| jocci {lmtest} | R Documentation |
Several macroeconomic time series from the U.S.
data(fyff) data(gmdc) data(ip) data(jocci) data(lhur) data(pw561)
All data sets are multivariate monthly time series from
1959(8) to 1993(12) (except 1993(10) for jocci) with variables
The description from Stock & Watson (1996) for the time series (with the transformation used):
Stock & Watson (1996) fitted an AR(6) model to all transformed time series.
Stock & Watson (1996) study the stability of 76 macroeconomic time series, which can be obtained from Mark W. Watson's homepage http://www.wws.princeton.edu/~mwatson/.
J.H. Stock & M.W. Watson (1996), Evidence on Structural Instability in Macroeconomic Time Series Relations. Journal of Business & Economic Statistics 14, 11–30.
data(jocci) dwtest(dy ~ 1, data = jocci) bgtest(dy ~ 1, data = jocci) ar6.model <- dy ~ dy1 + dy2 + dy3 + dy4 + dy5 +dy6 bgtest(ar6.model, data = jocci) var.model <- ~ I(dy1^2) + I(dy2^2) + I(dy3^2) + I(dy4^2) + I(dy5^2) + I(dy6^2) bptest(ar6.model, var.model, data = jocci)