R/data.R

In ivx: Robust Econometric Inference

#' @title KMS Monthly data
#'
#' @description The dataset that was used in Kostakis et al (2015), containing
#'a range of financial variables.
#'
#' \itemize{
#'  \item Date: year-month-date (monthly frequency)
#'  \item DE: dividend payout ratio
#'	\item LTY: long-term yield
#'	\item DY: dividend yield
#'	\item DP: dividend-price ratio
#'	\item TBL: T-bill rate
#'	\item EP: earnings-price ratio
#'	\item BM: book-to-market value ratio
#'	\item INF: inflation rate
#'	\item DFY: default yield spread
#'	\item NTIS: net equity expansion
#'	\item TMS: term spread
#'	\item Ret: S&P 500 value-weighted log excess returns
#'}
#'
#' @format A data.frame with 13 variables and 1,033 observations.
#'
#' @source \url{https://drive.google.com/open?id=1FdT2STHO2Lnlweom4AwICVf-rpVMfgV4}
"kms"



#' @title KMS Quarterly data
#'
#' @description The dataset that was used in Kostakis et al (2015), containing
#'a range of financial variables.
#'
#' \itemize{
#'  \item Date: year-month-date
#'  \item DE: dividend payout ratio
#'	\item LTY: long-term yield
#'	\item DY: dividend yield
#'	\item DP: dividend-price ratio
#'	\item TBL: T-bill rate
#'	\item EP: earnings-price ratio
#'	\item BM: book-to-market value ratio
#'	\item INF: inflation rate
#'	\item DFY: default yield spread
#'	\item NTIS: net equity expansion
#'	\item TMS: term spread
#'	\item Ret: S&P 500 value-weighted log excess returns
#'}
#'
#'
#' @format A data.frame with 13 variables and 345 observations.
#'
#' @source \url{https://drive.google.com/open?id=1FdT2STHO2Lnlweom4AwICVf-rpVMfgV4}
"kms_quarterly"

#' @title YLPC Quarterly data
#'
#' @description The dataset that was used in ..., containing
#'a range of  variables.
#'
#' @source \url{https://www.tandfonline.com/doi/suppl/10.1080/01621459.2019.1686392/suppl_file/uasa_a_1686392_sm7226.zip}
#'
"ylpc"

#' Monthly dataset of KMS
#'
#' @keywords internal
"monthly"

#' Quarterly dataset of KMS
#'
#' @keywords internal
"quarterly"