R: Index of US Industrial Production

USProdIndex {AER} | R Documentation

## Index of US Industrial Production

### Description

Index of US industrial production (1985 = 100).

### Usage

    data("USProdIndex")

### Format

A quarterly multiple time series from 1960(1) to 1981(4) with 2 variables.

unadjusted

  raw index of industrial production,

adjusted

  seasonally adjusted index.

### Source

Online complements to Franses (1998).

### References

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

### See Also

`Franses1998`

### Examples

    data("USProdIndex")
    plot(USProdIndex, plot.type = "single", col = 1:2)

    ## EACF tables (Franses 1998, p. 99)
    ctrafo <- function(x) residuals(lm(x ~ factor(cycle(x))))
    ddiff <- function(x) diff(diff(x, frequency(x)), 1)
    eacf <- function(y, lag = 12) {
      stopifnot(all(lag > 0))
      if(length(lag) < 2) lag <- 1:lag
      rval <- sapply(
        list(y = y, dy = diff(y), cdy = ctrafo(diff(y)),
             Dy = diff(y, frequency(y)), dDy = ddiff(y)),
        function(x) acf(x, plot = FALSE, lag.max = max(lag))$acf[lag + 1])
      rownames(rval) <- lag
      return(rval)
    }

    ## Franses (1998), Table 5.1
    round(eacf(log(USProdIndex[,1])), digits = 3)

    ## Franses (1998), Equation 5.6: Unrestricted airline model
    ## (Franses: ma1 = 0.388 (0.063), ma4 = -0.739 (0.060), ma5 = -0.452 (0.069))
    arima(log(USProdIndex[,1]), c(0, 1, 5), c(0, 1, 0), fixed = c(NA, 0, 0, NA, NA))

[Package AER version 1.2-5 Index]