R/data.R

In GCCfactor: GCC Estimation of the Multilevel Factor Model

#' England and Wales House Price Growth Data Categorised by Regions
#'
#' A data.frame containing the quarterly (mean) house prices of four different types of properties,
#' (detached, semi-detached, terraced and flats/maisonettes) for 331 local planning
#' authorities (LPA) over the period 1996Q1 to 2021Q2. See also Lin and Shin (2023).
#'
#' @format ## `UKhouse`
#'
#' @details
#' Each LPA belongs to one of the ten regions: North East (NE), North West (NW),
#' Yorkshire and the Humber (YH), East Midlands (EM), West Midlands(WM),
#' East of England (EE), London (LD), South East (SE), South West (SW) and Wales (WA).
#' The real house price growth of the \eqn{j}-th LPA-type pair in region
#' \eqn{i} by deflating the nominal house price by CPI and log-differencing it as
#' \deqn{\pi_{ijt}=100\times \log\left(\frac{PRICE_{ijt}}{CPI_{t}}\right)-100 \times
#'  \log\left(\frac{PRICE_{ij,t-1}}{CPI_{t-1}}\right).}
#' By removing the series with missing observations, it ends up with a balanced panel
#' with \eqn{R = 10}, \eqn{N =\sum_{i=1}^{R} N_{i} = 1300} and \eqn{T = 102}.
#'
#' Columns in the dataset:
#' \itemize{
#'
#' \item "Date" Time variable.
#' \item "Region" Name of region which the LPA belongs to.
#' \item "LPA" Name of the LPA.
#' \item "Type" Name of the house type.
#' \item "LPA_Type" Name of the LPA-type pair.
#'
#' }
#'
#' @source Office for National Statistics (ONS), ONS website, statistical bulletin, House price statistics for small areas in England and Wales: year ending June 2021
#'
#' @references Lin, R. and Shin, Y., 2022. Generalised Canonical Correlation Estimation of the Multilevel Factor Model. Available at SSRN 4295429.
"UKhouse"