denmark {ARDL}

The Danish data on money income prices and interest rates

Description

This data set contains the series used by S. Johansen and K. Juselius for estimating a money demand function of Denmark.

Usage

denmark

Format

A time-series object with 55 rows and 5 variables. Time period from 1974:Q1 until 1987:Q3.

LRM

logarithm of real money, M2

LRY

logarithm of real income

LPY

logarithm of price deflator

IBO

bond rate

IDE

bank deposit rate

Details

An object of class "zooreg" "zoo".

Source

https://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.1990.mp52002003.x

References

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.