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
$$z_t := y_t - n^{-1} \sum_{t=1}^n y_t.$$
Arguments
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.