bev: Beveridge Wheat Price Index, 1500 to 1869

In artfima: ARTFIMA Model Estimation

Description

Beveridge Wheat Price Index which gives annual price data from 1500 to 1869.

Usage

data("bev")

Format

The format is: Time-Series [1:370] from 1500 to 1869: 17 19 20 15 13 14 14 14 14 11 ...

Details

Baille suggests the time series is overdifferenced and is best fit by an ARFIMA model.

Source

CRAN package tseries.

References

R. T. Baillie (1996): Long Memory Processes and Fractional Integration in Econometrics. Journal of Econometrics, 73, 5-59.

Examples

data(bev)
#series needs a log transformation as is evident from the plot
plot(bev)
## Not run: 
w <- diff(bev)
bestModels(w)

## End(Not run)

Example output

                    best      2nd best       3rd best      4th best
AIC models ARFIMA(2,0,0) ARFIMA(2,0,1) ARTFIMA(2,0,0) ARFIMA(3,0,0)
AIC              3266.03       3266.55        3268.03       3268.58
p(AIC)             1.000         0.769          0.368         0.278
BIC models ARFIMA(2,0,0)  ARIMA(2,0,1)  ARFIMA(2,0,1)  ARIMA(0,0,3)
BIC              3285.58       3288.79        3290.02       3290.96
p(BIC)             1.000         0.201          0.109         0.068

artfima documentation built on May 2, 2019, 1:27 p.m.