/* -------------------------------------------------------------------------- */
/*                          BNSTATS.G                                         */
/*
   calculates and prints variance decomposition for beveridge nelson
   decomposition.

   Usage:
    call bnstats(y,z,c);

*/
/* -------------------------------------------------------------------------- */

proc(0) = doit(dx,label);
    local vcv,d,corr,vcorr,sds,mask,fmt;

    vcv = ( (dx-meanc(dx)')'(dx-meanc(dx)') )/(rows(dx)-1);
    d   = diag(vcv);
    corr = vcv./((d*d')^(1/2));
                                              /* merge vcv and corr */
    corr = lowmat1(corr)-eye(rows(corr));
    vcorr = lowmat(vcv)'+corr;

    sds = diag(vcv)^(1/2);

    format /RD 10,3;
    "Standard deviations";
    $label';
    sds';
    " ";
    "variance-covariance/correlation (below diagonal)";
    mask = zeros(1,5)|(zeros(4,1)~ones(4,4));
    fmt = "*.*lf"~10~3;
    call printfm( (" "~label')|(label~vcorr),mask,fmt );
    "";
    "percent of variance of DGNP";
    call printfm( (" "~label')|(label~
           lowmat( (100*vcorr./vcorr[1,1])')' )  ,mask,fmt );

endp;

proc(0) = bnstats(y,z,c);
    local sel,s,label;
    local x;

    sel = z ./= 0 ;        /* eliminate zeros of z   */
    y = selif(y,sel);      /* all series same length */
    z = selif(z,sel);
    c = selif(c,sel);
    s = y-z;
    x = y~z~s~c;
    let label = "y" "z" "s" "c";

    dx = x[2:rows(x),.]-x[1:rows(x)-1,.];
    "";
    "Statistics on first differences of GNP, B-N trend, consumption "
    "";
    call doit(dx,label);

    dx = x[5:rows(x),.]-x[1:rows(x)-4,.];
    "";
    "Statistics on fourth differences of GNP, B-N trend, consumption "
    "";
    call doit(dx,label);

endp;

/* test call */
/*
output file=bnstats.out reset;
call bnstats(y,z,c);
output off;
*/