currencysubstitution         package:lmtest         R Documentation

_C_u_r_r_e_n_c_y _S_u_b_s_t_i_t_u_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     Currency Subsitution Data.

_U_s_a_g_e:

     data(currencysubstitution)

_F_o_r_m_a_t:

     A multivariate quarterly time series from 1960(4) to 1975(4) with
     variables

     _l_o_g_C_U_S logarithm of the ratio of canadian holdings of Canadian
          dollar balances and canadian holdings of U.S. dollar
          balances,

     _I_u yield on U.S. Treasury bills,

     _I_c yield on Canadian Treasury bills,

     _l_o_g_Y logarithm of Canadian real gross national product.

_S_o_u_r_c_e:

     The data was originally studied by Miles (1978), the data set is
     given in Krmer and Sonnberger (1986). Below we replicate a few
     examples  from their book. Some of these results differ more or
     less seriously and are sometimes parameterized differently.

_R_e_f_e_r_e_n_c_e_s:

     M. Miles (1978), Currency Substitution, Flexible Exchange Rates,
     and Monetary Independence. _American Economic Review_ *68*,
     428-436

     W. Krmer & H. Sonnberger (1986), _The Linear Regression Model
     under Test_. Heidelberg: Physica

_E_x_a_m_p_l_e_s:

     data(currencysubstitution)

     ## page 130, fit Miles OLS model and Bordo-Choudri OLS model
     ## third and last line in Table 6.3

     modelMiles <- logCUS ~ log((1+Iu)/nt,

     _E_P_I index of employment pressure,

     _E_X_P interest rate expectations,

     _Y artifical time series based on RAARUS,

     _K artifical time series based on RAARUS.

_S_o_u_r_c_e:

     The data was originally studied by Cook and Hendershott (1978) and
     Yawitz and Marshall (1981), the data set is given in Krmer and
     Sonnberger (1986). Below we replicate a few examples given in
     their book.  Some of these results differ more or less seriously
     and are sometimes parameterized differently.

_R_e_f_e_r_e_n_c_e_s:

     T.Q. Cook & P.H. Hendershott (1978), The Impact of Taxes, Risk and
     Relative Security Supplies of Interest Rate Differentials. _The
     Journal of Finance_ *33*, 1173-1186

     J.B. Yawitz & W. J. Marshall (1981), Measuring the Effect of
     Callability on Bond Yields. _Journal of Money, Credit and Banking_
     *13*, 60-71

     W. Krmer & H. Sonnberger (1986), _The Linear Regression Model
     under Test_. Heidelberg: Physica

_E_x_a_m_p_l_e_s:

     data(bondyield)

     ## page 134, fit Cook-Hendershott OLS model and Yawitz-Marshall OLS model
     ## third and last line in Table 6.5

     modelCH <- RAARUS ~ MOOD + EPI + EXP + RUS
     lm(modelCH, data=bondyield)
     dwtest(modelCH, data=bondyield)
     ## wrong sign of RUS coefficient

     modelYM <- RAARUS ~ MOOD + Y + K
     lm(modelYM, data=bondyield)
     dwtest(modelYM, data=bondyield)
     ## coefficient of Y and K differ by factor 100

     ## page 135, fit test statistics in Table 6.6 b)
     ################################################

     ## Chow 1971(1)
     if(require(strucchange, quietly = TRUE)) {
     sctest(modelCH, point=c(1971,1), data=bondyield, type="Chow") }

     ## Breusch-Pagan
     bptest(modelCH, data=bondyield, studentize=FALSE)
     bptest(modelCH, data=bondyield)

     ## Fluctuation test
     if(require(strucchange, quietly = TRUE)) {
     sctest(modelCH, type="fluctuation", data=bon