TimeSeriesData            package:fEcofin            R Documentation

_T_i_m_e _S_e_r_i_e_s _D_a_t_a _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of data sets  used in the examples of
     the Rmetrics packages. 

     The data sets are:

       'bmwRet'           Daily BMW Stock Returns,
       'CPI.dat'          US Consumer Price Index,
       'IP.dat'           US Industrial Production Index,
       '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,
       'DowJones30'       Down Jones 30 Stocks,
       'ford.s'           Daily Ford Stock Prices,
       'hp.s'             Daily Hewlett-Packard Stock Prices,
       'klein'            Klein's US Economic Data Set,
       'kmenta'           Kmenta's US Economic Data Set,
       'msft.dat'         Microsoft Stock Prices,
       'nelsonplosser'    Nelson-Plosser US Economic Time Series,
       'nyse'             NYSE Composite Index,
       'recession'        US Recession Data Set,
       '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,
       'sp500index'       Daily SP500 Index Returns,
       'surex1.ts.dat'    Exchange Rate Spot Returns,
       'yhoo.df'          Yahoo Stock Prices.

_F_o_r_m_a_t:

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

_D_e_t_a_i_l_s:

     *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.
      Source:

     *US Consumer Price Index:*

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

     *Industrial Production Index::*

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

     *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:
       Source:

     *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.

     *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: 
      Source:

     *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:
      Source:

     *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:
       Source:

     *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:

     *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].
      Source:

     *NYSE Composite Index:*

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

     *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 Source:


     *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: 
       Source: 

     *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.

     *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:

     *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.
      Source: 

_R_e_f_e_r_e_n_c_e_s:

     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.

_E_x_a_m_p_l_e_s:

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

