/*olsreg.prg runs ols regressions a la st. lois fed  for EP article */


library pgraph;
convt = 1;
output file = olsreg.out reset;

load x[] = marty.dat;
x = reshape(x,rows(x)/8,8);
y = x[.,1];
p = x[.,2];
pcom = x[.,3];
nbr = x[.,4];
tr = x[.,5];
ff = x[.,6];
m1 = x[.,7];
m2 = x[.,8];
dates = seqb(65.5,95.25,0.25);


/* OLS regression of y on lags of ff */

T = rows(ff);
k = 13;
dy = -999|(100*ln(y[2:T]./y[1:T-1]));  /* remember not to use 1st element */
lhs = dy[k:T];
rhs = ff[k:T];
let __altnam = "ff(t)";
i = 1;
do while i <= k-1;
    rhs = rhs~ff[k-i:T-i];
    __altnam = __altnam | ("ff(t-" $+ ftos(i,"*.*lf",1,0) $+ ")");
    i = i+1;
endo;
__altnam = __altnam | "Dy(t)";
{ vnam,m,b,stb,vc,stderr,sigma,cx,rsq,resid,dwstat } =  OLS("",lhs,rhs);

graphjc;
title("Effect of federal funds rate blip on GDP growth");
ylabel("% GDP" );
xlabel("Lag in quarters");
ytics(-0.3,0.3,0.1,0);
_pcolor = 15;
_psymsiz = 3;
_plctrl = 0|1|0|0;
_pltype = 6|6|3|3;
xy(seqa(0,1,rows(b)-1),
              zeros(rows(b)-1,1)~(b[2:rows(b)]+stderr[2:rows(b)].*(0~-1~1)));
if convt;
    dos pqgrun graphic.tkf -c=2 -cf=fig1.pic;
endif;


/* OLS regression of y on lags of dff */

dy = -999|(100*ln(y[2:T]./y[1:T-1]));  /* remember not to use 1st element */
dff = -999|(ff[2:T]-ff[1:T-1]);
lhs = dy[k+1:T];
rhs = dff[k+1:T];
let __altnam = "dff(t)";
i = 1;
do while i <= k-1;
    rhs = rhs~dff[k+1-i:T-i];
    __altnam = __altnam | ("dff(t-" $+ ftos(i,"*.*lf",1,0) $+ ")");
    i = i+1;
endo;
__altnam = __altnam | "Dy(t)";
{ vnam,m,b2,stb2,vc,stderr2,sigma,cx,rsq,resid,dwstat } =  OLS("",lhs,rhs);

/* graph */

graphjc;
title("Effect of federal funds rate change on GDP growth\L= "$+
       "Effect of funds rate blip on GDP level");
ylabel("% GDP" );
xlabel("Lag in quarters");
ytics(-0.3,0.3,0.1,0);
_pcolor = 15;
_plctrl = 0|1|0|0;
_pltype = 6|6|3|3;
xy(seqa(0,1,rows(b)-1),
          zeros(rows(b)-1,1)~
       (b2[2:rows(b2)]+stderr2[2:rows(b2)].*(0~-1~1)));
if convt;
    dos pqgrun graphic.tkf -c=2 -cf=fig1b.pic;
endif;

graphjc;


title("Effect of federal funds rate change on GDP level");
ylabel("% GDP" );
xlabel("Lag in quarters");
_pcolor = 15;
_plctrl = 0|1|0|0;
_pltype = 6|6|3|3;
xy(seqa(0,1,rows(b)-1),
              zeros(rows(b)-1,1)~cumsumc(b2[2:rows(b2)]));
if convt;
    dos pqgrun graphic.tkf -c=2 -cf=fig1c.pic;
endif;


output off;