https://github.com/cran/dse
Tip revision: f9aa6f7ec42024ca88a37a5e6984bada0a8d3891 authored by Paul Gilbert on 07 March 2013, 08:03:12 UTC
version 2013.3-2
version 2013.3-2
Tip revision: f9aa6f7
egJofF.1dec93.data.Rd
\name{egJofF.1dec93.data}
\docType{data}
\alias{egJofF.1dec93.data}
\title{Eleven Time Series used in Gilbert (1995)}
\usage{
data(egJofF.1dec93.data)
}
\format{
This data is a TSdata object.
The input series name is "R90" and the output series names are
"CPI", "GDP", "M1", "RL", "TSE300", "employment", "PFX",
"commod.price index", "US ind.prod." and "US CPI"
}
\description{
Data is for Canada unless otherwise indicated.
The series start in February 1974 and end in September 1993 (236
observations on each variable).
The input series is 90 day interest rates (R90) and the
ten output variables are CPI, GDP, M1, long run interest rates (RL),
the Toronto stock exchange 300 index (TSE300), employment,
the Canada/US exchange rate (PFX), a commodity price index in US dollars,
US industrial production, and US CPI.
R90, RL and TSE are differenced. All other variables are in terms of
percent change.
R90 is the 3 month prime corporate paper rate. While it is not set
directly by the Bank of Canada, Bank policy influences it directly
and it is often thought of as a proxy "policy variable."
The Statistics Canada identifiers are B14017 (R90), P484549 (CPI),
I37026 (GDP), B1627 (M1), B14013 (RL), B4237 (TSE300),
D767608 (employment), B3400 (PFX).
M.BCPI (commodity price index) is published by the Bank of Canada.
JQIND (US industrial production), and CUSA0 (US CPI)
are DRI identifiers.
The data for M1 (B1627) were taken prior to revisions made in
December 1993.
}
\source{
\emph{Statistics Canada,}
\emph{Bank of Canada,}
\emph{DRI.}
}
\references{
Gilbert, P.D. 1995 "Combining VAR Estimation and State Space Model
Reduction for Simple Good Predictions" \emph{J. of Forecasting: Special
Issue on VAR Modelling.} 14:229-250
}
\seealso{
\code{\link{TSdata}}
}
\keyword{datasets}