ZivotWangTextbook: Selected Data Sets from Zivot and Wang

Description Format Details References Examples

Description

Data sets from the textbook "Modeling Financial Time Series with S-PLUS" written by Eric Zivot and Jiahui Wang.

The data sets are:

CPI.dat US Consumer Price Index,
DowJones30 Down Jones 30 Stocks,
ford.s Daily Ford Stock Prices,
hp.s Daily Hewlett-Packard Stock Prices,
IP.dat US Industrial Production Index,
msft.dat Microsoft Stock Prices,
nelsonplosser Nelson-Plosser US Economic Time Series,
nyse NYSE Composite Index,
shiller.dat Shiller's Data Set,
shiller.annual Shiller's Annual Data Set,
singleIndex.dat US Index and Price Data Records,
sp500dge Daily DGE SP500 Returns,
surex1.ts.dat Exchange Rate Spot Returns,
yhoo.df Yahoo Stock Prices.

Format

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

Details

US Consumer Price Index:

CPI.dat
contains data representing seasonally adjusted US Industrial Production Index.
The data set ranges from
The columns are named:

Industrial Production Index:

IP.dat
contains data representing seasonally adjusted US Consumer Price Index.
The data set ranges from
The columns are named:

Down Jones 30 Stocks:

DowJones30 contains daily observations from the Dow Jones 30 Index series. Each of the thirty columns represents the closing price of a stock in the Index.
The data set ranges from 1991-01-02 to 2001-01-02.
The columns are named:

Daily Ford Stock Prices:

ford.s contains data representing 2000 daily stock returns for the Ford shares traded at NYSE.
The data set ranges from 1084-01-02 to 1991-12-31.
The columns are named:

Daily Hewlett-Packard Stock Prices:

hp.s contains data representing 2000 daily stock returns for the HP shares traded at NYSE.
The data set ranges from 1084-01-02 to 1991-12-31.
The columns are named:

Microsoft Stock Prices:

msft.dat contains daily stock prices and volumes for the the Microsoft stocks. The data set ranges from 2000-09-27 to 2001-09-27
The columns are named: Open, High, Low, Close, Volume.
Source: www.yahoo.com

Nelson-Plosser US Economic Time Series:

nelsonplosser contains the data set listing fourteen US economic time series used by Nelson and Plosser in their seminal paper.
The data set ranges from 1860-12-31 until 1970-12-31.
The columns are named: gnp.r, gnp.n, gnp.pc, ip, emp, ur, gnp.p, cpi, wg.n, wg.r, M, vel, bnd, sp.
They denote:
gnp.r-Real GNP, [Billions of 1958 Dollars], [1909-1970],
gnp.n-Nominal GNP, [Millions of Current USD], [1909-1970],
gnp.pc-Real Per Capita GNP, [1958 Dollars], [1909-1970],
ip-Industrial Production Index, [1967 = 100], [1860-1970],
emp-Total Employment, [Thousands], [1890-1970],
ur-Total Unemployment Rate, [Percent], [1890-1970],
gnp.p-GNP Deflator, [1958 = 100], [1889-1970],
cpi-Consumer Price Index, [1967 = 100], [1860-1970],
wg.n-Nominal Wages, [current Dollars], [1900-1970],
wg.r-Real Wages, [Nominal wages/CPI], [1900-1970],
M-Money Stock (M2), [Billions USD, annual avgs], [1889-1970],
vel-Velocity of Money, [1869-1970],
bnd-Basic Yields 30-year Corporate Bonds, [% pa], [1900-1970],
sp-Stock Prices, [Index; 1941-43 = 100], [1871-1970].

NYSE Composite Index:

nyse contains daily records of the NYSE Composite Index.
The data set ranges from
The columns are named:

Shiller's Data Set:

shiller.dat holds the data used in the book "Irrational Exuberance" by Robert Shiller.
The data set ranges from January 1871 ato March 2001.
The columns are named:
They denote:
price - monthly nominal US SP stock market prices,
dividend - nominal SP Composite Index dividends,
earnings - nominal SP Composite Index earnings,
cpi - US Consumer Price Indexes,
real.price - real US stock market prices,
real.dividend - real SP Composite Index dividends,
real.earnings - real SP Composite Index earnings,
pe.10 - price-earnings ratios.
Source: Robert Shiller.

Shiller's Annual Data Set:

shiller.annual holds the annual data used in the book "Irrational Exuberance" by Robert Shiller.
The data set ranges from January 1871 ato March 2001.
The columns are named:
They denote:
They denote:
price - monthly nominal US SP stock market prices,
dividend - nominal SP Composite Index dividends,
earnings - nominal SP Composite Index earnings,
cpi - US Consumer Price Indexes,
real.price - real US stock market prices,
real.dividend - real SP Composite Index dividends,
real.earnings - real SP Composite Index earnings,
pe.10 - price-earnings ratios,
dp.ratio - dividend-price ratios,
dp.yield - dividend-price yield.
Source: Robert Shiller.

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 DGE SP500 Returns:

sp500dge lists daily returns from the SP500 as used in the paper of Ding, Granger and Engle.
The data set ranges from
The columns are named: Source: Ding, Granger and Engle.

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:

Yahoo Stock Prices:

yhoo.df contains data representing daily transaction information of Yahoo stocks.
The data set ranges from
The columns are named: Date, Open, High, Low, Close, Volume.

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.

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

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## Load Example Data Set:
   data(CPI.dat)
   head(CPI.dat)

fEcofin documentation built on Nov. 17, 2017, 2:26 p.m.