data-wheatprices: Beveridge's Wheat Price Index (detrended and demeaned),...

Description Format Details References Examples

Description

Contains a detrended and demeaned version of the well-known Beveridge Wheat Price Index which gives annual price data from 1500 to 1869, averaged over many locations in western and central Europe [cf. Beveridge (1921)]. The index series x_t was detrended as proposed by Granger (1964), p. 21, by letting

y_t := \frac{x_t}{∑_{j=-15}^{15} x_{t+j}},

where x_t := x_1, t < 1 and x_t := x_n, t > n. The time series in the data set is also demeaned by letting

z_t := y_t - n^{-1} ∑_{t=1}^n y_t.

Format

A univariate time series (z_t) with 370 observations; a ts object.

Details

The index data cited in Beveridge's paper was taken from bev in the tseries package.

References

Beveridge, W. H. (1921). Weather and Harvest Cycles. The Economic Journal, 31(124):429–452.

Granger, C. W. J. (1964). Spectral Analysis of Economic Time Series. Princeton University Press, Princeton, NJ.

Examples

1


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