Appendix C: Some SCA Commands
The following SCA commands are used in the analysis of Example 8.6:
input x1,x2. file ‘m-gs1n3-5301.txt’ % Load data
r1=ln(x1) % Take log transformation
miden r1,r2. no ccm. arfits 1 to 8.
-- % Denote the model by v21.
mtsm v21. series r1,r2. model (i-p1*b-p2*b**2)series= @
mestim v21. % Initial estimation
p1(2,1)=0 % Set zero constraints
-- % Refine estimation and store residuals
mestim v21. method exact. hold resi(res1,res2)
8.1 Consider the monthly log stock returns, in percentages and including dividends, of Merck & Company, Johnson & Johnson, General Electric, General Motors, Ford Motor Company, and value-weighted index from January 1960 to December 2008; see the file m-mrk2vw.txt.
a. Compute the sample mean, covariance matrix, and correlation matrix of the data.
b. Test the hypothesis , where is the lag-i cross-correlation matrix of the data. Draw conclusions based on the 5% significance level.
c. Is there any lead–lag relationship among the six return series?
8.2 The Federal Reserve Bank of St. Louis publishes selected interest rates and U.S. financial ...