15.7 The Quantlets

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)
25410 XAGaslm01.xpl

Quantlet 2:
  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")
25416 XAGaslm02.xpl

Quantlet 3:
  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")
25422 XAGaslm03.xpl