mm: Excess returns for Martin Marietta company

In hett: Heteroscedastic t-Regression

Description

Data from the Martin Marietta company collected overa period of 5 years on a monthly basis

Usage

data(mm)

Format

A data frame with 60 observations on the following 4 variables.

date

the month the data was collected

am.can

a numeric vector

m.marietta

excess returns from the Martin Marietta company

CRSP

an index for the excess rate returns for the New York stock exchange

Source

Bulter et al (1990). Robust and partly adpative estimation of regression models. Review of Economic Statistics, 72, 321-327.

Examples

data(mm, package = "hett")
attach(mm)
plot(CRSP, m.marietta)
lines(CRSP, fitted(lm(m.marietta ~ CRSP)), lty = 2)

hett documentation built on Oct. 23, 2020, 7:13 p.m.