Data

Here, you can find the datasets used in the book.

• airline.csv
  • Description: the famous airline time series from Box and Jenkins’ book.
  • Measurement: number of U.S. airline passengers in thousands.
  • Frequency: monthly.
  • Period: Jan-1949 – Dec-1960.
  • Source: Box, Jenkins, and Reinsel (1976) Time Series Analysis, Forecasting and Control. Third Edition. Holden-Day.
• AustraliaIntAirPassengers.csv
  • Description: number of passengers carried by international airlines to/from Australia.
  • Measurement: number of passengers.
  • Frequency: monthly.
  • Period: Jan-1985 – Dec-2013
  • Source: https://www.bitre.gov.au/
• brent.csv
  • Description: crude oil data to verify the spot-future price relationship.
  • Measurements: Brent spot price, Brent future price, and interest rate of the risk-free asset.
  • Frequency: trading days (5-day week).
  • Period: 2008-01-24 – 2014-12-02.
  • Source: ?
• conferenceBoardBcIndex.csv
  • Description: the four time series the U.S. Conference Board uses to build the business cycle coincident index.
  • Measurements: monthly (symmetric) growth rate of employees on nonagricultural payrolls (EMP), personal income less transfer payments (INC), industrial production index (IPI), and manufacturing and trade sales (SAL).
  • Frequency: monthly.
  • Period: Jan-1960 – Dec-2013
  • Source: https://www.conference-board.org/topics/business-cycle-indicators/
• CPI_Restaurants.csv
  • Description: Italian consumer price index for restaurants and hotels.
  • Measurements: consumer price index for restaurants and hotels, base 1995, step variable for a level shift starting in Jan-2002 (Euro introduction), and ramp starting from Feb-2002 for modelling a slope shift.
  • Frequency: monthly.
  • Period: Jan-1996 – Dec-2010
  • Source: ISTAT and my elaborations
• elettro.zip
  • Description: electric load on the Italian day-ahead market. There is a CSV file containing the load time series and an XLSX file with Holiday-related dummies.
  • Measurements: electric load in MWh recorded on the Italian day-ahead market: there is one time series for each hour of the day.
  • Frequency: hourly, but the dataset is organized in 24 daily time series.
  • Period: 2005-01-01 – 2014-12-31 (all 24 hours).
  • Source: https://www.mercatoelettrico.org/ and my elaborations.
• EWweddingsMonthly.csv
  • Description: number of marriages by month in England and Wales.
  • Measurements: number of marriages.
  • Frequency: monthly.
  • Period: Jan-1947 – Dec-2011.
  • Source: Office for National Statistics.
• EWweddingsQuarterly.csv
  • Description: number of marriages by quarter in England and Wales.
  • Measurements: number of marriages.
  • Frequency: quarter.
  • Period: 1947-Q1 – 2011-Q4.
  • Source: my elaboration on the monthly data by the Office for National Statistics.
• GDP_IP_US.csv
  • Description: U.S. Gross Domestic Product and U.S. Industrial Production Index
  • Measurements: seasonally adjusted U.S. Industrial Production Index (base 2013) and seasonally adjusted U.S. Gross Domestic Product (billions of dollars).
  • Frequency: monthly (IPI) and quarterly (GDP, first two months coded as missing).
  • Period: Jan-1947 – Dec-2014.
  • Source: ?
• GDPEU.csv
  • Description: Gross Domestic Product of the European Union (28 countries) at 2010 prices.
  • Measurements: Gross Domestic Product of the European Union (28 countries) in billions of 2010 Euros.
  • Frequency: quarterly.
  • Period: 1995-Q1 – 2014-Q3.
  • Source: Eurostat.
• injured.csv
  • Description: the monthly number of injuries due to car accidents in Italy.
  • Measurements: number of injuries.
  • Frequency: monthly.
  • Period: Jan-2001 – Dec-2013.
  • Source: ISTAT.
• nile.csv
  • Description: Famous time series of the flow of the river Nile at Aswan.
  • Measurements: flow in 100,000,000 cubic meters.
  • Frequency: yearly.
  • Period: 1871 – 1970.
  • Source: Durbin and Koopman (2001). Time Series Analysis by State Space Methods. Oxford University Press.
• NYtemperature.csv
  • Description: average monthly temperature in New York City.
  • Measurements: average monthly temperature in Fahrenheit.
  • Frequency: monthly.
  • Period: 1895 – 2013.
  • Source: ?
• USmacro07.csv
  • Description: U.S. real GDP, consumption, and private investments.
  • Measurements: quarterly, seasonally adjusted time series in billions of 2007 dollars.
  • Frequency: quarterly.
  • Period: 1947-Q1 – 2007-Q2.
  • Source: ?
• USunempGDP.csv
  • Description: U.S. unemployment rate and real GDP.
  • Measurements: seasonally adjusted U.S. unemployment rate (%), U.S. GDP in billions of dollars.
  • Frequency: quarterly.
  • Period: 1948-Q1 – 2014-Q2.
  • Source: ?