R: Consumption of Non-Durables in the UK

UKNonDurables {AER} | R Documentation

## Consumption of Non-Durables in the UK

### Description

Time series of consumption of non-durables in the UK (in 1985 prices).

### Usage

    data("UKNonDurables")

### Format

A quarterly univariate time series from 1955(1) to 1988(4).

### Source

Online complements to Franses (1998).

### References

Osborn, D.R. (1988). A Survey of Seasonality in UK Macroeconomic Variables. International Journal of Forecasting, 6, 327–336.

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

### See Also

`Franses1998`

### Examples

    data("UKNonDurables")
    plot(UKNonDurables)

    ## 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 5.2
    round(eacf(log(UKNonDurables)), digits = 3)

    ## Franses (1998), Equation 5.51
    ## (Franses: sma1 = -0.632 (0.069))
    arima(log(UKNonDurables), c(0, 1, 0), c(0, 1, 1))

[Package AER version 1.2-5 Index]