UKpppuip


  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.


datasets

Unit root and cointegration tests encountered in applied
econometric analysis are implemented.

Bernhard Pfaff

urca

Unit Root and Cointegration Tests for Time Series Data

UKpppuip function

A data frame of quarterly data ranging from 1971:Q1
  until 1987:Q2. All variables are expressed in logarithms. <table><tr><td>
    <code>p1</code> </td>
</tr><tr><td> UK wholesale price index. </td>
</tr><tr><td>
    <code>p2</code> </td>
</tr><tr><td> Trade weighted foreign whole sale price index.</td>
</tr><tr><td>
    <code>e12</code> </td>
</tr><tr><td> UK effective exchange rate.</td>
</tr><tr><td>
    <code>i1</code> </td>
</tr><tr><td> Three-month treasury bill rate in the UK.</td>
</tr><tr><td>
    <code>i2</code> </td>
</tr><tr><td> Three-month Eurodollar interest rate.</td>
</tr><tr><td>
    <code>dpoil0</code> </td>
</tr><tr><td> World oil price at period <code>t</code>.</td>
</tr></table>

UKpppuip: Data set for the United Kingdom: ppp and uip

Description

Usage

Arguments

Format

References