CRSP {PRTest}R Documentation

monthly simple returns of the CRSP value-weighted index, 1926 to 1997

Description

This data is used in examples in Tsay (2002, Ch.2, p.38 and 39) and in Lin and McLeod (2007). There are 864 data values.

Usage

data(CRSP)

Source

from Web resources of R.Tsay homepage.

References

Tsay, R.S. (2002). Analysis of Financial Time Series. Wiley.

Examples

data(CRSP)
pacf(CRSP)

[Package PRTest version 1.0 Index]