R: Dutch Retail Sales Index Data

DutchSales {AER} | R Documentation

## Dutch Retail Sales Index Data

### Description

Time series of retail sales index in The Netherlands.

### Usage

    data("DutchSales")

### Format

A monthly univariate time series from 1960(5) to 1995(9).

### 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("DutchSales")
    plot(DutchSales)

    ## 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 5.3
    round(eacf(log(DutchSales), lag = c(1:18, 24, 36)), digits = 3)

[Package AER version 1.2-5 Index]