AER (version 0.2-2)

USStocksSW: 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")

source

Online complements to Stock and Watson (2007).

http://wps.aw.com/aw_stock_ie_2/

References

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.

See Also

StockWatson2007

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)
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))