Notes Regarding the Use of WRDS and the creation of an S-Plus Finmetrics Time Series
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WRDS

wrds1.wharton.upenn.edu
members login
CRSP
Annual Up-dates:Daily Stocks
IBM
Holding Period Returns (look at the hyper-doc while you are here!)
Download the file and change its name to IBM-R.txt 
Think a bit about organization of your files.

Note: Non-Wharton students will create a class account. You can find instructions for the creation 
of such an accound under the Software Tools tab of the course home page.

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S-Plus

GUI/File/Import ... this creates IBM.R from IBM-R.txt
Use the GUI data editor to
1. Remove the fluff at the top
2. Delete the fist column
2. Change the (new) first column to type character (using "properties" in GUI)
3. Change the (new) second column to type double (again using "properties")

These steps give you a object of type data.frame which can be made into a time series

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Finmetrics

module(finmetrics)
ibm.td<-timeDate(IBM.R[,1], in.format="%4Y%2m%2d")
ibm.ts<-timeSeries(data<-IBM.R[,2], pos<-ibm.td)

Note: Z&W pages 19--31 have more than you want to know about timeDate, but most
people just look at the examples given by format.timeDate (as discussed on p.19)

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Test Drive

plot(ibm.ts)
autocorTest(ibm.ts)
qqnorm(ibm.ts)
temp<-rt(df=5, length(ibm.ts))
qqplot(seriesData(ibm.ts), temp)