If you want to dig in with both feet on time series data, then quandl.com is a good choice.  The website claims to have several million datasets all of them available for free download.  It also allows you to upload data to the site with an authentication token.

Well, the site says it is easy to get data from their API directly into R, so let’s have a crack at it.

My source for this code is Quandl itself:  http://www.quandl.com/help/packages/r

> #install the package

> install.packages(“Quandl”)

> library(Quandl)

> #search Quandl for a dataset on new home construction in the US

> Quandl.search(“new home construction”) #default is to display the first 3 results

Construction Employment in New Hampshire

Code: FRED/NHCONS

Desc: Thousands of Persons Seasonally Adjusted, 

Freq: monthly

Cols: Date|Value

Construction Employment in New Mexico

Code: FRED/NMCONS

Desc: Thousands of Persons Seasonally Adjusted, 

Freq: monthly

Cols: Date|Value

Construction Employment in New York

Code: FRED/NYCONS

Desc: Thousands of Persons Seasonally Adjusted, 

Freq: monthly

Cols: Date|Value

#That sux, so let’s refine the search as there is nothing useful in that output

> Quandl.search(“Housing Units Completed”, source=”FRED”) #added source here and FRED stands for Federal Reserve

New Privately-Owned Housing Units Completed: Total

Code: FRED/COMPUTSA

Desc: Thousands of Units Seasonally Adjusted Annual Rate, 

Freq: monthly

Cols: Date|Value

New Privately-Owned Housing Units Completed: Total

Code: FRED/COMPUTNSA

Desc: Thousands of Units Not Seasonally Adjusted, 

Freq: monthly

Cols: Date|Value

New Privately-Owned Housing Units Completed in the South Census Region

Code: FRED/COMPUSTSA

Desc: Thousands of Units Seasonally Adjusted Annual Rate, 

Freq: monthly

Cols: Date|Value

# I will settle for Units Completed without seasonal adjustment; The dataset code is “FRED/COMPUTNSA”

> Units = Quandl(“FRED/COMPUTSA”) #download the data

> head(Units)

        Date          Value

1  1968-01-01  1257

2  1968-02-01  1174

3  1968-03-01  1323

4  1968-04-01  1328

5  1968-05-01  1367

6  1968-06-01  1184

There you have it.  I plan to explore the Changepoint package in an upcoming blog using this dataset.