Dutch Retail Sales Index Data
Time series of retail sales index in The Netherlands.
data("DutchSales")A monthly univariate time series from 1960(5) to 1995(9).
Online complements to Franses (1998).
Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.
data("DutchSales")
plot(DutchSales)
## EACF tables (Franses 1998, p. 99)
ctrafo <- function(x) residuals(lm(x ~ factor(cycle(x))))
ddiff <- function(x) diff(diff(x, frequency(x)), 1)
eacf <- function(y, lag = 12) {
stopifnot(all(lag > 0))
if(length(lag) < 2) lag <- 1:lag
rval <- sapply(
list(y = y, dy = diff(y), cdy = ctrafo(diff(y)),
Dy = diff(y, frequency(y)), dDy = ddiff(y)),
function(x) acf(x, plot = FALSE, lag.max = max(lag))$acf[lag + 1])
rownames(rval) <- lag
return(rval)
}
## Franses (1998), Table 5.3
round(eacf(log(DutchSales), lag = c(1:18, 24, 36)), digits = 3)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.