TimeSeriesData | R Documentation |
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. |
All files are in CSV Excel spreadsheet format. The delimiter is a semicolon.
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:
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.
## Load Example Data Set: data(kmenta) kmenta
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