RmetricsPackages: Time Series Data Sets used in Rmetrics Packages

In fEcofin: Rmetrics - Economic and Financial Data Sets

Time Series Data Sets used in Rmetrics Packages

Description

Data sets used in examples of several Rmetrics packages.

The data sets are:

bmwRet	Daily BMW Stock Returns,
danishClaims	Danish Fire Losses,
dem2gbp	DEM/GBP Foreign Exchange Rate,
DEM98NYC	BID prices of USDDEM FX rates recorded at NYC,
DEM98ZRH	BID prices of USDDEM FX rates recorded at ZRH,
klein	Klein's US Economic Data Set,
kmenta	Kmenta's US Economic Data Set,
recession	US Recession Data Set,
sp500index	Daily SP500 Index Returns.

Format

All files are in CSV Excel spreadsheet format. The delimiter is a semicolon.

Details

Daily BMW Stock Returns:

bmwRet is a daily data set of the German BMW tock returns.
The data set ranges from 1973-01-03 to 1996-07-23.
The columns are named: BMW.RET.

Danish Fire Losses:

danishClaims contains data representing daily danish fire losses in Million Danish Kronors.
The data set ranges from 1980-01-03 to 1990-12-31.
The columns are named:

DEM/GBP Foreign Exchange Rate:

dem2gbp contains daily observations of the Deutschmark / British Pound foreign exchange log returns. This data set has been promoted as an informal benchmark for GARCH time-series software validation. See McCullough and Renfro [1991], and Brooks, Burke, and Persand (2001) for details. The nominal returns are expressed in percent, as published in Bollerslev and Ghysels (2001).
The data set ranges from 1984-01-03 to 1991-12-31.
The columns are named:
Source: Journal of Business and Economic Statistics, ftp://www.amstat.org.

BID Prices of USDDEM FX Rates:

DEM98NYC and DEM98ZRH contain intra-daily foreign exchange bid prices for the USDDEM exchange rate for the third week in March 1998. One file is recorded in local New York City time, the other in local Zurich time. The data set ranges from:
The columns are named: BID
Source: Diethelm Wuertz and Remo Schnidrig.

Klein's US Economic Data Set:

klein contains data for Klein's (1950) simple econometric model of the US economy. The Klein data frame has 22 rows and 10 columns.
The data set ranges from The columns are named: year, c, p, wp, i, k.lag, x, wg, g, tax. They denote:
year years 1921-1941, in the POSIX data format %Y-%m-%d,
c the consumption,
p the private profits,
wp the private wages,
i the investment,
k.lag the capital stock, lagged one year,
x the equilibrium demand,
wg the government wages,
g the government non-wage spending,
tax indirect business taxes and net exports.
Source: Greene (1993)

Kmenta's US Economic Data Set:

kmenta contains partly contrived data from Kmenta (1986), constructed to illustrate estimation of a simultaneous-equation model. The data set has 20 rows and 6 columns, where the first holds the ISO-8601 formatted date as "%Y-%m-%d". The exogenous variables in the first four columns are based on real data; the endogenous variables in the remaining two columns were generated by simulation.
The data set ranges from
The columns are named: q, p, d, f, a.
They denote:
q food consumption per capita,
p ratio of food prices to general consumer prices,
d disposable income in constant dollars,
f ratio of preceding year's prices received by farmers to general consumer prices,
a time in years (numbered from 1 to 20).
Source:

US Recession Data Set:

recession holds the data set used in the regression analysis of US recession. The data include short and long term interest rates from the US, the 3 Month Tbills data from US FED, the 10 Year Tbonds data from US FED, and also the Stock-Watson experimental recession index.
The data set ranges from
The columns are named: cr

US Index and Price Data Records:

singleIndex.dat holds monthly index and price data records. Included are monthly closing prices for Microsoft Corporation (MSFT) and SP500 Index (SP500).
The data set ranges from January 1990 to January 2001.
The columns are named:

Daily SP500 Index Returns:

sp500index lists daily SP500 index values.
The data set ranges from January 1995 until December 1999.
The columns are named:
Source:

Exchange Rate Spot Returns:

surex1.ts.dat contains exchange rate spot returns and forward premium data as used in the article of Eric Zivot (2000).
The data set ranges from
The columns are named:
Source:

References

Berndt E.R. (1991); The Practice of Econometrics: Classic and Contemporary, Addison-Wesley Publishing Co.

Box G.E.P., Jenkins J.M. (1976); Time Series Analysis: Forecasting and Control, Holden Day, San Francisco.

Brooks C., Burke S.P., Persand G. (2001); Benchmarks and the Accuracy of GARCH Model Estimation, International Journal of Forecasting 17, 45–56.

Ding Z., Granger C.W.J., Engle R.F. (1993); A Long Memory Property of Stock Market Returns And a New Model, Journal of Empirical Finance 1, 83–106.

McCullough B.D., Renfro C.G. (1998); Benchmarks and Software Standards: A Case Study of GARCH Procedures, Journal of Economic and Social Measurement 25, 59–71.

Greene W.H. (1993); Econometric Analysis, Second Edition, Macmillan.

Klein, L. (1950); Economic Fluctuations in the United States 1921–1941, Wiley.

Kmenta J. (1997); Elements of Econometrics, Second Edition, University of Michigan Publishing.

Laurent S., Peters J.P. (2002); G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models, Journal of Economic Surveys 16, 447–485.

Nelson C.R., Plosser C.I. (1982); Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics, 10, 139–162.

Zivot E. (2000); Cointegration and forward and spot exchange rate regressions, Journal of International Money and Finance 19, 785–812, and 387–401.

Examples

## Load Example Data Set:
   data(kmenta)
   kmenta

fEcofin documentation built on Sept. 9, 2022, 3:01 p.m.