*
* Example 8.1 from pp 343-345
*
open data m-ibmspln.dat
calendar(m) 1926
data(format=free,org=columns) 1926:1 1999:12 ibm sp500
*
* Graph the time series
*
spgraph(vfields=2,footer="Figure 8.1. Time plots of monthly log returns")
graph(header="(a) Log Monthly Returns, IBM")
# ibm
graph(header="(b) Log Monthly Returns, SP500")
# sp500
spgraph(done)
*
* To use the lag series in a SCATTER, you need to create it as
* a separate series.
*
set ibm_1 = ibm{1}
set sp500_1 = sp500{1}
*
* Do a scatter plot matrix
*
spgraph(vfields=2,hfields=2,footer="Figure 8.2. Some scatterplots for monthly log returns of IBM and S&P 500")
scatter(hlabel="SP500",vlabel="IBM")
# sp500 ibm
scatter(hlabel="IBM{1}",vlabel="SP500")
# ibm_1 sp500
scatter(hlabel="SP500{1}",vlabel="IBM")
# sp500_1 ibm
scatter(hlabel="SP500{1}",vlabel="SP500")
# sp500_1 sp500
spgraph(done)
*
* The "TABLE" instuction will do most of the summary statistics shown in table
* 8.1. However, it doesn't include the higher moments (skewness and kurtosis).
* Those can be computed with the STATISTICS instruction. STATISTICS with FRACTILES
* also computes the maximum and minimum (as well as median and several other
* standard fractiles).
*
report(action=define)
report(atrow=1,atcol=1) "Ticker" "Mean" "Standard Error" "Skewness" "Excess Kurtosis" "Minimum" "Maximum"
statistics(noprint,fractiles) ibm_1
report(atrow=2,atcol=1) "IBM" %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
statistics(noprint,fractiles) sp500
report(atrow=3,atcol=1) "SP500" %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
report(action=format,picture="*.###")
report(action=show)
*
@MVIdent(lags=5)
# ibm sp500
*
* This does a slightly different graph format for the correlations. It creates
* a 2x2 matrix of graphs with the autocorrelations on the main diagonals and the
* cross correlations for non-negative and non-positive lags in separate graphs
* in the two corners.
*
@crosscorr(number=12) ibm sp500
*
* Multivariate Q-statistics (from page 348)
*
display
display "MV Q Statistic on IBM and SP500"
@mvqstat(lags=1)
# ibm sp500
@mvqstat(lags=5)
# ibm sp500
@mvqstat(lags=10)
# ibm sp500