growthofmoney {lmtest}

Growth of Money Supply

Description

Growth of Money Supply Data.

Usage

data(growthofmoney)

Format

A multivariate quarterly time series from 1970(2) to 1974(4) with variables

TG1.TG0

difference of current and preceding target for the growth rate of the money supply,

AG0.TG0

difference of actual growth rate and target growth rate for the preceding period.

Source

The data was originally studied by Hetzel (1981), the data set is given in Krämer and Sonnberger (1986). Below we replicate a few examples from their book. Some of these results differ more or less seriously and are sometimes parameterized differently.

References

R.L. Hetzel (1981), The Federal Reserve System and Control of the Money Supply in the 1970's. Journal of Money, Credit and Banking 13, 31–43

W. Krämer & H. Sonnberger (1986), The Linear Regression Model under Test. Heidelberg: Physica

Examples

data(growthofmoney)

## page 137, fit Hetzel OLS model
## first/second line in Table 6.7

modelHetzel <- TG1.TG0 ~ AG0.TG0
lm(modelHetzel, data=growthofmoney)
dwtest(modelHetzel, data=growthofmoney)


## page 135, fit test statistics in Table 6.8
#############################################

if(require(strucchange, quietly = TRUE)) {
## Chow 1974(1)
sctest(modelHetzel, point=c(1973,4), data=growthofmoney, type="Chow") }

## RESET
reset(modelHetzel, data=growthofmoney)
reset(modelHetzel, power=2, type="regressor", data=growthofmoney)
reset(modelHetzel, type="princomp", data=growthofmoney)

## Harvey-Collier
harvtest(modelHetzel, order.by= ~ AG0.TG0, data=growthofmoney)

## Rainbow
raintest(modelHetzel, order.by = "mahalanobis", data=growthofmoney)


## Identification of outliers
#############################

## Figure 6.1
plot(modelHetzel, data=growthofmoney)
abline(v=0)
abline(h=0)
abline(coef(lm(modelHetzel, data=growthofmoney)), col=2)

## Table 6.7, last line
growthofmoney2 <- as.data.frame(growthofmoney[-c(5:6),])
lm(modelHetzel, data=growthofmoney2)
dwtest(modelHetzel, data=growthofmoney2)