R: Black and White Pepper Prices

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

Originally available as an online supplement to Franses (1998). Now available via online complements to Franses, van Dijk and Opschoor (2014).

http://www.cambridge.org/us/academic/subjects/economics/econometrics-statistics-and-mathematical-economics/time-series-models-business-and-economic-forecasting-2nd-edition

### References

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

Franses, P.H., van Dijk, D. and Opschoor, A. (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. 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 1.2-5 Index]