UKpppuip {urca} | R Documentation

## 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)

### Format

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

`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`.

### Author(s)

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.

[Package urca version 1.2-3 Index]