Wooldridge Source: J.D. Hamilton and L. Gang (1996), “Stock Market Volatility and the Business Cycle,” Journal of Applied Econometrics 11, 573-593. I obtained these data from the Journal of Applied Econometrics data archive at http://qed.econ.queensu.ca/jae/ Data loads lazily.
data('volat')
A data.frame with 558 observations on 17 variables:
date: 1947.01 to 1993.06
sp500: S&P 500 index
divyld: div. yield annualized rate
i3: 3 mo. T-bill annualized rate
ip: index of industrial production
pcsp: pct chg, sp500, ann rate
rsp500: return on sp500: pcsp + divyld
pcip: pct chg, IP, ann rate
ci3: i3 - i3[_n-1]
ci3_1: ci3[_n-1]
ci3_2: ci3[_n-2]
pcip_1: pcip[_n-1]
pcip_2: pcip[_n-2]
pcip_3: pcip[_n-3]
pcsp_1: pcip[_n-1]
pcsp_2: pcip[_n-2]
pcsp_3: pcip[_n-3]
https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041
pages 378, 670, 671, 674
#> 'data.frame': 558 obs. of 17 variables: #> $ date : num 1947 1947 1947 1947 1947 ... #> $ sp500 : num 15.2 15.8 15.2 14.6 14.3 ... #> $ divyld: num 4.49 4.38 4.61 4.75 5.05 ... #> $ i3 : num 0.38 0.38 0.38 0.38 0.38 ... #> $ ip : num 22.4 22.5 22.6 22.5 22.6 ... #> $ pcsp : num NA 46.5 -48.6 -44.3 -21.4 ... #> $ rsp500: num NA 50.9 -44 -39.6 -16.3 ... #> $ pcip : num NA 5.36 5.33 -5.31 5.33 ... #> $ ci3 : num NA 0 0 0 0 ... #> $ ci3_1 : num NA NA 0 0 0 ... #> $ ci3_2 : num NA NA NA 0 0 ... #> $ pcip_1: num NA NA 5.36 5.33 -5.31 ... #> $ pcip_2: num NA NA NA 5.36 5.33 ... #> $ pcip_3: num NA NA NA NA 5.36 ... #> $ pcsp_1: num NA NA 46.5 -48.6 -44.3 ... #> $ pcsp_2: num NA NA NA 46.5 -48.6 ... #> $ pcsp_3: num NA NA NA NA 46.5 ... #> - attr(*, "time.stamp")= chr "25 Jun 2011 23:03"