*
* Example 8.2 from pp 345-347
*
open data m-bnd.dat
calendar(m) 1942
data(format=free,org=columns) 1942:1 1999:12 b30 b20 b10 b5 b1
*
table
*
* VCV computes and displays the covariance matrix of a set of series. The
* variances and covariances are on and below the diagonal, and the correlations
* are above the diagonal. (The CENTER option subtracts means from the data).
*
vcv(center)
# b30 b20 b10 b5 b1
*
* This graphs the five series on a single graph, with all of them using the same
* range. (TABLE creates the %MAXIMUM and %MINIMUM values for the overall max and
* min of the data).
*
spgraph(vfields=5,ylabels=||"30 Year","20 Year","10 Year","5 Year","1 Year"||,$
  footer="Figure 8.4. Time plots of monthly simple returns of five indexes of U.S. Government bonds")
graph(vticks=4,max=%maximum,min=%minimum)
# b30
graph(vticks=4,max=%maximum,min=%minimum)
# b20
graph(vticks=4,max=%maximum,min=%minimum)
# b10
graph(vticks=4,max=%maximum,min=%minimum)
# b5
graph(vticks=4,max=%maximum,min=%minimum)
# b1
spgraph(done)
*
* Cross correlation matrices
*
@MVIdent(lags=2)
# b30 b20 b10 b5 b1
*
* Multivariate Q statistic (from page 348)
*
@MVQstat(lags=5)
# b30 b20 b10 b5 b1