npext

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

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

Eric Zivot

Matthieu Stigler

npext function

<p>A data frame containing fourteen series.</p>		
<p></p><table class="table">
<tr><td><code>year</code></td><td>Time index from 1860 until 1988.</td></tr>
<tr><td><code>realgnp</code></td><td>Real GNP, [Billions of 1958 Dollars],</td></tr>
<tr><td></td><td>[1909 -- 1988]</td></tr>
<tr><td><code>nomgnp</code></td><td>Nominal GNP,</td></tr>
<tr><td></td><td>[Millions of Current Dollars], [1909 -- 1988]</td></tr>
<tr><td><code>gnpperca</code></td><td>Real Per Capita GNP,</td></tr>
<tr><td></td><td>[1958 Dollars], [1909 -- 1988]</td></tr>
<tr><td><code>indprod</code></td><td>Industrial Production Index,</td></tr>
<tr><td></td><td>[1967 = 100], [1860 -- 1988]</td></tr>
<tr><td><code>employmt</code></td><td>Total Employment,</td></tr>
<tr><td></td><td>[Thousands], [1890 -- 1988]</td></tr>
<tr><td><code>unemploy</code></td><td>Total Unemployment Rate,</td></tr>
<tr><td></td><td>[Percent], [1890 -- 1988]</td></tr>
<tr><td><code>gnpdefl</code></td><td>GNP Deflator,</td></tr>
<tr><td></td><td>[1958 = 100], [1889 -- 1988]</td></tr>
<tr><td><code>cpi</code></td><td>Consumer Price Index,</td></tr>
<tr><td></td><td>[1967 = 100], [1860 -- 1988]</td></tr>
<tr><td><code>wages</code></td><td>Nominal Wages</td></tr>
<tr><td></td><td>(Average annual earnings per full-time employee in manufacturing),</td></tr>
<tr><td></td><td>[current Dollars], [1900 -- 1988]</td></tr>
<tr><td><code>realwag</code></td><td>Real Wages,</td></tr>
<tr><td></td><td>[Nominal wages/CPI], [1900 -- 1988]</td></tr>
<tr><td><code>M</code></td><td>Money Stock (M2),</td></tr>
<tr><td></td><td>[Billions of Dollars, annual averages], [1889 -- 1988]</td></tr>
<tr><td><code>velocity</code></td><td>Velocity of Money,</td></tr>
<tr><td></td><td>[1869 -- 1988]</td></tr>
<tr><td><code>interest</code></td><td>Bond Yield (Basic Yields of 30-year
       corporate bonds),</td></tr>
<tr><td></td><td>[Percent per annum], [1900 -- 1988]</td></tr>
<tr><td><code>sp500</code></td><td>Stock Prices,</td></tr>
<tr><td></td><td>[Index; 1941 -- 43 = 100], [1871 -- 1988]</td></tr>
</table><p></p><p></p>

Format

Author

Nelson and Plosser extended data set — npext

<p>A data frame containing fourteen series.</p>		
<p></p><table class='table'>
<tr><td><code>year</code></td><td>Time index from 1860 until 1988.</td></tr>
<tr><td><code>realgnp</code></td><td>Real GNP, [Billions of 1958 Dollars],</td></tr>
<tr><td></td><td>[1909 -- 1988]</td></tr>
<tr><td><code>nomgnp</code></td><td>Nominal GNP,</td></tr>
<tr><td></td><td>[Millions of Current Dollars], [1909 -- 1988]</td></tr>
<tr><td><code>gnpperca</code></td><td>Real Per Capita GNP,</td></tr>
<tr><td></td><td>[1958 Dollars], [1909 -- 1988]</td></tr>
<tr><td><code>indprod</code></td><td>Industrial Production Index,</td></tr>
<tr><td></td><td>[1967 = 100], [1860 -- 1988]</td></tr>
<tr><td><code>employmt</code></td><td>Total Employment,</td></tr>
<tr><td></td><td>[Thousands], [1890 -- 1988]</td></tr>
<tr><td><code>unemploy</code></td><td>Total Unemployment Rate,</td></tr>
<tr><td></td><td>[Percent], [1890 -- 1988]</td></tr>
<tr><td><code>gnpdefl</code></td><td>GNP Deflator,</td></tr>
<tr><td></td><td>[1958 = 100], [1889 -- 1988]</td></tr>
<tr><td><code>cpi</code></td><td>Consumer Price Index,</td></tr>
<tr><td></td><td>[1967 = 100], [1860 -- 1988]</td></tr>
<tr><td><code>wages</code></td><td>Nominal Wages</td></tr>
<tr><td></td><td>(Average annual earnings per full-time employee in manufacturing),</td></tr>
<tr><td></td><td>[current Dollars], [1900 -- 1988]</td></tr>
<tr><td><code>realwag</code></td><td>Real Wages,</td></tr>
<tr><td></td><td>[Nominal wages/CPI], [1900 -- 1988]</td></tr>
<tr><td><code>M</code></td><td>Money Stock (M2),</td></tr>
<tr><td></td><td>[Billions of Dollars, annual averages], [1889 -- 1988]</td></tr>
<tr><td><code>velocity</code></td><td>Velocity of Money,</td></tr>
<tr><td></td><td>[1869 -- 1988]</td></tr>
<tr><td><code>interest</code></td><td>Bond Yield (Basic Yields of 30-year
       corporate bonds),</td></tr>
<tr><td></td><td>[Percent per annum], [1900 -- 1988]</td></tr>
<tr><td><code>sp500</code></td><td>Stock Prices,</td></tr>
<tr><td></td><td>[Index; 1941 -- 43 = 100], [1871 -- 1988]</td></tr>
</table>



npext: Nelson and Plosser extended data set

Description

Usage

Arguments

Format

Author

References

`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]