Rmetrics Data Sets

Description

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.

Format

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

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.