Warning message: data set ‘...’ not found

General
1

data set ‘sp500’ not found

data(sp500)
Warning message:
In data(sp500) : data set ‘sp500’ not found

2

I think you need to precise from which package this dataset comes from and do data(sp500, package = "packagename".
Or load the package, then call data(...)

it seems there are several sources possible
https://www.rdocumentation.org/search?q=sp500&latest=

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