data: Multiple Time Series Data Set
In VARtests: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models
Description
The data matrix VodafoneCDS is used for the examples. It consists of 804 daily observations, from 1 January 2009 to 31 January 2012, of Vodafone's Credit Default Swap prices (the 'CDS' column) and the credit spread on its bond over the risk-free rate (the 'SWSP' column). For more information, see Ahlgren and Catani (2016), who used the same data set.
References
Ahlgren, N. & Catani, P. (2016).
Wild bootstrap tests for autocorrelation in vector autoregressive models. Stat Papers, <doi:10.1007/s00362-016-0744-0>.
VARtests documentation built on May 2, 2019, 5:03 a.m.
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Description
The data matrix VodafoneCDS is used for the examples. It consists of 804 daily observations, from 1 January 2009 to 31 January 2012, of Vodafone's Credit Default Swap prices (the 'CDS' column) and the credit spread on its bond over the risk-free rate (the 'SWSP' column). For more information, see Ahlgren and Catani (2016), who used the same data set.
References
Ahlgren, N. & Catani, P. (2016). Wild bootstrap tests for autocorrelation in vector autoregressive models. Stat Papers, <doi:10.1007/s00362-016-0744-0>.
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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