'' -------------------------------------------------------------------------------------------------- '' Loading dataset '' -------------------------------------------------------------------------------------------------- wfcreate M 2002m01 2012m12 import "X:\Camilogonzalez\Macro View\2012\2012-10-30 (FCI)\fci_chile.xls" range="Chile" colhead="4" namepos="last" '' -------------------------------------------------------------------------------------------------- '' Variable Transformation and Standarization '' -------------------------------------------------------------------------------------------------- smpl @all !crit=1000000000 !r2=0 !ss=1000000000 genr dum1=@recode(@date=@dateval("2010m03"),1,0) genr dum2=@recode(@date=@dateval("2011m03"),1,0) %regressors= "@movav(polrate,1) @movav(inf,1) @movav(g,1) dum1 dum2" series compfci series g_fcst matrix(2,2) Lfci group varfci group varpurgedfci equation regfci equation eqthresh ''Growth variable genr g=(@pcy(imacec)-@mean(@pcy(imacec)))/@stdevp(@pcy(imacec)) '' 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 6 genr ipec{!i}=(ipec{!i}_-@mean(ipec{!i}_))/@stdevp(ipec{!i}_) delete ipec{!i}_ equation ipecreg ipecreg.ls ipec{!i} {%regressors} ipecreg.makeresids uipec{!i} next '' Interest Rate Variables genr i1_=iconsloans-idep genr i2_=icorploans-idep genr i3_=iconsloans-@pcy(cpi) genr i4_=icorploans-@pcy(cpi) delete iconsloans idep 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}r=col{!i}_-@pcy(cpi) genr col{!i}=(col{!i}r-@mean(col{!i}r))/@stdevp(col{!i}r) delete col{!i}_ col{!i}r equation colreg colreg.ls col{!i} {%regressors} colreg.makeresids ucol{!i} next '' Money Variables for !i=1 to 3 genr m{!i}=(m{!i}_-@mean(m{!i}_))/@stdevp(m{!i}_) delete m{!i}_ 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 slope2=swap2y-pr genr slope5=swap5y-pr genr s1=(slope2-@mean(slope2))/@stdevp(slope2) genr s2=(slope5-@mean(slope5))/@stdevp(slope5) delete swap2y swap5y slope2 slope5 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 2003m06 @last '' -------------------------------------------------------------------------------------------------- '' Estimation '' -------------------------------------------------------------------------------------------------- for !j=1 to 6 for !k=1 to 4 for !l=1 to 3 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 ipec{!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 uipec{!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 IPEC 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 2003m06 @last-12 !ARlags=0 %arstring = " " for !i=0 to !ARlags if !i>0 then %arstring= %arstring + " ar(" + @str({!i}) + ")" endif next %fcistring= " " %fcibest=" " for !i=0 to 12 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 2003m06 @last-12 equation r{!j}{!k}{!l}{!m}{!n}{!o}{!p} r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.ls g c {%arstring} {%fcistring} dum1 dum2 if r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.@rbar2>!r2 then !r2=r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.@rbar2 %fcibest=%fcistring endif next smpl 2003m06 @last-12 r{!j}{!k}{!l}{!m}{!n}{!o}{!p}.ls g c {%arstring} {%fcibest} dum1 dum2 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 2003m06 @last genr fcipurged=-(Lfci(1,1)*uipec{!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 2003m06 @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 '' -------------------------------------------------------------------------------------------------- smpl 2003m06 @last genr thresh=fci1122222 genr count=@ranks(fci1122222) vector(count.@obs) ssr for !i=1 to @floor(count.@obs*0.15) ssr({!i})=na next for !i=count.@obs-@floor(count.@obs*0.15) to count.@obs ssr({!i})=na next for !j=@floor(count.@obs*0.15)+1 to (count.@obs-@floor(count.@obs*0.15)-1) genr dum=@recode(count<=!j,1,0) equation eq{!j} eq{!j}.ls g c dum1 dum2 fci1122222(-1)*dum fci1122222(-1)*(1-dum) ssr({!j})=eq{!j}.@ssr if eq{!j}.@ssr