gets (version 0.1)

hpdata: Hoover and Perez (1999) data

Description

The data were used by Hoover and Perez (1999) in their evaluation of General-to-Specific (GETS) model selection. A detailed description of the data is found in their Table 1 (page 172). The data are quarterly, comprise 20 variables and runs from 1959:1 to 1995:1. This corresponds to 145 observations. The source of the data is Citibank

Usage

data(hpdata)

source

Retrieved 14 October 2014 from: http://www.csus.edu/indiv/p/perezs/Data/data.htm

Details

The data have been used for comparison and illustration of GETS model selection in several studies. Including: Hendry and Krolzig (1999, 2005), Doornik (2009) and Sucarrat and Escribano (2012).

References

David F. Hendry and Hans-Martin Krolzig (1999): 'Improving on 'Data mining reconsidered' by K.D. Hoover and S.J Perez', Econometrics Journal, Vol. 2, pp. 202-219 David F. Hendry and Hans-Martin Krolzig (2005): 'The properties of automatic Gets modelling', Economic Journal 115, C32-C61 Jurgen Doornik (2009): 'Autometrics', in Jennifer L. Castle and Neil Shephard (eds), 'The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry', Oxford University Press, Oxford, pp. 88-121 Genaro Sucarrat and Alvaro Escribano (2012): 'Automated Financial Model Selection: General-to-Specific Modelling of the Mean and Volatility Specifications', Oxford Bulletin of Economics and Statistics 74, Issue no. 5 (October), pp. 716-735

Examples

##load Hoover and Perez (1999) data:
data(hpdata)

##make quarterly data-matrix of zoo type:
newhpdata <- zooreg(hpdata[,-1], start=c(1959,1), end=c(1995,1), frequency=4)

##plot data:
plot(newhpdata)

##transform data to log-differences in percent:
dloghpdata <- gdiff(log(newhpdata))*100

##plot log-differenced data:
plot(dloghpdata)