This is a demonstration for using the SCA package on the GSBMBA machine. (a) Every student should have an account on the GSBMBA machine. (b) You may use ``telnet'' to connect to GSBMBA on your PC via internet. On your pc, click on ``Start'', click on ``Run'', then type in ``telnet gsbmba.uchicago.edu''. A window will open for you to logon to GSBMBA. (c) In what follows, my comment after each command starts with <== Also, you should hit the ``return'' or ``enter'' key at the end of every command. (d) If you make a typo in SCA. Type ``quit'' to start the command over!!! Assume that you have successfully logged on to GSBMBA and you have copied the necessary files into your GSBMBA account. To run SCA, simply type ``sca 800'' as follows: gsbmba% sca 800 <== Initialize SCA with plenty of work space <== The numeric number 800 can be changed. * * * * * COMPUTER SERIAL NUMBER ( 0 / 12345 ) * * * * * THE SCA STATISTICAL SYSTEM ( RELEASE VI.1 ) SCA PRODUCT IDENTIFICATION: GSA, UTS, MTS & ECON/M SCA PRODUCT IDENTIFICATION: EXTENDED-UTS & EXPERT HOST COMPUTER OPERATING SYSTEM: SUN-4/UNIX SCA SOFTWARE RELEASE DATE: 5/ 1/2001 SCA SOFTWARE RENEWAL DATE: 7/ 2/2002 COPYRIGHT (C), SCIENTIFIC COMPUTING ASSOCIATES. ALL RIGHTS RESERVED SIZE OF WORKSPACE IS 800000 SINGLE PRECISION WORDS DATE -- 3/26/2002 TIME -- 8:26:50 -- profile review. owidth 80. <== This command directs SCA to SAVE the output <== into a plain text file called ``scaoutp.otp''. <== The output file is in your directory once <== you exit SCA. <== owidth stands for Output width of each line. profile review. owidth 80. ACTUAL ARGUMENTS IN THIS PARAGRAPH : Style of this session .......... PARTIAL Prompting of this session....... NORMAL Echo the instruction ........... YES Amount of output ............... NORMAL Computation precision .......... SINGLE File for instructions .......... 5 File for output ................ 10 Width of input device .......... 72 Width of output device ......... 80 -- input aa. file 'd-aa9099.dat' <== Load the daily log returns of Aloca stock <== from the file d-aa9099.dat into SCA. <== The returns are called ``aa''. AA , A 2528 BY 1 VARIABLE, IS STORED IN THE WORKSPACE -- desc aa <== Compute the summary statistics of variable ``aa''. VARIABLE NAME IS AA NUMBER OF OBSERVATIONS 2528 NUMBER OF MISSING VALUES 0 STATISTIC STD. ERROR STATISTIC/S.E. MEAN 0.0679 0.0360 1.8833 VARIANCE 3.2821 STD DEVIATION 1.8117 C. V. 26.6978 SKEWNESS 0.4639 0.0487 KURTOSIS 3.2033 0.0973 QUARTILE MINIMUM -10.2370 1ST QUARTILE -1.0770 MEDIAN 0.0000 3RD QUARTILE 1.0560 MAXIMUM 13.1520 RANGE MAX - MIN 23.3890 Q3 - Q1 2.1330 -- saa = (exp(aa/100)-1)*100 <== Transform percentage log returns into <== percentage simple returns and name the <== simple returns ``saa''. -- desc saa <== Compute the summary statistics of the simple returns ``saa''. VARIABLE NAME IS SAA NUMBER OF OBSERVATIONS 2528 NUMBER OF MISSING VALUES 0 STATISTIC STD. ERROR STATISTIC/S.E. MEAN 0.0843 0.0362 2.3282 VARIANCE 3.3179 STD DEVIATION 1.8215 C. V. 21.5960 SKEWNESS 0.6024 0.0487 KURTOSIS 3.6364 0.0973 QUARTILE MINIMUM -9.7305 1ST QUARTILE -1.0712 MEDIAN 0.0000 3RD QUARTILE 1.0616 MAXIMUM 14.0561 RANGE MAX - MIN 23.7865 Q3 - Q1 2.1328 -- acf aa <== Compute the autocorrelation function of the variable ``aa''. NAME OF THE SERIES . . . . . . . . . . AA TIME PERIOD ANALYZED . . . . . . . . . 1 TO 2528 MEAN OF THE (DIFFERENCED) SERIES . . . 0.0679 STANDARD DEVIATION OF THE SERIES . . . 1.8113 T-VALUE OF MEAN (AGAINST ZERO) . . . . 1.8836 AUTOCORRELATIONS 1- 12 .04 -.03 -.01 -.06 .01 .01 -.01 .02 -.01 .05 -.01 -.01 ST.E. .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 Q 3.9 6.4 6.6 14.4 14.5 14.7 15.0 16.1 16.5 22.2 22.3 22.9 13- 24 -.01 -.01 -.03 -.00 .04 .00 .03 -.03 -.03 -.03 .02 -.01 ST.E. .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 Q 23.1 23.5 25.3 25.3 28.4 28.4 30.1 32.8 34.5 36.3 37.5 37.6 -1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 +----+----+----+----+----+----+----+----+----+----+ I 1 0.04 +IX 2 -0.03 XI+ 3 -0.01 +I+ 4 -0.06 XI+ 5 0.01 +I+ 6 0.01 +I+ 7 -0.01 +I+ 8 0.02 +IX 9 -0.01 +I+ 10 0.05 +IX 11 -0.01 +I+ 12 -0.01 +I+ 13 -0.01 +I+ 14 -0.01 +I+ 15 -0.03 XI+ 16 0.00 +I+ 17 0.04 +IX 18 0.00 +I+ 19 0.03 +IX 20 -0.03 XI+ 21 -0.03 XI+ 22 -0.03 XI+ 23 0.02 +IX 24 -0.01 +I+ -- pacf aa <== Compute the partial autocorrelation function of ``aa''. NAME OF THE SERIES . . . . . . . . . . AA TIME PERIOD ANALYZED . . . . . . . . . 1 TO 2528 MEAN OF THE (DIFFERENCED) SERIES . . . 0.0679 STANDARD DEVIATION OF THE SERIES . . . 1.8113 T-VALUE OF MEAN (AGAINST ZERO) . . . . 1.8836 PARTIAL AUTOCORRELATIONS 1- 12 .04 -.03 -.00 -.06 .01 .00 -.01 .02 -.01 .05 -.01 -.01 ST.E. .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 13- 24 -.01 -.01 -.03 -.00 .03 -.01 .03 -.04 -.02 -.03 .03 -.01 ST.E. .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 .02 -1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 +----+----+----+----+----+----+----+----+----+----+ I 1 0.04 +IX 2 -0.03 XI+ 3 0.00 +I+ 4 -0.06 XI+ 5 0.01 +I+ 6 0.00 +I+ 7 -0.01 +I+ 8 0.02 +I+ 9 -0.01 +I+ 10 0.05 +IX 11 -0.01 +I+ 12 -0.01 +I+ 13 -0.01 +I+ 14 -0.01 +I+ 15 -0.03 XI+ 16 0.00 +I+ 17 0.03 +IX 18 -0.01 +I+ 19 0.03 +IX 20 -0.04 XI+ 21 -0.02 +I+ 22 -0.03 XI+ 23 0.03 +IX 24 -0.01 +I+ -- input ca,gm,uk,jp,ff. file 'forex-c.dat'. @ <== The @ sign means the command form '(8x,5f11.4)'. <== continues to the next line. Here we load multiple <== variables from the file forex-c.dat into SCA. <== Name the variables ca, gm, uk, jp, ff. CA , A 1800 BY 1 VARIABLE, IS STORED IN THE WORKSPACE GM , A 1800 BY 1 VARIABLE, IS STORED IN THE WORKSPACE UK , A 1800 BY 1 VARIABLE, IS STORED IN THE WORKSPACE JP , A 1800 BY 1 VARIABLE, IS STORED IN THE WORKSPACE FF , A 1800 BY 1 VARIABLE, IS STORED IN THE WORKSPACE -- ca = ln(ca) <== Take the natural log transformation of the variable ``ca''. -- diff old ca. new fxca. compress. <== Compute the log return of ``ca'' and <== call it ``fxca''. 1 DIFFERENCE ORDERS ARE (1-B ) SERIES CA IS DIFFERENCED, THE RESULT IS STORED IN VARIABLE FXCA SERIES FXCA HAS 1799 ENTRIES -- desc fxca <== Compute the summary statistics of ``fxca''. VARIABLE NAME IS FXCA NUMBER OF OBSERVATIONS 1799 NUMBER OF MISSING VALUES 0 STATISTIC STD. ERROR STATISTIC/S.E. MEAN 0.0001 0.0001 1.1507 VARIANCE 0.0000 STD DEVIATION 0.0031 C. V. 36.8595 SKEWNESS -0.0798 0.0577 KURTOSIS 2.4427 0.1153 QUARTILE MINIMUM -0.0162 1ST QUARTILE -0.0017 MEDIAN 0.0001 3RD QUARTILE 0.0019 MAXIMUM 0.0165 RANGE MAX - MIN 0.0327 Q3 - Q1 0.0036 -- stop <== Exit SCA THE CURRENT SCA SESSION IS TERMINATED. THE SIZE OF THE WORKSPACE USED IS 52912 WORDS. **************************** The output file scaoutp.otp should be in your directory. To exit GSBMBA, simply type ``exit'' on the window.