USStocksSW {AER} | R Documentation |
Monthly data from 1931–2002 for US stock prices, measured by the broad-based (NYSE and AMEX) value-weighted index of stock prices as constructed by the Center for Research in Security Prices (CRSP).
data("USStocksSW")
A monthly multiple time series from 1931(1) to 2002(12) with 2 variables.
Online complements to Stock and Watson (2007).
http://wps.aw.com/aw_stock_ie_2/
Campbell, J.Y., and Yogo, M. (2006). Efficient Tests of Stock Return Predictability Journal of Financial Economics, 81, 27–60.
Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.
data("USStocksSW") plot(USStocksSW) ## Stock and Watson, p. 540, Table 14.3 library("dynlm") fm1 <- dynlm(returns ~ L(returns), data = USStocksSW, start = c(1960,1)) coeftest(fm1, vcov = sandwich) fm2 <- dynlm(returns ~ L(returns, 1:2), data = USStocksSW, start = c(1960,1)) waldtest(fm2, vcov = sandwich) fm3 <- dynlm(returns ~ L(returns, 1:4), data = USStocksSW, start = c(1960,1)) waldtest(fm3, vcov = sandwich) ## Stock and Watson, p. 574, Table 14.7 fm4 <- dynlm(returns ~ L(returns) + L(d(dividend)), data = USStocksSW, start = c(1960, 1)) fm5 <- dynlm(returns ~ L(returns, 1:2) + L(d(dividend), 1:2), data = USStocksSW, start = c(1960,1)) fm6 <- dynlm(returns ~ L(returns) + L(dividend), data = USStocksSW, start = c(1960,1))