data capm_exxon; input date mmddyy10. tbill3 sp500 exxon; format date date7.; datalines; 8/1/2005 3.44 1834.47998 47.196896 9/1/2005 3.42 1849.329956 50.064953 10/1/2005 3.71 1818.5 44.234283 11/1/2005 3.88 1887.280029 45.956875 12/1/2005 3.89 1887.939941 44.483845 1/1/2006 4.24 1937.930054 49.694881 2/1/2006 4.43 1943.189941 47.267891 3/1/2006 4.51 1967.380005 48.454166 4/1/2006 4.6 1993.790039 50.221638 5/1/2006 4.72 1936.410034 48.737892 6/1/2006 4.79 1939.030029 49.089966 7/1/2006 4.95 1951 54.203003 8/1/2006 4.96 1997.420044 54.398216 9/1/2006 4.81 2048.889893 53.94001 10/1/2006 4.92 2115.649902 57.41275 11/1/2006 4.94 2155.889893 62.013329 12/1/2006 4.85 2186.129883 61.868004 1/1/2007 4.98 2219.189941 59.825382 2/1/2007 5.03 2175.780029 58.118031 3/1/2007 4.94 2200.120117 61.174736 4/1/2007 4.87 2297.580078 64.361176 5/1/2007 4.73 2377.75 67.725235 6/1/2007 4.61 2338.25 68.303391 7/1/2007 4.82 2265.75 69.321259 8/1/2007 4.2 2299.709961 70.088921 9/1/2007 3.89 2385.719971 75.672813 10/1/2007 3.9 2423.669922 75.20681 11/1/2007 3.27 2322.340088 73.176514 12/1/2007 3 2306.22998 76.894424 1/1/2008 2.75 2167.899902 70.336769 2/1/2008 2.12 2097.47998 71.720169 3/1/2008 1.26 2088.419922 69.717178 4/1/2008 1.29 2190.129883 76.715271 5/1/2008 1.73 2218.5 73.489517 6/1/2008 1.86 2031.469971 72.967903 7/1/2008 1.63 2014.390015 66.592636 8/1/2008 1.72 2043.530029 66.583221 9/1/2008 1.13 1861.439941 64.627586 10/1/2008 0.67 1548.810059 61.681644 11/1/2008 0.19 1437.680054 67.083275 12/1/2008 0.03 1452.97998 66.815445 1/1/2009 0.13 1330.51001 64.011597 2/1/2009 0.3 1188.839966 57.116749 3/1/2009 0.21 1292.97998 57.284985 4/1/2009 0.16 1416.72998 56.082085 5/1/2009 0.18 1495.969971 58.684597 6/1/2009 0.18 1498.939941 59.158478 7/1/2009 0.18 1612.310059 59.564655 8/1/2009 0.17 1670.52002 58.872784 9/1/2009 0.12 1732.859985 58.41304 10/1/2009 0.07 1700.670044 61.018253 11/1/2009 0.05 1802.680054 64.284935 12/1/2009 0.05 1837.5 58.393368 1/1/2010 0.06 1771.400024 55.173553 2/1/2010 0.11 1826.27002 56.024784 3/1/2010 0.15 1936.47998 57.731388 4/1/2010 0.16 1967.050049 58.4123 5/1/2010 0.16 1809.97998 52.465565 6/1/2010 0.12 1715.22998 49.523815 7/1/2010 0.16 1835.400024 51.788704 8/1/2010 0.16 1752.550049 51.661118 9/1/2010 0.15 1908.949951 54.003391 10/1/2010 0.13 1981.589966 58.111107 11/1/2010 0.14 1981.839966 61.177025 12/1/2010 0.14 2114.290039 64.307999 1/1/2011 0.15 2164.399902 70.956909 2/1/2011 0.13 2238.550049 75.618843 3/1/2011 0.1 2239.439941 74.381073 4/1/2011 0.06 2305.76001 77.784943 5/1/2011 0.04 2279.659912 74.216103 6/1/2011 0.04 2241.659912 72.357803 7/1/2011 0.04 2196.080078 70.944084 8/1/2011 0.02 2076.780029 66.248398 9/1/2011 0.01 1930.790039 65.004341 10/1/2011 0.02 2141.810059 69.891075 11/1/2011 0.01 2137.080078 72.423317 12/1/2011 0.01 2158.939941 76.31279 1/1/2012 0.03 2255.689941 75.39444 2/1/2012 0.09 2353.22998 78.305634 3/1/2012 0.08 2430.669922 78.513855 4/1/2012 0.08 2415.419922 78.160789 5/1/2012 0.09 2270.25 71.671547 6/1/2012 0.09 2363.790039 77.997391 7/1/2012 0.1 2396.620117 79.164116 8/1/2012 0.1 2450.600098 80.091431 9/1/2012 0.11 2513.929932 83.898743 10/1/2012 0.1 2467.51001 83.641869 11/1/2012 0.09 2481.820068 81.36834 12/1/2012 0.07 2504.439941 79.900497 1/1/2013 0.07 2634.159912 83.057739 2/1/2013 0.1 2669.919922 83.198166 3/1/2013 0.09 2770.050049 83.718445 4/1/2013 0.06 2823.419922 82.677887 5/1/2013 0.04 2889.459961 84.634361 6/1/2013 0.05 2850.659912 84.522102 7/1/2013 0.04 2995.719971 87.702789 8/1/2013 0.04 2908.959961 82.10144 9/1/2013 0.02 3000.179932 81.04644 10/1/2013 0.05 3138.090088 84.418663 11/1/2013 0.07 3233.719971 88.653778 12/1/2013 0.07 3315.590088 95.975204 1/1/2014 0.04 3200.949951 87.401932 2/1/2014 0.05 3347.379883 91.946373 3/1/2014 0.05 3375.51001 93.293053 4/1/2014 0.03 3400.459961 97.810623 5/1/2014 0.03 3480.290039 96.666931 6/1/2014 0.04 3552.179932 96.811172 7/1/2014 0.03 3503.189941 95.138039 8/1/2014 0.03 3643.330078 96.304283 9/1/2014 0.02 3592.25 91.065933 10/1/2014 0.02 3679.98999 93.641533 11/1/2014 0.02 3778.959961 88.30024 12/1/2014 0.03 3769.439941 90.162987 1/1/2015 0.03 3656.280029 85.257423 2/1/2015 0.02 3866.419922 86.999672 3/1/2015 0.03 3805.27002 83.521255 4/1/2015 0.02 3841.780029 85.850029 5/1/2015 0.02 3891.179932 84.41021 6/1/2015 0.02 3815.850098 82.428749 7/1/2015 0.03 3842.060059 82.369308 ; data capm_exxon; set capm_exxon; tbill3 = tbill3/1200; lsp500 = log(sp500); lexxon = log(exxon); rmkt = lsp500 - lag(lsp500); rexxon = lexxon - lag(lexxon); run; data capm_exxon; set capm_exxon; y = rexxon - tbill3; x = rmkt - tbill3; run; title 'Printout of the CAPM data for Exxon'; proc print data = capm_exxon; run; title 'CAPM Model for EXXON'; proc reg data = capm_exxon; model y = x ; run; title 'Using Proc Autoreg to Perform Chow Test for Structural Change'; proc autoreg data=capm_exxon; model y = x/ chow=(60); run; data capm_exxon; set capm_exxon; if _n_ > 60 then dummy=1; else dummy=0; mult_dummy=dummy*x; run; title 'Doing the Chow Test for Structural Change'; title2 'With Additive and Multiplicative Dummy Approach'; proc reg data=capm_exxon; model y = x dummy mult_dummy; test dummy, mult_dummy; run;