AER (version 1.2-13)

PepperPrice: Black and White Pepper Prices

Description

Time series of average monthly European spot prices for black and white pepper (fair average quality) in US dollars per ton.

Usage

data("PepperPrice")

Format

A monthly multiple time series from 1973(10) to 1996(4) with 2 variables.

black

spot price for black pepper,

white

spot price for white pepper.

References

Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.

Franses, P.H., van Dijk, D. and Opschoor, A. (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Cambridge, UK: Cambridge University Press.

Examples

 if(!requireNamespace("tseries") ||
              !requireNamespace("urca")) {
  if(interactive() || is.na(Sys.getenv("_R_CHECK_PACKAGE_NAME_", NA))) {
    stop("not all packages required for the example are installed")
  } else q() }
## data
data("PepperPrice", package = "AER")
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)