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


smpl @all
matrix(5,5) table2

'GDPQ: Gross domestic product (chained) (5)
series y1 = log(gdpq)
series d4y1 = (y1-y1(-4))
series z1 = @stdev(d4y1, "1960q1 2001q3")
series z2 = @stdev(d4y1, "1960q1 1969q4")
series z21 =z2/z1
series z3 = @stdev(d4y1, "1970q1 1979q4")
series z31 =z3/z1
series z4 = @stdev(d4y1, "1980q1 1989q4")
series z41 =z4/z1
series z5 = @stdev(d4y1, "1990q1 2001q3")
series z51 =z5/z1
table2(1,1)=z1(1,1)
table2(1,2)=z21(1,1)
table2(1,3)=z31(1,1)
table2(1,4)=z41(1,1)
table2(1,5)=z51(1,1)

'GCQ: Personal consumption expenditures (chained) (5)
series y2 = log(gcq)
series d4y2 = (y2-y2(-4))
series z1 = @stdev(d4y2, "1960q1 2001q3")
series z2 = @stdev(d4y2, "1960q1 1969q4")
series z21 =z2/z1
series z3 = @stdev(d4y2, "1970q1 1979q4")
series z31 =z3/z1
series z4 = @stdev(d4y2, "1980q1 1989q4")
series z41 =z4/z1
series z5 = @stdev(d4y2, "1990q1 2001q3")
series z51 =z5/z1
table2(2,1)=z1(1,1)
table2(2,2)=z21(1,1)
table2(2,3)=z31(1,1)
table2(2,4)=z41(1,1)
table2(2,5)=z51(1,1)

'GDPD: Gross domestic product:implicit price deflator (index,92=100) (6)
series y3 = log(gdpd)
series d4y3 = ((y3-y3(-4))-(y3(-4)-y3(-8)))
series z1 = @stdev(d4y3, "1960q1 2001q3")
series z2 = @stdev(d4y3, "1960q1 1969q4")
series z21 =z2/z1
series z3 = @stdev(d4y3, "1970q1 1979q4")
series z31 =z3/z1
series z4 = @stdev(d4y3, "1980q1 1989q4")
series z41 =z4/z1
series z5 = @stdev(d4y3, "1990q1 2001q3")
series z51 =z5/z1
table2(3,1)=z1(1,1)
table2(3,2)=z21(1,1)
table2(3,3)=z31(1,1)
table2(3,4)=z41(1,1)
table2(3,5)=z51(1,1)


'FYGM: Interest rate: u.s.treasury bills, sec mkt,3-mo. (2)
series d4y4 = fygm3-fygm3(-4)
series z1 = @stdev(d4y4, "1960q1 2001q3")
series z2 = @stdev(d4y4, "1960q1 1969q4")
series z21 =z2/z1
series z3 = @stdev(d4y4, "1970q1 1979q4")
series z31 =z3/z1
series z4 = @stdev(d4y4, "1980q1 1989q4")
series z41 =z4/z1
series z5 = @stdev(d4y4, "1990q1 2001q3")
series z51 =z5/z1
table2(4,1)=z1(1,1)
table2(4,2)=z21(1,1)
table2(4,3)=z31(1,1)
table2(4,4)=z41(1,1)
table2(4,5)=z51(1,1)

'FYGT10: Interest rate: u.s.treasury const maturities,10-yr (2)
series d4y5 = fygt10-fygt10(-4)
series z1 = @stdev(d4y5, "1960q1 2001q3")
series z2 = @stdev(d4y5, "1960q1 1969q4")
series z21 =z2/z1
series z3 = @stdev(d4y5, "1970q1 1979q4")
series z31 =z3/z1
series z4 = @stdev(d4y5, "1980q1 1989q4")
series z41 =z4/z1
series z5 = @stdev(d4y5, "1990q1 2001q3")
series z51 =z5/z1
table2(5,1)=z1(1,1)
table2(5,2)=z21(1,1)
table2(5,3)=z31(1,1)
table2(5,4)=z41(1,1)
table2(5,5)=z51(1,1)

delete y1 y2  y3 z1 z2 z3 z4 z5 z21 z31 z41 z51