R/rossi2006-data.R

In forecastdom: (Un)Conditional Forecast Dominance

#' Bilateral Nominal Exchange Rates (Rossi, 2006)
#'
#' Monthly nominal exchange rates against the U.S. dollar for five
#' industrialised economies, used in the empirical exercise of
#' Rossi (2006). Originally distributed as a Datastream extract in the
#' replication archive at
#' \url{https://github.com/gabbocg/rossi2006}.
#'
#' @format A data frame with 1,550 rows and 3 variables:
#' \describe{
#'   \item{date}{First-of-month \code{Date}, from 1973-03-01 to
#'     1998-12-01 (310 monthly observations per country).}
#'   \item{country}{Factor with levels \code{"Canada"},
#'     \code{"France"}, \code{"Germany"}, \code{"Italy"},
#'     \code{"Japan"}.}
#'   \item{fx}{Numeric. Nominal bilateral exchange rate level vs. the
#'     U.S. dollar, as supplied in the source file. The empirical
#'     exercise in Rossi (2006) works with \code{log(fx)} and its
#'     monthly differences.}
#' }
#'
#' @source Replication archive of Rossi (2006):
#'   \url{https://github.com/gabbocg/rossi2006}.
#'
#' @references
#' Rossi, B. (2006). Are exchange rates really random walks? Some
#' evidence robust to parameter instability.
#' \emph{Macroeconomic Dynamics}, 10(1), 20-38.
#'
#' Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models
#' of the seventies: Do they fit out of sample? \emph{Journal of
#' International Economics}, 14(1-2), 3-24.
#'
#' @examples
#' data(rossi2006)
#' head(rossi2006)
#' with(subset(rossi2006, country == "Japan"),
#'      plot(date, log(fx), type = "l", main = "Japan log FX"))
"rossi2006"