https://github.com/cran/lmtest
Tip revision: ed31b52de60b583abceb379aad63facedaf80c3f authored by Achim Zeileis on 18 January 2005, 00:00:00 UTC
version 0.9-14
version 0.9-14
Tip revision: ed31b52
bondyield.Rd
\name{bondyield}
\alias{bondyield}
\docType{data}
\encoding{latin1}
\title{ Bond Yield }
\usage{data(bondyield)}
\description{
Bond Yield Data.
}
\format{
A multivariate quarterly time series from 1961(1) to 1975(4) with variables
\describe{
\item{RAARUS}{difference of interest rate on government and corporate
bonds,}
\item{MOOD}{measure of consumer sentiment,}
\item{EPI}{index of employment pressure,}
\item{EXP}{interest rate expectations,}
\item{Y}{artifical time series based on RAARUS,}
\item{K}{artifical time series based on RAARUS.}
}
}
\source{
The data was originally studied by Cook and Hendershott (1978) and Yawitz and
Marshall (1981), the data set is given in Krðmer and Sonnberger (1986). Below
we replicate a few examples given in their book.
Some of these results differ more or
less seriously and are sometimes parameterized differently.
}
\references{
T.Q. Cook & P.H. Hendershott (1978),
The Impact of Taxes, Risk and Relative Security Supplies of Interest Rate
Differentials. \emph{The Journal of Finance} \bold{33}, 1173--1186
J.B. Yawitz & W. J. Marshall (1981),
Measuring the Effect of Callability on Bond Yields.
\emph{Journal of Money, Credit and Banking} \bold{13}, 60--71
W. Krðmer & H. Sonnberger (1986),
\emph{The Linear Regression Model under Test}. Heidelberg: Physica
}
\examples{
data(bondyield)
## page 134, fit Cook-Hendershott OLS model and Yawitz-Marshall OLS model
## third and last line in Table 6.5
modelCH <- RAARUS ~ MOOD + EPI + EXP + RUS
lm(modelCH, data=bondyield)
dwtest(modelCH, data=bondyield)
## wrong sign of RUS coefficient
modelYM <- RAARUS ~ MOOD + Y + K
lm(modelYM, data=bondyield)
dwtest(modelYM, data=bondyield)
## coefficient of Y and K differ by factor 100
## page 135, fit test statistics in Table 6.6 b)
################################################
## Chow 1971(1)
if(require(strucchange, quietly = TRUE)) {
sctest(modelCH, point=c(1971,1), data=bondyield, type="Chow") }
## Breusch-Pagan
bptest(modelCH, data=bondyield, studentize=FALSE)
bptest(modelCH, data=bondyield)
## Fluctuation test
if(require(strucchange, quietly = TRUE)) {
sctest(modelCH, type="fluctuation", data=bondyield, rescale=FALSE)}
## RESET
reset(modelCH, data=bondyield)
reset(modelCH, power=2, type="regressor", data=bondyield)
reset(modelCH, type="princomp", data=bondyield)
## Harvey-Collier
harvtest(modelCH, order.by= ~ MOOD, data=bondyield)
harvtest(modelCH, order.by= ~ EPI, data=bondyield)
harvtest(modelCH, order.by= ~ EXP, data=bondyield)
harvtest(modelCH, order.by= ~ RUS, data=bondyield)
## Rainbow
raintest(modelCH, order.by = "mahalanobis", data=bondyield)
## page 136, fit test statistics in Table 6.6 d)
################################################
## Chow 1966(1)
if(require(strucchange, quietly = TRUE)) {
sctest(modelYM, point=c(1965,4), data=bondyield, type="Chow") }
## Fluctuation test
if(require(strucchange, quietly = TRUE)) {
sctest(modelYM, type="fluctuation", data=bondyield, rescale=FALSE) }
## RESET
reset(modelYM, data=bondyield)
reset(modelYM, power=2, type="regressor", data=bondyield)
reset(modelYM, type="princomp", data=bondyield)
## Harvey-Collier
harvtest(modelYM, order.by= ~ MOOD, data=bondyield)
harvtest(modelYM, order.by= ~ Y, data=bondyield)
harvtest(modelYM, order.by= ~ K, data=bondyield)
## Rainbow
raintest(modelYM, order.by = "mahalanobis", data=bondyield)
}
\keyword{datasets}