The SAS System 13:05 Wednesday, April 28, 1993 1 Variable N Mean Std Dev Minimum Maximum ---------------------------------------------------------------------- YEAR 4044 1984.51 4.6094263 1977.00 1992.00 MM 4044 6.5234916 3.4368897 1.0000000 12.0000000 DD 4044 15.7584075 8.7382155 1.0000000 31.0000000 PRICE 4044 213.2633210 105.0162050 86.9000000 441.2800000 YY 4044 84.5059347 4.6094263 77.0000000 92.0000000 YYMMDD 4044 845727.45 46095.39 770104.00 921231.00 DAYNUM 4044 9133.33 1686.81 6213.00 12053.00 P 4044 0.0347218 0.9899183 -22.8997227 8.7088785 DAY 4044 3.0133531 1.4022066 1.0000000 5.0000000 DAY1 4044 0.1909001 0.3930591 0 1.0000000 DAY2 4044 0.2042532 0.4032047 0 1.0000000 DAY3 4044 0.2047478 0.4035671 0 1.0000000 DAY4 4044 0.2007913 0.4006418 0 1.0000000 DAY5 4044 0.1993076 0.3995292 0 1.0000000 HOL 4044 0.0318991 0.1757532 0 1.0000000 WKEND 4044 0.2062315 0.4046487 0 1.0000000 FROMJAN 4044 183.1664194 104.9676876 2.0000000 366.0000000 GAP 4044 1.4443620 0.8652012 1.0000000 4.0000000 RGAP 4044 1.1609298 0.3108503 1.0000000 2.0000000 GAP1 4044 0.7841246 0.4114791 0 1.0000000 GAP2 4044 0.0096439 0.0977409 0 1.0000000 GAP3 4044 0.1839763 0.3875127 0 1.0000000 GAP4 4044 0.0222552 0.1475306 0 1.0000000 GAP5 4044 0 0 0 0 MON01_1 4044 0.0160732 0.1257726 0 1.0000000 MON01_2 4044 0.0197824 0.1392690 0 1.0000000 MON01_3 4044 0.0197824 0.1392690 0 1.0000000 MON01_4 4044 0.0284372 0.1662388 0 1.0000000 MON02 4044 0.0759149 0.2648947 0 1.0000000 MON03 4044 0.0865480 0.2812063 0 1.0000000 MON04 4044 0.0816024 0.2737918 0 1.0000000 MON05 4044 0.0838279 0.2771638 0 1.0000000 MON06 4044 0.0848170 0.2786437 0 1.0000000 MON07 4044 0.0833333 0.2764196 0 1.0000000 MON08 4044 0.0877844 0.2830160 0 1.0000000 MON09 4044 0.0803660 0.2718926 0 1.0000000 MON10 4044 0.0877844 0.2830160 0 1.0000000 MON11 4044 0.0806133 0.2722739 0 1.0000000 MON12_1 4044 0.0197824 0.1392690 0 1.0000000 MON12_2 4044 0.0197824 0.1392690 0 1.0000000 MON12_3 4044 0.0197824 0.1392690 0 1.0000000 MON12_4 4044 0.0239862 0.1530249 0 1.0000000 NAUGHT 4044 0 0 0 0 ---------------------------------------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 2 Model: MODEL1 Dependent Variable: P Analysis of Variance Sum of Mean Source DF Squares Square F Value Prob>F Model 22 25.65440 1.16611 1.191 0.2438 Error 4021 3936.23580 0.97892 C Total 4043 3961.89020 Root MSE 0.98940 R-square 0.0065 Dep Mean 0.03472 Adj R-sq 0.0010 C.V. 2849.52035 Parameter Estimates Parameter Standard T for H0: Variable DF Estimate Error Parameter=0 Prob > |T| INTERCEP 1 0.018633 0.23067150 0.081 0.9356 DAY2 1 0.079744 0.09700438 0.822 0.4111 DAY3 1 0.115901 0.10465510 1.107 0.2682 DAY4 1 0.038338 0.10487853 0.366 0.7147 DAY5 1 0.085353 0.10402889 0.820 0.4120 RGAP 1 -0.059509 0.12462605 -0.478 0.6330 MON01_1 1 0.066251 0.13544135 0.489 0.6248 MON01_2 1 -0.125273 0.12437578 -1.007 0.3139 MON01_3 1 0.046890 0.12437578 0.377 0.7062 MON01_4 1 0.148233 0.10838049 1.368 0.1715 MON03 1 0.018450 0.07763091 0.238 0.8122 MON04 1 0.062061 0.07865801 0.789 0.4302 MON05 1 0.029400 0.07795761 0.377 0.7061 MON06 1 0.028093 0.07798893 0.360 0.7187 MON07 1 0.037613 0.07814588 0.481 0.6303 MON08 1 0.037167 0.07739533 0.480 0.6311 MON09 1 -0.079487 0.07874541 -1.009 0.3128 MON10 1 -0.070672 0.07739994 -0.913 0.3613 MON11 1 0.075440 0.07881467 0.957 0.3385 MON12_1 1 0.035626 0.12437578 0.286 0.7746 MON12_2 1 -0.028218 0.12437578 -0.227 0.8205 MON12_3 1 0.114404 0.12437578 0.920 0.3577 MON12_4 1 0.121433 0.11536004 1.053 0.2926 The SAS System 13:05 Wednesday, April 28, 1993 3 Variable Label N Mean Std Dev Minimum ------------------------------------------------------------------------------ P 4044 0.0347218 0.9899183 -22.8997227 PHOLS Predicted Value of P 4044 0.0347218 0.0796579 -0.2097128 PROLS Residual 4044 -8.97403E-16 0.9867081 -22.7446107 ------------------------------------------------------------------------------ Variable Label Maximum -------------------------------------------- P 8.7088785 PHOLS Predicted Value of P 0.2232582 PROLS Residual 8.7045255 -------------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 4 OBS _TYPE_ _FREQ_ PBAR PHOLSBAR PROLSBAR PSE PHOLSSE PROLSSE 1 0 4044 0.034722 0.034722 -8.974E-16 0.98992 0.079658 0.98671 The SAS System 13:05 Wednesday, April 28, 1993 5 Univariate Procedure Variable=ABPR Moments N 4044 Sum Wgts 4044 Mean 0.665946 Sum 2693.084 Std Dev 0.728011 Variance 0.53 Skewness 8.876192 Kurtosis 220.0535 USS 3936.236 CSS 2142.788 CV 109.3198 Std Mean 0.011448 T:Mean=0 58.171 Prob>|T| 0.0001 Num ^= 0 4044 Num > 0 4044 M(Sign) 2022 Prob>|M| 0.0001 Sgn Rank 4089495 Prob>|S| 0.0001 Quantiles(Def=5) 100% Max 22.74461 99% 2.841871 75% Q3 0.908147 95% 1.811274 50% Med 0.493696 90% 1.42852 25% Q1 0.221658 10% 0.083883 0% Min 0.000128 5% 0.043141 1% 0.007993 Range 22.74448 Q3-Q1 0.686489 Mode 0.000128 Extremes Lowest Obs Highest Obs 0.000128( 2089) 6.29512( 3231) 0.00032( 3623) 6.927443( 2784) 0.000691( 3056) 8.486712( 2733) 0.001192( 687) 8.704525( 2730) 0.001279( 1932) 22.74461( 2728) The SAS System 13:05 Wednesday, April 28, 1993 6 OBS MADPR 1 0.49370 The SAS System 13:05 Wednesday, April 28, 1993 7 Variable Label N Mean Std Dev Minimum -------------------------------------------------------------------------- YEAR 4044 1984.51 4.6094263 1977.00 MM 4044 6.5234916 3.4368897 1.0000000 DD 4044 15.7584075 8.7382155 1.0000000 PRICE 4044 213.2633210 105.0162050 86.9000000 YY 4044 84.5059347 4.6094263 77.0000000 YYMMDD 4044 845727.45 46095.39 770104.00 DAYNUM 4044 9133.33 1686.81 6213.00 P 4044 0.0347218 0.9899183 -22.8997227 DAY 4044 3.0133531 1.4022066 1.0000000 DAY1 4044 0.1909001 0.3930591 0 DAY2 4044 0.2042532 0.4032047 0 DAY3 4044 0.2047478 0.4035671 0 DAY4 4044 0.2007913 0.4006418 0 DAY5 4044 0.1993076 0.3995292 0 HOL 4044 0.0318991 0.1757532 0 WKEND 4044 0.2062315 0.4046487 0 FROMJAN 4044 183.1664194 104.9676876 2.0000000 GAP 4044 1.4443620 0.8652012 1.0000000 RGAP 4044 1.1609298 0.3108503 1.0000000 GAP1 4044 0.7841246 0.4114791 0 GAP2 4044 0.0096439 0.0977409 0 GAP3 4044 0.1839763 0.3875127 0 GAP4 4044 0.0222552 0.1475306 0 GAP5 4044 0 0 0 MON01_1 4044 0.0160732 0.1257726 0 MON01_2 4044 0.0197824 0.1392690 0 MON01_3 4044 0.0197824 0.1392690 0 MON01_4 4044 0.0284372 0.1662388 0 MON02 4044 0.0759149 0.2648947 0 MON03 4044 0.0865480 0.2812063 0 MON04 4044 0.0816024 0.2737918 0 MON05 4044 0.0838279 0.2771638 0 MON06 4044 0.0848170 0.2786437 0 MON07 4044 0.0833333 0.2764196 0 MON08 4044 0.0877844 0.2830160 0 MON09 4044 0.0803660 0.2718926 0 MON10 4044 0.0877844 0.2830160 0 MON11 4044 0.0806133 0.2722739 0 MON12_1 4044 0.0197824 0.1392690 0 MON12_2 4044 0.0197824 0.1392690 0 MON12_3 4044 0.0197824 0.1392690 0 MON12_4 4044 0.0239862 0.1530249 0 NAUGHT 4044 0 0 0 MADPR the median, ABPR 4044 0.4936959 0 0.4936959 -------------------------------------------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 8 Variable Label Maximum ---------------------------------------- YEAR 1992.00 MM 12.0000000 DD 31.0000000 PRICE 441.2800000 YY 92.0000000 YYMMDD 921231.00 DAYNUM 12053.00 P 8.7088785 DAY 5.0000000 DAY1 1.0000000 DAY2 1.0000000 DAY3 1.0000000 DAY4 1.0000000 DAY5 1.0000000 HOL 1.0000000 WKEND 1.0000000 FROMJAN 366.0000000 GAP 4.0000000 RGAP 2.0000000 GAP1 1.0000000 GAP2 1.0000000 GAP3 1.0000000 GAP4 1.0000000 GAP5 0 MON01_1 1.0000000 MON01_2 1.0000000 MON01_3 1.0000000 MON01_4 1.0000000 MON02 1.0000000 MON03 1.0000000 MON04 1.0000000 MON05 1.0000000 MON06 1.0000000 MON07 1.0000000 MON08 1.0000000 MON09 1.0000000 MON10 1.0000000 MON11 1.0000000 MON12_1 1.0000000 MON12_2 1.0000000 MON12_3 1.0000000 MON12_4 1.0000000 NAUGHT 0 MADPR the median, ABPR 0.4936959 ---------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 9 Non-Linear Least Squares Iterative Phase Dependent Variable NAUGHT Method: Gauss-Newton Iter B0 B1 B2 B3 Sum of Squares B4 B5 B6 B7 B8 B9 B10 B11 B12 B13 B14 B15 B16 B17 B18 B19 B20 B21 B22 0 0.500000 0 0 0 7154.031431 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 -0.053363 0.016023 0.052874 -0.020249 5812.651487 0.054296 -0.072998 0.087191 -0.046842 0.015478 0.180743 0.023627 0.078018 0.015190 0.022712 0.036358 0.019443 -0.104248 0.000164 0.114692 0.069343 -0.052295 0.126358 0.128612 2 0.195059 -0.024079 0.008046 -0.046837 5706.993056 0.008221 -0.115069 0.017798 -0.031688 0.032614 0.136658 0.032048 0.058872 0.034430 0.031089 0.049052 0.012860 -0.069246 -0.022589 0.068860 0.046994 -0.031974 0.095088 0.120443 3 0.107052 -0.006946 0.025619 -0.035684 5698.392830 0.025597 -0.090455 0.043538 -0.035437 0.021020 0.147034 0.027054 0.064703 0.021001 0.024902 0.040471 0.016273 -0.079188 -0.011113 0.085964 0.056989 -0.033127 0.106774 0.116416 4 0.134982 -0.012342 0.019928 -0.039149 5697.663548 0.020381 -0.099897 0.035626 -0.034893 0.026509 0.144822 0.029513 0.063037 0.027436 0.027960 0.044476 0.014634 -0.076198 -0.015841 0.080296 0.053245 -0.033296 0.103142 0.119682 5 0.126285 -0.010748 0.021667 -0.038196 5697.599481 0.021837 -0.096633 0.038043 -0.034829 0.024412 0.145360 0.028647 0.063674 0.024912 0.026833 0.043061 0.015297 -0.076933 -0.014041 0.082204 0.054629 -0.032993 0.104377 0.118319 The SAS System 13:05 Wednesday, April 28, 1993 10 Non-Linear Least Squares Iterative Phase Dependent Variable NAUGHT Method: Gauss-Newton Iter B0 B1 B2 B3 Sum of Squares B4 B5 B6 B7 B8 B9 B10 B11 B12 B13 B14 B15 B16 B17 B18 B19 B20 B21 B22 6 0.128951 -0.011211 0.021132 -0.038455 5697.593699 0.021431 -0.097711 0.037343 -0.034942 0.025184 0.145240 0.028948 0.063460 0.025862 0.027241 0.043557 0.015063 -0.076741 -0.014667 0.081594 0.054165 -0.033139 0.103978 0.118876 7 0.128148 -0.011084 0.021290 -0.038392 5697.593169 0.021538 -0.097367 0.037542 -0.034897 0.024910 0.145265 0.028848 0.063533 0.025518 0.027099 0.043392 0.015142 -0.076787 -0.014458 0.081786 0.054314 -0.033081 0.104105 0.118673 8 0.128390 -0.011119 0.021243 -0.038407 5697.593120 0.021509 -0.097476 0.037486 -0.034916 0.025005 0.145260 0.028880 0.063508 0.025640 0.027147 0.043446 0.015116 -0.076776 -0.014526 0.081726 0.054267 -0.033102 0.104065 0.118745 NOTE: Convergence criterion met. Non-Linear Least Squares Summary Statistics Dependent Variable NAUGHT Source DF Sum of Squares Mean Square Regression 23 -5697.5931200 -247.7214400 Residual 4021 5697.5931200 1.4169592 Uncorrected Total 4044 0.0000000 (Corrected Total) 4043 0.0000000 NOTE: Negative model SS. Check model and initial parameters. The SAS System 13:05 Wednesday, April 28, 1993 11 Parameter Estimate Asymptotic Asymptotic 95 % Std. Error Confidence Interval Lower Upper B0 0.1283901111 0.28445110908 -.42930172833 0.68608195047 B1 -.0111189979 0.11978875552 -.24597556643 0.22373757071 B2 0.0212427264 0.12902325298 -.23171890030 0.27420435317 B3 -.0384072816 0.12928719754 -.29188639520 0.21507183210 B4 0.0215093589 0.12822777463 -.22989266135 0.27291137924 B5 -.0974756509 0.15386426875 -.39914031072 0.20418900891 B6 0.0374864007 0.16871035344 -.29328533594 0.36825813731 B7 -.0349164630 0.15302611790 -.33493785309 0.26510492717 B8 0.0250048380 0.15249076198 -.27396693895 0.32397661496 B9 0.1452600462 0.13234428942 -.11421276954 0.40473286186 B10 0.0288801680 0.09460226253 -.15659602850 0.21435636451 B11 0.0635081760 0.09601618345 -.12474013895 0.25175649088 B12 0.0256395422 0.09481129651 -.16024648407 0.21152556854 B13 0.0271466573 0.09479635984 -.15871008434 0.21300339894 B14 0.0434460703 0.09497640359 -.14276366318 0.22965580385 B15 0.0151163195 0.09463298735 -.17042011580 0.20065275470 B16 -.0767760574 0.09607481934 -.26513933324 0.11158721839 B17 -.0145263284 0.09531650462 -.20140286035 0.17235020363 B18 0.0817262988 0.09660935544 -.10768498289 0.27113758041 B19 0.0542672775 0.15276760479 -.24524727452 0.35378182959 B20 -.0331023934 0.15268440598 -.33245382673 0.26624903995 B21 0.1040651002 0.15266431079 -.19524693476 0.40337713510 B22 0.1187452913 0.14025866804 -.15624437155 0.39373495407 The SAS System 13:05 Wednesday, April 28, 1993 12 Asymptotic Correlation Matrix Corr B0 B1 B2 B3 B4 B5 -------------------------------------------------------------------------------- B0 1 -0.8850682 -0.9009723 -0.900253 -0.8984657 -0.9593868 B1 -0.8850682 1 0.88471792 0.88370967 0.88256356 0.86096731 B2 -0.9009723 0.88471792 1 0.89326545 0.89199056 0.88197241 B3 -0.900253 0.88370967 0.89326545 1 0.89095655 0.88105944 B4 -0.8984657 0.88256356 0.89199056 0.89095655 1 0.87850185 B5 -0.9593868 0.86096731 0.88197241 0.88105944 0.87850185 1 B6 -0.0306131 -0.060586 -0.0635391 -0.0642572 -0.0642724 -0.0701106 B7 -0.15988 0.04929039 0.05035228 0.05004818 0.05153336 0.0512576 B8 -0.1605667 0.05003858 0.05103139 0.05116353 0.05145864 0.0513754 B9 -0.1853241 0.05565837 0.05798136 0.05899881 0.05899291 0.06013957 B10 -0.254734 0.07657184 0.0776638 0.07735895 0.07982586 0.07885288 B11 -0.2391243 0.06669231 0.06619406 0.06622467 0.07217308 0.06416949 B12 -0.1928018 0.01663022 0.01660807 0.01671613 0.01769753 0.01756013 B13 -0.2532498 0.07589992 0.07760604 0.07682366 0.07723186 0.07764928 B14 -0.2179684 0.04330956 0.04468689 0.0445663 0.04560142 0.04148097 B15 -0.257892 0.07972201 0.08041989 0.0810204 0.08067102 0.08241103 B16 -0.176982 0.00401429 0.00377583 0.00491506 0.00506045 0.00355282 B17 -0.2565319 0.07988104 0.08050442 0.08137923 0.08209544 0.08194343 B18 -0.2205324 0.04916345 0.04895612 0.05607666 0.04890844 0.04652009 B19 -0.1595327 0.04835693 0.04874289 0.04949798 0.04934043 0.05120987 B20 -0.1594183 0.0489406 0.04919841 0.04923267 0.04886927 0.05089545 B21 -0.1600127 0.04973333 0.05059995 0.05021348 0.05044878 0.05110057 B22 -0.0764438 -0.0367241 -0.0376627 -0.0386208 -0.0349996 -0.0447484 The SAS System 13:05 Wednesday, April 28, 1993 13 Asymptotic Correlation Matrix Corr B6 B7 B8 B9 B10 B11 -------------------------------------------------------------------------------- B0 -0.0306131 -0.15988 -0.1605667 -0.1853241 -0.254734 -0.2391243 B1 -0.060586 0.04929039 0.05003858 0.05565837 0.07657184 0.06669231 B2 -0.0635391 0.05035228 0.05103139 0.05798136 0.0776638 0.06619406 B3 -0.0642572 0.05004818 0.05116353 0.05899881 0.07735895 0.06622467 B4 -0.0642724 0.05153336 0.05145864 0.05899291 0.07982586 0.07217308 B5 -0.0701106 0.0512576 0.0513754 0.06013957 0.07885288 0.06416949 B6 1 0.17952792 0.18016028 0.20751433 0.2906882 0.28730254 B7 0.17952792 1 0.20554382 0.23683117 0.33110312 0.32567411 B8 0.18016028 0.20554382 1 0.23767286 0.33227394 0.32681515 B9 0.20751433 0.23683117 0.23767286 1 0.38284473 0.37651747 B10 0.2906882 0.33110312 0.33227394 0.38284473 1 0.52654654 B11 0.28730254 0.32567411 0.32681515 0.37651747 0.52654654 1 B12 0.29443248 0.32696041 0.32810599 0.37805568 0.52881225 0.5208421 B13 0.29017923 0.33035456 0.33153623 0.38198594 0.53405777 0.52532263 B14 0.29214383 0.32786946 0.32903776 0.37909235 0.53018352 0.52200281 B15 0.29036493 0.33113508 0.33232067 0.38290179 0.53530323 0.5264737 B16 0.29151956 0.32194554 0.32307755 0.37225883 0.52075659 0.51308492 B17 0.28824978 0.32881508 0.32998856 0.38021141 0.53155251 0.5228304 B18 0.286761 0.32264774 0.32384506 0.3731262 0.52171769 0.5135409 B19 0.17986506 0.20509849 0.2058286 0.2371707 0.3315555 0.32607139 B20 0.17999637 0.20519806 0.20593219 0.23727679 0.33171838 0.3262281 B21 0.17998593 0.2052788 0.20601294 0.23736345 0.33184684 0.3263807 B22 0.20297313 0.21818014 0.21893569 0.2522025 0.35310474 0.34861872 The SAS System 13:05 Wednesday, April 28, 1993 14 Asymptotic Correlation Matrix Corr B12 B13 B14 B15 B16 B17 -------------------------------------------------------------------------------- B0 -0.1928018 -0.2532498 -0.2179684 -0.257892 -0.176982 -0.2565319 B1 0.01663022 0.07589992 0.04330956 0.07972201 0.00401429 0.07988104 B2 0.01660807 0.07760604 0.04468689 0.08041989 0.00377583 0.08050442 B3 0.01671613 0.07682366 0.0445663 0.0810204 0.00491506 0.08137923 B4 0.01769753 0.07723186 0.04560142 0.08067102 0.00506045 0.08209544 B5 0.01756013 0.07764928 0.04148097 0.08241103 0.00355282 0.08194343 B6 0.29443248 0.29017923 0.29214383 0.29036493 0.29151956 0.28824978 B7 0.32696041 0.33035456 0.32786946 0.33113508 0.32194554 0.32881508 B8 0.32810599 0.33153623 0.32903776 0.33232067 0.32307755 0.32998856 B9 0.37805568 0.38198594 0.37909235 0.38290179 0.37225883 0.38021141 B10 0.52881225 0.53405777 0.53018352 0.53530323 0.52075659 0.53155251 B11 0.5208421 0.52532263 0.52200281 0.5264737 0.51308492 0.5228304 B12 1 0.52769665 0.52606389 0.52868262 0.51931975 0.52491213 B13 0.52769665 1 0.52904353 0.53412415 0.51967369 0.53036375 B14 0.52606389 0.52904353 1 0.53010924 0.51856545 0.52637909 B15 0.52868262 0.53412415 0.53010924 1 0.52058718 0.5316243 B16 0.51931975 0.51967369 0.51856545 0.52058718 1 0.51687193 B17 0.52491213 0.53036375 0.52637909 0.5316243 0.51687193 1 B18 0.51726807 0.52063759 0.51794547 0.521751 0.50985935 0.5180715 B19 0.32749087 0.33081944 0.32833448 0.33161492 0.32247687 0.32927439 B20 0.3276621 0.33099361 0.32850911 0.33178386 0.3226457 0.32943709 B21 0.32772192 0.3311167 0.32862451 0.33189923 0.32269958 0.32956252 B22 0.35492533 0.35238896 0.3533399 0.35277192 0.3508622 0.35027361 The SAS System 13:05 Wednesday, April 28, 1993 15 Asymptotic Correlation Matrix Corr B18 B19 B20 B21 B22 -------------------------------------------------------------------- B0 -0.2205324 -0.1595327 -0.1594183 -0.1600127 -0.0764438 B1 0.04916345 0.04835693 0.0489406 0.04973333 -0.0367241 B2 0.04895612 0.04874289 0.04919841 0.05059995 -0.0376627 B3 0.05607666 0.04949798 0.04923267 0.05021348 -0.0386208 B4 0.04890844 0.04934043 0.04886927 0.05044878 -0.0349996 B5 0.04652009 0.05120987 0.05089545 0.05110057 -0.0447484 B6 0.286761 0.17986506 0.17999637 0.17998593 0.20297313 B7 0.32264774 0.20509849 0.20519806 0.2052788 0.21818014 B8 0.32384506 0.2058286 0.20593219 0.20601294 0.21893569 B9 0.3731262 0.2371707 0.23727679 0.23736345 0.2522025 B10 0.52171769 0.3315555 0.33171838 0.33184684 0.35310474 B11 0.5135409 0.32607139 0.3262281 0.3263807 0.34861872 B12 0.51726807 0.32749087 0.3276621 0.32772192 0.35492533 B13 0.52063759 0.33081944 0.33099361 0.3311167 0.35238896 B14 0.51794547 0.32833448 0.32850911 0.32862451 0.3533399 B15 0.521751 0.33161492 0.33178386 0.33189923 0.35277192 B16 0.50985935 0.32247687 0.3226457 0.32269958 0.3508622 B17 0.5180715 0.32927439 0.32943709 0.32956252 0.35027361 B18 1 0.32315175 0.32331528 0.32342077 0.34702536 B19 0.32315175 1 0.20550337 0.2055685 0.21850897 B20 0.32331528 0.20550337 1 0.20567596 0.2186387 B21 0.32342077 0.2055685 0.20567596 1 0.21868473 B22 0.34702536 0.21850897 0.2186387 0.21868473 1 The SAS System 13:05 Wednesday, April 28, 1993 16 Variable Label N Mean Std Dev Minimum -------------------------------------------------------------------------- YEAR 4044 1984.51 4.6094263 1977.00 MM 4044 6.5234916 3.4368897 1.0000000 DD 4044 15.7584075 8.7382155 1.0000000 PRICE 4044 213.2633210 105.0162050 86.9000000 YY 4044 84.5059347 4.6094263 77.0000000 YYMMDD 4044 845727.45 46095.39 770104.00 DAYNUM 4044 9133.33 1686.81 6213.00 P 4044 0.0347218 0.9899183 -22.8997227 DAY 4044 3.0133531 1.4022066 1.0000000 DAY1 4044 0.1909001 0.3930591 0 DAY2 4044 0.2042532 0.4032047 0 DAY3 4044 0.2047478 0.4035671 0 DAY4 4044 0.2007913 0.4006418 0 DAY5 4044 0.1993076 0.3995292 0 HOL 4044 0.0318991 0.1757532 0 WKEND 4044 0.2062315 0.4046487 0 FROMJAN 4044 183.1664194 104.9676876 2.0000000 GAP 4044 1.4443620 0.8652012 1.0000000 RGAP 4044 1.1609298 0.3108503 1.0000000 GAP1 4044 0.7841246 0.4114791 0 GAP2 4044 0.0096439 0.0977409 0 GAP3 4044 0.1839763 0.3875127 0 GAP4 4044 0.0222552 0.1475306 0 GAP5 4044 0 0 0 MON01_1 4044 0.0160732 0.1257726 0 MON01_2 4044 0.0197824 0.1392690 0 MON01_3 4044 0.0197824 0.1392690 0 MON01_4 4044 0.0284372 0.1662388 0 MON02 4044 0.0759149 0.2648947 0 MON03 4044 0.0865480 0.2812063 0 MON04 4044 0.0816024 0.2737918 0 MON05 4044 0.0838279 0.2771638 0 MON06 4044 0.0848170 0.2786437 0 MON07 4044 0.0833333 0.2764196 0 MON08 4044 0.0877844 0.2830160 0 MON09 4044 0.0803660 0.2718926 0 MON10 4044 0.0877844 0.2830160 0 MON11 4044 0.0806133 0.2722739 0 MON12_1 4044 0.0197824 0.1392690 0 MON12_2 4044 0.0197824 0.1392690 0 MON12_3 4044 0.0197824 0.1392690 0 MON12_4 4044 0.0239862 0.1530249 0 NAUGHT 4044 0 0 0 MADPR the median, ABPR 4044 0.4936959 0 0.4936959 PH 4044 0.0399681 0.0609437 -0.1544562 PR 4044 -0.0052463 0.9872816 -22.8447537 E 4044 -0.0052463 0.9872816 -22.8447537 ZL 4044 -0.0071656 1.3484670 -31.2022407 RHOL 4044 1.4089004 3.1915782 1.9691779E-7 -------------------------------------------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 17 Variable Label Maximum ---------------------------------------- YEAR 1992.00 MM 12.0000000 DD 31.0000000 PRICE 441.2800000 YY 92.0000000 YYMMDD 921231.00 DAYNUM 12053.00 P 8.7088785 DAY 5.0000000 DAY1 1.0000000 DAY2 1.0000000 DAY3 1.0000000 DAY4 1.0000000 DAY5 1.0000000 HOL 1.0000000 WKEND 1.0000000 FROMJAN 366.0000000 GAP 4.0000000 RGAP 2.0000000 GAP1 1.0000000 GAP2 1.0000000 GAP3 1.0000000 GAP4 1.0000000 GAP5 0 MON01_1 1.0000000 MON01_2 1.0000000 MON01_3 1.0000000 MON01_4 1.0000000 MON02 1.0000000 MON03 1.0000000 MON04 1.0000000 MON05 1.0000000 MON06 1.0000000 MON07 1.0000000 MON08 1.0000000 MON09 1.0000000 MON10 1.0000000 MON11 1.0000000 MON12_1 1.0000000 MON12_2 1.0000000 MON12_3 1.0000000 MON12_4 1.0000000 NAUGHT 0 MADPR the median, ABPR 0.4936959 PH 0.1976839 PR 8.6712477 E 8.6712477 ZL 11.8435226 RHOL 120.8089628 ---------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 18 Variable N Mean Std Dev Minimum Maximum ---------------------------------------------------------------------- P 4044 0.0347218 0.9899183 -22.8997227 8.7088785 PH 4044 0.0399681 0.0609437 -0.1544562 0.1976839 PR 4044 -0.0052463 0.9872816 -22.8447537 8.6712477 E 4044 -0.0052463 0.9872816 -22.8447537 8.6712477 ---------------------------------------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 19 _ _ T F P P Y R P H R E P P O P E B B B B P H R E B E Q A A A A S S S S S _ _ R R R R E E E E 1 0 4044 0.034722 0.039968 -.0052463 -.0052463 0.98992 0.060944 0.98728 0.98728 The SAS System 13:05 Wednesday, April 28, 1993 20 Model: MODEL1 Dependent Variable: AP Analysis of Variance Sum of Mean Source DF Squares Square F Value Prob>F Model 22 48.86724 2.22124 4.249 0.0001 Error 4021 2102.21678 0.52281 C Total 4043 2151.08403 Root MSE 0.72306 R-square 0.0227 Dep Mean 0.66528 Adj R-sq 0.0174 C.V. 108.68514 Parameter Estimates Parameter Standard T for H0: Variable DF Estimate Error Parameter=0 Prob > |T| INTERCEP 1 0.378137 0.16857460 2.243 0.0249 DAY2 1 0.066838 0.07089074 0.943 0.3458 DAY3 1 0.023017 0.07648189 0.301 0.7635 DAY4 1 0.026242 0.07664517 0.342 0.7321 DAY5 1 0.041009 0.07602425 0.539 0.5896 RGAP 1 0.207453 0.09107664 2.278 0.0228 MON01_1 1 0.242124 0.09898046 2.446 0.0145 MON01_2 1 0.075100 0.09089375 0.826 0.4087 MON01_3 1 -0.014688 0.09089375 -0.162 0.8716 MON01_4 1 0.053473 0.07920440 0.675 0.4996 MON03 1 -0.028262 0.05673262 -0.498 0.6184 MON04 1 0.014588 0.05748323 0.254 0.7997 MON05 1 -0.071686 0.05697138 -1.258 0.2084 MON06 1 -0.067921 0.05699426 -1.192 0.2334 MON07 1 -0.078816 0.05710897 -1.380 0.1676 MON08 1 0.005005 0.05656046 0.088 0.9295 MON09 1 0.003116 0.05754710 0.054 0.9568 MON10 1 0.252831 0.05656383 4.470 0.0001 MON11 1 0.096269 0.05759772 1.671 0.0947 MON12_1 1 0.002028 0.09089375 0.022 0.9822 MON12_2 1 -0.020644 0.09089375 -0.227 0.8203 MON12_3 1 0.018182 0.09089375 0.200 0.8415 MON12_4 1 -0.131606 0.08430505 -1.561 0.1186 The SAS System 13:05 Wednesday, April 28, 1993 21 Univariate Procedure Variable=AP Moments N 4044 Sum Wgts 4044 Mean 0.665276 Sum 2690.374 Std Dev 0.729419 Variance 0.532051 Skewness 8.947965 Kurtosis 222.4529 USS 3940.924 CSS 2151.084 CV 109.6416 Std Mean 0.01147 T:Mean=0 58.00031 Prob>|T| 0.0001 Num ^= 0 4044 Num > 0 4044 M(Sign) 2022 Prob>|M| 0.0001 Sgn Rank 4089495 Prob>|S| 0.0001 Quantiles(Def=5) 100% Max 22.84475 99% 2.797118 75% Q3 0.906333 95% 1.805932 50% Med 0.492938 90% 1.436947 25% Q1 0.216111 10% 0.086276 0% Min 0.000325 5% 0.042362 1% 0.009603 Range 22.84443 Q3-Q1 0.690222 Mode 0.000325 Extremes Lowest Obs Highest Obs 0.000325( 3174) 6.359213( 3231) 0.000957( 2735) 7.025746( 2784) 0.001296( 3800) 8.586855( 2733) 0.001433( 1670) 8.671248( 2730) 0.001532( 3214) 22.84475( 2728) The SAS System 13:05 Wednesday, April 28, 1993 22 Univariate Procedure Variable=APROLS Residual Moments N 4044 Sum Wgts 4044 Mean 0 Sum 0 Std Dev 0.721086 Variance 0.519965 Skewness 8.766629 Kurtosis 218.8304 USS 2102.217 CSS 2102.217 CV . Std Mean 0.011339 T:Mean=0 0 Prob>|T| 1.0000 Num ^= 0 4044 Num > 0 1578 M(Sign) -444 Prob>|M| 0.0001 Sgn Rank -714788 Prob>|S| 0.0001 Quantiles(Def=5) 100% Max 21.85447 99% 2.048186 75% Q3 0.248789 95% 1.13151 50% Med -0.15837 90% 0.74621 25% Q1 -0.43734 10% -0.57953 0% Min -0.9781 5% -0.65317 1% -0.81039 Range 22.83257 Q3-Q1 0.686129 Mode -0.9781 Extremes Lowest Obs Highest Obs -0.9781( 2224) 5.479783( 3231) -0.94901( 199) 6.324047( 2784) -0.93233( 3242) 7.596568( 2733) -0.93227( 2718) 7.80981( 2730) -0.91122( 1721) 21.85447( 2728) The SAS System 13:05 Wednesday, April 28, 1993 23 Univariate Procedure Variable=APHOLS Predicted Value of AP Moments N 4044 Sum Wgts 4044 Mean 0.665276 Sum 2690.374 Std Dev 0.10994 Variance 0.012087 Skewness 1.052155 Kurtosis 0.715169 USS 1838.707 CSS 48.86724 CV 16.52553 Std Mean 0.001729 T:Mean=0 384.8133 Prob>|T| 0.0001 Num ^= 0 4044 Num > 0 4044 M(Sign) 2022 Prob>|M| 0.0001 Sgn Rank 4089495 Prob>|S| 0.0001 Quantiles(Def=5) 100% Max 1.102006 99% 0.990287 75% Q3 0.722868 95% 0.87943 50% Med 0.630013 90% 0.861438 25% Q1 0.584507 10% 0.540685 0% Min 0.477 5% 0.53692 1% 0.494993 Range 0.625006 Q3-Q1 0.138361 Mode 0.583569 Extremes Lowest Obs Highest Obs 0.477( 4043) 1.102006( 252) 0.477( 4039) 1.102006( 504) 0.477( 3282) 1.102006( 1769) 0.477( 3030) 1.102006( 3033) 0.477( 2778) 1.102006( 3285) The SAS System 13:05 Wednesday, April 28, 1993 24 Univariate Procedure Variable=ABAPR Moments N 4044 Sum Wgts 4044 Mean 0.456581 Sum 1846.413 Std Dev 0.558074 Variance 0.311447 Skewness 16.60486 Kurtosis 556.4409 USS 2102.217 CSS 1259.18 CV 122.229 Std Mean 0.008776 T:Mean=0 52.0273 Prob>|T| 0.0001 Num ^= 0 4044 Num > 0 4044 M(Sign) 2022 Prob>|M| 0.0001 Sgn Rank 4089495 Prob>|S| 0.0001 Quantiles(Def=5) 100% Max 21.85447 99% 2.048186 75% Q3 0.56978 95% 1.13151 50% Med 0.382821 90% 0.811395 25% Q1 0.193921 10% 0.07808 0% Min 0.000201 5% 0.039266 1% 0.01012 Range 21.85427 Q3-Q1 0.375859 Mode 0.000201 Extremes Lowest Obs Highest Obs 0.000201( 476) 5.479783( 3231) 0.000263( 2689) 6.324047( 2784) 0.000518( 2882) 7.596568( 2733) 0.000677( 1102) 7.80981( 2730) 0.000953( 650) 21.85447( 2728) The SAS System 13:05 Wednesday, April 28, 1993 25 OBS MADABAPR 1 0.38282 The SAS System 13:05 Wednesday, April 28, 1993 26 Variable Label N Mean Std Dev Minimum --------------------------------------------------------------------------- YEAR 4044 1984.51 4.6094263 1977.00 MM 4044 6.5234916 3.4368897 1.0000000 DD 4044 15.7584075 8.7382155 1.0000000 PRICE 4044 213.2633210 105.0162050 86.9000000 YY 4044 84.5059347 4.6094263 77.0000000 YYMMDD 4044 845727.45 46095.39 770104.00 DAYNUM 4044 9133.33 1686.81 6213.00 P 4044 0.0347218 0.9899183 -22.8997227 DAY 4044 3.0133531 1.4022066 1.0000000 DAY1 4044 0.1909001 0.3930591 0 DAY2 4044 0.2042532 0.4032047 0 DAY3 4044 0.2047478 0.4035671 0 DAY4 4044 0.2007913 0.4006418 0 DAY5 4044 0.1993076 0.3995292 0 HOL 4044 0.0318991 0.1757532 0 WKEND 4044 0.2062315 0.4046487 0 FROMJAN 4044 183.1664194 104.9676876 2.0000000 GAP 4044 1.4443620 0.8652012 1.0000000 RGAP 4044 1.1609298 0.3108503 1.0000000 GAP1 4044 0.7841246 0.4114791 0 GAP2 4044 0.0096439 0.0977409 0 GAP3 4044 0.1839763 0.3875127 0 GAP4 4044 0.0222552 0.1475306 0 GAP5 4044 0 0 0 MON01_1 4044 0.0160732 0.1257726 0 MON01_2 4044 0.0197824 0.1392690 0 MON01_3 4044 0.0197824 0.1392690 0 MON01_4 4044 0.0284372 0.1662388 0 MON02 4044 0.0759149 0.2648947 0 MON03 4044 0.0865480 0.2812063 0 MON04 4044 0.0816024 0.2737918 0 MON05 4044 0.0838279 0.2771638 0 MON06 4044 0.0848170 0.2786437 0 MON07 4044 0.0833333 0.2764196 0 MON08 4044 0.0877844 0.2830160 0 MON09 4044 0.0803660 0.2718926 0 MON10 4044 0.0877844 0.2830160 0 MON11 4044 0.0806133 0.2722739 0 MON12_1 4044 0.0197824 0.1392690 0 MON12_2 4044 0.0197824 0.1392690 0 MON12_3 4044 0.0197824 0.1392690 0 MON12_4 4044 0.0239862 0.1530249 0 NAUGHT 4044 0 0 0 MADPR the median, ABPR 4044 0.4936959 0 0.4936959 PH 4044 0.0399681 0.0609437 -0.1544562 PR 4044 -0.0052463 0.9872816 -22.8447537 AP 4044 0.6652755 0.7294186 0.000324895 MADABAPR the median, ABAPR 4044 0.3828210 0 0.3828210 --------------------------------------------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 27 Variable Label Maximum ----------------------------------------- YEAR 1992.00 MM 12.0000000 DD 31.0000000 PRICE 441.2800000 YY 92.0000000 YYMMDD 921231.00 DAYNUM 12053.00 P 8.7088785 DAY 5.0000000 DAY1 1.0000000 DAY2 1.0000000 DAY3 1.0000000 DAY4 1.0000000 DAY5 1.0000000 HOL 1.0000000 WKEND 1.0000000 FROMJAN 366.0000000 GAP 4.0000000 RGAP 2.0000000 GAP1 1.0000000 GAP2 1.0000000 GAP3 1.0000000 GAP4 1.0000000 GAP5 0 MON01_1 1.0000000 MON01_2 1.0000000 MON01_3 1.0000000 MON01_4 1.0000000 MON02 1.0000000 MON03 1.0000000 MON04 1.0000000 MON05 1.0000000 MON06 1.0000000 MON07 1.0000000 MON08 1.0000000 MON09 1.0000000 MON10 1.0000000 MON11 1.0000000 MON12_1 1.0000000 MON12_2 1.0000000 MON12_3 1.0000000 MON12_4 1.0000000 NAUGHT 0 MADPR the median, ABPR 0.4936959 PH 0.1976839 PR 8.6712477 AP 22.8447537 MADABAPR the median, ABAPR 0.3828210 ----------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 28 Non-Linear Least Squares Iterative Phase Dependent Variable NAUGHT Method: Gauss-Newton Iter B0 B1 B2 B3 Sum of Squares B4 B5 B6 B7 B8 B9 B10 B11 B12 B13 B14 B15 B16 B17 B18 B19 B20 B21 B22 0 0.500000 0 0 0 4513.617007 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0.296998 0.166236 0.091276 0.083759 4390.688597 0.107915 0.302941 0.342082 -0.026962 -0.109243 0.060948 -0.067845 -0.008466 -0.134503 -0.107076 -0.131959 -0.058862 -0.022562 0.120845 0.098241 -0.058950 -0.095691 -0.008382 -0.240708 2 0.456626 0.038447 0.015505 0.014436 4331.928720 0.020216 0.083465 0.133689 -0.005353 -0.031656 0.014782 -0.020878 -0.001817 -0.041924 -0.033942 -0.040904 -0.017076 -0.005411 0.043019 0.033271 -0.011471 -0.024373 0.005088 -0.068696 3 0.327736 0.137413 0.078862 0.072234 4303.822393 0.092119 0.245243 0.256040 -0.021872 -0.086986 0.049679 -0.053048 -0.006752 -0.105460 -0.083209 -0.103449 -0.046524 -0.018482 0.092706 0.078601 -0.049624 -0.076899 -0.009860 -0.191207 4 0.426430 0.062598 0.028836 0.026463 4290.434897 0.035731 0.128441 0.185806 -0.009578 -0.047620 0.023215 -0.030827 -0.002381 -0.061968 -0.049688 -0.060300 -0.025497 -0.008736 0.061718 0.047717 -0.020074 -0.038532 0.004314 -0.104180 5 0.350556 0.119031 0.068070 0.062552 4284.009194 0.079759 0.213194 0.223707 -0.018619 -0.075623 0.043343 -0.045976 -0.005996 -0.091686 -0.072176 -0.089853 -0.040371 -0.015812 0.080889 0.069567 -0.042735 -0.066486 -0.007931 -0.165895 The SAS System 13:05 Wednesday, April 28, 1993 29 Non-Linear Least Squares Iterative Phase Dependent Variable NAUGHT Method: Gauss-Newton Iter B0 B1 B2 B3 Sum of Squares B4 B5 B6 B7 B8 B9 B10 B11 B12 B13 B14 B15 B16 B17 B18 B19 B20 B21 B22 6 0.407930 0.076724 0.037974 0.034615 4280.938607 0.045952 0.151981 0.204600 -0.011953 -0.055623 0.028215 -0.035543 -0.002714 -0.071304 -0.057027 -0.069473 -0.029704 -0.010621 0.069436 0.054466 -0.025548 -0.046116 0.002221 -0.122083 7 0.364647 0.108370 0.060897 0.056079 4279.457283 0.071778 0.196229 0.212897 -0.016877 -0.069911 0.039663 -0.042643 -0.005500 -0.085270 -0.067133 -0.083483 -0.037296 -0.014388 0.076243 0.065052 -0.038479 -0.060926 -0.005819 -0.153155 8 0.397240 0.084700 0.043509 0.039668 4278.739897 0.052154 0.164196 0.210143 -0.013241 -0.059685 0.031080 -0.037785 -0.003085 -0.075674 -0.060385 -0.073839 -0.031863 -0.011651 0.072373 0.057727 -0.028822 -0.050170 0.000426 -0.131106 9 0.372924 0.102301 0.056568 0.052094 4278.391540 0.066948 0.187310 0.210063 -0.015948 -0.067027 0.037557 -0.041129 -0.005108 -0.082285 -0.064873 -0.080482 -0.035773 -0.013663 0.074503 0.062775 -0.036010 -0.057988 -0.004383 -0.146754 10 0.391016 0.089245 0.046796 0.042738 4278.221509 0.055858 0.170624 0.211373 -0.013933 -0.061748 0.032702 -0.038824 -0.003422 -0.077724 -0.061888 -0.075910 -0.032957 -0.012182 0.073415 0.059293 -0.030687 -0.052310 -0.000722 -0.135647 11 0.377636 0.098890 0.054062 0.049737 4278.138200 0.064127 0.182647 0.209642 -0.015440 -0.065554 0.036378 -0.040422 -0.004794 -0.080880 -0.063862 -0.079058 -0.034994 -0.013281 0.073900 0.061681 -0.034619 -0.056436 -0.003492 -0.143533 The SAS System 13:05 Wednesday, April 28, 1993 30 Non-Linear Least Squares Iterative Phase Dependent Variable NAUGHT Method: Gauss-Newton Iter B0 B1 B2 B3 Sum of Squares B4 B5 B6 B7 B8 B9 B10 B11 B12 B13 B14 B15 B16 B17 B18 B19 B20 B21 B22 12 0.387509 0.091781 0.048675 0.044521 4278.097145 0.057985 0.173983 0.211371 -0.014313 -0.062807 0.033603 -0.039311 -0.003678 -0.078693 -0.062562 -0.076892 -0.033518 -0.012464 0.073754 0.060044 -0.031725 -0.053440 -0.001412 -0.137934 13 0.380250 0.097009 0.052653 0.048390 4278.076881 0.062531 0.180218 0.209829 -0.015154 -0.064790 0.035694 -0.040084 -0.004567 -0.080209 -0.063410 -0.078379 -0.034587 -0.013070 0.073721 0.061164 -0.033847 -0.055613 -0.002963 -0.141906 14 0.385578 0.093172 0.049721 0.045528 4278.066835 0.059174 0.175731 0.211121 -0.014527 -0.063357 0.034122 -0.039546 -0.003862 -0.079157 -0.062861 -0.077360 -0.033813 -0.012621 0.073838 0.060399 -0.032295 -0.054038 -0.001812 -0.139088 15 0.381677 0.095983 0.051876 0.047638 4278.061845 0.061646 0.178957 0.210080 -0.014994 -0.064393 0.035301 -0.039921 -0.004414 -0.079888 -0.063213 -0.078057 -0.034373 -0.012954 0.073690 0.060921 -0.033426 -0.055179 -0.002662 -0.141086 16 0.384528 0.093926 0.050295 0.046086 4278.059358 0.059829 0.176638 0.210897 -0.014647 -0.063644 0.034418 -0.039659 -0.003985 -0.079379 -0.062991 -0.077581 -0.033967 -0.012707 0.073840 0.060566 -0.032604 -0.054353 -0.002037 -0.139670 17 0.382448 0.095429 0.051453 0.047224 4278.058115 0.061162 0.178304 0.210268 -0.014905 -0.064185 0.035078 -0.039842 -0.004316 -0.079733 -0.063128 -0.077905 -0.034262 -0.012890 0.073702 0.060807 -0.033201 -0.054950 -0.002495 -0.140673 The SAS System 13:05 Wednesday, April 28, 1993 31 Non-Linear Least Squares Iterative Phase Dependent Variable NAUGHT Method: Gauss-Newton Iter B0 B1 B2 B3 Sum of Squares B4 B5 B6 B7 B8 B9 B10 B11 B12 B13 B14 B15 B16 B17 B18 B19 B20 B21 B22 18 0.383964 0.094332 0.050607 0.046391 4278.057492 0.060186 0.177108 0.210745 -0.014713 -0.063794 0.034586 -0.039714 -0.004063 -0.079487 -0.063045 -0.077685 -0.034048 -0.012754 0.073821 0.060643 -0.032768 -0.054519 -0.002161 -0.139963 19 0.382861 0.095132 0.051224 0.047000 4278.057180 0.060899 0.177966 0.210387 -0.014855 -0.064077 0.034953 -0.039804 -0.004255 -0.079659 -0.063094 -0.077834 -0.034203 -0.012855 0.073722 0.060754 -0.033081 -0.054830 -0.002404 -0.140465 20 0.383662 0.094549 0.050774 0.046556 4278.057022 0.060379 0.177350 0.210654 -0.014750 -0.063872 0.034680 -0.039740 -0.004109 -0.079538 -0.063067 -0.077734 -0.034091 -0.012781 0.073803 0.060679 -0.032855 -0.054605 -0.002227 -0.140110 21 0.383081 0.094973 0.051102 0.046879 4278.056942 0.060758 0.177792 0.210457 -0.014828 -0.064021 0.034883 -0.039785 -0.004219 -0.079623 -0.063081 -0.077801 -0.034172 -0.012835 0.073738 0.060730 -0.033018 -0.054768 -0.002356 -0.140361 22 0.383502 0.094665 0.050864 0.046644 4278.056902 0.060482 0.177475 0.210602 -0.014770 -0.063913 0.034732 -0.039754 -0.004137 -0.079564 -0.063075 -0.077756 -0.034113 -0.012795 0.073789 0.060696 -0.032901 -0.054651 -0.002263 -0.140184 NOTE: Convergence criterion met. Non-Linear Least Squares Summary Statistics Dependent Variable NAUGHT Source DF Sum of Squares Mean Square Regression 23 -4278.0569019 -186.0024740 Residual 4021 4278.0569019 1.0639286 Uncorrected Total 4044 0.0000000 (Corrected Total) 4043 0.0000000 NOTE: Negative model SS. Check model and initial parameters. The SAS System 13:05 Wednesday, April 28, 1993 32 Parameter Estimate Asymptotic Asymptotic 95 % Std. Error Confidence Interval Lower Upper B0 0.3835021601 0.24311964801 -.09315565340 0.86015997354 B1 0.0946650509 0.10233604258 -.10597391310 0.29530401482 B2 0.0508637118 0.11033941017 -.16546657016 0.26719399366 B3 0.0466439148 0.11061794015 -.17023245007 0.26352027961 B4 0.0604816091 0.10968834254 -.15457219654 0.27553541466 B5 0.1774752434 0.13140559422 -.08015717640 0.43510766320 B6 0.2106015036 0.14348609184 -.07071581219 0.49191881945 B7 -.0147703412 0.13187207623 -.27331734065 0.24377665834 B8 -.0639129876 0.13176967729 -.32225922481 0.19443324963 B9 0.0347318948 0.11407456463 -.18892149150 0.25838528105 B10 -.0397535976 0.08150248401 -.19954650674 0.12003931149 B11 -.0041367230 0.08264151066 -.16616279573 0.15788934974 B12 -.0795635765 0.08177167823 -.23988426494 0.08075711199 B13 -.0630746754 0.08164538071 -.22314774625 0.09699839553 B14 -.0777560798 0.08184828450 -.23822696175 0.08271480205 B15 -.0341131719 0.08151140450 -.19392357040 0.12569722668 B16 -.0127948170 0.08268878330 -.17491357198 0.14932393799 B17 0.0737891425 0.08194518067 -.08687171304 0.23444999798 B18 0.0606958589 0.08293445403 -.10190455553 0.22329627332 B19 -.0329006924 0.13145917530 -.29063816266 0.22483677793 B20 -.0546506871 0.13148636415 -.31244146355 0.20314008941 B21 -.0022626111 0.13130985404 -.25970732369 0.25518210154 B22 -.1401839784 0.12116147595 -.37773188812 0.09736393136 The SAS System 13:05 Wednesday, April 28, 1993 33 Asymptotic Correlation Matrix Corr B0 B1 B2 B3 B4 B5 -------------------------------------------------------------------------------- B0 1 -0.8833848 -0.8996868 -0.8987509 -0.8969883 -0.9588815 B1 -0.8833848 1 0.88304877 0.88188469 0.8807707 0.85905042 B2 -0.8996868 0.88304877 1 0.89162272 0.89037771 0.88054049 B3 -0.8987509 0.88188469 0.89162272 1 0.88918506 0.87950994 B4 -0.8969883 0.8807707 0.89037771 0.88918506 1 0.8769618 B5 -0.9588815 0.85905042 0.88054049 0.87950994 0.8769618 1 B6 -0.0299679 -0.0629141 -0.065607 -0.0658592 -0.0659287 -0.0729434 B7 -0.1608978 0.04983929 0.05114307 0.0504537 0.05213567 0.05156107 B8 -0.1609395 0.04993289 0.05111722 0.05103941 0.05110129 0.05155229 B9 -0.1860291 0.0557444 0.05787869 0.05851539 0.0587893 0.06030022 B10 -0.2562821 0.07653271 0.07801248 0.07757096 0.07987961 0.07959219 B11 -0.2407604 0.06654386 0.06644598 0.06622685 0.07218991 0.06488183 B12 -0.1932423 0.01611393 0.0162295 0.01600142 0.01713133 0.01726631 B13 -0.2547575 0.07648111 0.07804117 0.07714446 0.0773061 0.0781233 B14 -0.2200432 0.04453481 0.04580273 0.04557882 0.04664586 0.04258088 B15 -0.259416 0.08010138 0.08085311 0.08122601 0.08113308 0.08291765 B16 -0.1763443 0.00185414 0.00222499 0.00267977 0.00293755 0.00186912 B17 -0.2583385 0.07996108 0.08087097 0.08116166 0.08187353 0.08260648 B18 -0.2231609 0.05030931 0.0503339 0.05705008 0.04990227 0.04745112 B19 -0.1608133 0.04870705 0.04945337 0.05014492 0.04971481 0.05171509 B20 -0.1603477 0.04907114 0.04915992 0.04942231 0.04903504 0.05121901 B21 -0.1611362 0.05010569 0.05062283 0.0505536 0.05085115 0.05141963 B22 -0.0777788 -0.0356111 -0.0365121 -0.0377075 -0.034102 -0.0438166 The SAS System 13:05 Wednesday, April 28, 1993 34 Asymptotic Correlation Matrix Corr B6 B7 B8 B9 B10 B11 -------------------------------------------------------------------------------- B0 -0.0299679 -0.1608978 -0.1609395 -0.1860291 -0.2562821 -0.2407604 B1 -0.0629141 0.04983929 0.04993289 0.0557444 0.07653271 0.06654386 B2 -0.065607 0.05114307 0.05111722 0.05787869 0.07801248 0.06644598 B3 -0.0658592 0.0504537 0.05103941 0.05851539 0.07757096 0.06622685 B4 -0.0659287 0.05213567 0.05110129 0.0587893 0.07987961 0.07218991 B5 -0.0729434 0.05156107 0.05155229 0.06030022 0.07959219 0.06488183 B6 1 0.18130763 0.18145758 0.20955079 0.29364884 0.29055748 B7 0.18130763 1 0.2044763 0.23618036 0.33038093 0.32526764 B8 0.18145758 0.2044763 1 0.2363512 0.33060829 0.3254611 B9 0.20955079 0.23618036 0.2363512 1 0.38187644 0.37590684 B10 0.29364884 0.33038093 0.33060829 0.38187644 1 0.52595896 B11 0.29055748 0.32526764 0.3254611 0.37590684 0.52595896 1 B12 0.2972839 0.32580174 0.32604424 0.37662296 0.52707547 0.51962339 B13 0.29324163 0.32973154 0.32997699 0.38112444 0.53314815 0.5249006 B14 0.29508335 0.32708546 0.32732198 0.37805075 0.52900581 0.52131736 B15 0.29338774 0.33048869 0.33073556 0.38201501 0.53436303 0.52603206 B16 0.29509383 0.32138291 0.32162832 0.37152081 0.51998892 0.51282415 B17 0.29181576 0.32877237 0.32901082 0.38002347 0.53158307 0.52331998 B18 0.29079815 0.32310634 0.32339396 0.37350768 0.52255771 0.51483151 B19 0.18189707 0.20490112 0.20505643 0.2368631 0.33130739 0.32611981 B20 0.18190369 0.20483249 0.2049893 0.23677556 0.33119818 0.3260147 B21 0.18212243 0.20516846 0.20531905 0.23714848 0.33173085 0.3265715 B22 0.20466154 0.21710328 0.21724593 0.25089729 0.35142241 0.34728219 The SAS System 13:05 Wednesday, April 28, 1993 35 Asymptotic Correlation Matrix Corr B12 B13 B14 B15 B16 B17 -------------------------------------------------------------------------------- B0 -0.1932423 -0.2547575 -0.2200432 -0.259416 -0.1763443 -0.2583385 B1 0.01611393 0.07648111 0.04453481 0.08010138 0.00185414 0.07996108 B2 0.0162295 0.07804117 0.04580273 0.08085311 0.00222499 0.08087097 B3 0.01600142 0.07714446 0.04557882 0.08122601 0.00267977 0.08116166 B4 0.01713133 0.0773061 0.04664586 0.08113308 0.00293755 0.08187353 B5 0.01726631 0.0781233 0.04258088 0.08291765 0.00186912 0.08260648 B6 0.2972839 0.29324163 0.29508335 0.29338774 0.29509383 0.29181576 B7 0.32580174 0.32973154 0.32708546 0.33048869 0.32138291 0.32877237 B8 0.32604424 0.32997699 0.32732198 0.33073556 0.32162832 0.32901082 B9 0.37662296 0.38112444 0.37805075 0.38201501 0.37152081 0.38002347 B10 0.52707547 0.53314815 0.52900581 0.53436303 0.51998892 0.53158307 B11 0.51962339 0.5249006 0.52131736 0.52603206 0.51282415 0.52331998 B12 1 0.52611946 0.52420778 0.52706074 0.51811585 0.52428194 B13 0.52611946 1 0.52803291 0.53334289 0.51906719 0.53055687 B14 0.52420778 0.52803291 1 0.5290644 0.5177217 0.52630264 B15 0.52706074 0.53334289 0.5290644 1 0.51992871 0.53178232 B16 0.51811585 0.51906719 0.5177217 0.51992871 1 0.51718312 B17 0.52428194 0.53055687 0.52630264 0.53178232 0.51718312 1 B18 0.51741788 0.52164597 0.51864824 0.5227098 0.510967 0.51996608 B19 0.32680133 0.33067022 0.32801281 0.33144121 0.32238077 0.32970719 B20 0.32672497 0.3305704 0.32792172 0.33133667 0.3223079 0.32960051 B21 0.3271803 0.33109685 0.32844185 0.33185864 0.32275095 0.33012709 B22 0.35285118 0.35083291 0.35152387 0.35119455 0.34958575 0.34935173 The SAS System 13:05 Wednesday, April 28, 1993 36 Asymptotic Correlation Matrix Corr B18 B19 B20 B21 B22 -------------------------------------------------------------------- B0 -0.2231609 -0.1608133 -0.1603477 -0.1611362 -0.0777788 B1 0.05030931 0.04870705 0.04907114 0.05010569 -0.0356111 B2 0.0503339 0.04945337 0.04915992 0.05062283 -0.0365121 B3 0.05705008 0.05014492 0.04942231 0.0505536 -0.0377075 B4 0.04990227 0.04971481 0.04903504 0.05085115 -0.034102 B5 0.04745112 0.05171509 0.05121901 0.05141963 -0.0438166 B6 0.29079815 0.18189707 0.18190369 0.18212243 0.20466154 B7 0.32310634 0.20490112 0.20483249 0.20516846 0.21710328 B8 0.32339396 0.20505643 0.2049893 0.20531905 0.21724593 B9 0.37350768 0.2368631 0.23677556 0.23714848 0.25089729 B10 0.52255771 0.33130739 0.33119818 0.33173085 0.35142241 B11 0.51483151 0.32611981 0.3260147 0.3265715 0.34728219 B12 0.51741788 0.32680133 0.32672497 0.3271803 0.35285118 B13 0.52164597 0.33067022 0.3305704 0.33109685 0.35083291 B14 0.51864824 0.32801281 0.32792172 0.32844185 0.35152387 B15 0.5227098 0.33144121 0.33133667 0.33185864 0.35119455 B16 0.510967 0.32238077 0.3223079 0.32275095 0.34958575 B17 0.51996608 0.32970719 0.32960051 0.33012709 0.34935173 B18 1 0.32408264 0.32397848 0.32448705 0.34659708 B19 0.32408264 1 0.20543509 0.20575205 0.21772835 B20 0.32397848 0.20543509 1 0.20568782 0.21770244 B21 0.32448705 0.20575205 0.20568782 1 0.2180198 B22 0.34659708 0.21772835 0.21770244 0.2180198 1 The SAS System 13:05 Wednesday, April 28, 1993 37 Variable N Mean Std Dev Minimum Maximum ---------------------------------------------------------------------- P 4044 0.0347218 0.9899183 -22.8997227 8.7088785 AP 4044 0.6652755 0.7294186 0.000324895 22.8447537 APH 4044 0.6234557 0.0717597 0.4674373 1.0437192 APR 4044 0.0418198 0.7229869 -0.8406030 22.0800662 E 4044 0.0418198 0.7229869 -0.8406030 22.0800662 ZS 4044 0.0736623 1.2734839 -1.4806554 38.8922816 RHOS 4044 1.0578776 3.4589056 3.1467696E-7 151.5691263 ---------------------------------------------------------------------- The SAS System 13:05 Wednesday, April 28, 1993 38 Analysis Variable : ZP N Mean Std Dev Minimum Maximum ------------------------------------------------------------ 4044 -0.0069397 1.5253387 -29.8746291 12.6471193 ------------------------------------------------------------ The SAS System 13:05 Wednesday, April 28, 1993 39 OBS _TYPE_ _FREQ_ ZPBAR ZPSE 1 0 4044 -.0069397 1.52534 The SAS System 13:05 Wednesday, April 28, 1993 40 OBS _TYPE_ _FREQ_ PBAR PHBAR PRBAR EBAR 1 0 4044 0.034722 0.039968 -.0052463 -.0052463 OBS PSE PHSE PRSE ESE ZPBAR ZPSE 1 0.98992 0.060944 0.98728 0.98728 -.0069397 1.52534 The SAS System 13:05 Wednesday, April 28, 1993 41 Univariate Procedure Variable=P Moments N 4044 Sum Wgts 4044 Mean 0.034722 Sum 140.4148 Std Dev 0.989918 Variance 0.979938 Skewness -3.20957 Kurtosis 75.97585 USS 3966.766 CSS 3961.89 CV 2851.002 Std Mean 0.015567 T:Mean=0 2.23053 Prob>|T| 0.0258 Num ^= 0 4030 Num > 0 2114 M(Sign) 99 Prob>|M| 0.0019 Sgn Rank 238480 Prob>|S| 0.0012 Quantiles(Def=5) 100% Max 8.708879 99% 2.395636 75% Q3 0.521479 95% 1.492649 50% Med 0.042445 90% 1.08554 25% Q1 -0.46107 10% -0.99216 0% Min -22.8997 5% -1.38411 1% -2.28772 Range 31.6086 Q3-Q1 0.982551 Mode 0 Extremes Lowest Obs Highest Obs -22.8997( 2728) 3.895229( 463) -8.64182( 2733) 4.645888( 1420) -7.00824( 2784) 4.807955( 2736) -6.32132( 3231) 5.195355( 2729) -5.29756( 2727) 8.708879( 2730) The SAS System 13:05 Wednesday, April 28, 1993 42 Univariate Procedure Variable=PADJ Moments N 4044 Sum Wgts 4044 Mean 0.034722 Sum 140.4148 Std Dev 0.989918 Variance 0.979938 Skewness -1.94874 Kurtosis 40.20559 USS 3966.766 CSS 3961.89 CV 2851.002 Std Mean 0.015567 T:Mean=0 2.23053 Prob>|T| 0.0258 Num ^= 0 4044 Num > 0 2112 M(Sign) 90 Prob>|M| 0.0049 Sgn Rank 221791 Prob>|S| 0.0028 Quantiles(Def=5) 100% Max 8.246986 99% 2.46556 75% Q3 0.553935 95% 1.545172 50% Med 0.040823 90% 1.122631 25% Q1 -0.4868 10% -1.04966 0% Min -19.3489 5% -1.41703 1% -2.32547 Range 27.59587 Q3-Q1 1.040735 Mode -19.3489 Extremes Lowest Obs Highest Obs -19.3489( 2728) 4.392007( 3549) -7.4763( 2784) 4.639344( 2736) -7.24835( 2733) 4.656897( 2729) -5.89681( 3231) 4.853871( 1420) -5.24551( 2449) 8.246986( 2730) The SAS System 13:05 Wednesday, April 28, 1993 43 Univariate Procedure Variable=G0 Moments N 4044 Sum Wgts 4044 Mean -0.00475 Sum -19.1942 Std Dev 0.063979 Variance 0.004093 Skewness 0.012824 Kurtosis 0.072016 USS 16.6406 CSS 16.5495 CV -1347.98 Std Mean 0.001006 T:Mean=0 -4.71762 Prob>|T| 0.0001 Num ^= 0 4044 Num > 0 1948 M(Sign) -74 Prob>|M| 0.0208 Sgn Rank -339674 Prob>|S| 0.0001 Quantiles(Def=5) 100% Max 0.167417 99% 0.15141 75% Q3 0.041924 95% 0.09675 50% Med -0.00991 90% 0.077215 25% Q1 -0.05275 10% -0.08265 0% Min -0.19593 5% -0.08997 1% -0.15893 Range 0.363347 Q3-Q1 0.094674 Mode -0.03635 Extremes Lowest Obs Highest Obs -0.19593( 4043) 0.161421( 3203) -0.19593( 4039) 0.161421( 3455) -0.19593( 3282) 0.161421( 3707) -0.19593( 3030) 0.161421( 3964) -0.19593( 2778) 0.167417( 2209) The SAS System 13:05 Wednesday, April 28, 1993 44 Univariate Procedure Variable=G1 Moments N 4044 Sum Wgts 4044 Mean 1.053857 Sum 4261.797 Std Dev 0.113934 Variance 0.012981 Skewness -0.17436 Kurtosis 0.240661 USS 4543.807 CSS 52.48207 CV 10.81115 Std Mean 0.001792 T:Mean=0 588.2116 Prob>|T| 0.0001 Num ^= 0 4044 Num > 0 4044 M(Sign) 2022 Prob>|M| 0.0001 Sgn Rank 4089495 Prob>|S| 0.0001 Quantiles(Def=5) 100% Max 1.388384 99% 1.348465 75% Q3 1.129214 95% 1.219256 50% Med 1.061583 90% 1.197616 25% Q1 0.97107 10% 0.905972 0% Min 0.621798 5% 0.861229 1% 0.778981 Range 0.766586 Q3-Q1 0.158144 Mode 0.84869 Extremes Lowest Obs Highest Obs 0.621798( 3285) 1.388384( 3031) 0.621798( 3033) 1.388384( 3283) 0.621798( 1769) 1.388384( 3535) 0.621798( 504) 1.388384( 4040) 0.621798( 252) 1.388384( 4044) The SAS System 13:05 Wednesday, April 28, 1993 45 Variable N Mean Std Dev Minimum Maximum ---------------------------------------------------------------------- P 4044 0.0347218 0.9899183 -22.8997227 8.7088785 PADJ 4044 0.0347218 0.9899183 -19.3488889 8.2469859 G0 4044 -0.0047463 0.0639795 -0.1959299 0.1674173 G1 4044 1.0538569 0.1139341 0.6217981 1.3883842 ----------------------------------------------------------------------