| denmark {urca} | R Documentation |
This data set contains the series used by S. Johansen and K. Juselius for estimating a money demand function of Denmark.
data(denmark)
A data frame with 55 observations on the following 6 variables.
period | Time index from 1974:Q1 until 1987:Q3. |
LRM | Logarithm of real money, M2. |
LRY | Logarithm of real income. |
LPY | Logarithm of price deflator. |
IBO | Bond rate. |
IDE | Bank deposit rate. |
Bernhard Pfaff
Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.