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Credit market data for US housing starts

Usage

data(houses)

fair_houses()

Format

A data frame with 138 rows and 7 columns

Details

The basic houses dataset (houses)

A dataset containing the monthly mortgage rates and other attributes of the US market for new, non-farm houses from January 1958 to December 1969 (144 observations). The variables are as follows:

  • DATE The date of the record.

  • HS Private non-farm housing starts in thousands of units (Not seasonally adjusted).

  • RM FHA Mortgage rate series on new homes in units of 100 ( beginning-of-month Data).

  • DSLA Savings capital (deposits) of savings and loan associations in millions of dollars.

  • DMSB Deposits of mutual savings banks in millions of dollars.

  • DHLB Advances of the federal home loan bank to savings and loan associations in million of dollars.

  • W Number of working days in month.

Generate the variables of the Fair & Jaffee (1972) dataset. (fair_houses)

Loads the houses dataset and creates the additional variables used by Fair & Jaffee (1972) doi:10.2307/1913181 . These are

  • ID A dummy entity identifier that is always equal to one since the houses data have only a time series component.

  • DSF Flow of deposits in savings and loan associations and mutual savings banks in million of dollars. Equal to $$DSLA_{t} + DMSB_{t} - (DSLA_{t-1} + DMSB_{t-1}).$$

  • DHF Flow of advances of the federal home loan bank to savings and loan associations in million of dollars. Equal to $$DHLB_{t} - DHLB_{t-1}.$$

  • MONTH The month of the date of the observation.

  • L1RM FHA Mortgage rate series on new homes in units of 100, lagged by one date.

  • L2RM FHA Mortgage rate series on new homes in units of 100, lagged by two dates.

  • L1HS Private non-farm housing starts in thousands of units (Not seasonally adjusted), lagged by one date.

  • CSHS The cumulative sum of past housing starts. Used to proxy the stock of houses

  • MA6DSF Moving average of order 6 of the flow of deposits in savings associations and loan associations and mutual savings banks.

  • MA3DHF Moving average of order 3 of the flow of advances of the federal home loan bank to savings and loan associations.

  • TREND A time trend variable.

Returns A modified version of the houses dataset.

Functions

  • fair_houses(): Generate Fair & Jaffee (1972) dataset

References

  • Fair, R. C. (1971). A short-run forecasting model of the United States economy. Heath Lexington Books.

  • Fair, R. C., & Jaffee, D. M. (1972). Methods of Estimation for Markets in Disequilibrium. Econometrica, 40(3), 497. doi:10.2307/1913181

  • Maddala, G. S., & Nelson, F. D. (1974). Maximum Likelihood Methods for Models of Markets in Disequilibrium. Econometrica, 42(6), 1013. doi:10.2307/1914215

  • Hwang, H. (1980). A test of a disequilibrium model. Journal of Econometrics, 12(3), 319–333. doi:10.1016/0304-4076(80)90059-7

Examples

data(houses)
head(houses)
#>       DATE    HS RM  DSLA  DMSB DHLB  W
#> 1 58-01-01  62.9 NA 42362 31960  904 22
#> 2 58-02-01  61.0 NA 42735 32110  788 20
#> 3 58-03-01  77.3 NA 43219 32410  694 21
#> 4 58-04-01  94.2 NA 43575 32510  813 20
#> 5 58-05-01 101.3 NA 44083 32690  801 19
#> 6 58-06-01 101.3 NA 45020 32869  928 20
head(fair_houses())
#>       DATE    HS RM  DSLA  DMSB DHLB  W ID  DSF  DHF MONTH L2RM L1RM  L1HS
#> 1 58-01-01  62.9 NA 42362 31960  904 22  1   NA   NA    01   NA   NA    NA
#> 2 58-02-01  61.0 NA 42735 32110  788 20  1  523 -116    02   NA   NA  62.9
#> 3 58-03-01  77.3 NA 43219 32410  694 21  1  784  -94    03   NA   NA  61.0
#> 4 58-04-01  94.2 NA 43575 32510  813 20  1  456  119    04   NA   NA  77.3
#> 5 58-05-01 101.3 NA 44083 32690  801 19  1  688  -12    05   NA   NA  94.2
#> 6 58-06-01 101.3 NA 45020 32869  928 20  1 1116  127    06   NA   NA 101.3
#>    CSHS MA6DSF     MA3DHF TREND
#> 1   0.0     NA         NA     1
#> 2  62.9     NA         NA     2
#> 3 123.9     NA         NA     3
#> 4 201.2     NA         NA     4
#> 5 295.4     NA -30.333333     5
#> 6 396.7     NA   4.333333     6