Black and White Pepper Prices
Time series of average monthly European spot prices for black and white pepper (fair average quality) in US dollars per ton.
data("PepperPrice")A monthly multiple time series from 1973(10) to 1996(4) with 2 variables.
spot price for black pepper,
spot price for white pepper.
Originally available as an online supplement to Franses (1998). Now available via online complements to Franses, van Dijk and Opschoor (2014).
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.
## data
data("PepperPrice", package = "AER")
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)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.