CRSPday {ETM} | R Documentation |
monthly observations from 1969-1-03 to 1998-12-31
number of observations : 2528
observation : firms
country : United States
data(CRSPday)
A dataframe containing :
“All data are taken from the CRSP daily returns database created by the Center for Research in Security Prices of the University of Chicago. They are provided, with the permission of the Center for Research in Security Prices, solely for the purpose of doing exercises from "Econometric Theory and Methods" by Russell Davidson and James G. MacKinnon.”
Center for Research in Security Prices, Graduate School of Business, University of Chicago, 725 South Wells - Suite 800, Chicago, Illinois 60607, http://www.crsp.com.
Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, chapter 7, 9 and 15.