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\name{wages}
\alias{wages}
\docType{data}
\encoding{latin1}
\title{Wages}
\usage{data(wages)}
\description{
Wages Data.
}
\format{
A multivariate yearly time series from 1960 to 1979 with variables
\describe{
\item{w}{wages,}
\item{CPI}{consumer price index,}
\item{u}{unemployment,}
\item{mw}{minimum wage.}
}
}
\source{The data was originally studied by Nicols (1983), the data set is given
in Krmer and Sonnberger (1986). Below we replicate a few examples from their
book.
Some of these results differ more or less seriously and are sometimes
parameterized differently.
}
\references{
D.A. Nicols (1983),
Macroeconomic Determinants of Wage Adjustments in White Collar Occupations.
\emph{Review of Economics and Statistics} \bold{65}, 203--213
W. Krmer & H. Sonnberger (1986),
\emph{The Linear Regression Model under Test}. Heidelberg: Physica
}
\examples{
data(wages)
## data transformation to include lagged series
mywages <- cbind(wages, lag(wages[,2], k = -1), lag(wages[,2], k = -2))
colnames(mywages) <- c(colnames(wages), "CPI2", "CPI3")
mywages <- window(mywages, start=1962, end=1979)
## page 142, fit Nichols OLS model
## equation (6.10)
modelNichols <- w ~ CPI + CPI2 + CPI3 + u + mw
lm(modelNichols, data = mywages)
## page 143, fit test statistics in table 6.11
##############################################
if(require(strucchange, quietly = TRUE)) {
## Chow 1972
sctest(modelNichols, point=c(1971,1), data=mywages, type="Chow") }
## Breusch-Pagan
bptest(modelNichols, data=mywages, studentize=FALSE)
bptest(modelNichols, data=mywages)
## RESET (a)-(b)
reset(modelNichols, data=mywages)
reset(modelNichols, power=2, type="regressor", data=mywages)
## Harvey-Collier
harvtest(modelNichols, order.by = ~ CPI, data=mywages)
harvtest(modelNichols, order.by = ~ CPI2, data=mywages)
harvtest(modelNichols, order.by = ~ CPI3, data=mywages)
harvtest(modelNichols, order.by = ~ u, data=mywages)
## Rainbow
raintest(modelNichols, order.by = "mahalanobis", data=mywages)
}
\keyword{datasets}
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