Law of one price data for the paper entitled “the autoregressive distributed lag bounds test generalised to consider a long-run levels relationship when all levels variables are I(0)”

Stewart, Chris [Creator] (2023) Law of one price data for the paper entitled “the autoregressive distributed lag bounds test generalised to consider a long-run levels relationship when all levels variables are I(0)”. [Data Collection] (Unpublished)

Lay Summary

his Excel file contains the natural logarithms of the Bulgaria-Denmark and Denmark-euro exchange rates as well as the logarithms of the relative prices for selected products for Bulgaria-Denmark (pharmaceutical products) and Denmark-Euro Area (household textiles; recreational and sporting services). The maximum sample period of this data is January 1999 to July 2023. This data was used in producing empirical results in the paper entitled “The autoregressive distributed lag bounds test generalised to consider a long-run levels relationship when all levels variables are I(0)” by Chris Stewart. These empirical results illustrate the application of the generalisation of the autoregressive distributed lag bounds test for a long run levels relationship proposed in this paper.

Item Type:

Data Collection

Creators:

Stewart, Chris [Creator]

Faculty, School or Research Centre:

Faculty of Arts and Social Sciences > School of Law, Social and Behavioural Sciences

Date Deposited:

16 Oct 2023 09:04

Type of Data:

Dataset

Data collection method:

The data are basic mathematical transformations of raw exchange rate and price data from the secondary data source: Eurostat database (Database - Eurostat (europa.eu)).

Data processing and preparation activities:

The data from Eurostat are euro exchange rates (number of national currency per euro). The natural logarithm has been taken of the Denmark-euro exchange rate from Eurostat. The Bulgaria-Denmark exchange rate is calculated as the ratio of the Bulgaria-euro to Denmark-euro exchange rates taken from Eurostat. The natural logarithm is then taken of the derived Bulgaria-Denmark exchange rate. Household textiles prices as well as recreational and sporting services prices for Denmark and the Euro Area are taken from Eurostat. The natural logarithm of the ratio of Danish to Euro Area household textiles prices as well as the natural logarithm of the ratio of Danish to Euro Area recreational and sporting services prices are constructed. Pharmaceutical product prices for Bulgaria and Denmark are take from Eurostat. The natural logarithm of the ratio of Bulgarian to Danish pharmaceutical product prices is constructed from this raw data.

Publisher:

Kingston University

Status:

Unpublished

Statement on legal, ethical and access issues:

The Eurostat database is free to access and publicly available (https://ec.europa.eu/eurostat/databrowser/explore/all/all_themes?lang=en&display=list&sort=category). Under the copyright notice on this website it states: "Unless otherwise indicated (e.g. in individual copyright notices), content owned by the EU on this website is licensed under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence. This means that reuse is allowed, provided appropriate credit is given and changes are indicated." None of this data depicts identifiable private individuals.

Kingston University

Geographic coverage:

The data is available for the two bilateral geographical countries/areas: Bulgaria-Denmark and Denmark-euro

Collection period:

From	To
January 1999	July 2023

Retention date:

16 October 2033

Additional Information:

The data is available from the launch of the euro currency in January 1999

URI:

https://researchdata.kingston.ac.uk/id/eprint/195

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