npext {urca}

Nelson and Plosser extended data set

Description

This data set contains the fourteen U.S. economic time series used by Schotman and Dijk. All series are transformed by taking logarithms except for the bond yield. The sample period ends in 1988.

Usage

data(npext)

Format

A data frame containing fourteen series.

year	Time index from 1860 until 1988.
realgnp	Real GNP, [Billions of 1958 Dollars],
	[1909 -- 1988]
nomgnp	Nominal GNP,
	[Millions of Current Dollars], [1909 -- 1988]
gnpperca	Real Per Capita GNP,
	[1958 Dollars], [1909 -- 1988]
indprod	Industrial Production Index,
	[1967 = 100], [1860 -- 1988]
employmt	Total Employment,
	[Thousands], [1890 -- 1988]
unemploy	Total Unemployment Rate,
	[Percent], [1890 -- 1988]
gnpdefl	GNP Deflator,
	[1958 = 100], [1889 -- 1988]
cpi	Consumer Price Index,
	[1967 = 100], [1860 -- 1988]
wages	Nominal Wages
	(Average annual earnings per full-time employee in manufacturing),
	[current Dollars], [1900 -- 1988]
realwag	Real Wages,
	[Nominal wages/CPI], [1900 -- 1988]
M	Money Stock (M2),
	[Billions of Dollars, annual averages], [1889 -- 1988]
velocity	Velocity of Money,
	[1869 -- 1988]
interest	Bond Yield (Basic Yields of 30-year corporate bonds),
	[Percent per annum], [1900 -- 1988]
sp500	Stock Prices,
	[Index; 1941 -- 43 = 100], [1871 -- 1988]

Author(s)

Bernhard Pfaff

Source

Schotman, P.C. and van Dijk, H.K. (1991), On Bayesian Routes to Unit Roots, Journal of Applied Econometrics, 6, 387–401.

Koop, G. and Steel, M.F.J. (1994), A Decision-Theoretic Analysis of the Unit-Root Hypothesis using Mixtures of Elliptical Models, Journal of Business and Economic Statistics, 12, 95–107.

References

https://www.amstat.org