*
* CANMODEL.RPF
* RATS Version 8, User's Guide, Example 7.8
*
*********************************************************************
*
*  Set Up Data
*
open data oecdsample.rat
calendar(q) 1981
data(format=rats) 1981:1 2006:4 can3mthpcp canexpgdpchs canexpgdpds canm1s canusxsr usaexpgdpch
*
set logcangdp  = log(canexpgdpchs)
set logcandefl = log(canexpgdpds)
set logcanm1   = log(canm1s)
set logusagdp  = log(usaexpgdpch)
set logexrate  = log(canusxsr)
*
**********************************************************************
*
*  RunTheil Procedure
*     Needs modification of the lines tagged with ;*<<<<<<< to accomodate
*     different models.  Computes Theil U's for a VAR using either a
*     symmetric or general prior.
*
*     By setting TIGHTNESS to a large value (such as 2.00), you effectively
*     eliminate the "Bayesian" part, and thus look at an OLS VAR.
*
*     By setting OTHER to a very small value (such as .001), you effectively
*     eliminate the "Vector" part, and thus look at an autoregression only.
*
procedure runtheil
option  choice    type        1    symmetric  general
option  rect      matrix
option  vector    mvector
option  real      tightness  .1
option  real      other      .5
option  string    window
*
local   integer  time
*
system(model=canmodel)                                        ;*<<<<<<<
variables logcangdp logcandefl logcanm1 logexrate can3mthpcp logusagdp ;*<<<<<<<<
lags 1 to 4                                                   ;*<<<<<<<
det constant
specify(tightness=tightness,type=type,matrix=matrix,mvector=mvector)  other
end(system)
*
theil(model=canmodel,setup,steps=12,to=2006:4)                ;*<<<<<<<
estimate(noprint) * 1998:4                                    ;*<<<<<<<
theil
do time=1999:1,2006:3                                         ;*<<<<<<<
   kalman
   theil
end do time
theil(dump,window=window)
end
*
***********************************************************************
*
@runtheil(tightness=2.0,other=.001,window="Univariate OLS")
@runtheil(tightness=0.1,other=.001,window="Univariate BVAR")
@runtheil(tightness=0.1,other=0.5,window="Simple BVAR")
@runtheil(tightness=2.0,other=1.0,window="OLS VAR")
*
@runtheil(tight=.10,type=general,window="General")
# 1.00   0.50   0.50   0.50   0.50  0.50 $
  0.50   1.00   0.50   0.50   0.50  0.50 $
  0.01   0.01   1.00   0.01   0.01  0.01 $
  0.01   0.01   0.01   1.00   0.01  0.01 $
  0.20   0.20   0.20   0.20   2.00  0.20 $
  0.50   0.50   0.50   0.50   0.50  1.00