NPEXT function

Nelson and Plosser extended data set

Nelson and Plosser extended data set

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. data

latin1

data(npext)

Format

A data frame containing fourteen series.

yearTime index from 1860 until 1988.
realgnpReal GNP, [Billions of 1958 Dollars],
[1909 -- 1988]
nomgnpNominal GNP,
[Millions of Current Dollars], [1909 -- 1988]
gnppercaReal Per Capita GNP,
[1958 Dollars], [1909 -- 1988]
indprodIndustrial Production Index,
[1967 = 100], [1860 -- 1988]
employmtTotal Employment,
[Thousands], [1890 -- 1988]
unemployTotal Unemployment Rate,
[Percent], [1890 -- 1988]
gnpdeflGNP Deflator,
[1958 = 100], [1889 -- 1988]
cpiConsumer Price Index,
[1967 = 100], [1860 -- 1988]
wagesNominal Wages
(Average annual earnings per full-time employee in manufacturing),
[current Dollars], [1900 -- 1988]
realwagReal Wages,
[Nominal wages/CPI], [1900 -- 1988]
MMoney Stock (M2),
[Billions of Dollars, annual averages], [1889 -- 1988]
velocityVelocity of Money,
[1869 -- 1988]
interestBond Yield (Basic Yields of 30-year corporate bonds),
[Percent per annum], [1900 -- 1988]
sp500Stock Prices,
[Index; 1941 -- 43 = 100], [1871 -- 1988]

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

Author(s)

Bernhard Pfaff

  • Maintainer: Bernhard Pfaff
  • License: GPL (>= 2)
  • Last published: 2024-05-27

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