*
* QPROG.RPF
* RATS Version 8, User's Guide, from Section 13.2
*
open data haversample.rat
calendar(m) 1947
data(format=rats) 1947:1 2007:4 fltg ftb3
set shortrate = ftb3
set longrate  = fltg
*
cmom
# shortrate{0 to 12} longrate
linreg longrate
# shortrate{0 to 12}
*
compute [symmetric] q = %xsubmat(%cmom,1,13,1,13)
compute [vector]    c = -1.0*%xsubmat(%cmom,14,14,1,13)
*
compute a=%fill(1,13,1.0)
lqprog(c=c,q=q,a=a,b=1.0) x
*
report(action=define,hlabels=||"Label","OLS","Constrained"||)
report(fillby=cols,atrow=1,atcol=1) %eqnreglabels(0)
report(fillby=cols,atrow=1,atcol=2) %beta
report(fillby=cols,atrow=1,atcol=3) x
report(action=show)