*
* SHILLER.RPF
* RATS Version 8, Additional Topics
* Example of mixed estimation
*
open data haversample.rat
calendar(m) 1947
data(format=rats) 1947:1 2007:4 fltg ftb3
set shortrate = ftb3
set longrate  = fltg
*
cmom
# constant shortrate{0 to 24}  longrate
linreg(cmom) longrate
# constant shortrate{0 to 24}
*
declare rect dummy(22,27)
declare symm cmomhold(27,27) dummyxx(27,27)
fmatrix(diff=2) dummy 1 3
compute cmomhold=%cmom
compute dummyxx =tr(dummy)*dummy
*
compute scalefac=%seesq/.01
dofor [real] power = 1.0 2.0 4.0 8.0
   compute kfactor=power*scalefac
   compute %cmom  =cmomhold+kfactor*dummyxx
   compute title="Shiller Smoothness Prior with k="+%strval(kfactor,"*.##")
   linreg(cmom,title=title) longrate
   # constant shortrate{0 to 24}
end dofor