'' --------------------------------------------------------------------------------------------------
'' Loading dataset
'' --------------------------------------------------------------------------------------------------
wfcreate M 2002m01 2012m12
import "X:\Camilogonzalez\Macro View\2012\2012-10-30 (FCI)\fci_colombia.xls" range="Colombia" colhead="4" namepos="last"

'' --------------------------------------------------------------------------------------------------
'' Variable Transformation and Standarization
'' --------------------------------------------------------------------------------------------------
smpl @all
!crit=1000000000
!ss=1000000000
%regressors= "@movav(polrate,1) @movav(inf,1) @movav(g,1)"
series compfci
series g_fcst
matrix(2,2) Lfci
group varfci
group varpurgedfci
equation regfci
equation eqthresh

''Growth variable
genr g=(gdp-@mean(gdp))/@stdevp(gdp)

'' Inflation Variable
genr inf=(@pcy(cpi)-@mean(@pcy(cpi)))/@stdevp(@pcy(cpi))

'' Policy Rate Variable
genr polrate=(pr-@mean(pr))/@stdevp(pr)

''IPEC Variables
for !i= 1 to 2
genr exp{!i}=(exp{!i}_-@mean(exp{!i}_))/@stdevp(exp{!i}_)
delete exp{!i}_
equation expreg
expreg.ls exp{!i} {%regressors}
expreg.makeresids uexp{!i}
next

'' Interest Rate Variables
genr i1_=iconsloans-idep
genr i2_=icorploans-idep
genr i3_=iconsloans-@pcy(cpi)
genr i4_=icorploans-@pcy(cpi)
delete idep iconsloans icorploans
for !i= 1 to 4
genr i{!i}=(i{!i}_-@mean(i{!i}_))/@stdevp(i{!i}_)
delete i{!i}_
equation ireg
ireg.ls i{!i} {%regressors}
ireg.makeresids ui{!i}
next

'' Credit Disbursement Variables
for !i=1 to 3
genr col{!i}_=col{!i}_t-@pcy(cpi)
genr col{!i}=(col{!i}_-@mean(col{!i}_))/@stdevp(col{!i}_)
delete col{!i}_ col{!i}_t 
equation colreg
colreg.ls col{!i} {%regressors}
colreg.makeresids ucol{!i}
next

'' Money Variables
for !i=1 to 3
genr m{!i}_=@pcy(m{!i}_t)-@pcy(cpi)
genr m{!i}=(m{!i}_-@mean(m{!i}_))/@stdevp(m{!i}_)
delete m{!i}_ m{!i}_t
equation mreg
mreg.ls m{!i} {%regressors}
mreg.makeresids um{!i}
next

'' Sovereign Risk Variables
for !i=1 to 2
genr sovrisk{!i}=(sovrisk{!i}_-@mean(sovrisk{!i}_))/@stdevp(sovrisk{!i}_)
delete sovrisk{!i}_
equation sovriskreg
sovriskreg.ls sovrisk{!i} {%regressors}
sovriskreg.makeresids usovrisk{!i}
next

'' External Risk Variables
for !i=1 to 2
genr risk{!i}=(risk{!i}_-@mean(risk{!i}_))/@stdevp(risk{!i}_)
delete risk{!i}_
equation riskreg
riskreg.ls risk{!i} {%regressors}
riskreg.makeresids urisk{!i}
next

'' YC Slope Variables
genr slope1=coltes15-pr
genr slope3=coltes20-pr
genr s1=(slope1-@mean(slope1))/@stdevp(slope1)
genr s2=(slope3-@mean(slope3))/@stdevp(slope3)
delete coltes15 coltes20 slope1 slope3
for !i=1 to 2 
equation slopereg
slopereg.ls s{!i} {%regressors}
slopereg.makeresids us{!i}
next

'' Inflation Expectations Variable
genr expinf=(expinf_-@mean(expinf_))/@stdevp(expinf_)
delete expinf_
equation expinfreg
expinfreg.ls expinf {%regressors}
expinfreg.makeresids uexpinf

'' Real Exchange Rate Variable
genr tcr=(tcr_-@mean(tcr_))/@stdevp(tcr_)
delete tcr_
equation tcrreg
tcrreg.ls tcr {%regressors}
tcrreg.makeresids utcr
smpl 2005m09 @last

'' --------------------------------------------------------------------------------------------------
'' Estimation
'' --------------------------------------------------------------------------------------------------

for !j=1 to 2
for !k=1 to 4
for !l=1 to 2
for !m=1 to 3
for !n=1 to 2
for !o=1 to 2
for !p=1 to 2

'' Estimation of Principal Components
group v{!j}{!k}{!l}{!m}{!n}{!o}{!p}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add exp{!j}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add i{!k}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add col{!l}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add m{!m}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add sovrisk{!n}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add risk{!o}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add s{!p}
v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add expinf tcr

group u{!j}{!k}{!l}{!m}{!n}{!o}{!p}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add uexp{!j}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add ui{!k}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add ucol{!l}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add um{!m}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add usovrisk{!n}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add urisk{!o}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add us{!p}
u{!j}{!k}{!l}{!m}{!n}{!o}{!p}.add uexpinf utcr


v{!j}{!k}{!l}{!m}{!n}{!o}{!p}.makepcomp(cov=corr, eigval=eigv, eigvec=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}) comp{!j}{!k}{!l}{!m}{!n}{!o}{!p}
vector sums
sums=@csum(L{!j}{!k}{!l}{!m}{!n}{!o}{!p})
scalar a1=sums(1,1)
genr fci{!j}{!k}{!l}{!m}{!n}{!o}{!p}=-(comp{!j}{!k}{!l}{!m}{!n}{!o}{!p}/a1-@mean(comp{!j}{!k}{!l}{!m}{!n}{!o}{!p}/a1))/@stdevp(comp{!j}{!k}{!l}{!m}{!n}{!o}{!p}/a1)
scalar b1=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(1,1)/a1   'Weight Related to Expectations
scalar b2=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(2,1)/a1   'Weight related to Interest Rates
scalar b3=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(3,1)/a1   'Weight related to Credit Disbursements
scalar b4=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(4,1)/a1   'Weight related to Money Growth
scalar b5=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(5,1)/a1   'Weight related to Sovereign Risk
scalar b6=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(6,1)/a1   'Weight related to External Risk
scalar b7=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(7,1)/a1   'Weight related to Slope 
scalar b8=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(8,1)/a1   'Weight related to Inflation Expectations
scalar b9=L{!j}{!k}{!l}{!m}{!n}{!o}{!p}(9,1)/a1   'Weight related to Real Exchange Rate

if b1>0 and b2<0 and b3>0 and b4>0 and b5<0 and b6<0 and b7<0 or b1<0 and b2>0 and b3<0 and b4<0 and b5>0 and b6>0 and b7>0  then

'' Estimation of GDP Growth Regression
smpl 2005m09 @last-12
!ARlags=0

%arstring = " "
for !i=0 to !ARlags
if !i>0 then
%arstring= %arstring + " ar(" + @str({!i}) + ")"
endif
next

for !i=0 to 12
!r2=-10
%fcistring= "  "
%fcibest="  "
if !i=0 then %fcistring= "fci"+@str({!j}{!k}{!l}{!m}{!n}{!o}{!p})
else %fcistring= "fci"+@str({!j}{!k}{!l}{!m}{!n}{!o}{!p})+ "("+@str(-{!i})+")"
endif
smpl 2005m09 @last-12
equation r{!j}{!k}{!l}{!m}{!n}{!o}{!p}
r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.ls g c {%arstring} {%fcistring} 
if r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.@r2>!r2 then 
!r2=r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.@r2
%fcibest =%fcistring
r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.ls g c {%arstring} {%fcibest}
else delete  r{!j}{!k}{!l}{!m}{!n}{!o}{!p}  
endif
next
'smpl 2005m09 @last-12
'r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.ls g c {%arstring} {%fcibest} 
'smpl @last-11 @last
'r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.fit(f=na) g_s{!j}{!k}{!l}{!m}{!n}{!o}{!p}
'if @rmse(g_s{!j}{!k}{!l}{!m}{!n}{!o}{!p},g)<=!crit then
'!crit=@rmse(g_s{!j}{!k}{!l}{!m}{!n}{!o}{!p},g)
'delete regfci Lfci compfci varfci g_fcst varpurgedfci
'rename r{!j}{!k}{!l}{!m}{!n}{!o}{!p} regfci
'rename L{!j}{!k}{!l}{!m}{!n}{!o}{!p} Lfci
'rename comp{!j}{!k}{!l}{!m}{!n}{!o}{!p} compfci
'rename v{!j}{!k}{!l}{!m}{!n}{!o}{!p} varfci
'rename u{!j}{!k}{!l}{!m}{!n}{!o}{!p} varpurgedfci
'rename g_s{!j}{!k}{!l}{!m}{!n}{!o}{!p} g_fcst
'smpl 2005m09 @last
'genr fcipurged=-(Lfci(1,1)*uexp{!j}+Lfci(2,1)*ui{!k}+Lfci(3,1)*ucol{!l}+Lfci(4,1)*um{!m}+Lfci(5,1)*usovrisk{!n}+Lfci(6,1)*urisk{!o}+Lfci(7,1)*us{!p}+Lfci(8,1)*uexpinf +Lfci(9,1)*utcr)/a1
'genr fcipur=(fcipurged-@mean(fcipurged))/@stdevp(fcipurged)
'delete fcipurged
'else
'delete fci{!j}{!k}{!l}{!m}{!n}{!o}{!p} v{!j}{!k}{!l}{!m}{!n}{!o}{!p} L{!j}{!k}{!l}{!m}{!n}{!o}{!p} comp{!j}{!k}{!l}{!m}{!n}{!o}{!p} r{!j}{!k}{!l}{!m}{!n}{!o}{!p} g_s{!j}{!k}{!l}{!m}{!n}{!o}{!p} u{!j}{!k}{!l}{!m}{!n}{!o}{!p}
'smpl 2005m09 @last
'endif 
else delete fci{!j}{!k}{!l}{!m}{!n}{!o}{!p} v{!j}{!k}{!l}{!m}{!n}{!o}{!p} L{!j}{!k}{!l}{!m}{!n}{!o}{!p} comp{!j}{!k}{!l}{!m}{!n}{!o}{!p} u{!j}{!k}{!l}{!m}{!n}{!o}{!p}
endif 
next
next
next
next
next
next 
next


'' --------------------------------------------------------------------------------------------------
'' Threshhold Regression
'' --------------------------------------------------------------------------------------------------






'' --------------------------------------------------------------------------------------------------
'' Save work
'' --------------------------------------------------------------------------------------------------
smpl @all
wfsave "X:\Camilogonzalez\Macro View\2012\2012-10-30 (FCI)\fci"