1\name{Investment}
2\alias{Investment}
3\title{US Investment Data}
4\description{
5US data for fitting an investment equation.
6}
7\usage{data(Investment)}
8\format{
9An annual time series from 1963 to 1982 with 7 variables.
10 \describe{
11    \item{GNP}{nominal gross national product (in billion USD),}
12    \item{Investment}{nominal gross private domestic investment (in billion USD),}
13    \item{Price}{price index, implicit price deflator for GNP,}
14    \item{Interest}{interest rate, average yearly discount rate
15      charged by the New York Federal Reserve Bank,}
16    \item{RealGNP}{real GNP (= GNP/Price),}
17    \item{RealInv}{real investment (= Investment/Price),}
18    \item{RealInt}{approximation to the real interest rate
19      (= Interest - 100 * diff(Price)/Price).}
20 }
21}
22
23\source{Table 15.1 in Greene (1993)}
24
25\references{
26Greene W.H. (1993). \emph{Econometric Analysis}, 2nd edition.
27  Macmillan Publishing Company, New York.
28
29Executive Office of the President (1984). \emph{Economic Report of the
30  President}. US Government Printing Office, Washington, DC.
31}
32
33\examples{
34## Willam H. Greene, Econometric Analysis, 2nd Ed.
35## Chapter 15
36## load data set, p. 411, Table 15.1
37data(Investment)
38
39## fit linear model, p. 412, Table 15.2
40fm <- lm(RealInv ~ RealGNP + RealInt, data = Investment)
41summary(fm)
42
43## visualize residuals, p. 412, Figure 15.1
44plot(ts(residuals(fm), start = 1964),
45  type = "b", pch = 19, ylim = c(-35, 35), ylab = "Residuals")
46sigma <- sqrt(sum(residuals(fm)^2)/fm$df.residual) ## maybe used df = 26 instead of 16 ??
47abline(h = c(-2, 0, 2) * sigma, lty = 2)
48
49if(require(lmtest)) {
50## Newey-West covariances, Example 15.3
51coeftest(fm, vcov = NeweyWest(fm, lag = 4))
52## Note, that the following is equivalent:
53coeftest(fm, vcov = kernHAC(fm, kernel = "Bartlett", bw = 5, prewhite = FALSE, adjust = FALSE))
54
55## Durbin-Watson test, p. 424, Example 15.4
56dwtest(fm)
57
58## Breusch-Godfrey test, p. 427, Example 15.6
59bgtest(fm, order = 4)
60}
61
62## visualize fitted series
63plot(Investment[, "RealInv"], type = "b", pch = 19, ylab = "Real investment")
64lines(ts(fitted(fm), start = 1964), col = 4)
65
66
67## 3-d visualization of fitted model
68if(require(scatterplot3d)) {
69s3d <- scatterplot3d(Investment[,c(5,7,6)],
70  type = "b", angle = 65, scale.y = 1, pch = 16)
71s3d$plane3d(fm, lty.box = "solid", col = 4)
72}
73}
74
75\keyword{datasets}
76