Credit market data for US housing starts
Usage
data(houses)
fair_houses()
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 housesMA6DSF
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.
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