CRSP: Monthly simple returns of the CRSP value-weighted index, 1926...
In portes: Portmanteau Tests for Time Series Models
CRSP R Documentation
Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
Description
This data has been discussed by Tsay (2002, Ch.2, p.38 and 39) and
Lin and McLeod (2008).
There are 864 data values.
Usage
data(CRSP)
References
Lin, J.-W. and McLeod, A.I. (2008). "Portmanteau Tests for ARMA Models with Infinite Variance".
Journal of Time Series Analysis, 29, 600-617.
Tsay, R. S. (2002). Analysis of Financial Time Series. Wiley, New York.
Examples
acf(CRSP)
portes documentation built on July 9, 2023, 5:07 p.m.
R Package Documentation
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| CRSP | R Documentation |
Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
Description
This data has been discussed by Tsay (2002, Ch.2, p.38 and 39) and Lin and McLeod (2008). There are 864 data values.
Usage
data(CRSP)References
Lin, J.-W. and McLeod, A.I. (2008). "Portmanteau Tests for ARMA Models with Infinite Variance". Journal of Time Series Analysis, 29, 600-617.
Tsay, R. S. (2002). Analysis of Financial Time Series. Wiley, New York.
Examples
acf(CRSP)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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