Wooldridge Source: These are Wednesday closing prices of value-weighted NYSE average, available in many publications. I do not recall the particular source I used when I collected these data at MIT. Probably the easiest way to get similar data is to go to the NYSE web site, www.nyse.com. Data loads lazily.
data('nyse')A data.frame with 691 observations on 8 variables:
price: NYSE stock price index
return: 100*(p - p(-1))/p(-1))
return_1: lagged return
t:
price_1:
price_2:
cprice: price - price_1
cprice_1: lagged cprice
https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041
pages 388-389, 407, 436, 438, 440-441, 442, 663-664
str(nyse)
#> 'data.frame': 691 obs. of 8 variables:
#> $ price : num 49.8 51.4 52 52.3 54.2 ...
#> $ return : num NA 3.397 1.186 0.442 3.749 ...
#> $ return_1: num NA NA 3.397 1.186 0.442 ...
#> $ t : int 1 2 3 4 5 6 7 8 9 10 ...
#> $ price_1 : num NA 49.8 51.4 52 52.3 ...
#> $ price_2 : num NA NA 49.8 51.4 52 ...
#> $ cprice : num NA 1.69 0.61 0.23 1.96 ...
#> $ cprice_1: num NA NA 1.69 0.61 0.23 ...
#> - attr(*, "time.stamp")= chr "25 Jun 2011 23:03"