| bev {artfima} | R Documentation |
Beveridge Wheat Price Index which gives annual price data from 1500 to 1869.
data("bev")The format is: Time-Series [1:370] from 1500 to 1869: 17 19 20 15 13 14 14 14 14 11 ...
Baille suggests the time series is overdifferenced and is best fit by an ARFIMA model.
CRAN package tseries.
R. T. Baillie (1996): Long Memory Processes and Fractional Integration in Econometrics. Journal of Econometrics, 73, 5-59.
data(bev)
#series needs a log transformation as is evident from the plot
plot(bev)
## Not run:
w <- diff(bev)
bestModels(w)
## End(Not run)