The followings are the quantlets for producing the results in next section. Each quantlet is just an example and is executed using the data for each country. Quantlet 1:
library("times") x=read("dbs50.dat") nobs=4740 x=x[1:nobs] spec(x) pgram(x) library("times") x=read("dbs50.dat") nobs=4740 x=x[1:nobs] y=tdiff(x) spec(y) pgram(y)
library("stats") x=read("dbs50.dat") nobs=4740 output("dbs50sum.out","reset") x=x[1:nobs] descriptive(x,"z") library("plot") setsize(480,320) plothist(x) gr=grqqn(x) plot(gr) library("smoother") h=(max(x)-min(x))*0.05 fh=denest(x,h,"qua") fh=setmask(fh,"line") library("plot") plotdisplay2=createdisplay(1,1) show(plotdisplay2,1,1,fh) tl="Density Estimate" xl="Return" yl="density fh" setgopt(plotdisplay2,1,1,"title",tl,"xlabel",xl,"ylabel",yl) output("dbs50sum.out","close")
library("times") x=read("dbs50.dat") nobs=4740 output("dbs50x.out","reset") x=x[1:nobs] y=x l=lo(y) k1=kpss(y) k=rvlm(y) t=lobrob(y) g=gph(y) d=robwhittle(y) dd=roblm(y) h=hurst(y,50) l k1 k t g d dd h output("dbs50x.out","close")