XQS started, wait for applet!

Subject: XploRe Application Guide
See XploRe: tp/cafpe/cafpefull tp/cafpe/cafpe tp/cafpe/plotloclin

Quantlet: flts13
Description: plots conditional mean function for lags 1, 3, autocorrelation function of residuals and uses these residuals to select lags of nonlinear conditional volatility function for exchange rate returns using CAFPE criterion
Download: flts13.xpl

Code:
  pathcafpe    = "tp/cafpe/"  ; path for CAFPE quantlets

;    load required libraries
  library("xplore")
  library("times")
  func("jarber")
  func(pathcafpe + "cafpeload") ;load required XploRe files of CAFPE
  cafpeload(pathcafpe)
;   set output format
  setsize(640,480)
  setenv("outheadline","") 	; no header for each output file
  setenv("outlineno","")    	; no numbering of output lines
;   load data
  x     	= read("dmus58-300.dat")  ; name of data file
  y		= tdiff(x)	; compute first differences
  xresid	= 0
  truedat       = ""       	; name of potential data file
  trueres 	= ""		; name of potential residuals file
  xdataln   	= "no"     	; don't take logarithms
  xdatadif  	= "no"    	; don't take first differences
  xdatastand    = "no"     	; don't standardize data
  lagmax    	= 6     	; the largest lag considered is 6
  searchmethod  = "full"    	; consider all possible lag combinations
  dmax      	= 6     	; consider at most 6 lags
  volat 	= "no"		; conduct lag selection for cond. volatility
  selcrit	= "lqcafpe"	; use CAFPE with plug-in bandwidth
  robden    	= "yes"		; robustify density estimation
  perA  	= 0
  perB  	= 0.05		; screen off data with lowest density
  startval	= "different"
  noutputf	= ""		; name of output file
  outpath	= "test"	; path for output file

  lags      	= 1|3          	; lag vector for regression function
  h		= 0
  xsconst   	= 1e-100|1e-100	; 1e-100 for the lags which are varied
                                ; for those kept fixed it includes the
                                ; chosen constant
  gridnum   	= 30           	; number of gridpoints in one direction
   gridmax   	= 0.0015	; maximum of grid
  gridmin	= -0.0015	; minimum of grid

; compute optimal bandwidth and plot cond. mean for given lags
 { hplugin,hB,hC,xs,resid } = plotloclin(y,xresid,xdataln,xdatadif,xdatastand,volat,lags,h,xsconst,gridnum,gridmax,gridmin)
  "plug-in bandwidth for conditional mean" hplugin

; 	diagnostics
  acfplot(resid)		; compute and plot autocorrelation function of residuals
  {jb,probjb,sk,k} = jarber(resid,1)
				; compute Jarque-Bera test for normality of residuals

;   conduct lag selection
  xresid	= resid 
  volat		= "resid"
  {crmin,crpro,crstore,crstoreadd,hstore,hstoretest}= cafpefull(y,truedat,xresid,trueres,xdataln,xdatadif,xdatastand,lagmax,volat,searchmethod,dmax,selcrit,robden,perA,perB,startval,noutputf,outpath)
  "Lag selection for cond. standard deviation using residuals"
  "selected lag vector,               estimated CAFPE "
  crmin[,1:dmax+1]
  "number of lags, chosen lag vector,        estimated CAFPE, plug-in bandwidth"
  (0:dmax)~crpro[,1:dmax|(dmax+4)|(dmax+1)]
; rotate view
  m = #(0.92388, -0.14644, 0.35355)
  m = m~#(0.38268, 0.35357, -0.85355)
  m = m~#(-6.2479e-06, 0.92388, 0.38269)
  setgopt(d1,1,1,"rotcos", m')


  

Subject: XploRe Application Guide
See XploRe: tp/cafpe/cafpefull tp/cafpe/cafpe tp/cafpe/plotloclin

© MD*Tech - Method and Data Technologies, generated on 19.7.2000 .