durab              package:strucchange              R Documentation

_U_S _L_a_b_o_r _P_r_o_d_u_c_t_i_v_i_t_y

_D_e_s_c_r_i_p_t_i_o_n:

     US labor productivity in the manufacturing/durables sector.

_U_s_a_g_e:

     data("durab")

_F_o_r_m_a_t:

     'durab' is a multivariate monthly time series from 1947(3) to
     2001(4) with variables

     _y growth rate of the Industrial Production Index to average weekly
          labor hours in the manufacturing/durables sector,

     _l_a_g lag 1 of the series 'y',

_S_o_u_r_c_e:

     The data set is available from Bruce Hansen's homepage <URL:
     http://www.ssc.wisc.edu/~bhansen/>. For more information see
     Hansen (2001).

_R_e_f_e_r_e_n_c_e_s:

     Hansen B. (2001), The New Econometrics of Structural Change:
     Dating Breaks in U.S. Labor Productivity, _Journal of Economic
     Perspectives_, *15*, 117-128.

     Zeileis A., Leisch F., Kleiber C., Hornik K. (2005), Monitoring
     Structural Change in Dynamic Econometric Models, _Journal of
     Applied Econometrics_, *20*, 99-121.

_E_x_a_m_p_l_e_s:

     data("durab")
     ## use AR(1) model as in Hansen (2001) and Zeileis et al. (2005)
     durab.model <- y ~ lag

     ## historical tests
     ## OLS-based CUSUM process
     ols <- efp(durab.model, data = durab, type = "OLS-CUSUM")
     plot(ols)
     ## F statistics
     fs <- Fstats(durab.model, data = durab, from = 0.1)
     plot(fs)

     ## F statistics based on heteroskadisticy-consistent covariance matrix
     fsHC <- Fstats(durab.model, data = durab, from = 0.1,
                    vcov = function(x, ...) vcovHC(x, type = "HC", ...))
     plot(fsHC)

     ## monitoring
     Durab <- window(durab, start=1964, end = c(1979, 12))
     ols.efp <- efp(durab.model, type = "OLS-CUSUM", data = Durab)
     newborder <- function(k) 1.5778*k/192
     ols.mefp <- mefp(ols.efp, period=2)
     ols.mefp2 <- mefp(ols.efp, border=newborder)
     Durab <- window(durab, start=1964)
     ols.mon <- monitor(ols.mefp)
     ols.mon2 <- monitor(ols.mefp2)
     plot(ols.mon)
     lines(boundary(ols.mon2), col = 2)

     ## dating
     bp <- breakpoints(durab.model, data = durab)
     summary(bp)
     plot(summary(bp))

     plot(ols)
     lines(breakpoints(bp, breaks = 1), col = 3)
     lines(breakpoints(bp, breaks = 2), col = 4)
     plot(fs)
     lines(breakpoints(bp, breaks = 1), col = 3)
     lines(breakpoints(bp, breaks = 2), col = 4)

