Description of Empirical Data Sets

The data sets are also described in Chapter 2 of the book. All the data files are Excel files. You have to check whether the data on the variables are given in rows or in columns before you import the data in an EViews workfile. The names of the variables are always given in the files. The definitions of the variables, their units, and the sample periods are given here for convenience, and because they have to be clear when the files are updated in the future. 1. The examples Two data files are used in the examples in the book: the file pcoccoftea.xls with timeseries data and the file pcdata.xls with simulated cross-section data. The files can be used to reproduce the examples in the book for a better understanding of the discussed methods. The file pcoccoftea.xls concerns the monthly data on the price of cocoa (pcocoa), coffee (pcoffee) and the price of tea (ptea). The file is described in Section 2.2 of the book as Data set 1. The coffee price is the Composite Indicator Price (according to the definition in the International Coffee Agreement 1976) in US$ cents per pound, for the sample period 1960(01) 2002(09). The cocoa price is the Cocoa NY/London 3-month futures price also in US\$ cents per pound and for the sample period 1960(01) - 2002(09). The tea price is the London price in US\$/tonne for the sample period 1960(01) 1998(06). Source: UNCTAD, Monthly Commodity Price Bulletin. The file pcdata.xls concerns simulated data. The sample contains 60 observations on four variables concerning the possession of a personal computer. The data file has been described in Chapter 11 of the book. 2. The macroeconomic data Macroeconomic data sets are offered for five countries: the USA, the UK, France, Australia and Japan. It concerns quarterly data for sample periods between 1980 and 2003. The files with OECD data are defined as: Macro_USA.xls, sample period: 1980(01) - 2003(01); Macro_UK.xls, sample period: 1980(01) - 2003(01); Macro_France.xls, sample period: 1979(04) - 2003(01); Macro_Australia.xls, sample period: 1979(04) - 2003(01); Macro_Japan.xls, sample period: 1980(01) - 2003(01). Source: Organization of Economic Co-operation and Development (OECD): website: www.oecd.org. The selected variables, with their names in parentheses like they are included in the files, are: Vogelvang Econometrics: Theory and Applications with EViews Pearson Education Limited 2005

gross domestic product (gdp); private final consumption expenditures (cons); government final consumption expenditure (gov); investments (private and government: inv). These variables contain the nominal values in domestic currencies, but for Japan in billions of yens. The data are described in Section 2.3 of the book as Data set 2. Real data are included, then the names are preceded with an r as: r_gdp, r_cons, etc. The real data of the USA are expressed in the currency value of 1996, for the UK, France and Japan in the value of 1995, and for Australia the value of 2001(02). The units of the OECD data are millions of the national currencies; for the USA and Japan the units are in billions. The data are seasonally adjusted. One data file with quarterly data (at annual levels) concerning the USA has been included for a long sample period: Macro_USA_long.xls, sample period 1946(01) - 2003(01), some variables start in 1947(01). Source: the National Income and Product Accounts tables (NIPA-tables) from the Bureau of Economic Analysis (BEA): website: www.bea.doc.gov. Two separate variables are included for the investments representing private (gross_private_inv) and government (gross_gov_inv) investment. The net exports of goods and services are also included. One more GDP variable is found in this file: gdp_nsa_q representing the GDP that is not seasonally adjusted and is measured at quarterly levels. The variables are measured in billions of US dollars. 3. The oil market related data Two data files related to the oil market in the USA are provided: Vehicles_USA.xls, sample period 1946(01)/1947(01) 2003(02); Oil_gas_USA.xls, varying sample periods for the included variables. The file Vehicles_USA.xls contains quarterly observations that are seasonally adjusted at annual rates, for a number of variables that are described in Data set 3 in Section 2.4 of the book. Source: The NIPA-tables of the BEA. The data are seasonally adjusted, at annual rates, and measured in billions of US dollars. The file Oil_gas_usa.xls contains monthly data on crude oil prices and retail gas prices. See their description in Data set 2. Source: Energy Information Administration (EIA): website: www.eia.doe.gov. 4. The money market data The selected monetary quarterly data from the USA are available in the file: money_usa.xls, sample period 1959(01) - 2003(02) Source: Federal Reserve Bank of St. Louis, the economic database FREDII, website: research.stlouisfed.org. See the description of the variables in Data set 4 in Section 2.5 of the book.

Vogelvang Econometrics: Theory and Applications with EViews Pearson Education Limited 2005

5. The cross-section data set This data file consists of cross-section data from 2886 firms in the Netherlands that have been collected in 1992. The file is: business.xls and the variables are described in Data set 5 in Section 2.6 of the book.

Vogelvang Econometrics: Theory and Applications with EViews Pearson Education Limited 2005