USDistLag.RdUS macroeconomic data for fitting a distributed lag model.
data(USDistLag)An annual time series from 1963 to 1982 with 2 variables.
real consumption,
gross national product (deflated by CPI).
Table 7.7 in Greene (1993)
Greene W.H. (1993), Econometric Analysis, 2nd edition. Macmillan Publishing Company, New York.
Executive Office of the President (1983), Economic Report of the President. US Government Printing Office, Washington, DC.
## Willam H. Greene, Econometric Analysis, 2nd Ed.
## Chapter 7
## load data set, p. 221, Table 7.7
data(USDistLag)
## fit distributed lag model, p.221, Example 7.8
usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1)))
colnames(usdl) <- c("con", "gnp", "con1", "gnp1")
## C(t) = b0 + b1*Y(t) + b2*C(t-1) + u
fm <- lm(con ~ gnp + con1, data = usdl)
summary(fm)
#>
#> Call:
#> lm(formula = con ~ gnp + con1, data = usdl)
#>
#> Residuals:
#> Min 1Q Median 3Q Max
#> -11.6127 -3.8405 -0.8536 4.3857 12.6428
#>
#> Coefficients:
#> Estimate Std. Error t value Pr(>|t|)
#> (Intercept) -7.69575 11.44429 -0.672 0.510891
#> gnp 0.40015 0.06272 6.380 9.12e-06 ***
#> con1 0.38073 0.09479 4.017 0.000996 ***
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#>
#> Residual standard error: 6.837 on 16 degrees of freedom
#> Multiple R-squared: 0.9976, Adjusted R-squared: 0.9973
#> F-statistic: 3302 on 2 and 16 DF, p-value: < 2.2e-16
#>
vcov(fm)
#> (Intercept) gnp con1
#> (Intercept) 130.9718602 -0.438682677 0.549587054
#> gnp -0.4386827 0.003933498 -0.005896092
#> con1 0.5495871 -0.005896092 0.008984392