exchangerate: International Exchange Rate Dataset
In bayesefa: Bayesian Exploratory Factor

Description Usage Format Author(s) Source

This dataset was considered by West and Harrison (1997) and Lopes and West (2004). The dataset consists of n = 143 monthly first-differences of the exchange rates of 6 international currencies against the British pound, from Jan 1975 to Dec 1986, these currencies are: US dollar (USD), Canadian dollar (CAD), Japanese yen (JPY), French franc (FRF), German (deutsche) mark (DEM), and the Italian lira (ITL).

1	exchangerate

A 143 by 7 matrix of exchange rate time-series. The variables include:

Month_Year: Month and year of exchange rate data.
USD: US dollar
CAD: Canadian dollar
JPY: Japanese yen
FRF: French franc
DEM: German (deutsche) mark
ITL: Italian lira

Steven Culpepper

Lopes, H. F., and West, M. (2004). Bayesian model assessment in factor analysis, Statistica Sinica, 14, 41–67.

Man, A. & Culpepper, S. A. (2020). A mode-jumping algorithm for Bayesian factor analysis. Journal of the American Statistical Association, doi:10.1080/01621459.2020.1773833.

West, M., and Harrison, J. (1997), Bayesian forecasting and dynamic models (2nd ed.), Berlin, Heidelberg: Springer-Verlag.

bayesefa documentation built on Feb. 10, 2021, 5:10 p.m.