PepperPrice {AER} | R Documentation |
Time series of average monthly European spot prices for black and white pepper (fair average quality) in US dollars per ton.
data("PepperPrice")
A monthly multiple time series from 1973(10) to 1996(4) with 2 variables.
spot price for black pepper,
spot price for white pepper.
Online complements to Franses (1998).
http://www.few.eur.nl/few/people/franses/research/book2.htm
Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.
## data data("PepperPrice") plot(PepperPrice, plot.type = "single", col = 1:2) ## package library("tseries") library("urca") ## unit root tests adf.test(log(PepperPrice[, "white"])) adf.test(diff(log(PepperPrice[, "white"]))) pp.test(log(PepperPrice[, "white"]), type = "Z(t_alpha)") pepper_ers <- ur.ers(log(PepperPrice[, "white"]), type = "DF-GLS", model = "const", lag.max = 4) summary(pepper_ers) ## stationarity tests kpss.test(log(PepperPrice[, "white"])) ## cointegration po.test(log(PepperPrice)) pepper_jo <- ca.jo(log(PepperPrice), ecdet = "const", type = "trace") summary(pepper_jo) pepper_jo2 <- ca.jo(log(PepperPrice), ecdet = "const", type = "eigen") summary(pepper_jo2)