swatson93: Stock's and Watson's (1993) Data.
Description
Data set used by Stock and Watson (1993) to estimate co-integration.
- lnm1 Log M1.
- lnp Log NNP price deflator.
- lnnnp Log NNP.
- cprate A numeric vector.
- year Commercial paper rate.
format
A data frame with 90 observations on the following 5 variables.source
Hayashi, F. (2000). Econometrics. Princeton. New Jersey, USA: Princeton University. http://fmwww.bc.edu/ec-p/data/Hayashi/References
Stock, J. H., and Watson, M. W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica: Journal of the Econometric Society, 783--820.