Data set for Denmark, Johansen and Juselius (1990)
Data set for Denmark, Johansen and Juselius (1990)
This data set contains the series used by S. Johansen and K. Juselius for estimating a money demand function of Denmark.
data
latin1
data(denmark)
Format
A data frame with 55 observations on the following 6 variables.
period
Time index from 1974:Q1 until 1987:Q3.
LRM
Logarithm of real money, M2.
LRY
Logarithm of real income.
LPY
Logarithm of price deflator.
IBO
Bond rate.
IDE
Bank deposit rate.
Source
Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration -- with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2 , 169--210.