\HeaderA{MillsData}{Terence Mill's Data Sets}{MillsData}
\aliasA{CTLD}{MillsData}{CTLD}
\aliasA{EXCHD}{MillsData}{EXCHD}
\aliasA{EXCHQ}{MillsData}{EXCHQ}
\aliasA{FT30}{MillsData}{FT30}
\aliasA{FTADIV}{MillsData}{FTADIV}
\aliasA{FTAPRICE}{MillsData}{FTAPRICE}
\aliasA{FTARET}{MillsData}{FTARET}
\aliasA{FTSE100}{MillsData}{FTSE100}
\aliasA{LGEN}{MillsData}{LGEN}
\aliasA{PRU}{MillsData}{PRU}
\aliasA{R20}{MillsData}{R20}
\aliasA{R20Q}{MillsData}{R20Q}
\aliasA{RPI}{MillsData}{RPI}
\aliasA{RS}{MillsData}{RS}
\aliasA{RSQ}{MillsData}{RSQ}
\aliasA{RSQREAL}{MillsData}{RSQREAL}
\aliasA{SP500}{MillsData}{SP500}
\aliasA{SP500D}{MillsData}{SP500D}
\aliasA{SP500R}{MillsData}{SP500R}
\keyword{datasets}{MillsData}
\begin{Description}\relax
A collection and description of data sets 
from the book 'The Econometric Modelling of 
Financial Time Series" written by Terence C. 
Mills.
\\

The data sets are:

\Tabular{ll}{   
\code{RS.txt} & Monthly 91 day Treasury Bill rate, \\
\code{R20.txt} & Monthly Yield on 20 Year UK Gilts, \\
\code{RSQ.txt} & Quarterly 91 day Treasury Bill rate, \\
\code{R20Q.txt} & Quarterly Yield on 20 Year UK Gilts, \\
\code{RSQREAL.txt} & Quarterly real 91 day Treasury Bill rate, \\
\code{FTAPRICE.txt} & FTA All Share Price Index, \\
\code{FTADIV.txt} & FTA All Share Dividend Index, \\
\code{FTARET.txt} & FTA All Share Nominal Returns, \\
\code{RPI.txt} & UK Retail Price Index, \\
\code{EXCHD.txt} & Dollar/Sterling Exchange Rate, \\
\code{EXCHQ.txt} & Dollar/Sterling Exchange Rate, \\
\code{SP500.txt} & SP 500 Annual Data Index, \\
\code{SP500R.txt} & SP 500 Real Returns, \\
\code{SP500D.txt} & SP 500 Daily Data Index, \\
\code{FT30.txt} & FT 30 Index, \\
\code{FTSE100.txt} & FTSE 100 Index, \\
\code{CTLD.txt} & Courtaulds Share Price, \\
\code{LGEN.txt} & Legal and General Share Price, \\
\code{PRU.txt} & Prudential Share Price. }
\end{Description}
\begin{Details}\relax
\bold{RS - 91 Day Treasury Bill Rate:}
\\\\
Monthly data values starting in March 1952 and ending December 1995. 
The data set includes one column with 526 observations.
\\

\bold{R20 - Yield on 20 Year UK Gilts:}
\\\\
Monthly data values starting in March 1952 and ending December 1995. 
The data set includes one column with 526 observations.
\\

\bold{RSQ - 91 day Treasury Bill Rate:}
\\\\
Quarterly data values starting in Q1 1952 and ending Q4 1995.
The data set includes one column with 176 observations.
\\

\bold{R20Q - Yield on 20 Year UK Gilts:}
\\\\
Quarterly data values starting in Q1 1952 and ending Q4 1995.
The data set includes one column with 176 observations. 
\\

\bold{RSQREAL - Real 91 day Treasury Bill Rate:}
\\\\
Quarterly data values starting in Q1 1952 and ending Q3 1995.
The data set includes one column with 175 observations.
\\

\bold{FTAPRICE - FTA All Share Price Index:}
\\\\
Monthly data values starting in January 1965 and ending December 1995. 
The data set includes one column with 372 observations. 
\\

\bold{FTADIV - FTA All Share Dividend Index:}
\\\\
Monthly data values starting in January 1965 and ending December 1995. 
The data set includes one column with 372 observations.
\\

\bold{FTARET - FTA All Share Nominal Returns:}
\\\\
Monthly data values starting in January 1965 and ending December 1995. 
The data set includes one column with 372 observations.
\\

\bold{RPI - UK Retail Price Index:}
\\\\
Monthly data values starting in January 1965 and ending December 1995. 
The data set includes one column with 372 observations.
\\

\bold{EXCHD - Dollar/Sterling Exchange Rate:}
\\\\
Daily data values ranging from 1974 to 1994 
The data set includes one column with 5'192 observations.
\\

\bold{EXCHQ - Dollar/Sterling Exchange Rate:}
\\\\
Quarterly data values starting in Q1 1972 and ending Q4 1996.
The data set includes one column with 100 observations.
\\

\bold{SP500 - SP 500 Index:}
\\\\
Annual data values ranging from 1871 to 1997. 
The data set includes one column with 127 observations.
\\

\bold{SP500R - SP 500 Real Returns:}
\\\\
Annual data values ranging from 1872 to 1995. 
The data set includes one column with 124 observations.
\\

\bold{SP500D - SP 500 Index:}
\\\\
Daily data values ranging from 1928 to 1991.
The data set includes one column with 17'054 observations.
\\

\bold{FT30 - FT 30 Index:}
\\\\
Daily data values ranging from 1935 to 1994. 
The data set includes one column with 15'003 observations.
\\

\bold{FTSE100 - FTSE 100 Index:}
\\\\
Weekly data values ranging from 1984 to 1993.
The data set includes one column with 521 observations.
\\

\bold{CTLD - Courtaulds Share Price:}
\\\\
Weekly data values ranging from 1984 to 1993.
The data set includes one column with 521 observations.
\\

\bold{LGEN - Legal and General Share Price:}
\\\\
Weekly data values ranging from 1984 to 1993.
The data set includes one column with 521 observations.
\\

\bold{PRU - Prudential Share Price:}
\\\\
Weekly data values ranging from 1984 to 1993.
The data set includes one column with 521 observations.
\end{Details}
\begin{References}\relax
Mills, T.C. (1999);
\emph{The Econometric Modelling of Financial Time Series,}
Second Edition, Cmbridge University Press.
\end{References}
\begin{Examples}
\begin{ExampleCode}
## SOURCE("fBasics.36B-Data")

## RS.txt - 
   data(RS)
   plot(as.ts(RS))
\end{ExampleCode}
\end{Examples}

