Time Series Data Sets
This is a repository of datasets sometimes used in my time series courses for data analysis projects. Here are some accompanying files:
Financial Time Series Course (Based on Tsay's AFTS 2010 book)
Weather/Climate
- gtemp.txt: monthly global temperature anomalies from
January 1880 to August 2010, 1568 observations over 131 years (used for class projects).
- wind.txt: 1008 observations of the maximum
wind speed (m/s) over 10-minute intervals recorded at
a height of 40m above ground level at a particular location (used for class projects).
- AnnualGlobalTemps1856-2005.tsm: Global annual average temperatures from 1856 to 2005 (degrees Celsius), expressed as anomalies from the average over the period 1961-1990. Source: CRU.
- MonthlyArcticSeaIce1979-2005.tsm: Monthly Arctic sea ice extent from Jan 1979 to Dec 2005 (million square kilometers). I have filled in two missing values in the original data in an "appropriate" way. Source: NSIDC.
- MonthlyArcticSeaIce1986-2005.tsm: Truncated version of MonthlyArcticSeaIce1979-2005.tsm, Jan 1986 to Dec 2005 (240 values).
Economics/Finance
- LouisGasSpotPrice.tsm: Monthly observations on Louisiana spot prices for natural gas from January 1988 to October 1991 (dollars per million British thermal units). Source: William Wei's book.
- OklaGasSpotPrice.tsm: Monthly observations on Oklahoma spot prices for natural gas from January 1988 to October 1991 (dollars per million British thermal units). Source: William Wei's book.
- MonthlyLogReturnsIntel.tsm:
Monthly log returns on Intel stock from January 1973 to December 1997. Source:
"Analysis of Financial Time Series", R.S. Tsay, Wiley (2002).
- SP500.tsm:
Monthly excess returns of
the S&P 500 Index starting January 1926. (And the next 12 returns SP500os.txt.)
- monthly-housing.csv:
Monthly housing price index (hpi) and number of existing homes sold (numsold, in thousands)
in the USA from January 1991 to April 2013. (Courtesy: Meichuang Hu.)
Environment/Biology/Medicine
- tundra.tsm: Average maximum temperature over the
month of February for the years 1895-1993 in an area of the USA whose
vegetation is characterized as tundra. Source: Brockwell & Davis book.
- SoIndex.tsm: Monthly observations of the Southern Oscillation Index from January 1968 to December 1987 (anomalies), an environmental variable that measures changes in air pressure related to sea surface temperature in the central Pacific. Source: Shumway & Stoffer's book.
- Recruit.tsm: Monthly numbers of new fish hatching in a certain region of the Pacific Ocean, recorded by the Pacific Environmental Fisheries Group from January 1968 to December 1987. Source: Shumway & Stoffer's book.
- ThaiDrugUse.tsm: Monthly rate of prescription drug usage in Thailand from Jan 2000 to Dec 2003 (higher numbers mean greater drug usage). Source: Penkarn Kanjanarat, Ph.D. Dissertation, Pharmacy Health Care Administration, College of Pharmacy, University of Florida, 2005.
- ThaiPolicy.tsm: Dummy variable file to accompany ThaiDrugUse.tsm. Consists of 17 zeros with ones beginning on the 18th month, the time when a policy came into effect making it cheaper for the uninsured to purchase prescription drugs.
- BeaverTemp.tsm: Body temperature (degrees Celsius) of a beaver (Castor Canadensis) measured every 10 minutes over the course of 24 hours. Source: Reynolds (1994), "Time series analyses of beaver body temperatures", in Case Studies in Biometry, Lange et al. (eds.), New York: Wiley. (Available as R dataset "beaver2".)
- BeaverActiv.tsm: Dummy variable file to accompany BeaverTemp.tsm. Consists of 38 zeros with ones beginning on the 39th time period, indicating whether the animal is inside (0) or outside (1) its retreat.
- CardioVascMort.tsm: Average weekly
cardiovascular mortality in Los Angeles County over the 10-year period
1970-1979. Source: Shumway & Stoffer's book.
- whale.txt: Variables pertaining to nursing behavior of newborn beluga whale calves Hudson & Casey.
Miscellaneous