| PepperPrice {AER} | R Documentation |
Time series of average monthly European spot prices for black and white pepper (fair average quality) in US dollars per ton.
data("PepperPrice")
A monthly multiple time series from 1973(10) to 1996(4) with 2 variables.
Online complements to Franses (1998).
http://www.few.eur.nl/few/people/franses/research/book2.htm
Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.
## data
data("PepperPrice")
plot(PepperPrice, plot.type = "single", col = 1:2)
## package
library("tseries")
library("urca")
## unit root tests
adf.test(log(PepperPrice[, "white"]))
adf.test(diff(log(PepperPrice[, "white"])))
pp.test(log(PepperPrice[, "white"]), type = "Z(t_alpha)")
pepper_ers <- ur.ers(log(PepperPrice[, "white"]),
type = "DF-GLS", model = "const", lag.max = 4)
summary(pepper_ers)
## stationarity tests
kpss.test(log(PepperPrice[, "white"]))
## cointegration
po.test(log(PepperPrice))
pepper_jo <- ca.jo(log(PepperPrice), ecdet = "const", type = "trace")
summary(pepper_jo)
pepper_jo2 <- ca.jo(log(PepperPrice), ecdet = "const", type = "eigen")
summary(pepper_jo2)