*
* Example 8.9 on pp 293-297
*
open data irates.dat
cal(m) 1946:12
data(format=prn,org=columns) 1946:12 1991:2 r1 r2 r3 r5 r6 r11 r12 r36 r60 r120
*
graph(footer="Figure 8.9 One Month and 5-Year Interest Rates") 2
# r1  1970:1 *
# r60 1970:1 *
linreg r1 1970:1 *
# constant r1{1}
@Regcorrs(number=14)
*
@dfunit(lags=1) r1 1969:11 *
@dfunit(lags=3) r1 1969:09 *
@dfunit(lags=6) r1 1969:06 *
*
report(action=define)
report(atrow=2,atcol=1,fillby=cols) "Value with t=.95" "Value with t=1" "OLS Estimate" "standard error" "R**2"
linreg r3 1970:1 *
# constant r1
report(atrow=1,atcol=2,fillby=cols) "Quarterly n=3" 1.0/3.0*(1-.95**3)/(1-.95) 1.0 %beta(2) %stderrs(2) %rsquared
linreg r12 1970:1 *
# constant r1
report(atrow=1,atcol=3,fillby=cols) "Annual n=12" 1.0/12.0*(1-.95**12)/(1-.95) 1.0 %beta(2) %stderrs(2) %rsquared
linreg r60 1970:1 *
# constant r1
report(atrow=1,atcol=4,fillby=cols) "5 year n=60" 1.0/60.0*(1-.95**60)/(1-.95) 1.0 %beta(2) %stderrs(2) %rsquared
report(action=format,picture="*.###")
report(action=show)