UKpppuip: Data set for the United Kingdom: ppp and uip
In urca: Unit Root and Cointegration Tests for Time Series Data
UKpppuip R Documentation
Data set for the United Kingdom: ppp and uip
Description
This data set contains the series used by in Johansen and Juselius
(1992), Testing structural hypothesis in a multivariate cointegration
analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-244.
Usage
data(UKpppuip)
Format
A data frame of quarterly data ranging from 1971:Q1
until 1987:Q2. All variables are expressed in logarithms.
p1 UK wholesale price index.
p2 Trade weighted foreign whole sale price index.
e12 UK effective exchange rate.
i1 Three-month treasury bill rate in the UK.
i2 Three-month Eurodollar interest rate.
dpoil0 World oil price at period t.
dpoil1 World oil price at period t-1.
Author(s)
Bernhard Pfaff
References
Johansen, S. and K. Juselius (1992), Testing structural hypothesis in
a multivariate cointegration analysis of the PPP and UIP for UK,
Journal of Econometrics, 53, 211-244.
urca documentation built on Sept. 9, 2022, 3:06 p.m.
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| UKpppuip | R Documentation |
Data set for the United Kingdom: ppp and uip
Description
This data set contains the series used by in Johansen and Juselius (1992), Testing structural hypothesis in a multivariate cointegration analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-244.
Usage
data(UKpppuip)
Format
A data frame of quarterly data ranging from 1971:Q1 until 1987:Q2. All variables are expressed in logarithms.
p1 | UK wholesale price index. |
p2 | Trade weighted foreign whole sale price index. |
e12 | UK effective exchange rate. |
i1 | Three-month treasury bill rate in the UK. |
i2 | Three-month Eurodollar interest rate. |
dpoil0 | World oil price at period t. |
dpoil1 | World oil price at period t-1.
|
Author(s)
Bernhard Pfaff
References
Johansen, S. and K. Juselius (1992), Testing structural hypothesis in a multivariate cointegration analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-244.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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