*
* Autocorrelations from page 28/29
*
calendar(m) 1926:1
*
* The IBM & VW data are simple returns
*
open data ch02_ibmstock_m(26-97).txt
data(format=free,org=columns) 1926:1 1997:12 ibmsmp
set ibmlog = log(1+ibmsmp)
*
open data ch02_vw_m(26-97).txt
data(format=free,org=columns) 1926:1 1997:12 vwsmp
set vwlog = log(1+vwsmp)
*
* The RATS procedure BJIDENT is best suited for the preliminary phase of
* examining autocorrelations.
*
@bjident(number=100,report) ibmsmp
@bjident(number=100,report) ibmlog
*
@bjident(number=100,report) vwsmp
@bjident(number=100,report) vwlog