UKNonDurables: Consumption of Non-Durables in the UK

In AER: Applied Econometrics with R

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))

AER documentation built on Sept. 28, 2024, 9:07 a.m.