PepperPrice: Black and White Pepper Prices

Description

Time series of average monthly European spot prices for black and white pepper (fair average quality) in US dollars per ton.

Usage

data("PepperPrice")

Arguments

Format

A monthly multiple time series from 1973(10) to 1996(4) with 2 variables.

black: spot price for black pepper,
white: spot price for white pepper.

References

Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.

Franses, P.H., van Dijk, D. and Opschoor, A. (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Cambridge, UK: Cambridge University Press.

Examples

Run this code

# NOT RUN {
## data
data("PepperPrice")
plot(PepperPrice, plot.type = "single", col = 1:2)

## package
library("tseries")
library("urca")

## unit root tests
adf.test(log(PepperPrice[, "white"]))
adf.test(diff(log(PepperPrice[, "white"])))
pp.test(log(PepperPrice[, "white"]), type = "Z(t_alpha)")
pepper_ers <- ur.ers(log(PepperPrice[, "white"]),
  type = "DF-GLS", model = "const", lag.max = 4)
summary(pepper_ers)

## stationarity tests
kpss.test(log(PepperPrice[, "white"]))

## cointegration
po.test(log(PepperPrice))
pepper_jo <- ca.jo(log(PepperPrice), ecdet = "const", type = "trace")
summary(pepper_jo)
pepper_jo2 <- ca.jo(log(PepperPrice), ecdet = "const", type = "eigen")
summary(pepper_jo2)
# }