CRSPmon                package:Ecdat                R Documentation

_M_o_n_t_h_l_y _R_e_t_u_r_n_s _f_r_o_m _t_h_e _C_R_S_P _D_a_t_a_b_a_s_e

_D_e_s_c_r_i_p_t_i_o_n:

     monthly observations from 1969-1 to 1998-12

     _number of observations_ :  360

     _observation_ :  production units

     _country_ :  United States

_U_s_a_g_e:

     data(CRSPmon)

_F_o_r_m_a_t:

     A time serie containing :

     _g_e the return for General Electric, Permno 12060

     _i_b_m the return for IBM, Permno 12490

     _m_o_b_i_l the return for Mobil Corporation, Permno 15966

     _c_r_s_p the return for the CRSP value-weighted index, including 
          dividends

_S_o_u_r_c_e:

     Center for Research in Security Prices, Graduate School of 
     Business, University of Chicago,  725 South Wells - Suite 800, 
     Chicago, Illinois  60607,  <URL: http://www.crsp.com>.

_R_e_f_e_r_e_n_c_e_s:

     Davidson, R.  and  James G.  MacKinnon (2004) _Econometric Theory
     and Methods_, New York, Oxford University Press, <URL:
     http://www.econ.queensu.ca/ETM/>, chapter 13.

_S_e_e _A_l_s_o:

     'Index.Books', 'Index.Economics', 'Index.Econometrics',
     'Index.Observations', 'Index.Time.Series'

