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)
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")
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")