KleinI {systemfit}

Klein Model I

Description

Data for Klein's (1950) Model I of the US economy.

Usage

data("KleinI")

Format

A data frame containing annual observations from 1920 to 1941

year

Year.

consump

Consumption.

corpProf

Corporate profits.

corpProfLag

Corporate profits of the previous year.

privWage

Private wage bill.

invest

Investment.

capitalLag

Capital stock of the previous year.

gnp

Gross national product.

gnpLag

Gross national product of the previous year.

govWage

Government wage bill.

govExp

Government spending.

taxes

Taxes.

wages

Sum of private and government wage bill.

trend

time trend measured as years from 1931.

Source

Greene (2003), Appendix F, Data Sets Used in Applications, Table F15.1.

https://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm

References

Greene, W.H. (2003). Econometric Analysis, 5th edition. Prentice Hall, Upper Saddle River (NJ).

Klein, L. (1950). Economic Fluctuations in the United States, 1921–1941. John Wiley, New York.

Examples

## Repeating the estimations of Klein's (1950) Model I
## in Greene (2003, pp. 381 and 412)
data( "KleinI" )
eqConsump  <- consump ~ corpProf + corpProfLag + wages
eqInvest   <- invest ~ corpProf + corpProfLag + capitalLag
eqPrivWage <- privWage ~ gnp + gnpLag + trend
inst <- ~ govExp + taxes + govWage + trend + capitalLag + corpProfLag + gnpLag
system <- list( Consumption = eqConsump, Investment = eqInvest,
   PrivateWages = eqPrivWage )
# OLS
kleinOls <- systemfit( system, data = KleinI )
summary( kleinOls )
# 2SLS
klein2sls <- systemfit( system, "2SLS", inst = inst, data = KleinI,
   methodResidCov = "noDfCor" )
summary( klein2sls )
# 3SLS
klein3sls <- systemfit( system, "3SLS", inst = inst, data = KleinI,
   methodResidCov = "noDfCor" )
summary( klein3sls )
# I3SLS
kleinI3sls <- systemfit( system, "3SLS", inst = inst, data = KleinI,
   methodResidCov = "noDfCor", maxit = 500 )
summary( kleinI3sls )