smpl @all 'data construction and descriptive statistics genr b_10y=sveny10-tipsy10 'generate returns genr ret10y_n= (0.25*sveny10(-3)- 9.75*(sveny10-sveny10(-3)))*4 genr ret10y_r= (0.25*tipsy10(-3)- 9.75*(tipsy10-tipsy10(-3)))*4 genr ret10y_b=ret10y_n-ret10y_r genr ret3m=tb3m_cca smpl 1999:1 2019:12 'auxiliary model for the real rate equation eq_3m.ls(cov=hac) (ret3m-infl_qa(+3))=c(1)+c(2)*ret3m+c(3)*(ret3m(-3)-infl_qa)+c(4)*infl_a eq_3m.makeresids resids01 genr rr3m=(ret3m-infl_qa(+3))-resids01 genr b_3m=ret3m-rr3m 'generate excess returns genr exret_n=ret10y_n-ret3m(-3) genr exret_r=ret10y_r-rr3m(-3) genr exret_b= ret10y_b-b_3m(-3) 'generate spreads genr sp_10y_3m_n=sveny10-ret3m genr sp_10y_3m_r=tipsy10-rr3m genr sp_10y_3m_b= b_10y-b_3m 'descriptive stats delete Table_* group grp_ret infl_q ret3m rr3m freeze(Table_1) grp_ret.stats freeze(Table_2) grp_ret.cor group grp_sp sp_10y_3m_n sp_10y_3m_r sp_10y_3m_b freeze(Table_3) grp_sp.stats freeze(Table_4) grp_sp.cor group grp_exret exret_n exret_r exret_b freeze(Table_5) grp_exret.stats freeze(Table_6) grp_exret.cor equation eq_rp_n.ls exret_n= c(1)+c(2)* sp_10y_3m_n(-3) equation eq_rp_r.ls exret_r= c(1)+c(2)* sp_10y_3m_r(-3) equation eq_rp_b.ls exret_b= c(1)+c(2)* sp_10y_3m_b(-3) eq_rp_n.makeresids resid_n eq_rp_r.makeresids resid_r eq_rp_b.makeresids resid_b genr rp_n= exret_n-resid_n genr rp_r= exret_r-resid_r genr rp_b= exret_b-resid_b