R/intqrt.R

In wooldridge: 115 Data Sets from "Introductory Econometrics: A Modern Approach, 7e" by Jeffrey M. Wooldridge

#' intqrt
#'
#' Wooldridge Source: From Salomon Brothers, Analytical Record of Yields and Yield Spreads, 1990. The folks at Salomon Brothers kindly provided the Record at no charge when I was an assistant professor at MIT. Data loads lazily.
#'
#' @section Notes: A nice feature of the Salomon Brothers data is that the interest rates are not averaged over a month or quarter – they are end-of-month or end-of-quarter rates. Asset pricing theories apply to such “point-sampled” data, and not to averages over a period. Most other sources report monthly or quarterly averages. This is a good data set to update and test whether current data are more or less supportive of basic asset pricing theories.
#'
#' Used in Text: pages 405-406, 641, 646-647, 650, 652, 672, 673
#'
#' @docType data
#'
#' @usage data('intqrt')
#'
#' @format A data.frame with 124 observations on 23 variables:
#' \itemize{
#'  \item \strong{r3:} bond equiv. yield, 3 mo T-bill
#'  \item \strong{r6:} bond equiv. yield, 6 mo T-bill
#'  \item \strong{r12:} yield on 1 yr. bond
#'  \item \strong{p3:} price of 3 mo. T-bill
#'  \item \strong{p6:} price of 6 mo. T-bill
#'  \item \strong{hy6:} 100*(p3 - p6[_n-1])/p6[_n-1])
#'  \item \strong{hy3:} r3*(91/365)
#'  \item \strong{spr63:} r6 - r3
#'  \item \strong{hy3_1:} hy3[_n-1]
#'  \item \strong{hy6_1:} hy6[_n-1]
#'  \item \strong{spr63_1:} spr63[_n-1]
#'  \item \strong{hy6hy3_1:} hy6 - hy3_1
#'  \item \strong{cr3:} r3 - r3_1
#'  \item \strong{r3_1:} r3[_n-1]
#'  \item \strong{chy6:} hy6 - hy6_1
#'  \item \strong{chy3:} hy3 - hy3_1
#'  \item \strong{chy6_1:} chy6[_n-1]
#'  \item \strong{chy3_1:} chy3[_n-1]
#'  \item \strong{cr6:} r6 - r6_1
#'  \item \strong{cr6_1:} cr6[_n-1]
#'  \item \strong{cr3_1:} cr3[_n-1]
#'  \item \strong{r6_1:} r6[_n-1]
#'  \item \strong{cspr63:} spr63 - spr63_1
#' }
#' @source \url{https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041}
#' @examples  str(intqrt)
"intqrt"