OECDcpi: Inflation in OECD Countries
In punitroots: Unit Roots in Panels of Time Series

Description Usage Format Source References Examples

Monthly consumer price index data for 13 OECD countries.

1	data("OECDcpi")

A monthly multiple time series from 1957(1) to 1994(10) with 13 variables.

US: Consumer price index for the USA.
UK: Consumer price index for the UK.
Belgium: Consumer price index for Belgium.
France: Consumer price index for France.
Germany: Consumer price index for Germany.
Italy: Consumer price index for Italy.
Luxemburg: Consumer price index for Luxemburg.
Netherlands: Consumer price index for the Netherlands.
Norway: Consumer price index for Norway.
Canada: Consumer price index for Canada.
Japan: Consumer price index for Japan.
Finland: Consumer price index for Finland.
Spain: Consumer price index for Spain.

Journal of Applied Econometrics Data Archive for Culver and Papell (1997).

http://qed.econ.queensu.ca/jae/datasets/culver001/

Culver SE, Papell DH (1997). Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models. Journal of Applied Econometrics, 12(4), 435–444.

data("OECDcpi")
library("CADFtest")

## selected values from Culver and Papell, Table I
CADFtest(diff(log(OECDcpi[, "Belgium"])), type = "drift", data = OECDcpi, max.lag.y = 12)
CADFtest(diff(log(OECDcpi[, "UK"])), type = "drift", data = OECDcpi, max.lag.y = 13)
CADFtest(diff(log(OECDcpi[, "US"])), type = "drift", data = OECDcpi, max.lag.y = 16)