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)

1146 aslm01.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")

1152 aslm02.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")

1158 aslm03.xpl



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