R/datasets.R

In Rodrigo-sgj/inars: INARS(1) Model for Integer-Valued Time Series

#' @title Transaction data
#'
#' @description The data refers to a change in the stock value of the
#' General Electric company in 10 minutes differences beginning in August
#' 1995. The tick-by-tick data is from The Trade and Quote database, which
#' provides historical tick-by-tick data for all stocks listed on New York
#' Stock Exchange, back to 1993.
#'
#' @format A data frame with 62 observations on the following 3 variables.
#'
#' \itemize{
#' \item \code{tick}: Integer-valued time series of ticks.
#' \item \code{spread}: A financial indicator that represents the value at
#'  which the selling price exceeds the other price of an asset in the
#'  market. This variable is equals 1 if the bid-ask spread is larger than
#'  one tick; and 0 otherwise.
#' }
#'
#' @usage data(tick)
#'
#' @references
#' Nyholm, K. (2003). Inferring the private information content
#'     of trades: a regime-switching approach. Journal of Applied
#'     Econometrics, 18, 457--470.
#'
#' Andersson, J., & Karlis, D. (2014). A parametric time series model with
#'     covariates for integers in Z. Statistical Modelling, 14, 135-156.
#'
"tick"