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A panel of 104 quarterly observations from 1973Q1 to 1998Q4
A data frame containing :
country codes: a factor with 17 levels
the quarter index, 1973Q1-1998Q4
log spot exchange rate vs. USD
log price level
short term interest rate
long term interest rate
log price differential vs. USA
U.S. short term interest rate
U.S. long term interest rate
total number of observations : 1768
observation : country
country : OECD
Coakley J, Fuertes A, Smith R (2006). “Unobserved heterogeneity in panel time series models.” Computational Statistics & Data Analysis, 50(9), 2361–2380.
Coakley J, Fuertes A, Smith R (2006). “Unobserved heterogeneity in panel time series models.” Computational Statistics & Data Analysis, 50(9), 2361–2380.
Driscoll JC, Kraay AC (1998). “Consistent covariance matrix estimation with spatially dependent panel data.” Review of economics and statistics, 80(4), 549–560.