Wooldridge Source: These are Wednesday closing prices of value-weighted NYSE average, available in many publications. I do not recall the particular source I used when I collected these data at MIT. Probably the easiest way to get similar data is to go to the NYSE web site, www.nyse.com. Data loads lazily.
A data.frame with 691 observations on 8 variables:
price: NYSE stock price index
return: 100*(p - p(-1))/p(-1))
return_1: lagged return
cprice: price - price_1
cprice_1: lagged cprice
pages 388-389, 407, 436, 438, 440-441, 442, 663-664
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