testdata {BGVAR}R Documentation

Example data set to show functionality of the package

Description

This data set is a subset of eerData containing just three countries with 76 quarterly observations, spanning the period from 1995Q1 to 2013Q4. The country coverage are the United States, the United Kingdom and the Euro area (EA) as a regional aggregate.

Usage

testdata

Format

The data loads two objects eerDatasmall, which is a list object of length N (i.e, the number of countries) and W.trade0012, which is an N times N weight matrix with rowsums summing up to unity and zero elements on its diagonal. The global variable, oil prices, is included in the US country model as e.g., in Dees et al. (2007). The countries are abbreviated using ISO-2 codes. The weight matrix corresponds to average annual bilateral trade flows (including services) over the period from 2000 to 2012.eerDatasmall contains the country data, for more details, see below:

W.test

Weight matrix based on trade flows, rowsums equal unity.

testdata

List object of length N containing

  • y Real GDP, average of 2005=100. Seasonally adjusted, in logarithms.

  • Dp Consumer prices (period-on-period). CPI seasonally adjusted, in logarithm.

  • stir Short-term interest rate, typically 3-months money market rate.

  • ltir Long-term interest rates, typically 10-year government bond yields.

  • reer Real effective exchange rate, deflated by consumer prices.

  • tb Trade balance (ratio of real exports to real imports).

  • poil Price of oil, seasonally adjusted, in logarithms.


[Package BGVAR version 2.4.3 Index]