PepperPrice {AER}R Documentation

Black and White Pepper Prices

Description

Time series of average monthly European spot prices for black and white pepper (fair average quality) in US dollars per ton.

Usage

data("PepperPrice")

Format

A monthly multiple time series from 1973(10) to 1996(4) with 2 variables.

black
spot price for black pepper,
white
spot price for white pepper.

Source

Online complements to Franses (1998).

http://www.few.eur.nl/few/people/franses/research/book2.htm

References

Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.

Examples

## 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)

[Package AER version 1.1-2 Index]