urca (version 1.2-9)

npext: Nelson \& Plosser extended data set

Description

This data set contains the fourteen U.S. economic time series used by Schotman \& Dijk. All series are transformed by taking logarithms except for the bond yield. The sample period ends in 1988.

Usage

data(npext)

Format

A data frame containing fourteen series.

year

Time index from 1860 until 1988.

realgnp

Real GNP, [Billions of 1958 Dollars],

[1909 -- 1988]

nomgnp

Nominal GNP,

[Millions of Current Dollars], [1909 -- 1988]

gnpperca

Real Per Capita GNP,

[1958 Dollars], [1909 -- 1988]

indprod

Industrial Production Index,

[1967 = 100], [1860 -- 1988]

employmt

Total Employment,

[Thousands], [1890 -- 1988]

unemploy

Total Unemployment Rate,

[Percent], [1890 -- 1988]

gnpdefl

GNP Deflator,

[1958 = 100], [1889 -- 1988]

cpi

Consumer Price Index,

[1967 = 100], [1860 -- 1988]

wages

Nominal Wages

(Average annual earnings per full-time employee in manufacturing),

[current Dollars], [1900 -- 1988]

realwag

Real Wages,

[Nominal wages/CPI], [1900 -- 1988]

M

Money Stock (M2),

[Billions of Dollars, annual averages], [1889 -- 1988]

velocity

Velocity of Money,

[1869 -- 1988]

interest

Bond Yield (Basic Yields of 30-year corporate bonds),

[Percent per annum], [1900 -- 1988]

sp500

Stock Prices,

[Index; 1941 -- 43 = 100], [1871 -- 1988]

Source

Schotman, P.C. and van Dijk, H.K. (1991), On Bayesian Routes to Unit Roots, Journal of Applied Econometrics, 6, 387--401. Koop, G. and Steel, M.F.J. (1994), A Decision-Theoretic Analysis of the Unit-Root Hypothesis using Mixtures of Elliptical Models, Journal of Business and Economic Statistics, 12, 95--107.

References

http://www.amstat.org/publications/jbes/