*
* Example from page 80
*
calendar(w) 1962:1:5
open data ch02_irate1yr3yr_w(62-99).txt
data(format=free,org=columns) 1962:1:5 1999:9:10 t1 t3 year
*
graph(footer="Figure 2.17 Time plots of U.S. weekly interest rates",$
  key=upleft,klabels=||"1-year","3-year"||) 2
# t1
# t3
*
set dt1 = t1-t1{1}
set dt3 = t3-t3{1}
*
spgraph(hfields=2,footer="Figure 2.18 Scatterplots")
scatter(header="(a) Levels",hlabel="1-year",vlabel="3-year")
# t1 t3
scatter(header="(b) Changes",hlabel="1-year",vlabel="3-year")
# dt1 dt3
spgraph(done)
*
* Simple regression
*
linreg t3
# constant t1
graph
# %resids
@RegCorrs(number=32)
*
spgraph(vfields=2,footer="Figure 2.20 Time plots of changes")
graph(header="(a) 1-year")
# dt1
graph(header="(b) 3-year")
# dt3
spgraph(done)
*
* Regression on the changes
*
linreg dt3
# constant dt1
graph
# %resids
@RegCorrs(number=32)
*
* ARMA-X model on the differences
*
boxjenk(ma=1,regressors,maxl) dt3
# constant dt1
@RegCorrs
*
* Model expanded to account for the autocorrelation at 4 and 6
*
boxjenk(ma=||1,4,6||,regressors,maxl) dt3
# constant dt1