AER (version 0.2-2)

CigarettesSW: Cigarette Consumption Panel Data

Description

Panel data on cigarette consumption for the 48 continental US States from 1985--1995.

Usage

data("CigarettesSW")

source

Online complements to Stock and Watson (2007).

http://wps.aw.com/aw_stock_ie_2/

References

Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.

See Also

StockWatson2007, CigarettesB

Examples

## Stock and Watson (2007)
## data and transformations 
data("CigarettesSW")
CigarettesSW$rprice <- with(CigarettesSW, price/cpi)
CigarettesSW$rincome <- with(CigarettesSW, income/population/cpi)
CigarettesSW$tdiff <- with(CigarettesSW, (taxs - tax)/cpi)
c1985 <- subset(CigarettesSW, year == "1985")
c1995 <- subset(CigarettesSW, year == "1995")

## Equations 12.9--12.11
fm_s1 <- lm(log(rprice) ~ tdiff, data = c1995)
coeftest(fm_s1, vcov = sandwich)
fm_s2 <- lm(log(packs) ~ fitted(fm_s1), data = c1995)
fm_ivreg <- ivreg(log(packs) ~ log(rprice) | tdiff, data = c1995)
coeftest(fm_ivreg, vcov = sandwich) ## s.e.s do not match

## Equation 12.15
fm_ivreg2 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + tdiff, data = c1995)
coeftest(fm_ivreg2, vcov = sandwich) ## s.e.s do not match
## Equation 12.16
fm_ivreg3 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + tdiff + I(tax/cpi),
  data = c1995)
coeftest(fm_ivreg3, vcov = sandwich)  ## s.e.s do not match

## More examples can be found in:
## help("StockWatson2007")