lmtest (version 0.9-6)

growthofmoney: Growth of Money Supply

Description

Growth of Money Supply Data.

Usage

data(growthofmoney)

Arguments

source

The data was originally studied by Hetzel (1981), the data set is given in Kr�mer and Sonnberger (1986). Below we replicate a few examples from their book. Some of these results differ more or less seriously and are sometimes parameterized differently.

References

R.L. Hetzel (1981), The Federal Reserve System and Control of the Money Supply in the 1970's. Journal of Money, Credit and Banking 13, 31--43

W. Kr�mer & H. Sonnberger (1986), The Linear Regression Model under Test. Heidelberg: Physica

Examples

Run this code
data(growthofmoney)

## page 137, fit Hetzel OLS model
## first/second line in Table 6.7

modelHetzel <- TG1.TG0 ~ AG0.TG0
lm(modelHetzel, data=growthofmoney)
dwtest(modelHetzel, data=growthofmoney)


## page 135, fit test statistics in Table 6.8
#############################################

if(require(strucchange, quietly = TRUE)) {
## Chow 1974(1)
sctest(modelHetzel, point=c(1973,4), data=growthofmoney, type="Chow") }

## RESET
reset(modelHetzel, data=growthofmoney)
reset(modelHetzel, power=2, type="regressor", data=growthofmoney)
reset(modelHetzel, type="princomp", data=growthofmoney)

## Harvey-Collier
harvtest(modelHetzel, order.by= ~ AG0.TG0, data=growthofmoney)

## Rainbow
raintest(modelHetzel, order.by = "mahalanobis", data=growthofmoney)


## Identification of outliers
#############################

## Figure 6.1
plot(modelHetzel, data=growthofmoney)
abline(v=0)
abline(h=0)
abline(coef(lm(modelHetzel, data=growthofmoney)), col=2)

## Table 6.7, last line
growthofmoney2 <- as.data.frame(growthofmoney[-c(5:6),])
lm(modelHetzel, data=growthofmoney2)
dwtest(modelHetzel, data=growthofmoney2)

Run the code above in your browser using DataCamp Workspace