CreditRatings {otsfeatures}

CreditRatings

Description

Ordinal time series (OTS) of monthly credit ratings of different European countries

Usage

data(CreditRatings)

Format

A list with one element, which is:

data

A list with 28 MTS.

Details

Each element in data is an ordinal time series containing 23 states (monthly credit ratings). The 28 countries of the European Union plus the United Kingdom are considered. The sample period spans from January 2000 to December 2017, thus resulting serial realizations of length T=216. For more information, see Weiß (2019).

References

Weiß CH (2019). “Distance-based analysis of ordinal data and ordinal time series.” Journal of the American Statistical Association.