strucchange (version 1.0-2)

durab: US Labor Productivity

Description

US labor productivity in the manufacturing/durables sector.

Usage

data(durab)

source

The data set is available from Bruce Hansen's homepage http://www.ssc.wisc.edu/~bhansen/. For more information see Hansen (2001).

References

Hansen B. (2001), The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity, Journal of Economic Perspectives, 15, 117-128.

Zeileis A., Leisch F., Kleiber C., Hornik K. (2002), Monitoring Structural Change in Dynamic Econometric Models, Report 64, SFB "Adaptive Information Systems and Modelling in Economics and Management Science", Vienna University of Economics, http://www.wu-wien.ac.at/am/reports.htm#78.

Examples

data(durab)
## use AR(1) model as in Hansen (2001) and Zeileis et al. (2002)
durab.model <- y ~ lag

## historical tests
## OLS-based CUSUM process
ols <- efp(durab.model, data = durab, type = "OLS-CUSUM")
plot(ols)
## F statistics
fs <- Fstats(durab.model, data = durab, from = 0.1)
plot(fs)
## F statistics computed with heteroskadisticy-consisten covariance matrix
fsHC <- Fstats(durab.model, data = durab, from = 0.1, cov.type = "HC")
plot(fsHC)

## monitoring
Durab <- window(durab, start=1964, end = c(1979, 12))
ols.efp <- efp(durab.model, type = "OLS-CUSUM", data = Durab)
newborder <- function(k) 1.5778*k/192
ols.mefp <- mefp(ols.efp, period=2)
ols.mefp2 <- mefp(ols.efp, border=newborder)
Durab <- window(durab, start=1964)
ols.mon <- monitor(ols.mefp)
ols.mon2 <- monitor(ols.mefp2)
plot(ols.mon)
lines(boundary(ols.mon2), col = 2)

## dating
bp <- breakpoints(durab.model, data = durab)
summary(bp)
plot(summary(bp))

plot(ols)
lines(breakpoints(bp, breaks = 1), col = 3)
lines(breakpoints(bp, breaks = 2), col = 4)
plot(fs)
lines(breakpoints(bp, breaks = 1), col = 3)
lines(breakpoints(bp, breaks = 2), col = 4)