@ This program reads and filters the citibase series @

library pgraph;
#include c:\Mydoc\pigia\courses\econ984\hp.txt;  @ execute procedure for hp filter @

nobs=136;          @ number of observations @
nser=4;
l=1600;            @ smoothing parameter @
load matser[]=c:\mydoc\pigia\courses\econ984\series;
matser2=reshape(matser,nobs,nser);
matserf=hp(matser2,l);

corr_mat = corrx(matserf);
vcov=vcx(matserf);

/*print "Correlation matrix  ";
print " Cons   Output   Invest   Hours";
print corr_mat;

stdev=vcov^(1/2);
print "standard deviations ";
print " Cons   Output   Invest   Hours";
print stdev;*/

c_raw = matser2[.,1];
c_fil = matserf[.,1];
periods = seqa(1,1,136);
title("c raw");
xy(periods,c_raw);

title("c fil");
xy(periods,c_fil);

stdevcy=sqrt(vcov[1,1])/sqrt(vcov[2,2]);
stdeviy=sqrt(vcov[3,3])/sqrt(vcov[2,2]);
stdevny=sqrt(vcov[4,4])/sqrt(vcov[2,2]);

print "sd(c)/sd(y) sd(i)/sd(y) sd(n)/sd(y)";
print stdevcy;
print stdeviy;
print stdevny;

print "corr c,i,n & y";
print corr_mat[1,2];
print corr_mat[2,2];
print corr_mat[3,2];
print corr_mat[4,2];