*
* Example 8.6.5 from pp 385-390
*
open data w-tb3n6ms.txt
calendar(w) 1958:12:12
data(format=free,org=columns) 1958:12:12 2004:8:6 tb3mo tb6mo
*
spgraph(vfields=2,footer="Figure 8.12 Time plots of weekly U.S. interest rates")
graph(header="(a) 3-month-bill")
# tb3mo
graph(header="(b) 6-month-bill")
# tb6mo
spgraph(done)
*
* Dickey-Fuller tests for unit roots. Note that DFUNIT counts the number of
* *additional* lags, so the AR(3) is done with lags=2)
*
@dfunit(lags=2) tb3mo
@dfunit(lags=2) tb6mo
*
@varlagselect(lags=6,crit=aic)
# tb3mo tb6mo
*
@johmle(lags=3,det=rc,cv=cv1)
# tb3mo tb6mo
*
* Create the equation that describes the cointegrating vector
*
equation(coeffs=cv1) cv *
# tb3mo tb6mo constant
*
* Setup and estimate the ECM
*
system(model=varmodel)
var tb3mo tb6mo
lags 1 to 3
ect cv
end(system)
*
estimate
compute fullmodel=%modelsubstect(varmodel)
*
forecast(steps=10,model=fullmodel,results=forecasts,stderrs=stderrs)
*
spgraph(hfields=2,footer="Figure 8.15 Forecasting plots of a fitted ECM model")
set upper (2004:8:6)+1 (2004:8:6)+10 = forecasts(1)+%invnormal(.975)*stderrs(1)
set lower (2004:8:6)+1 (2004:8:6)+10 = forecasts(1)+%invnormal(.025)*stderrs(1)
graph(header="(a) 3-month-bill") 4
# tb3mo (2004:8:6)-49 *
# forecasts(1)
# upper / 3
# lower / 3
set upper (2004:8:6)+1 (2004:8:6)+10 = forecasts(2)+%invnormal(.975)*stderrs(2)
set lower (2004:8:6)+1 (2004:8:6)+10 = forecasts(2)+%invnormal(.025)*stderrs(2)
graph(header="(b) 6-month-bill") 4
# tb6mo (2004:8:6)-49 *
# forecasts(2)
# upper / 3
# lower / 3
spgraph(done)