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

This file tells you how to 

(1) Access WRDS and download data as a text file 
(2) convert the text file to an S-Plus object of type data.frame
(3) Convert the S-Plus data.frame object to an object of type timeSeries

This three step process seems like a pain, but it's really not so bad. 

The good part is at the end of this
drill you get to analyze some real data that matters to many people.

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Note: if you find a typo --- or suspect a typo --- send me e-mail
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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!)
Follow instuctions to download the file and save it as  ibm.txt (perhaps to your desktop,
though later you will want to have a special WRDs Downloads File)


Note: Non-Wharton Students will need to get a Wharton Class Account. Instuctions for 
doing this are posted in a like under e-Handouts.

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S-Plus

File/Import ... Use this to create an R data.frame called ibm from the file ibm.txt

Use the GUI data editor to

1. Remove the fluff at the top
2. Delete the name tag column
2. Change the (new) first column to type character (using "Change Data Type 
in the right-click menu provided by the GUI)
3. Change the (new) second column to type double (again using "Change Data Type")

These steps give you an object of type data.frame which can be made into an object
of type timeSeries that is appropriate for the Finmetrics tools. 

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Finmetrics

module(finmetrics)
ibm.td<-timeDate(ibm[,1], in.format="%4Y%2m%2d")
ibm.ts<-timeSeries(data<-ibm[,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 --- with a message --- and useful for HW3

plot(ibm.ts)
autocorTest(ibm.ts)
qqnorm(ibm.ts)
temp<-rt(df=5, length(ibm.ts))
qqplot(seriesData(ibm.ts), temp)
normalTest(seriesData(ibm.ts))
normalTest(temp)
temp2<-rnorm(100)
normalTest(temp2)

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