UKpppuip

<p>This data set contains the series used by in Johansen and Juselius
  (1992), Testing structural hypothesis in a multivariate cointegration
  analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-244.</p>

datasets

Unit root and cointegration tests encountered in applied
econometric analysis are implemented.

Bernhard Pfaff

urca

Unit Root and Cointegration Tests for Time Series Data

Eric Zivot

Matthieu Stigler

UKpppuip function

<p>A data frame of quarterly data ranging from 1971:Q1
  until 1987:Q2. All variables are expressed in logarithms.</p> <p></p><p></p><p></p><table class="table">
<tr><td><code>p1</code></td><td>UK wholesale price index.</td></tr>
<tr><td><code>p2</code></td><td>Trade weighted foreign whole sale price index.</td></tr>
<tr><td><code>e12</code></td><td>UK effective exchange rate.</td></tr>
<tr><td><code>i1</code></td><td>Three-month treasury bill rate in the UK.</td></tr>
<tr><td><code>i2</code></td><td>Three-month Eurodollar interest rate.</td></tr>
<tr><td><code>dpoil0</code></td><td>World oil price at period <code>t</code>.</td></tr>
<tr><td><code>dpoil1</code></td><td>World oil price at period <code>t-1</code>.</td></tr>
</table><p></p><p></p>

Format

Author

Data set for the United Kingdom: ppp and uip — UKpppuip

<p>A data frame of quarterly data ranging from 1971:Q1
  until 1987:Q2. All variables are expressed in logarithms.</p> 

<p></p><table class='table'>
<tr><td><code>p1</code></td><td>UK wholesale price index.</td></tr>
<tr><td><code>p2</code></td><td>Trade weighted foreign whole sale price index.</td></tr>
<tr><td><code>e12</code></td><td>UK effective exchange rate.</td></tr>
<tr><td><code>i1</code></td><td>Three-month treasury bill rate in the UK.</td></tr>
<tr><td><code>i2</code></td><td>Three-month Eurodollar interest rate.</td></tr>
<tr><td><code>dpoil0</code></td><td>World oil price at period <code>t</code>.</td></tr>
<tr><td><code>dpoil1</code></td><td>World oil price at period <code>t-1</code>.</td></tr>
</table>



`p1`	UK wholesale price index.
`p2`	Trade weighted foreign whole sale price index.
`e12`	UK effective exchange rate.
`i1`	Three-month treasury bill rate in the UK.
`i2`	Three-month Eurodollar interest rate.
`dpoil0`	World oil price at period `t`.
`dpoil1`	World oil price at period `t-1`.

UKpppuip: Data set for the United Kingdom: ppp and uip

Description

Usage

Arguments

Format

Author

References