Readme file

SERIES B
Statistical Methodology

Correlograms for non-stationary autoregressions
B. Nielsen,
Journal of the Royal Statistical Society, Series B, volume 68 (2006), part 4, pages 707 - 720

This directory contains the data, as used as illustration. All files are ASCII files

File description:

file source description
UKExpenditure.dat
a
 log of real Total Factor Expenditure, pounds million, seasonally adjusted, 1985 prices, quarterly 1963 (1) -- 1989(3)
UKPrices.dat
a
 log prices: deflator of TFE, seasonally adjusted, base 1985, quarterly 1963 (1) -- 1989(3)
UKInflation.dat
a
 inflation, difference of log prices.
YugoPrices
b
 retail prices (not log), monthly 1990 (12) -- 1994 (1)

Sources

(a): data accompanying D.F. Hendry (1995) Dynamic Econometrics. Oxford University Press
http://www.nuff.ox.ac.uk/users/hendry/

(b): Data archive 96141.zip from
http://webmail.econ.ohio-state.edu/john/Volume32No4Pt1.php
Journal of Money Credit and Banking OnLine Data Archive Pavle Petrovic and Zorica Mladenovic, "Money Demand and Exchange Rate Determination under Hyperinflation: Conceptual Issues and Evidence from Yugoslavia," pp. 785-806

Bent Nielsen
Nuffield College
Oxford
OX1 1NF
UK

E-mail: bent.nielsen@nuf.ox.ac.uk

  • Dataset (nielsen.zip, size - 12kb)
 Journals

SERIES A
Statistics in Society

SERIES B
Statistical Methodology

SERIES C
Applied Statistics

SERIES D
The Statistician