Franses1998 {AER}

Data and Examples from Franses (1998)

Description

This manual page collects a list of examples from the book. Some solutions might not be exact and the list is certainly not complete. If you have suggestions for improvement (preferably in the form of code), please contact the package maintainer.

References

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

See Also

ArgentinaCPI, ChinaIncome, ConsumerGood, DJFranses, DutchAdvert, DutchSales, GermanUnemployment, MotorCycles, OlympicTV, PepperPrice, UKNonDurables, USProdIndex

Examples

###########################
## Convenience functions ##
###########################

## 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)
}

#######################################
## Index of US industrial production ##
#######################################

data("USProdIndex", package = "AER")
plot(USProdIndex, plot.type = "single", col = 1:2)

## Franses (1998), Table 5.1
round(eacf(log(USProdIndex[,1])), digits = 3)

## Franses (1998), Equation 5.6: Unrestricted airline model
## (Franses: ma1 = 0.388 (0.063), ma4 = -0.739 (0.060), ma5 = -0.452 (0.069))
arima(log(USProdIndex[,1]), c(0, 1, 5), c(0, 1, 0), fixed = c(NA, 0, 0, NA, NA))

###########################################
## Consumption of non-durables in the UK ##
###########################################

data("UKNonDurables", package = "AER")
plot(UKNonDurables)

## 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))

##############################
## Dutch retail sales index ##
##############################

data("DutchSales", package = "AER")
plot(DutchSales)

## Franses (1998), Table 5.3
round(eacf(log(DutchSales), lag = c(1:18, 24, 36)), digits = 3)

###########################################
## TV and radio advertising expenditures ##
###########################################

data("DutchAdvert", package = "AER")
plot(DutchAdvert)

## Franses (1998), Table 5.4
round(eacf(log(DutchAdvert[,"tv"]), lag = c(1:19, 26, 39)), digits = 3)