options crt;  ? 2e2
in return;
freq m;
smpl 78:1 87:12;
rpmark = market - rkfree;
?plots;  ? this does part (b)  (plots of actual, fitted, and residuals)
?
dot mobil texaco ibm dec datgen coned psnh weyer boise
    motor tandy panam delta contil citcrp gerber genmil;
 smpl 78:1 87:12;
  rp. = . - rkfree;
 smpl 78:1 82:12;
  olsq rp. c rpmark;
  ttest1;   ? use Proc defined below
 smpl 83:1 87:12;
  olsq rp. c rpmark;   ? (a-b)
  ttest1;              ? (c-e)
enddot;
?
proc ttest1;
  set dft = @nob-@ncoef;
  cdf(t,df=dft) @t(1) palpha;
  if (palpha < .05); then;
    title 'Reject alpha=0';
  else;
    title 'Cannot reject alpha=0';  ? (c)
  cdf(t,df=dft,inv) .05 tcrit;  ? calculate t critical value
  set bconlow = @coef(2) - @ses(2)*tcrit;  ? 2-tailed, 5%, lower conf. bound
  set bconup  = @coef(2) + @ses(2)*tcrit;  ? upper conf. bound  (d)
  set tstat1 = (@coef(2)-1)/@ses(2);  ? t-test against 1
  set sysrisk = @rsq;  ? (e)
  set unsysrsk = 1 - @rsq;
  print bconlow bconup tstat1
        sysrisk unsysrsk;
endp;