cd "E:\Dropbox\teaching\2018-19 TOBB-ETU\IKT 451 Applied Time Series\S&W 2002 replication"

wfopen data

'Data Conversion:
'(1) level of the series; 
'(2) first difference; 
'(3) second difference; 
'(4) logarithm of theseries; 
'(5) first difference of the logarithm; 
'(6) second difference of the logarithm. 
'SA = seasonally adjusted; NSA = not seasonally adjusted


'GDPQ: Gross domestic product (chained) (5)
smpl @all
series y1 = log(gdpq)
series d4y1 = (y1-y1(-4))
smpl 1954q1 2001q3
series md4y1 = @mean(d4y1, "1954q1 2001q3")
series add4y1= abs(d4y1-md4y1)
graph figuregdpq.line(s) add4y1
delete md4y1 y1

'GCQ: Personal consumption expenditures (chained) (5)
smpl @all
series y2 = log(gcq)
series d4y2 = (y2-y2(-4))
smpl 1961q1 2001q3
series md4y2 = @mean(d4y2, "1961q1 2001q3")
series add4y2= abs(d4y2-md4y2)
series wadd4y2= 0.64*add4y2
graph figuregcq.line(s) wadd4y2
delete md4y2 y2

'GDPD: Gross domestic product:implicit price deflator (index,92=100) (6)
smpl @all
series y3 = log(gdpd)
series d4y3 = ((y3-y3(-4))-(y3(-4)-y3(-8)))
smpl 1954q1 2001q3
series md4y3 = @mean(d4y3, "1954q1 2001q3")
series add4y3= abs(d4y3-md4y3)
graph figuregdpd.line(s) add4y3
delete md4y3 y3

'FYGM: Interest rate: u.s.treasury bills, sec mkt,3-mo. (2)
smpl @all
series d4y4 = fygm3-fygm3(-4)
smpl 1954q1 2001q3
series md4y4 = @mean(d4y4, "1954q1 2001q3")
series add4y4= abs(d4y4-md4y4)
graph figurefygm3.line(s) add4y4
delete md4y4

'FYGT10: Interest rate: u.s.treasury const maturities,10-yr (2)
smpl @all
series d4y5 = fygt10-fygt10(-4)
smpl 1955q1 2001q3
series md4y5 = @mean(d4y5, "1955q1 2001q3")
series add4y5= abs(d4y5-md4y5)
graph figurefygt10.line(s) add4y5
delete md4y5

smpl @all



series sd1=@movstdev(d4y1,40)
graph figuresd1  add4y1 sd1

series sd2=@mstdev(d4y1,40)
graph figuresd2  add4y1 sd2



'
'vector(219) vca
'
'!j= 1
'while !j<=45
'!i = 1
'while !i<=4
'
'!k=1946+!j 
'!m=!k+9
'smpl !k:!i  !m:!i
'series z1 = @stdev(d4y1)
'smpl @all
'vca((!j-1)*4+!i+16)=z1((!j-1)*4+!i+16,1)
'!i=!i+1
'wend
'!j=!j+1
'wend
'
'smpl @all
'mtos(vca,sd)
'
'smpl 1954q1 2001q3
'graph figuresd  add4y1 sd
'