R version 2.9.2 (2009-08-24)
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ISBN 3-900051-07-0
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>
>
> # from one of our students,
> # who pointed out the merge function (that I didn't know about)
>
> dji = read.table("http://www-stat.stanford.edu/~jtaylo/courses/stats202/data/dowjones.csv", sep=',', header=T)
> djiDate = strptime(dji$Date, format="%Y-%m-%d")
>
> sp = read.table("http://www-stat.stanford.edu/~jtaylo/courses/stats202/data/spx500.csv", sep=',', header=T)
> spDate = strptime(sp$Date, format='%Y-%m-%d')
>
> #Bind date data to each data frame:
> sp = cbind(sp,spDate)
> dji = cbind(dji,djiDate)
>
> #Change name of dow close so it's different than the sp500 name
> names(dji)[5] = "djiClose"
>
> #MERGE DATA using merge function:
> alldata = merge(dji, sp, by.x = "djiDate", by.y = "spDate")
>
> #sanity check:
> length(alldata$djiClose)
[1] 14940
> length(alldata$Close)
[1] 14940
>
> #OLS REGRESSION
> summary(lm(Close~djiClose, data=alldata))
Call:
lm(formula = Close ~ djiClose, data = alldata)
Residuals:
Min 1Q Median 3Q Max
-136.541 -14.131 -7.805 18.731 261.991
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 2.197e+00 4.493e-01 4.889 1.02e-06 ***
djiClose 1.161e-01 9.088e-05 1277.740 < 2e-16 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 42.27 on 14938 degrees of freedom
Multiple R-squared: 0.9909, Adjusted R-squared: 0.9909
F-statistic: 1.633e+06 on 1 and 14938 DF, p-value: < 2.2e-16
>
>
>
>
> #DATA PLOT with same axis:
> par(mfrow=c(2,1))
>
> plot(alldata$djiDate, alldata$djiClose, type='l', col='red', ylab='Dow Jones
+ close')
> plot(alldata$djiDate, alldata$Close, col='blue', type='l', ylab='S&P
+ 500 close')
>
>
>
>
> proc.time()
user system elapsed
3.820 2.012 8.552
R script