Consumption of Non-Durables in the UK
Time series of consumption of non-durables in the UK (in 1985 prices).
data("UKNonDurables")A quarterly univariate time series from 1955(1) to 1988(4).
Online complements to Franses (1998).
Osborn, D.R. (1988). A Survey of Seasonality in UK Macroeconomic Variables. International Journal of Forecasting, 6, 327–336.
Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.
data("UKNonDurables")
plot(UKNonDurables)
## 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 5.2
round(eacf(log(UKNonDurables)), digits = 3)
## Franses (1998), Equation 5.51
## (Franses: sma1 = -0.632 (0.069))
arima(log(UKNonDurables), c(0, 1, 0), c(0, 1, 1))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.