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.
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]
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.