artfima (version 1.5)

bev: Beveridge Wheat Price Index, 1500 to 1869

Description

Beveridge Wheat Price Index which gives annual price data from 1500 to 1869.

Usage

data("bev")

Format

The format is: Time-Series [1:370] from 1500 to 1869: 17 19 20 15 13 14 14 14 14 11 ...

Source

CRAN package tseries.

Details

Baille suggests the time series is overdifferenced and is best fit by an ARFIMA model.

References

R. T. Baillie (1996): Long Memory Processes and Fractional Integration in Econometrics. Journal of Econometrics, 73, 5-59.

Examples

data(bev)
#series needs a log transformation as is evident from the plot
plot(bev)
## Not run: 
# w <- diff(bev)
# bestModels(w)
# ## End(Not run)