The file m-pgspabt.txt consists of monthly simple returns of Procter & Gamble stock, S&P composite index, and Abbott Laboratories from January 1962 to December 2011. The data are from CRSP. Transform the simple returns into \(\log\) returns. Let \(z_{t}\) be the monthly \(\log\) returns.

- Plot the time series \(z_{t}\).

- Obtain the first two lags of sample CCMs of \(z_{t}\).

- Test \(H_{0}: ho_{1}=\cdots=\boldsymbol{ho}_{5}=\mathbf{0}\) versus \(H_{a}: \boldsymbol{ho}_{i} eq \mathbf{0}\) for some \(i \in\{1, \ldots, 5\}\). Draw the conclusion using the \(5 \%\) significance level.