| StockWatson2007 {AER} | R Documentation |
Data and Examples from Stock and Watson (2007)
Description
This manual page collects a list of examples from the book. Some solutions might not be exact and the list is certainly not complete. If you have suggestions for improvement (preferably in the form of code), please contact the package maintainer.
References
Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.
See Also
CartelStability, CASchools, CigarettesSW,
CollegeDistance, CPSSW04, CPSSW3, CPSSW8,
CPSSW9298, CPSSW9204, CPSSWEducation,
Fatalities, Fertility, Fertility2, FrozenJuice,
GrowthSW, Guns, HealthInsurance, HMDA,
Journals, MASchools, NYSESW, ResumeNames,
SmokeBan, SportsCards, STAR, TeachingRatings,
USMacroSW, USMacroSWM, USMacroSWQ, USSeatBelts,
USStocksSW, WeakInstrument
Examples
###############################
## Current Population Survey ##
###############################
## p. 165
data("CPSSWEducation", package = "AER")
plot(earnings ~ education, data = CPSSWEducation)
fm <- lm(earnings ~ education, data = CPSSWEducation)
coeftest(fm, vcov = sandwich)
abline(fm)
############################
## California test scores ##
############################
## data and transformations
data("CASchools", package = "AER")
CASchools <- transform(CASchools,
stratio = students/teachers,
score = (math + read)/2
)
## p. 152
fm1 <- lm(score ~ stratio, data = CASchools)
coeftest(fm1, vcov = sandwich)
## p. 159
fm2 <- lm(score ~ I(stratio < 20), data = CASchools)
## p. 199
fm3 <- lm(score ~ stratio + english, data = CASchools)
## p. 224
fm4 <- lm(score ~ stratio + expenditure + english, data = CASchools)
## Table 7.1, p. 242 (numbers refer to columns)
fmc3 <- lm(score ~ stratio + english + lunch, data = CASchools)
fmc4 <- lm(score ~ stratio + english + calworks, data = CASchools)
fmc5 <- lm(score ~ stratio + english + lunch + calworks, data = CASchools)
## Equation 8.2, p. 258
fmquad <- lm(score ~ income + I(income^2), data = CASchools)
## Equation 8.11, p. 266
fmcub <- lm(score ~ income + I(income^2) + I(income^3), data = CASchools)
## Equation 8.23, p. 272
fmloglog <- lm(log(score) ~ log(income), data = CASchools)
## Equation 8.24, p. 274
fmloglin <- lm(log(score) ~ income, data = CASchools)
## Equation 8.26, p. 275
fmlinlogcub <- lm(score ~ log(income) + I(log(income)^2) + I(log(income)^3),
data = CASchools)
## Table 8.3, p. 292 (numbers refer to columns)
fmc2 <- lm(score ~ stratio + english + lunch + log(income), data = CASchools)
fmc7 <- lm(score ~ stratio + I(stratio^2) + I(stratio^3) + english + lunch + log(income),
data = CASchools)
#####################################
## Economics journal Subscriptions ##
#####################################
## data and transformed variables
data("Journals", package = "AER")
journals <- Journals[, c("subs", "price")]
journals$citeprice <- Journals$price/Journals$citations
journals$age <- 2000 - Journals$foundingyear
journals$chars <- Journals$charpp*Journals$pages/10^6
## Figure 8.9 (a) and (b)
plot(subs ~ citeprice, data = journals, pch = 19)
plot(log(subs) ~ log(citeprice), data = journals, pch = 19)
fm1 <- lm(log(subs) ~ log(citeprice), data = journals)
abline(fm1)
## Table 8.2, use HC1 for comparability with Stata
fm1 <- lm(subs ~ citeprice, data = log(journals))
fm2 <- lm(subs ~ citeprice + age + chars, data = log(journals))
fm3 <- lm(subs ~ citeprice + I(citeprice^2) + I(citeprice^3) +
age + I(age * citeprice) + chars, data = log(journals))
fm4 <- lm(subs ~ citeprice + age + I(age * citeprice) + chars, data = log(journals))
coeftest(fm1, vcov = vcovHC(fm1, type = "HC1"))
coeftest(fm2, vcov = vcovHC(fm2, type = "HC1"))
coeftest(fm3, vcov = vcovHC(fm3, type = "HC1"))
coeftest(fm4, vcov = vcovHC(fm4, type = "HC1"))
waldtest(fm3, fm4, vcov = vcovHC(fm3, type = "HC1"))
###############################
## Massachusetts test scores ##
###############################
## compare Massachusetts with California
data("MASchools", package = "AER")
data("CASchools", package = "AER")
CASchools <- transform(CASchools,
stratio = students/teachers,
score4 = (math + read)/2
)
## parts of Table 9.1, p. 330
vars <- c("score4", "stratio", "english", "lunch", "income")
cbind(
CA_mean = sapply(CASchools[, vars], mean),
CA_sd = sapply(CASchools[, vars], sd),
MA_mean = sapply(MASchools[, vars], mean),
MA_sd = sapply(MASchools[, vars], sd))
## Table 9.2, pp. 332--333, numbers refer to columns
MASchools <- transform(MASchools, higheng = english > median(english))
fm1 <- lm(score4 ~ stratio, data = MASchools)
fm2 <- lm(score4 ~ stratio + english + lunch + log(income), data = MASchools)
fm3 <- lm(score4 ~ stratio + english + lunch + income + I(income^2) + I(income^3),
data = MASchools)
fm4 <- lm(score4 ~ stratio + I(stratio^2) + I(stratio^3) + english + lunch +
income + I(income^2) + I(income^3), data = MASchools)
fm5 <- lm(score4 ~ stratio + higheng + I(higheng * stratio) + lunch +
income + I(income^2) + I(income^3), data = MASchools)
fm6 <- lm(score4 ~ stratio + lunch + income + I(income^2) + I(income^3),
data = MASchools)
## for comparability with Stata use HC1 below
coeftest(fm1, vcov = vcovHC(fm1, type = "HC1"))
coeftest(fm2, vcov = vcovHC(fm2, type = "HC1"))
coeftest(fm3, vcov = vcovHC(fm3, type = "HC1"))
coeftest(fm4, vcov = vcovHC(fm4, type = "HC1"))
coeftest(fm5, vcov = vcovHC(fm5, type = "HC1"))
coeftest(fm6, vcov = vcovHC(fm6, type = "HC1"))
## Testing exclusion of groups of variables
fm3r <- update(fm3, . ~ . - I(income^2) - I(income^3))
waldtest(fm3, fm3r, vcov = vcovHC(fm3, type = "HC1"))
fm4r_str1 <- update(fm4, . ~ . - stratio - I(stratio^2) - I(stratio^3))
waldtest(fm4, fm4r_str1, vcov = vcovHC(fm4, type = "HC1"))
fm4r_str2 <- update(fm4, . ~ . - I(stratio^2) - I(stratio^3))
waldtest(fm4, fm4r_str2, vcov = vcovHC(fm4, type = "HC1"))
fm4r_inc <- update(fm4, . ~ . - I(income^2) - I(income^3))
waldtest(fm4, fm4r_inc, vcov = vcovHC(fm4, type = "HC1"))
fm5r_str <- update(fm5, . ~ . - stratio - I(higheng * stratio))
waldtest(fm5, fm5r_str, vcov = vcovHC(fm5, type = "HC1"))
fm5r_inc <- update(fm5, . ~ . - I(income^2) - I(income^3))
waldtest(fm5, fm5r_inc, vcov = vcovHC(fm5, type = "HC1"))
fm5r_high <- update(fm5, . ~ . - higheng - I(higheng * stratio))
waldtest(fm5, fm5r_high, vcov = vcovHC(fm5, type = "HC1"))
fm6r_inc <- update(fm6, . ~ . - I(income^2) - I(income^3))
waldtest(fm6, fm6r_inc, vcov = vcovHC(fm6, type = "HC1"))
##################################
## Home mortgage disclosure act ##
##################################
## data
data("HMDA", package = "AER")
## 11.1, 11.3, 11.7, 11.8 and 11.10, pp. 387--395
fm1 <- lm(I(as.numeric(deny) - 1) ~ pirat, data = HMDA)
fm2 <- lm(I(as.numeric(deny) - 1) ~ pirat + afam, data = HMDA)
fm3 <- glm(deny ~ pirat, family = binomial(link = "probit"), data = HMDA)
fm4 <- glm(deny ~ pirat + afam, family = binomial(link = "probit"), data = HMDA)
fm5 <- glm(deny ~ pirat + afam, family = binomial(link = "logit"), data = HMDA)
## Table 11.1, p. 401
mean(HMDA$pirat)
mean(HMDA$hirat)
mean(HMDA$lvrat)
mean(as.numeric(HMDA$chist))
mean(as.numeric(HMDA$mhist))
mean(as.numeric(HMDA$phist)-1)
prop.table(table(HMDA$insurance))
prop.table(table(HMDA$selfemp))
prop.table(table(HMDA$single))
prop.table(table(HMDA$hschool))
mean(HMDA$unemp)
prop.table(table(HMDA$condomin))
prop.table(table(HMDA$afam))
prop.table(table(HMDA$deny))
## Table 11.2, pp. 403--404, numbers refer to columns
HMDA$lvrat <- factor(ifelse(HMDA$lvrat < 0.8, "low",
ifelse(HMDA$lvrat >= 0.8 & HMDA$lvrat <= 0.95, "medium", "high")),
levels = c("low", "medium", "high"))
HMDA$mhist <- as.numeric(HMDA$mhist)
HMDA$chist <- as.numeric(HMDA$chist)
fm1 <- lm(I(as.numeric(deny) - 1) ~ afam + pirat + hirat + lvrat + chist + mhist +
phist + insurance + selfemp, data = HMDA)
fm2 <- glm(deny ~ afam + pirat + hirat + lvrat + chist + mhist + phist + insurance +
selfemp, family = binomial, data = HMDA)
fm3 <- glm(deny ~ afam + pirat + hirat + lvrat + chist + mhist + phist + insurance +
selfemp, family = binomial(link = "probit"), data = HMDA)
fm4 <- glm(deny ~ afam + pirat + hirat + lvrat + chist + mhist + phist + insurance +
selfemp + single + hschool + unemp, family = binomial(link = "probit"), data = HMDA)
fm5 <- glm(deny ~ afam + pirat + hirat + lvrat + chist + mhist + phist + insurance +
selfemp + single + hschool + unemp + condomin +
I(mhist==3) + I(mhist==4) + I(chist==3) + I(chist==4) + I(chist==5) + I(chist==6),
family = binomial(link = "probit"), data = HMDA)
fm6 <- glm(deny ~ afam * (pirat + hirat) + lvrat + chist + mhist + phist + insurance +
selfemp + single + hschool + unemp, family = binomial(link = "probit"), data = HMDA)
coeftest(fm1, vcov = sandwich)
fm4r <- update(fm4, . ~ . - single - hschool - unemp)
waldtest(fm4, fm4r, vcov = sandwich)
fm5r <- update(fm5, . ~ . - single - hschool - unemp)
waldtest(fm5, fm5r, vcov = sandwich)
fm6r <- update(fm6, . ~ . - single - hschool - unemp)
waldtest(fm6, fm6r, vcov = sandwich)
fm5r2 <- update(fm5, . ~ . - I(mhist==3) - I(mhist==4) - I(chist==3) - I(chist==4) -
I(chist==5) - I(chist==6))
waldtest(fm5, fm5r2, vcov = sandwich)
fm6r2 <- update(fm6, . ~ . - afam * (pirat + hirat) + pirat + hirat)
waldtest(fm6, fm6r2, vcov = sandwich)
fm6r3 <- update(fm6, . ~ . - afam * (pirat + hirat) + pirat + hirat + afam)
waldtest(fm6, fm6r3, vcov = sandwich)
#########################################################
## Shooting down the "More Guns Less Crime" hypothesis ##
#########################################################
## data
data("Guns", package = "AER")
## Empirical Exercise 10.1
fm1 <- lm(log(violent) ~ law, data = Guns)
fm2 <- lm(log(violent) ~ law + prisoners + density + income +
population + afam + cauc + male, data = Guns)
fm3 <- lm(log(violent) ~ law + prisoners + density + income +
population + afam + cauc + male + state, data = Guns)
fm4 <- lm(log(violent) ~ law + prisoners + density + income +
population + afam + cauc + male + state + year, data = Guns)
coeftest(fm1, vcov = sandwich)
coeftest(fm2, vcov = sandwich)
printCoefmat(coeftest(fm3, vcov = sandwich)[1:9,])
printCoefmat(coeftest(fm4, vcov = sandwich)[1:9,])
###########################
## US traffic fatalities ##
###########################
## data from Stock and Watson (2007)
data("Fatalities", package = "AER")
Fatalities <- transform(Fatalities,
## fatality rate (number of traffic deaths per 10,000 people living in that state in that year)
frate = fatal/pop * 10000,
## add discretized version of minimum legal drinking age
drinkagec = relevel(cut(drinkage, breaks = 18:22, include.lowest = TRUE, right = FALSE), ref = 4),
## any punishment?
punish = factor(jail == "yes" | service == "yes", labels = c("no", "yes"))
)
## plm package
library("plm")
## for comparability with Stata we use HC1 below
## p. 351, Eq. (10.2)
f1982 <- subset(Fatalities, year == "1982")
fm_1982 <- lm(frate ~ beertax, data = f1982)
coeftest(fm_1982, vcov = vcovHC(fm_1982, type = "HC1"))
## p. 353, Eq. (10.3)
f1988 <- subset(Fatalities, year == "1988")
fm_1988 <- lm(frate ~ beertax, data = f1988)
coeftest(fm_1988, vcov = vcovHC(fm_1988, type = "HC1"))
## pp. 355, Eq. (10.8)
fm_diff <- lm(I(f1988$frate - f1982$frate) ~ I(f1988$beertax - f1982$beertax))
coeftest(fm_diff, vcov = vcovHC(fm_diff, type = "HC1"))
## pp. 360, Eq. (10.15)
## (1) via formula
fm_sfe <- lm(frate ~ beertax + state - 1, data = Fatalities)
## (2) by hand
fat <- with(Fatalities,
data.frame(frates = frate - ave(frate, state),
beertaxs = beertax - ave(beertax, state)))
fm_sfe2 <- lm(frates ~ beertaxs - 1, data = fat)
## (3) via plm()
fm_sfe3 <- plm(frate ~ beertax, data = Fatalities,
index = c("state", "year"), model = "within")
coeftest(fm_sfe, vcov = vcovHC(fm_sfe, type = "HC1"))[1,]
## uses different df in sd and p-value
coeftest(fm_sfe2, vcov = vcovHC(fm_sfe2, type = "HC1"))[1,]
## uses different df in p-value
coeftest(fm_sfe3, vcov = vcovHC(fm_sfe3, type = "HC1", method = "white1"))[1,]
## pp. 363, Eq. (10.21)
## via lm()
fm_stfe <- lm(frate ~ beertax + state + year - 1, data = Fatalities)
coeftest(fm_stfe, vcov = vcovHC(fm_stfe, type = "HC1"))[1,]
## via plm()
fm_stfe2 <- plm(frate ~ beertax, data = Fatalities,
index = c("state", "year"), model = "within", effect = "twoways")
coeftest(fm_stfe2, vcov = vcovHC) ## different
## p. 368, Table 10.1, numbers refer to cols.
fm1 <- plm(frate ~ beertax, data = Fatalities, index = c("state", "year"),
model = "pooling")
fm2 <- plm(frate ~ beertax, data = Fatalities, index = c("state", "year"),
model = "within")
fm3 <- plm(frate ~ beertax, data = Fatalities, index = c("state", "year"),
model = "within", effect = "twoways")
fm4 <- plm(frate ~ beertax + drinkagec + jail + service + miles + unemp + log(income),
data = Fatalities, index = c("state", "year"), model = "within", effect = "twoways")
fm5 <- plm(frate ~ beertax + drinkagec + jail + service + miles,
data = Fatalities, index = c("state", "year"), model = "within", effect = "twoways")
fm6 <- plm(frate ~ beertax + drinkage + punish + miles + unemp + log(income),
data = Fatalities, index = c("state", "year"), model = "within", effect = "twoways")
fm7 <- plm(frate ~ beertax + drinkagec + jail + service + miles + unemp + log(income),
data = Fatalities, index = c("state", "year"), model = "within", effect = "twoways")
## summaries not too close, s.e.s generally too small
coeftest(fm1, vcov = vcovHC)
coeftest(fm2, vcov = vcovHC)
coeftest(fm3, vcov = vcovHC)
coeftest(fm4, vcov = vcovHC)
coeftest(fm5, vcov = vcovHC)
coeftest(fm6, vcov = vcovHC)
coeftest(fm7, vcov = vcovHC)
######################################
## Cigarette consumption panel data ##
######################################
## data and transformations
data("CigarettesSW", package = "AER")
CigarettesSW <- transform(CigarettesSW,
rprice = price/cpi,
rincome = income/population/cpi,
rtax = tax/cpi,
rtdiff = (taxs - tax)/cpi
)
c1985 <- subset(CigarettesSW, year == "1985")
c1995 <- subset(CigarettesSW, year == "1995")
## convenience function: HC1 covariances
hc1 <- function(x) vcovHC(x, type = "HC1")
## Equations 12.9--12.11
fm_s1 <- lm(log(rprice) ~ rtdiff, data = c1995)
coeftest(fm_s1, vcov = hc1)
fm_s2 <- lm(log(packs) ~ fitted(fm_s1), data = c1995)
fm_ivreg <- ivreg(log(packs) ~ log(rprice) | rtdiff, data = c1995)
coeftest(fm_ivreg, vcov = hc1)
## Equation 12.15
fm_ivreg2 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + rtdiff, data = c1995)
coeftest(fm_ivreg2, vcov = hc1)
## Equation 12.16
fm_ivreg3 <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + rtdiff + rtax,
data = c1995)
coeftest(fm_ivreg3, vcov = hc1)
## Table 12.1, p. 448
ydiff <- log(c1995$packs) - log(c1985$packs)
pricediff <- log(c1995$price/c1995$cpi) - log(c1985$price/c1985$cpi)
incdiff <- log(c1995$income/c1995$population/c1995$cpi) -
log(c1985$income/c1985$population/c1985$cpi)
taxsdiff <- (c1995$taxs - c1995$tax)/c1995$cpi - (c1985$taxs - c1985$tax)/c1985$cpi
taxdiff <- c1995$tax/c1995$cpi - c1985$tax/c1985$cpi
fm_diff1 <- ivreg(ydiff ~ pricediff + incdiff | incdiff + taxsdiff)
fm_diff2 <- ivreg(ydiff ~ pricediff + incdiff | incdiff + taxdiff)
fm_diff3 <- ivreg(ydiff ~ pricediff + incdiff | incdiff + taxsdiff + taxdiff)
coeftest(fm_diff1, vcov = hc1)
coeftest(fm_diff2, vcov = hc1)
coeftest(fm_diff3, vcov = hc1)
## checking instrument relevance
fm_rel1 <- lm(pricediff ~ taxsdiff + incdiff)
fm_rel2 <- lm(pricediff ~ taxdiff + incdiff)
fm_rel3 <- lm(pricediff ~ incdiff + taxsdiff + taxdiff)
linearHypothesis(fm_rel1, "taxsdiff = 0", vcov = hc1)
linearHypothesis(fm_rel2, "taxdiff = 0", vcov = hc1)
linearHypothesis(fm_rel3, c("taxsdiff = 0", "taxdiff = 0"), vcov = hc1)
## testing overidentifying restrictions (J test)
fm_or <- lm(residuals(fm_diff3) ~ incdiff + taxsdiff + taxdiff)
(fm_or_test <- linearHypothesis(fm_or, c("taxsdiff = 0", "taxdiff = 0"), test = "Chisq"))
## warning: df (and hence p-value) invalid above.
## correct df: # instruments - # endogenous variables
pchisq(fm_or_test[2,5], df.residual(fm_diff3) - df.residual(fm_or), lower.tail = FALSE)
#####################################################
## Project STAR: Student-teacher achievement ratio ##
#####################################################
## data
data("STAR", package = "AER")
## p. 488
fmk <- lm(I(readk + mathk) ~ stark, data = STAR)
fm1 <- lm(I(read1 + math1) ~ star1, data = STAR)
fm2 <- lm(I(read2 + math2) ~ star2, data = STAR)
fm3 <- lm(I(read3 + math3) ~ star3, data = STAR)
coeftest(fm3, vcov = sandwich)
## p. 489
fmke <- lm(I(readk + mathk) ~ stark + experiencek, data = STAR)
coeftest(fmke, vcov = sandwich)
## equivalently:
## - reshape data from wide into long format
## - fit a single model nested in grade
## (a) variables and their levels
nam <- c("star", "read", "math", "lunch", "school", "degree", "ladder",
"experience", "tethnicity", "system", "schoolid")
lev <- c("k", "1", "2", "3")
## (b) reshaping
star <- reshape(STAR, idvar = "id", ids = row.names(STAR),
times = lev, timevar = "grade", direction = "long",
varying = lapply(nam, function(x) paste(x, lev, sep = "")))
## (c) improve variable names and type
names(star)[5:15] <- nam
star$id <- factor(star$id)
star$grade <- factor(star$grade, levels = lev,
labels = c("kindergarten", "1st", "2nd", "3rd"))
rm(nam, lev)
## (d) model fitting
fm <- lm(I(read + math) ~ 0 + grade/star, data = star)
#################################################
## Quarterly US macroeconomic data (1957-2005) ##
#################################################
## data
data("USMacroSW", package = "AER")
library("dynlm")
usm <- ts.intersect(USMacroSW, 4 * 100 * diff(log(USMacroSW[, "cpi"])))
colnames(usm) <- c(colnames(USMacroSW), "infl")
## Equation 14.7, p. 536
fm_ar1 <- dynlm(d(infl) ~ L(d(infl)),
data = usm, start = c(1962,1), end = c(2004,4))
coeftest(fm_ar1, vcov = sandwich)
## Equation 14.13, p. 538
fm_ar4 <- dynlm(d(infl) ~ L(d(infl), 1:4),
data = usm, start = c(1962,1), end = c(2004,4))
coeftest(fm_ar4, vcov = sandwich)
## Equation 14.16, p. 542
fm_adl41 <- dynlm(d(infl) ~ L(d(infl), 1:4) + L(unemp),
data = usm, start = c(1962,1), end = c(2004,4))
coeftest(fm_adl41, vcov = sandwich)
## Equation 14.17, p. 542
fm_adl44 <- dynlm(d(infl) ~ L(d(infl), 1:4) + L(unemp, 1:4),
data = usm, start = c(1962,1), end = c(2004,4))
coeftest(fm_adl44, vcov = sandwich)
## Granger causality test mentioned on p. 547
waldtest(fm_ar4, fm_adl44, vcov = sandwich)
## Equation 14.28, p. 559
fm_sp1 <- dynlm(infl ~ log(gdpjp), start = c(1965,1), end = c(1981,4), data = usm)
coeftest(fm_sp1, vcov = sandwich)
## Equation 14.29, p. 559
fm_sp2 <- dynlm(infl ~ log(gdpjp), start = c(1982,1), end = c(2004,4), data = usm)
coeftest(fm_sp2, vcov = sandwich)
## Equation 14.34, p. 563: ADF by hand
fm_adf <- dynlm(d(infl) ~ L(infl) + L(d(infl), 1:4),
data = usm, start = c(1962,1), end = c(2004,4))
coeftest(fm_adf)
## Figure 14.5, p. 570
## SW perform partial break test of unemp coefs
## here full model is used
library("strucchange")
infl <- usm[, "infl"]
unemp <- usm[, "unemp"]
usm <- ts.intersect(diff(infl), lag(diff(infl), k = -1), lag(diff(infl), k = -2),
lag(diff(infl), k = -3), lag(diff(infl), k = -4), lag(unemp, k = -1),
lag(unemp, k = -2), lag(unemp, k = -3), lag(unemp, k = -4))
colnames(usm) <- c("dinfl", paste("dinfl", 1:4, sep = ""), paste("unemp", 1:4, sep = ""))
usm <- window(usm, start = c(1962, 1), end = c(2004, 4))
fs <- Fstats(dinfl ~ ., data = usm)
sctest(fs, type = "supF")
plot(fs)
## alternatively: re-use fm_adl44
mf <- model.frame(fm_adl44)
mf <- ts(as.matrix(mf), start = c(1962, 1), freq = 4)
colnames(mf) <- c("y", paste("x", 1:8, sep = ""))
ff <- as.formula(paste("y", "~", paste("x", 1:8, sep = "", collapse = " + ")))
fs <- Fstats(ff, data = mf, from = 0.1)
plot(fs)
lines(boundary(fs, alpha = 0.01), lty = 2, col = 2)
lines(boundary(fs, alpha = 0.1), lty = 3, col = 2)
##########################################
## Monthly US stock returns (1931-2002) ##
##########################################
## package and data
library("dynlm")
data("USStocksSW", package = "AER")
## Table 14.3, p. 540
fm1 <- dynlm(returns ~ L(returns), data = USStocksSW, start = c(1960,1))
coeftest(fm1, vcov = sandwich)
fm2 <- dynlm(returns ~ L(returns, 1:2), data = USStocksSW, start = c(1960,1))
waldtest(fm2, vcov = sandwich)
fm3 <- dynlm(returns ~ L(returns, 1:4), data = USStocksSW, start = c(1960,1))
waldtest(fm3, vcov = sandwich)
## Table 14.7, p. 574
fm4 <- dynlm(returns ~ L(returns) + L(d(dividend)),
data = USStocksSW, start = c(1960, 1))
fm5 <- dynlm(returns ~ L(returns, 1:2) + L(d(dividend), 1:2),
data = USStocksSW, start = c(1960, 1))
fm6 <- dynlm(returns ~ L(returns) + L(dividend),
data = USStocksSW, start = c(1960, 1))
##################################
## Price of frozen orange juice ##
##################################
## load data
data("FrozenJuice")
## Stock and Watson, p. 594
library("dynlm")
fm_dyn <- dynlm(d(100 * log(price/ppi)) ~ fdd, data = FrozenJuice)
coeftest(fm_dyn, vcov = vcovHC(fm_dyn, type = "HC1"))
## equivalently, returns can be computed 'by hand'
## (reducing the complexity of the formula notation)
fj <- ts.union(fdd = FrozenJuice[, "fdd"],
ret = 100 * diff(log(FrozenJuice[,"price"]/FrozenJuice[,"ppi"])))
fm_dyn <- dynlm(ret ~ fdd, data = fj)
## Stock and Watson, p. 595
fm_dl <- dynlm(ret ~ L(fdd, 0:6), data = fj)
coeftest(fm_dl, vcov = vcovHC(fm_dl, type = "HC1"))
## Stock and Watson, Table 15.1, p. 620, numbers refer to columns
## (1) Dynamic Multipliers
fm1 <- dynlm(ret ~ L(fdd, 0:18), data = fj)
coeftest(fm1, vcov = NeweyWest(fm1, lag = 7, prewhite = FALSE))
## (2) Cumulative Multipliers
fm2 <- dynlm(ret ~ L(d(fdd), 0:17) + L(fdd, 18), data = fj)
coeftest(fm2, vcov = NeweyWest(fm2, lag = 7, prewhite = FALSE))
## (3) Cumulative Multipliers, more lags in NW
coeftest(fm2, vcov = NeweyWest(fm2, lag = 14, prewhite = FALSE))
## (4) Cumulative Multipliers with monthly indicators
fm4 <- dynlm(ret ~ L(d(fdd), 0:17) + L(fdd, 18) + season(fdd), data = fj)
coeftest(fm4, vcov = NeweyWest(fm4, lag = 7, prewhite = FALSE))
## monthly indicators needed?
fm4r <- update(fm4, . ~ . - season(fdd))
waldtest(fm4, fm4r, vcov= NeweyWest(fm4, lag = 7, prewhite = FALSE)) ## close ...
#############################################
## New York Stock Exchange composite index ##
#############################################
## returns
data("NYSESW", package = "AER")
ret <- 100 * diff(log(NYSESW))
plot(ret)
## fit GARCH(1,1)
library("tseries")
fm <- garch(coredata(ret))
[Package AER version 1.2-12 Index]