nkpc {mbreaks}

New Keynesian Phillips curve data

Description

Data set from inflation and other macroeconomic variables

Usage

nkpc

Format

nkpc

A data frame with 151 rows and 12 columns:

year

Current period year

quarter

Quarter in current period year

inf

Inflation rate

inflag

Inflation rate in previous period

inffut

Expected inflation rate, taken as value of inflation rate of next period

ygap

Productivity output gap

lbs

lbslag

spreadlag

dwlag

dcplag

Source

Perron, P. and Yamamoto, Y., 2015. "Using ols to estimate and test for structural changes in models with endogenous regressors." Journal of Applied Econometrics 30, 119–144.