Purpose - Testing for equality of covariance matrices
Consider again the monthly log returns of the CRSP ten decile indices. Divide the sample into two subperiods with period 1 being from January 2000 to December 2004.

Test the equality of cov matrices

> folder <- "C:/Cauldron/Books/Statistics/Multivariate/TSAY/"
> x <- read.table(paste(folder, "m-dec0009.txt", sep = ""), header = T)
> x1 <- x[1:which(x[, 1] == 20041231), ]
> x2 <- x[(which(x[, 1] == 20041231) + 1):dim(x)[1], ]
> x1 <- x1[, -1]
> x2 <- x2[, -1]
> x1 <- log(1 + x1)
> x2 <- log(1 + x2)
> x <- read.table(paste(folder, "m-dec0009.txt", sep = ""), header = T)
> x <- x[, -1]
> x <- log(1 + x)
> source(paste(folder, "Box_M.R", sep = ""))
> Box_M(x, c(60, 60))
[1] "Test result:"
                [,1]
Box.M-C 1.673949e+02
p.value 2.787770e-13

Equivalence of cov matrix is rejected.

> source(paste(folder, "Behrens.R", sep = ""))
> Behrens(x1, x2)
[1] "Estimate of v: "
[1] 109.3674
[1] "Test result:"
         [,1]
Test-T2 9.709
p.value 0.544