*
* Example 3.4.2 from pp 84-91
*
cal(q) 1975
open data table3_3.xls
data(format=xls,org=columns) 1975:1 1985:2 y f
*
spgraph(vfields=2,footer="Figure 3.3 Company sales and total market series")
graph(header="Market")
# f
graph(header="Sales")
# y
spgraph(done)
*
* Do figure 3.4, which includes a regression line through the origin. The lines
* on a scatter plot are done with the LINE option, which (for a single line) will
* take the form LINE=||intercept,slope|| for a y=intercept+slope x representation
* of the line. To get 0,0 in the lower left, use vmin=0.0 and hmin=0.0.
*
linreg(noprint) y
# f
scatter(footer="Figure 3.4 Company sales versus total market sales",$
  vlabel="Sales",hlabel="Market",line=||0.0,%beta(1)||,vmin=0.0,hmin=0.0)
# f y
*
* Analysis with a .6 discount factor
*
dlm(y=y,c=f,a=1.0,vhat=vhat,dfhist=dfhist,sighist=sighist,$
  sv=1.0,var=chisquared,pdf=1.0,pscale=1.0,$
  discount=0.6,sx0=.0025*0.6,x0=.45) / xs vs
set error  = vhat(t)(1)
set xx     = xs(t)(1)
set vx     = sqrt(vs(t)(1,1)*sighist)
set xlower = xx-%invttest(.10,dfhist)*vx
set xupper = xx+%invttest(.10,dfhist)*vx
set xx06   = xx
*
graph(footer="Figure 3.5 One-step ahead forecast errors with delta=.6")
# error
graph(footer="Figure 3.6 On-line estimated trajectory of coefficient with delta=.6") 3
# xx
# xlower
# xupper
*
* Repeated with a 1.0 discount factor.
*
dlm(y=y,c=f,a=1.0,vhat=vhat,dfhist=dfhist,sighist=sighist,$
  sv=1.0,var=chisquared,pdf=1.0,pscale=1.0,$
  discount=1.0,sx0=.0025,x0=.45) / xs vs
set error  = vhat(t)(1)
set xx     = xs(t)(1)
set vx     = sqrt(vs(t)(1,1)*sighist)
set xlower = xx-%invttest(.10,dfhist)*vx
set xupper = xx+%invttest(.10,dfhist)*vx
set xx10   = xx
*
graph(footer="Figure 3.7 One-step ahead forecast errors with delta=1.0")
# error
graph(footer="Figure 3.6 On-line estimated trajectory of coefficient with delta=1.0") 3
# xx
# xlower
# xupper
*
set y_f = y/f
graph(footer="Figure 3.9 Y/F ratio with on-line estimates",overlay=dots,ovsame) 3
# xx10
# xx06
# y_f