Description Format Details References Examples

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.*

A univariate time series *(z_t)* with 370 observations; a `ts`

object.

The index data cited in Beveridge's paper was taken from `bev`

in the
`tseries`

package.

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.

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quantspec documentation built on May 19, 2017, 1:20 p.m.

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