*
* Example 8.6 from pp 373-375
*
open data m-gs1n3.dat
calendar(m) 1953:4
data(format=free,org=columns) 1953:4 2001:1 t1 t3
*
set lt1 = log(t1)
set lt3 = log(t3)
*
graph(footer="Figure 8.8 Time Plots of Log U.S. Monthly Interest Rates",$
 key=upleft,klabels=||"1-year","3-year"||) 2
# lt1
# lt3
*
@varlagselect(lags=6,crit=aic)
# lt1 lt3
*
source varmadlm.src
*
compute VARMADLMSetup(2,1,2)
*
dec vector theta0(2)
compute theta0=%zeros(2,1)
compute sigma=%identity(2)
*
nonlin(parmset=meanparms) theta0
nonlin(parmset=varmaparms) theta(1) phi(1) phi(2) sigma
nonlin(parmset=constraints) theta(1)(2,1)=0.0 phi(1)(2,1)=0.0 phi(2)(2,1)=0.0 phi(2)(2,2)=0.0
*
dlm(parmset=varmaparms+meanparms,pmethod=simplex,piters=10,method=bfgs,iters=200,$
    y=||lt1-theta0(1),lt3-theta0(2)||,startup=VARMADLMInit(2,1,2),$
    a=%%dlma,sw=%%dlmsw,c=%%dlmc,sx0=%%dlmsx0)