Data set used by Dickey, Jansen and Thornton (1994)

This data set contains the time series used by David A. Dickey, Dennis W. Jansen and Daniel L. Thornton in their article: “A Primer on Cointegrating with an Application to Money and Income”.

Usage

data(Raotbl1)

Format

A data frame with quarterly oberservations (ts objects) starting in 1953:1 until 1988:4 for the following 4 variables (all transformed to natural logarithms.

k	Ratio of currency to total checkable deposits.
ksa	seasonally adjusted series of k.
r3m	Nominal 3 month T-Bill rate.
r10y	Nominal yield on 10-year Government securities.
rgnp	Real GNP.

Source

Dickey, David A., Dennis W. Jansen and Daniel L. Thornton (1994), A Primer on Cointegration with an Application to Money and Income, in: Cointegration for the Applied Economist, ed. B. Bhaskara Rao, chapter 2, Data Appendix, Table D.1.

Author

Bernhard Pfaff