方差比检验的SAS程序.docVIP

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方差比检验的SAS程序

libnameVRD:\Books\证券市场计量方法与实证研究\2006Data\VR;

procimportout=VR.S980001

datafile=D:\Books\证券市场计量方法与实证研究\2006Data\VR\980001.txt

dbms=tabreplace;

getnames=yes;

run;

dataVR.S980001_1;

setVR.S980001(keep=Var1Var4Var5);

rename

Var1=Obsn

Var4=daten

Var5=C_pricen;

rt=log(Var5);

year=year(Var4);

rt_1=rt-lag(rt);

rt_2=rt-lag2(rt);

rt_3=rt-lag4(rt);

rt_4=rt-lag8(rt);

rt_5=rt-lag16(rt);

n1=ceil(Var1/2);

n2=ceil(Var1/4);

n3=ceil(Var1/8);

n4=ceil(Var1/16);

run;

procsql;

createtableVR_1as

selectyear,var(rt_2)/(2*var(rt_1))asVR_2,var(rt_3)/(4*var(rt_1))asVR_4,

var(rt_4)/(8*var(rt_1))asVR_8,var(rt_5)/(16*var(rt_1))asVR_16,

count(*)asobs

fromVR.S980001_1

wherert_5ne.

groupbyyear;

quit;

procsql;

createtabletemp1as

selectobs,year,(rt_1-mean(rt_1))*(rt_1-mean(rt_1))asTemp1,

(rt_2-2*mean(rt_1))*(rt_2-2*mean(rt_1))asTemp2,

(rt_3-4*mean(rt_1))*(rt_3-4*mean(rt_1))asTemp3,

(rt_4-8*mean(rt_1))*(rt_4-8*mean(rt_1))asTemp4,

(rt_5-16*mean(rt_1))*(rt_5-16*mean(rt_1))asTemp5

fromVR.S980001_1

wherert_5ne.

groupbyyear;

quit;

procsortdata=Temp1;

byobs;

run;

procsql;

createtableVR_1_1as

selectyear,(sum(Temp2)/(2*(count(*)-2+1)*(1-2/count(*))))/(sum(Temp1)/(count(*)-1))asVR_2,

(sum(Temp3)/(4*(count(*)-4+1)*(1-4/count(*))))/(sum(Temp1)/(count(*)-1))asVR_4,

(sum(Temp4)/(8*(count(*)-8+1)*(1-8/count(*))))/(sum(Temp1)/(count(*)-1))asVR_8,

(sum(Temp5)/(16*(count(*)-16+1)*(1-16/count(*))))/(sum(Temp1)/(count(*)-1))asVR_16,

count(*)asobs

fromtemp1

groupbyyear;

quit;

procsql;

createtableZ_1as

selectyear,sqrt(obs)*(VR_2-1)/sqrt(2*(2*2-1)*(2-1)/(3*2))asZ_2,

sqrt(obs)*(VR_4-1)/sqrt(2*(2*4-1)*(4-1)/(3*4))asZ_4,

sqrt(obs)*(VR_8-1)/sqrt(2*(2*8-1)*(8-1)/(3*8))asZ_8,

sqrt(obs)*(VR_16-1)/sqrt(2*(2*16-1)*(16-1)/(3*16))asZ_16

fromVR_1;

quit;

procsql;

createtableZ_1_1as

selectyear,sqrt(obs)*(VR_2-1)/sqrt(2*(2*2-1)*(2-1)/(3*2))asZ_2