RmetricsData             package:fEcofin             R Documentation

_R_m_e_t_r_i_c_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 example of the
     Rmetrics packages. 

     'CPI.dat'
      'IP.dat' 

      The file '"IP.dat.csv"' contains data representing seasonally 
     adjusted US Industrial Production Index and the file 
     '"CPI.dat.csv"' contains data representing seasonally  adjusted US
     Consumer Price Index.  

     'dem2gbp' 
      The file '"dem2gbp.csv"' 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 is available from  the
     _Journal of Business and Economic Statistics_, (JBES), 
     _ftp://www.amstat.org_. A text file has one column of  data
     listing the percentual log-returns of the DEM/GBP exchange  rates.
     The sample period is from January 3, 1984, to December  31, 1991,
     for a total of 1975 daily observations of FX exchange  rates. 


     'DowJones30' 
      The file '"DowJones30.csv"' contains daily observations from 
     January 2, 1991 to January 2, 2001, of the 30 constitutents of 
     the Dow Jones Index. Each of the thirty columns represents the 
     closing price of a stock in the "Dow Jones Industrial Average". 


     'ford.s'
      'hp.s' 

      The files '"ford.s.csv"' and '"hp.s.csv"' contain data 
     representing 2000 daily stock returns for the Ford and HP shares 
     traded at NYSE. The time series span the period from Feburary 2, 
     1984, to December 31, 1991.  

     'klein' 
      The file '"klein.csv"' contains data for Klein's (1950) simple 
     econometric model of the US economy. The Klein data frame has  22
     rows and 10 columns: 
      This data frame contains the following columns:  'year' years
     1921-1941, represented 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' 
      The file '"kmenta.csv"' 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 remaining columns are: 
      '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). 
      The exogenous variables 'd', 'f', and 'a' are based  on real
     data; the endogenous variables 'p' and 'q' were  generated by
     simulation.  

     'msft.dat' 
      The file '"msft.dat.csv"' contains daily stock prices and volumes
     for the the Microsoft covering the period from 2000-09-27 until
     2001-09-27. The first column lists dates in the format
     code{"%Y-%m-%d"}, the  next four columns Open, High, Low, and
     Close Prices, and the final  column volumes. 


     'nelsonplosser' 
      The file '"nelsonplotter.csv"' contains the data set listing 
     fourteen US economic time series used by Nelson and Plosser in
     their  seminal paper. The time series are: 
      '"%Y%m%d"' - Date index from 18601231 until 19701231, 
       '"gnp.r"' - Real GNP, [Billions of 1958 Dollars], [1909 - 1970], 
       '"gnp.n"' - Nominal GNP, [Millions of Current Dollars],  [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 of Dollars, annual
     averages],  [1889 - 1970], 
        '"vel"' - Velocity of Money, [1869 - 1970], 
        '"bnd"' - Basic Bond Yields of 30-year Corporate Bonds, 
     [Percent per annum], [1900 - 1970], 
       '"sp"' - Stock Prices, [Index; 1941 - 43 = 100], [1871 - 1970]. 

     'nyse' 
      The file '"nyse.csv"' archives a two-column dataset, the first
     contains the date in the format '"%Y%m-%d"' and the second daily
     records of the NYSE Composite Index. 

     'recession' 
      The file '"recession.csv"' 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. 


     'shiller.dat'
      'shiller.annual' 
      The files '"shiller.dat.csv"' and '"shiller.annual.csv"' hold
     data used in the book "Irrational Exuberance" by Robert Shiller.
     The  data are  '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. The last two are only  listed
     in 'shiller.annual'. The series start January 1871 and end on
     March 2001. 

     'singleIndex.dat' 
      The file '"recession.csv"' holds monthly index and price data 
     records from January 1990 to January 2001. Included are monthly
     closing  prices for Microsoft Corporation (MSFT) and SP500 Index
     (SP500). 

     'sp500dge'
      'sp500index' 
      The first file '"sp500index.csv"' lists daily SP500 index values.
      The data cover the period January 1995 until December 1999, and 
     have 1249 observations. The first column of the file lists  dates,
     and the second column lists index values. The second file
     '"sp500dge.csv"' lists daily returns from the SP500 as used in 
     the paper of Ding, Granger and Engle. 

     'surex1.ts.dat' 
       The file '"surex1.ts.csv"' contains exchange rate spot returns 
     and forward premium data as used in the article of E. Zivot
     (2000).

     'yhoo.df' 
       The file '"yhoo.df.csv"' contains data representing daily 
     transaction information of Yahoo stock, with the following  six
     columns: Date, Open, High, Low, Close, Volume.

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

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

_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.

