UKpppuip            package:urca            R Documentation(latin1)

_D_a_t_a _s_e_t _f_o_r _t_h_e _U_n_i_t_e_d _K_i_n_g_d_o_m: _p_p_p _a_n_d _u_i_p

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_U_s_a_g_e:

     data(UKpppuip)

_F_o_r_m_a_t:

     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'.

_A_u_t_h_o_r(_s):

     Bernhard Pfaff

_R_e_f_e_r_e_n_c_e_s:

     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.

