data_consumption: Dataset with consumption growth and asset returns.

In GmmEst: Model Estimation by Generalized Method of Moments (GMM)

Description

The dataset contains five US time series from 1952 to 2014 with a yearly frequency.

Usage

data("data_consumption")

Format

A data frame containing 63 observations on 5 variables.

date

Year

dc

Gross consumption growth

rmrf

Net excess return of the value weighted CRSP market

smb

Net excess return of French's Small-Minus-Big portfolio

hml

Net excess return of French's High-Minus-Low portfolio

rf

risk-free rate

Source

FRED database and Kenneth French's homepage (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html). Supplied in John Cochrane's Asset Pricing Course on Coursera.

Examples

data("data_consumption", package = "GmmEst")

## Example
head(data)

GmmEst documentation built on May 2, 2019, 6:30 p.m.