'INITIAL FIGURE smpl 1999:4 2016:12 delete fig_0* graph fig_0.line sveny10 sveny20 fig_0.axis grid zeroline fig_0.option linepat ' need to set linepat fig_0.draw(line, bottom, color(green), width(2), pattern(3)) 2016:1 fig_0.elem(1) lcolor(red) lpat(solid) lwidth(1.25) symbol(filledcircle) symbolsize(l) fig_0.elem(2) lcolor(blue) lpat(solid) lwidth(1.25) symbol(star) symbolsize(l) fig_0.name(1) 10Y fig_0.name(2) 20Y 'ARMA selection,estimation and forecasting in one shot pageselect monthly smpl 1999:4 2015:12 sveny10.autoarma(forclen=12,eqname=eq_arma) y10_arma_f 'VAR smpl @all genr spread=sveny20-sveny10 smpl 1999:4 2015:12 var var_1020.ls 1 2 spread d(sveny10) 'var coint.ec 1 2 spread10 infl_a @ c 'var vec_cs.ls(b,1) 1 2 spread10 infl_a @ c model biva biva.merge var_1020 biva.append sveny20=sveny10+spread biva.innov sveny20 i biva.unlink @all biva.append assign @all _f biva.solveopt(s=b) smpl 2016:1 2016:12 biva.solve smpl 1999:4 2016:12 genr y10_var_f=sveny10_fm 'FAVAR smpl 1999:4 2015:12 var var_f.ls 1 2 c1 c2 c3 c4 c5 c6 model ns6 ns6.merge var_f ns6.append assign @all _f smpl 2016:1 2016:12 ns6.solveopt(s=b) ns6.solve smpl 2000:1 2016:12 genr y10_ns6_f = c1_fm+c2_fm*((1-exp(-10/c4_fm))/(10/c4_fm))+c3_fm*(((1-exp(-10/c4_fm))/(10/c4_fm))-exp(-10/c4_fm)) +c5_fm*(((1-exp(-10/c6_fm))/(10/c6_fm))-exp(-10/c6_fm)) genr y20_ns6_f = c1_fm+c2_fm*((1-exp(-20/c4_fm))/(20/c4_fm))+c3*(((1-exp(-20/c4_fm))/(20/c4_fm))-exp(-20/c4_fm)) +c5_fm*(((1-exp(-20/c6_fm))/(20/c6_fm))-exp(-20/c6_fm)) 'FINAL FIGURE smpl 2014:1 2016:12 delete fig_1* graph fig_1.line y10_ns6_f y10_arma_f y10_var_f sveny10 fig_1.axis grid zeroline fig_1.option linepat ' need to set linepat 'fig_ch1_{%IDC}.draw(line,left,rgb(180,180,180)) 0 fig_1.elem(4) lcolor(red) lpat(solid) lwidth(1.25) symbol(filledcircle) symbolsize(l) fig_1.elem(2) symbol(circle)'lcolor(blue) lpat(solid) lwidth(1.25) fig_1.elem(1) symbol(star)'lcolor(blue) lpat(solid) lwidth(1.25) symbol(star) symbolsize(l) fig_1.elem(3) symbol(filledcircle) 'fig_1.elem(3) lcolor(red) lpat(dash1) lwidth(1.25) fig_1.elem(4) lcolor(blue) lpat(solid) lwidth(1.25) fig_1.name(1) Forecast NS fig_1.name(2) Forecast ARMA fig_1.name(3) Forecast VAR fig_1.name(4) Actual 'fig_1.name(3) upper bound 'fig_1.name(4) lower bound 'fig_ch1_{%IDC}.axis(l) grid zeroline range(0,6) 'fig_ch1_{%IDC}.legend columns(1) position(r)