{dse}R Documentation

Four Time Series used in Gilbert (1993)


Data is for Canada. The series start in March 1961 (April 1961 for and end in June 1991, giving 364 observations on each variable (363 for

The input series is 90-day interest rates (R90) in both and

The output series are M1, GDP lagged two months, and CPI. M1, GDP and CPI were all seasonally adjusted data. These are not transformed in and are first difference of logs in

GDP is lagged because it is not available on as timely a basis. (The data was used in an example where the intent was to build a model for timely monitoring.)

The Statistics Canada series identifiers are B14017, B1627, I37026, and B820200.

The data for M1 (B1627) were taken prior to revisions made in December 1993.

The file eg1.dat contains the same data as in a simple ASCII file.




The objects and are TSdata objects. The file eg1.dat is an ASCII file with 5 columns, the first enumerating the observations, the second giving the input series, and the third to fifth giving the output series. The input series name is "R90" and the output series names are "M1", "GDPl2" and "CPI". GDPl2 is GDP lagged two months


Statistics Canada, Bank of Canada.


Gilbert, P.D. (1993) State Space and ARMA Models: An Overview of the Equivalence. Bank of Canada Working Paper 93-4. Available at

See Also


[Package dse version 2020.2-1 Index]