inflation,
  data = BenderlyZwick, start = 1954, end = 1981)
summary(bz_ols2)