sde (version 2.0.18)

DWJ: Weekly closings of the Dow-Jones industrial average

Description

This dataset contains the weekly closings of the Dow-Jones industrial average in the period July 1971--August 1974. These data were proposed to test change-point estimators. There are 162 data, and the main evidence found by several authors is that a change in the variance occurred around the third week of March 1973.

Usage

data(DWJ)

References

Hsu, D.A. (1977) Tests for variance shift at an unknown time point, Appl. Statist., 26(3), 279-284.

Hsu, D.A. (1979) Detecting shifts of parameter in gamma sequences with applications to stock price and air traffic flow analysis, Journal American Stat. Ass., 74(365), 31-40.

Examples

data(DWJ)
ret <- diff(DWJ)/DWJ[-length(DWJ)]

par(mfrow=c(2,1))
par(mar=c(3,3,2,1))
plot(DWJ,main="Dow-Jones closings",ylab="",type="p")
plot(ret,main="Dow-Jones returns",ylab="",type="p")

cp <- cpoint(ret)
cp
abline(v=cp$tau0,lty=3)

cp <- cpoint(window(ret,end=cp$tau0))
cp
abline(v=cp$tau0,lty=3)