denmark


  This data set contains the series used by S. Johansen and K. Juselius
  for estimating a money demand function of Denmark.


datasets

Unit root and cointegration tests encountered in applied
econometric analysis are implemented.

Bernhard Pfaff

urca

Unit Root and Cointegration Tests for Time Series Data

denmark function

A data frame with 55 observations on the following 6 variables. <table><tr><td>
    <code>period</code> </td>
</tr><tr><td> Time index from 1974:Q1 until 1987:Q3. </td>
</tr><tr><td> 
    <code>LRM</code> </td>
</tr><tr><td> Logarithm of real money, M2. </td>
</tr><tr><td>
    <code>LRY</code> </td>
</tr><tr><td> Logarithm of real income. </td>
</tr><tr><td>
    <code>LPY</code> </td>
</tr><tr><td> Logarithm of price deflator. </td>
</tr><tr><td>
    <code>IBO</code> </td>
</tr><tr><td> Bond rate. </td>
</tr><tr><td>
    <code>IDE</code> </td>
</tr><tr><td> Bank deposit rate. </td>
</tr></table>

Format

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and
  Inference on Cointegration -- with Applications to the Demand for
  Money, <em>Oxford Bulletin of Economics and Statistics</em>, <b>52,
    2</b>, 169--210. 

denmark: Data set for Denmark, Johansen \& Juselius (1990)

Description

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References