hayashir: R Companion for "Econometrics" by Fumio Hayashi

The hayashir data package contains all datasets used in the book "Econometrics" by Fumio Hayashi. Documentation and variable descriptions for each data set are also included. Vignettes provide R code that reproduces the output in the "Application" sections of each chapter

Installation

The hayashir package can be installed using the package devtools. After installing devtools, hayashir is installed by entering:

# install devtools if not already installed
# install.packages(devtools)
devtools::install_github("lachlandeer/hayashir")

into the R console.

Example

Load the hayashir package and use the data() function to load the desired data set. The data sets included are:

• nerlove: Nerlove's electricity supply and cost data, used in Chapter 1
• mishkin: Monthly Treasury Bill and inflation rates used in Chapter 2
• griliches: NLS-Y data used in Chapter 3.
• greene: Christiansen & Greene's electricty supply and cost data from Chapter 4
• pwt: The Summers-Heston (Penn World Table) data for Chapter 5
• yen: Yen spot and forward rates for Chapter 6
• pound: GB Pound spot and forward rates for Chapter 6
• dm: German Deutsche Mark spot and forward rates for Chapter 6
• lothiantaylor: US Dollar / British Sterling Exchange rates for Chapter 9
• moneydemand: US Money Demand data for Chapter 10

To load a data set:

library(hayashir)
data("nerlove")

If using RStudio, View the nerlove data set

View(nerlove)

Check out the documentation for nerlove. It includes variable column names, original source of data, as well as sections where the data appear in the text.

?nerlove