DWJ
(Package: sde) :
Weekly closings of the Dow-Jones industrial average
This dataset contains the weekly closings of the Dow-Jones industrial average in the period July 1971–August 1974. These data were proposed to test change-point estimators. There are 162 data, and the main evidence found by several authors is that a change in the variance occurred around the third week of March 1973.
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