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urca (version 1.3-4)

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

Description

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.

Usage

data(UKpppuip)

Arguments

Format

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

p1UK wholesale price index.
p2Trade weighted foreign whole sale price index.
e12UK effective exchange rate.
i1Three-month treasury bill rate in the UK.
i2Three-month Eurodollar interest rate.
dpoil0World oil price at period t.
dpoil1World oil price at period t-1.

Author

Bernhard Pfaff

References

Johansen, S. and K. Juselius (1992), Testing structural hypothesis in a multivariate cointegration analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-244.