Quarterly U.K. Stock Market Data

S-Plus script file: fti.ssc

Box, G.E.P. and Newbold, P. (1971).  Some Comments on a Paper of Coen, Gomme and Kendall. Journal of the Royal Statistical Society. Series A (General), Vol. 134, No. 2 (1971), pp. 229-240.

Coen, P.J., Gomme, E.D. and Kendall, M.G. (1969).  Lagged Relationships in Economic Forecasting Lagged Relationships in Economic Forecasting. Journal of the Royal Statistical Society. Series A (General), Vol. 132, 133--163.

The data were taken were given in a paper by Coen, Gomme and Kendall (1969) (CGK) and represent time series for the quarterly Financial Times Index (FTI), Financial Time Commodity Index (FTCI) and the U.K. car production (CARS).  CGK claimed that past values of FTCI and CARS could be used to predict FTI.  In such as case we would say that FTCI and CARS are leading indicators for FTI.  Box and Newbold (1971) should that the regression modelling approach used by CGK and that in fact it was not possible to predict FTI from this past data.  Box later (about 1982) publicly taunted Kendall about this at a conference, Kendall replied that he made a lot of money on the stock market and when his method stopped working, he decided to publish it!

Year	Quarter	FTI        FTCI		CARS
1952	3   	112.7      96.21	105761
1952	4   	115        93.74	121874
..........................................
1967	4   	397.8      81.5		381692

A better plot is generated using  seriesPlot.

> # FTI - Financial Times Index
> # CGK data used by Box and Newbold
> # Year Quarter FTI FTCI CARS
> #1952 3 112.7 96.21 105761
> # ... ... ... ... ... ... ... ... ... ... ... ... ... ...
> #1967 4 397.8 81.5 381692
> x < -read.table ("BoxNewbold.dat", header = TRUE)
> x[, 5] < -x[, 5]/1000
> td < -timeSeq (from = "9/30/1952", to = "12/30/1967", by = "quarters")
> cgk < -timeSeries (data = x[, 3 : 5], pos = td)
> plot (cgk)
> # use colors () to get color names
> seriesPlot (cgk, type = "l", scales = "free", one.plot = F, col = "blue", ref.line = F, layout = c (1, 3), vgrid = T)