econometrics

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data_coursework.csv
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ym stock_return fed_fund_rate credit_spread term_spread inflation ch_indprod
200007 -0.016341262 0.0664 0.007 0.0015 0.002320186 -0.20002
200008 0.060699035 0.0665 0.0071 -0.0015 0 -0.25782
200009 -0.053482948 0.066 0.0073 0.0012 0.005208333 0.41909
200010 -0.004949496 0.0659 0.0079 -0.0011 0.001727116 -0.37642
200011 -0.08006856 0.0662 0.0083 -0.0041 0.000574713 0.01269
200012 0.004053386 0.0541 0.0081 -0.0019 -0.000574383 -0.29555
200101 0.034636592 0.0574 0.0078 0.0047 0.006321839 -0.57516
200102 -0.092290686 0.0559 0.0077 0.0061 0.003997716 -0.67686
200103 -0.06420472 0.0529 0.0086 0.0117 0.002275313 -0.24525
200104 0.076814355 0.0467 0.0087 0.0206 0.003972758 -0.31164
200105 0.005090199 0.0424 0.0078 0.0232 0.004522329 -0.59129
200106 -0.025003583 0.0395 0.0079 0.0241 0.001688239 -0.55372
200107 -0.010772447 0.0382 0.0084 0.021 -0.002808989 -0.61578
200108 -0.064108386 0.0366 0.0083 0.021 0 -0.10505
200109 -0.08172339 0.0275 0.0086 0.0278 0.004507042 -0.51195
200110 0.018099026 0.0266 0.0088 0.029 -0.003365115 -0.32578
200111 0.07517598 0.0206 0.0084 0.0366 -0.001688239 -0.59874
200112 0.007573829 0.0152 0.0128 0.0406 -0.003945885 -0.01827
200201 -0.015573828 0.0185 0.0132 0.0404 0.002263724 0.65944
200202 -0.020766236 0.0183 0.0138 0.0391 0.003952569 0.00192
200203 0.036738861 0.0174 0.013 0.0425 0.005624297 0.77826
200204 -0.061417652 0.0182 0.0127 0.0404 0.005592841 0.48219
200205 -0.009081455 0.0179 0.0134 0.0405 0 0.41161
200206 -0.072464719 0.0173 0.0132 0.0396 0.000556174 0.82617
200207 -0.078994959 0.0176 0.0137 0.0376 0.001111729 -0.03487
200208 0.00488142 0.0181 0.0121 0.0348 0.003331483 -0.10025
200209 -0.110013427 0.0185 0.0125 0.0317 0.00166021 0.11907
200210 0.086435501 0.0182 0.0141 0.035 0.001657459 -0.29067
200211 0.057069635 0.0123 0.0131 0.0398 0 0.5602
200212 -0.060332582 0.0116 0.0124 0.0365 -0.002206288 -0.54775
200301 -0.027414698 0.0133 0.0118 0.0378 0.004422333 0.82505
200302 -0.017003623 0.0133 0.0111 0.0355 0.007705008 0.11906
200303 0.008357606 0.0138 0.0106 0.0373 0.006007646 -0.29838
200304 0.081044118 0.0131 0.0111 0.0368 -0.002171553 -0.63165
200305 0.050898661 0.0128 0.0116 0.0329 -0.001632209 -0.03144
200306 0.011332621 0.0145 0.0122 0.036 0.001089918 0.13342
200307 0.016213276 0.0104 0.0113 0.0452 0.001088732 0.51313
200308 0.017873191 0.0101 0.0113 0.0437 0.003806417 -0.20931
200309 -0.011944326 0.0117 0.0107 0.0396 0.003250271 0.68519
200310 0.054961495 0.0097 0.0103 0.0426 -0.001079914 0.11098
200311 0.007128513 0.0101 0.0101 0.0426 -0.002702703 0.66854
200312 0.050765451 0.0094 0.0098 0.0421 -0.001084011 0.05566
200401 0.017276423 0.0103 0.009 0.0411 0.004883342 0.17575
200402 0.01220903 0.0104 0.0077 0.039 0.005399568 0.58867
200403 -0.016358936 0.0105 0.0078 0.038 0.006444683 -0.3962
200404 -0.016790829 0.0103 0.0073 0.0437 0.003201708 0.41535
200405 0.012083446 0.0102 0.0071 0.0437 0.005851064 0.72107
200406 0.017989078 0.0138 0.0077 0.0405 0.003172924 -0.77753
200407 -0.034290523 0.0129 0.008 0.039 -0.001581444 0.74881
200408 0.002287333 0.0155 0.0081 0.0345 0.000527983 0.09279
200409 0.009363906 0.0194 0.0081 0.0323 0.002110818 0.09345
200410 0.014014248 0.0179 0.0074 0.0302 0.005265929 0.91751
200411 0.038594939 0.0202 0.0068 0.0295 0.000523834 0.24968
200412 0.032458128 0.0197 0.0068 0.0265 -0.003664921 0.74223
200501 -0.025290448 0.025 0.0066 0.0232 0.002101944 0.38969
200502 0.018903384 0.0252 0.0062 0.0225 0.005768222 0.73203
200503 -0.019117647 0.0296 0.0066 0.0214 0.007820647 -0.15234
200504 -0.02010859 0.0297 0.0072 0.0183 0.006725297 0.19788
200505 0.029952025 0.0309 0.0086 0.0156 -0.001027749 0.10159
200506 -0.000142677 0.0335 0.009 0.0132 0.000514403 0.40304
200507 0.035968204 0.0331 0.0089 0.0134 0.004627249 -0.31894
200508 -0.011222026 0.0363 0.0087 0.0088 0.005117707 0.35356
200509 0.00694894 0.0393 0.009 0.0122 0.012219959 -1.92698
200510 -0.017740741 0.0402 0.0095 0.0113 0.002012072 1.18889
200511 0.035186121 0.0403 0.0097 0.0093 -0.008032129 1.06483
200512 -0.000952396 0.0409 0.0095 0.0072 -0.004048583 0.55
200601 0.025466839 0.0447 0.0095 0.005 0.007621951 0.12677
200602 0.000453097 0.0452 0.0092 0.0014 0.002017146 0.006
200603 0.011095841 0.05 0.0088 0.0056 0.005535984 0.25452
200604 0.01215566 0.0486 0.0084 0.0072 0.008508509 0.31717
200605 -0.030916901 0.0505 0.008 0.0063 0.004962779 -0.00435
200606 8.6608E-05 0.0505 0.0089 0.0052 0.001975309 0.31254
200607 0.005085813 0.0531 0.0091 0.0023 0.002957122 -0.06219
200608 0.021274263 0.0531 0.0091 0 0.001965602 0.43793
200609 0.024566274 0.0534 0.0092 0.0003 -0.004904365 -0.16891
200610 0.031508029 0.0531 0.0091 -0.0011 -0.00542139 -0.12091
200611 0.01646661 0.0531 0.0087 -0.0027 -0.00148662 -0.0559
200612 0.012615751 0.0517 0.009 0.0006 0.001488834 1.0228
200701 0.014059085 0.0533 0.0094 0.0004 0.003052527 -0.39161
200702 -0.021846145 0.0541 0.0089 -0.0026 0.005350368 0.95093
200703 0.009979955 0.053 0.0097 -0.0001 0.009105696 0.21436
200704 0.043290683 0.0529 0.0092 0.0002 0.006496163 0.71665
200705 0.032549229 0.0528 0.0092 0.0037 0.006110719 0.06398
200706 -0.01781631 0.0531 0.0091 0.006 0.001937975 0.02711
200707 -0.031981907 0.0528 0.0092 0.0019 -0.000254377 -0.1193
200708 0.012863592 0.0496 0.0086 0.0067 -0.001833902 0.23889
200709 0.035794001 0.0458 0.0085 0.01 0.002755907 0.23381
200710 0.014822335 0.046 0.0082 0.009 0.002139191 -0.30821
200711 -0.044043424 0.0466 0.0096 0.0118 0.005939618 0.57357
200712 -0.008628489 0.0306 0.0116 0.015 -0.000670863 -0.00937
200801 -0.061163475 0.0322 0.0121 0.0161 0.004970576 -0.14376
200802 -0.034761162 0.0301 0.0129 0.0226 0.002904112 -0.36788
200803 -0.005959583 0.0251 0.0138 0.0306 0.008668213 -0.34138
200804 0.047546685 0.0237 0.0142 0.0329 0.006064778 -0.66995
200805 0.010674153 0.0198 0.0136 0.0302 0.008420886 -0.59707
200806 -0.085962382 0.0247 0.0139 0.0274 0.010076997 -0.22132
200807 -0.009859375 0.0209 0.0149 0.0302 0.005251011 -0.4725
200808 0.012190503 0.0194 0.0151 0.0277 -0.003991562 -1.55834
200809 -0.090791453 0.0203 0.0166 0.033 -0.001383019 -4.29838
200810 -0.169424534 0.0022 0.026 0.0411 -0.010101333 0.91481
200811 -0.074849032 0.0052 0.0309 0.0353 -0.019152895 -1.29868
200812 0.007821566 0.0014 0.0338 0.03 -0.010342474 -2.83363
200901 -0.085657348 0.0023 0.0309 0.0381 0.004352417 -2.46848
200902 -0.109931225 0.0022 0.0281 0.0371 0.004972933 -0.65035
200903 0.085404508 0.0016 0.0292 0.0334 0.002431748 -1.59351
200904 0.093925076 0.002 0.03 0.0394 0.002496368 -0.76659
200905 0.053081427 0.0019 0.0252 0.0414 0.002888764 -1.02059
200906 0.000195835 0.0022 0.0189 0.0411 0.008589892 -0.32846
200907 0.074141757 0.0018 0.0168 0.0412 -0.001585587 1.13583
200908 0.033560173 0.0015 0.0132 0.0398 0.00224285 1.12225
200909 0.035723384 0.0007 0.0118 0.0391 0.000625481 0.80476
200910 -0.019761986 0.0011 0.0114 0.0413 0.000963101 0.28865
200911 0.057363997 0.0013 0.0113 0.0401 0.000707753 0.39539
200912 0.017770598 0.0005 0.0111 0.0453 -0.001761198 0.31339
201001 -0.036974262 0.0012 0.0099 0.0434589 0.003417474 1.12424
201002 0.028513693 0.0013 0.0099 0.0429712 0.000249207 0.32529
201003 0.058796368 0.0009 0.01 0.0442777 0.004106284 0.74226
201004 0.014759327 0.002 0.0096 0.0421358 0.001736885 0.37604
201005 -0.081975916 0.0019 0.0109 0.039081 0.000775197 1.38657
201006 -0.053882377 0.0009 0.0135 0.0364074 -0.000976267 0.19853
201007 0.068777833 0.0018 0.0129 0.0360576 0.000211043 0.42355
201008 -0.047449165 0.0021 0.0117 0.0311078 0.001380664 0.34103
201009 0.087551104 0.0015 0.0113 0.032563 0.000581736 0.23018
201010 0.036855941 0.002 0.0104 0.0354157 0.001245199 -0.22997
201011 -0.002290283 0.002 0.0105 0.0366256 0.000420646 0.0453
201012 0.065300072 0.0013 0.0108 0.0399782 0.001718441 0.96568
201101 0.02264559 0.0017 0.0105 0.0417 0.00476323 -0.18409
201102 0.031956583 0.0016 0.0093 0.0413 0.004931365 -0.44407
201103 -0.001047302 0.001 0.009 0.0419 0.009751072 1.03447
201104 0.028495358 0.0009 0.0086 0.041 0.00643943 -0.34385
201105 -0.013500928 0.001 0.0082 0.0387 0.004704188 0.15784
201106 -0.018257508 0.0007 0.0076 0.0405 -0.001070967 0.25083
201107 -0.021474437 0.0011 0.0083 0.0374 0.000886046 0.53537
201108 -0.056791098 0.0008 0.0099 0.0313 0.002757589 0.60515
201109 -0.071762013 0.0006 0.0118 0.0264 0.001518462 -0.07881
201110 0.107723038 0.0009 0.0139 0.0289 -0.002062683 0.63595
201111 -0.005058645 0.001 0.0127 0.0272 -0.000843561 0.04232
201112 0.008532752 0.0004 0.0132 0.0254 -0.002466516 0.49514
201201 0.043583015 0.0011 0.0138 0.0246 0.004400191 0.59509
201202 0.04058945 0.001 0.0129 0.0263 0.004402974 0.28292
201203 0.031332377 0.0009 0.0124 0.0289 0.007594559 -0.49417
201204 -0.007497497 0.0016 0.0123 0.026 0.00302103 0.76886
201205 -0.062650671 0.0016 0.0127 0.0212 -0.001173479 0.15722
201206 0.039554921 0.0009 0.0138 0.0224 -0.001466397 -0.00944
201207 0.012597639 0.0013 0.0147 0.0206 -0.001629786 0.22666
201208 0.019763362 0.0013 0.0143 0.0213 0.005565158 -0.40377
201209 0.02423609 0.0009 0.0135 0.0224 0.004462212 -0.05623
201210 -0.019789404 0.0018 0.0111 0.0228 -0.000388925 0.31359
201211 0.002846703 0.0016 0.0101 0.0219 -0.004738087 0.46066
201212 0.007068311 0.0009 0.0098 0.0239 -0.002693064 0.2332
201301 0.050428064 0.0015 0.0093 0.0284 0.002957304 -0.04663
201302 0.011060603 0.0014 0.0095 0.0275 0.00819003 0.48835
201303 0.035987799 0.0009 0.0092 0.0278 0.002614509 0.41958
201304 0.018085764 0.0014 0.0086 0.0258 -0.001039639 -0.06764
201305 0.020762783 0.0009 0.0084 0.0305 0.001780408 0.08071
201306 -0.014999325 0.0007 0.0092 0.0325 0.002399708 0.13515
201307 0.049462111 0.0009 0.0098 0.034 0.000393998 -0.28839
201308 -0.031298013 0.0007 0.0088 0.0347 0.001202932 0.58552
201309 0.029749475 0.0006 0.0083 0.0347 0.001163004 0.56
201310 0.04459576 0.0007 0.0078 0.0337 -0.002575283 -0.13992
201311 0.028049461 0.0007 0.0075 0.0354 -0.002042424 0.25962
201312 0.023562833 0.0007 0.0076 0.0371 -8.58115E-05 0.18927
201401 -0.035582895 0.0007 0.007 0.0338 0.003720248 -0.32661
201402 0.043117038 0.0006 0.0065 0.0334 0.003697909 0.75351
201403 0.006932157 0.0006 0.0068 0.0332 0.006440044 0.97865
201404 0.006200797 0.0009 0.0066 0.0323 0.003296754 0.05453
201405 0.021030282 0.0008 0.006 0.0306 0.00349261 0.39162
201406 0.019058313 0.0009 0.0055 0.0309 0.001862127 0.33228
201407 -0.015079863 0.0008 0.0057 0.0307 -0.000390194 0.26879
201408 0.037655322 0.0007 0.0061 0.0284 -0.001670514 -0.1933
201409 -0.015513859 0.0007 0.0069 0.0298 0.000752569 0.32801
201410 0.023201456 0.0007 0.0077 0.028 -0.002512278 0.00515
201411 0.024533584 0.0008 0.0087 0.0262 -0.005399418 0.65617
201412 -0.004188512 0.0006 0.0095 0.0243 -0.005670101 -0.05113
201501 -0.031040852 0.0006 0.0099 0.0197 -0.004705892 -0.73928
201502 0.054892511 0.0006 0.009 0.0236 0.004343045 -0.60157
201503 -0.017396107 0.0006 0.009 0.0227 0.005951722 -0.3274
201504 0.00852082 0.0008 0.0096 0.0247 0.002032873 -0.59728
201505 0.010491382 0.0008 0.0091 0.026 0.005097232 -0.43945
201506 -0.021011672 0.0008 0.0094 0.0283 0.00350287 -0.33171
201507 0.01974203 0.0008 0.0105 0.026 6.70472E-05 0.67339
201508 -0.062580818 0.0008 0.0115 0.0257 -0.001416276 -0.26842
201509 -0.026442832 0.0007 0.0127 0.0251 -0.001556757 -0.3404
201510 0.082983118 0.0007 0.0139 0.0257 -0.000449684 -0.40689
201511 0.000504869 0.0008 0.014 0.0253 -0.00211068 -0.74771
201512 -0.017530185 0.002 0.0149 0.0245 -0.003417096 -0.58043
201601 -0.050735317 0.0029 0.0145 0.021 0.001653102 0.65444
201602 -0.004128355 0.0029 0.0138 0.0186 0.000823077 -0.52413
201603 0.065991109 0.0025 0.0131 0.0189 0.004306 -0.77093
201604 0.00269937 0.003 0.0117 0.02 0.004741068 0.2769
201605 0.01532465 0.0029 0.0103 0.0192 0.004045791 -0.18118
201606 0.000910847 0.003 0.0103 0.0152 0.003284366 0.43871
201607 0.035609807 0.003 0.0094 0.0145 -0.001618136 0.18142
201608 -0.001219176 0.003 0.0092 0.0156 0.00091843 -0.17624
201609 -0.001234483 0.0029 0.009 0.0167 0.002403996 -0.12044
201610 -0.019425625 0.0031 0.0087 0.0187 0.001246749 0.06521
201611 0.034174447 0.0031 0.0085 0.0222 -0.001555461 -0.44745
201612 0.018200754 0.0055 0.0077 0.0221 0.000327321 0.67903
201701 0.017884394 0.0056 0.0074 0.0227 0.005827728 -0.15289
201702 0.03719816 0.0057 0.0069 0.0218 0.003146117 -0.38179
201703 -0.000389197 0.0082 0.0067 0.02 0.000812798 0.75116
201704 0.009091209 0.0083 0.007 0.0185 0.002965533 0.93818
201705 0.011576251 0.0083 0.007 0.0167 0.000854722 0.11066
201706 0.004813775 0.0106 0.0069 0.016 0.000907111 0.15697
201707 0.019348826 0.0107 0.0069 0.0155 -0.000689923 -0.09471
201708 0.000546433 0.0107 0.0068 0.0141 0.002994452 -0.50265
201709 0.019302979 0.0106 0.0067 0.0156 0.005294906 0.04313
201710 0.022188135 0.0107 0.0072 0.0154 -0.000632042 1.24263
201711 0.003720043 0.0107 0.007 0.0137 2.43247E-05 0.28221
201712 0.034342557 0.0133 0.0071 0.0122 -0.000587832 0.09539
201801 0.056178682 0.0134 0.0071 0.0143 0.005447745 -0.01332
201802 -0.03894738 0.0135 0.0069 0.0144 0.00453469 0.28947
201803 -0.026884514 0.0167 0.0077 0.0115 0.002261126 0.63798
201804 0.002718801 0.0169 0.0082 0.0124 0.003975092 1.08653
201805 0.021608353 0.017 0.0083 0.0103 0.004158917 -0.84006
201806 0.0048424 0.0191 0.0087 0.0101 0.001593876 0.74478
201807 0.036021586 0.0191 0.0092 0.0106 6.74633E-05 0.23513
201808 0.030263219 0.0191 0.0089 0.009 0.000555542 0.59731
201809 0.004294301 0.0218 0.009 0.0121 0.001162025 -0.03302
201810 -0.069403359 0.022 0.0093 0.0127 0.001766763 -0.13838
201811 0.017859382 0.022 0.01 0.0084 -0.003349349 -0.07184
201812 -0.091776956 0.024 0.0111 0.0047 -0.003193963 -0.04398
201901 0.078684444 0.024 0.0119 0.0034 0.001906597 -0.54368
201902 0.029728889 0.024 0.0116 0.0029 0.004227053 -0.55594
201903 0.017924256 0.0243 0.0107 0.0017 0.005641358 0.1319
201904 0.039313498 0.0245 0.0101 0.0015 0.005295002 -0.59224
201905 -0.065777731 0.024 0.0096 0.0005 0.002128759 0.19324
201906 0.068930164 0.024 0.0104 -0.001 0.000199147 -0.06628
201907 0.013128152 0.024 0.0099 -0.0004 0.001670942 -0.31958
201908 -0.018091627 0.0213 0.0089 -0.0032 -5.06682E-05 0.61868
201909 0.017181178 0.019 0.0088 -0.0019 0.000783449 -0.36411
201910 0.020431771 0.0158 0.0091 0.0006 0.002286191 -0.83058
201911 0.034047037 0.0156 0.0088 0.0027 -0.000536243 0.51555
201912 0.028589819 0.0155 0.0087 0.0032 -0.00090977 -0.3625
202001 -0.001628099 0.0159 0.0083 0.0024 0.00387977 -0.51772
202002 -0.084110469 0.0158 0.0083 -0.0002 0.002740618 0.23038
202003 -0.125119321 0.0008 0.0127 0.0058 -0.002176451 -3.82631
202004 0.126844103 0.0005 0.017 0.0052 -0.006686942 -13.59283
202005 0.045281775 0.0005 0.0145 0.0054 1.95016E-05 1.9496
202006 0.018388403 0.0008 0.012 0.0057 0.005472047 6.19593
202007 0.055101297 0.001 0.0117 0.0049 0.005058244 4.08777
202008 0.070064687 0.0009 0.0102 0.0055 0.003153211 1.05777
202009 -0.039227954 0.0009 0.0105 0.0057 0.001392747 -0.30294
202010 -0.027665775 0.0009 0.0109 0.0069 0.000414938 1.09151
202011 0.107545658 0.0009 0.01 0.0078 -0.000610627 0.53339
202012 0.037121407 0.0009 0.009 0.0084 0.000941478 1.15736