data-wheatprices: Beveridge's Wheat Price Index (detrended and demeaned), 1500--1869
Description
Contains a detrended and demeaned version of the well-known
Beveridge Wheat Price Index which gives annual price data
from 1500 to 1869, averaged over many locations in western
and central Europe [cf. Beveridge (1921)]. The index series
$x_t$ was detrended as proposed by Granger (1964), p.
21, by letting $$y_t := \frac{x_t}{\sum_{j=-15}^{15}
x_{t+j}},$$ where $x_t := x_1, t < 1$ and $x_t :=
x_n, t > n$. The time series in the data set is also
demeaned by letting $$z_t := y_t - n^{-1} \sum_{t=1}^n
y_t.$$format
A univariate time series $(z_t)$ with 370 observations; a ts object.Details
The index data cited in Beveridge's paper was taken from
bev in the tseries package.References
Beveridge, W. H. (1921). Weather and Harvest Cycles.
The Economic Journal, 31(124):429--452.
Granger, C. W. J. (1964). Spectral Analysis of
Economic Time Series. Princeton University Press,
Princeton, NJ.