R: Monthly US Stock Returns (1931-2002, Stock & Watson)
USStocksSW
R Documentation
Monthly US Stock Returns (1931–2002, Stock & Watson)
Description
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).
Usage
data("USStocksSW")
Format
A monthly multiple time series from 1931(1) to 2002(12) with 2 variables.
returns
monthly excess returns. The monthly return on stocks
(in percentage terms) minus the return on a safe asset (in this case:
US treasury bill). The return on the stocks includes the price changes
plus any dividends you receive during the month.
dividend
100 times log(dividend yield). (Multiplication by 100
means the changes are interpreted as percentage points). It is calculated
as the dividends over the past 12 months, divided by the price in the current month.
R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> library(AER)
Loading required package: car
Loading required package: lmtest
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: sandwich
Loading required package: survival
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/AER/USStocksSW.Rd_%03d_medium.png", width=480, height=480)
> ### Name: USStocksSW
> ### Title: Monthly US Stock Returns (1931-2002, Stock & Watson)
> ### Aliases: USStocksSW
> ### Keywords: datasets
>
> ### ** Examples
>
> 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)
t test of coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.311562 0.197371 1.5786 0.1151
L(returns) 0.050390 0.051208 0.9840 0.3256
> fm2 <- dynlm(returns ~ L(returns, 1:2), data = USStocksSW, start = c(1960,1))
> waldtest(fm2, vcov = sandwich)
Wald test
Model 1: returns ~ L(returns, 1:2)
Model 2: returns ~ 1
Res.Df Df F Pr(>F)
1 513
2 515 -2 1.3423 0.2622
> fm3 <- dynlm(returns ~ L(returns, 1:4), data = USStocksSW, start = c(1960,1))
> waldtest(fm3, vcov = sandwich)
Wald test
Model 1: returns ~ L(returns, 1:4)
Model 2: returns ~ 1
Res.Df Df F Pr(>F)
1 511
2 515 -4 0.7069 0.5875
>
> ## 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))
>
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>
> dev.off()
null device
1
>