the return for the CRSP value-weighted index, including dividends
Source
Center for Research in Security Prices, Graduate School of Business, University of Chicago, 725 South Wells - Suite 800, Chicago, Illinois 60607, http://www.crsp.com.
References
Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, http://www.econ.queensu.ca/ETM/, chapter 13.