DutchAdvert {AER} | R Documentation |
Time series of television and radio advertising expenditures (in real terms) in The Netherlands.
data("DutchAdvert")
A four-weekly multiple time series from 1978(1) to 1994(13) with 2 variables.
Television advertising expenditures.
Radio advertising expenditures.
Online complements to Franses (1998).
http://www.few.eur.nl/few/people/franses/research/book2.htm
Franses, P.H. (1998). Time Series Models for Business and Economic Forecasting. Cambridge, UK: Cambridge University Press.
data("DutchAdvert") plot(DutchAdvert) ## 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 5.4 round(eacf(log(DutchAdvert[,"tv"]), lag = c(1:19, 26, 39)), digits = 3)