*
* Chapter 3 - Finland data
*
open data norwayfinland.txt
calendar(a) 1970
data(format=free,org=columns,skips=1) 1970:01 2003:01 year norway finland
*
set logfinland = log(finland)
*
@LocalDLM(type=trend,shocks=both,a=at,c=ct,f=ft)
@LocalDLMInit(irreg=sigsqeps,trend=sigsqzeta) logfinland
compute sigsqxi=sigsqeps*.01
nonlin sigsqeps sigsqxi sigsqzeta
dlm(a=at,c=ct,sv=sigsqeps,f=ft,sw=%diag(||sigsqxi,sigsqzeta||),exact,y=logfinland,$
  method=bfgs,vhat=vhat,svhat=svhat)
*
* This time sigsqxi comes in negative, so we fix it at zero
*
nonlin sigsqeps sigsqxi=0.0 sigsqzeta
dlm(a=at,c=ct,sv=sigsqeps,f=ft,sw=%diag(||sigsqxi,sigsqzeta||),exact,y=logfinland,$
  method=bfgs,vhat=vhat,svhat=svhat)
set resids = %scalar(vhat)/sqrt(%scalar(svhat))
@STAMPDiags(ncorr=10) resids
*
* Redo with smoothing to get the components
*
dlm(a=at,c=ct,sv=sigsqeps,f=ft,sw=%diag(||sigsqxi,sigsqzeta||),exact,y=logfinland,$
  type=smooth) / xstates
set level = %scalar(xstates)
set irreg = logfinland-level
set slope = xstates(t)(2)
spgraph(vfields=2,footer="Figure 3.5 Deterministic level/stochastic slope model")
graph(key=upright,klabels=||"log fatalities Finland","deterministic level, stochastic slope"||) 2
# logfinland
# level
graph(key=upright,klabels=||"stochastic slope"||)
# slope
spgraph(done)
graph(footer="Figure 3.6 Irregular component for Finnish fatalities")
# irreg