*
* Example 9.1, pp 423-426
*
open data m-5cln.dat
calendar(m) 1990
data(format=free,org=columns) 1990:1 1999:12 ibm hwp intc mer mwd
*
* Original analysis with data through 1999:12
*
spgraph(vfields=5,footer="Figure 9.4 Monthly log returns")
graph(header="(a) IBM")
# ibm
graph(header="(b) HWP")
# hwp
graph(header="(c) INTC")
# intc
graph(header="(d) MER")
# mer
graph(header="(e) MWD")
# mwd
spgraph(done)
*
* Compute the covariance matrix of the return series
*
vcv(center,matrix=r)
# ibm hwp intc mer mwd
*
* Do the principal components analysis on the covariance matrix and
* on its correlation matrix
*
@prinfactors(print) r
@prinfactors(print,values=evalues) %cvtocorr(r)
*
* Pull out the eigenvalues and graph them
*
set eigen 1 5 = evalues(t)
graph(style=symbols,vlabel="Eigenvalue",hlabel="Component",nodates)
# eigen