Data file | Content | Data type | Chapter |
|---|---|---|---|
ADVERT.XLS | Sales and advertising expenditure | Cross-sectional, N = 84 companies | |
BADNEWS.XLS | Market cap. and oil price | Time Series, T = 60 months | |
CAPM.XLS | Excess returns for Company A and the stock market | Time series, T = 120 months | Chapters 4, 5 and 6 |
CAY.XLS | Consumption, assets and income | Time series, T = 206 quarters | |
CORMAT.XLS | Artificial variables labeled Y, X and Z | Cross-sectional, N = 20 | |
EQUITY.XLS | Firm share value, debt, sales, income, assets, SEO dummy | Cross-sectional, N = 309 companies | Chapters 3, 4, 5 and 7 |
EX34.XLS | Artificial variables labeled Y, X1, X2, and X3 | Cross-sectional, N = 20 | |
EX46.XLS | Artificial variables labeled Y and X | Cross-sectional, N = 50 | |
EXECUTIVE.XLS | Executive compensation, profits, changes in sales and change in debts | Cross-sectional, N = 70 companies | Chapters 2, 3, 4, 5 and 6 |
EXRUK.XLS | UK pound/US dollar exchange rate | Time series, January 1947 through October, 1996, T = 598 months | |
FIG51.XLS | Artificial variables labeled X and Y | Cross-sectional, N = 5 | |
FIG52.XLS | Artificial variables labeled X and Y | Cross-sectional, N = 100 | |
FIG53.XLS | Artificial variables labeled X and Y | Cross-sectional, N = 100 | |
FIG54.XLS | Artificial variables labeled X and Y | Cross-sectional, N = 100 | |
FIG95.XLS | Artificial variable created with φ = 0 | Time series, T = 100 | |
FIG96.XLS | Artificial variable created with φ = 0.8 | Time series, T = 100 | |
FIG97.XLS | Artificial variable created with φ = 1 | Time series, T = 100 | |
FIG98.XLS | Trend stationary artificial variable | Time series, T = 100 | |
FOREX.XLS | Spot and forward exchange rates | Time series, T = 181 months | Chapters 10 and 11 |
GDPPC.XLS | Real GDP per capita | Cross-sectional, N = 90 countries | |
HPRICE.XLS | Housing prices and housing characteristics (e.g. lot size, number of bedrooms) | Cross-sectional, N = 546 houses | Chapters 3, 5, 6 and 7 |
INTERESTRATES.XLS | Long- and short-term interest rates | Time series, 1954Q1 through 1994Q4, T = 164 quarters | Chapters 2, 9, 10 and 11 |
LIBERAL.XLS | Growth in GDP and market cap. | Time series, T = 98 months | |
LIBERAL1.XLS | Growth in GDP and market cap. | Time series, T = 98 months | |
LONGGDP.XLS | Real GDP per capita for Australia, USA, UK, Canada | Time series, 1870 through 1993, T = 124 years | |
LONGRUN.XLS | Stock return and dividend-price ratio | Time series, T = 1200 months | |
NYSE.XLS | NYSE stock price index | Time series, January 1952 through December 1995, T = 528 months | Chapters 9 and 12 |
STOCK.XLS | Logged stock price data | Time series, T = 208 weeks | |
STOCKPAB.XLS | Stock prices in two countries | Time series, T = 131 months | Chapters 10 and 11 |
VAR.XLS | Variables used in Campbell-Ammer paper | Time series, T = 471 months |
User Note: The website accompanying this book http://www.wiley.com/go/koopafd contains all these data sets in Excel file format (".xls"). Most computer software packages will read Excel files. If your package does not, you can use the "Save As" option in Excel to save the files in other formats (e.g. as ASCII text files).