* Monthly data on the 3-month treasury bill rate (Jan 1950 to June 1988) * from Pindyck and Rubinfeld (1991, Chapter 15, pp. 452-454) SAMPLE 1 462 READ TBILL / BYVAR 1.07 1.12 1.12 1.15 1.16 1.15 1.16 1.20 1.30 1.31 1.36 1.34 1.34 1.36 1.40 1.47 1.55 1.45 1.56 1.62 1.63 1.54 1.56 1.73 1.57 1.54 1.59 1.57 1.67 1.70 1.81 1.83 1.71 1.74 1.85 2.09 1.96 1.97 2.01 2.19 2.16 2.11 2.04 2.04 1.79 1.38 1.44 1.60 1.18 .97 1.03 .96 .76 .64 .72 .92 1.01 .98 .93 1.14 1.23 1.17 1.28 1.59 1.45 1.41 1.60 1.90 2.07 2.23 2.25 2.54 2.41 2.32 2.25 2.60 2.61 2.49 2.31 2.60 2.84 2.90 2.99 3.21 3.11 3.11 3.08 3.06 3.06 3.29 3.16 3.37 3.53 3.58 3.29 3.04 2.44 1.54 1.30 1.13 .91 .83 .91 1.69 2.44 2.63 2.67 2.77 2.82 2.70 2.80 2.95 2.84 3.21 3.20 3.38 4.04 4.05 4.15 4.49 4.35 3.96 3.31 3.23 3.29 2.46 2.30 2.30 2.48 2.30 2.37 2.25 2.24 2.42 2.39 2.29 2.29 2.33 2.24 2.39 2.28 2.30 2.48 2.60 2.72 2.73 2.72 2.73 2.68 2.73 2.92 2.82 2.78 2.74 2.83 2.87 2.91 2.92 2.89 2.90 2.92 2.99 3.18 3.32 3.38 3.45 3.52 3.52 3.52 3.53 3.54 3.47 3.48 3.48 3.46 3.50 3.53 3.57 3.64 3.84 3.81 3.93 3.93 3.93 3.89 3.80 3.84 3.84 3.92 4.03 4.09 4.38 4.59 4.65 4.59 4.62 4.64 4.50 4.80 4.96 5.37 5.35 5.32 4.96 4.72 4.56 4.26 3.84 3.60 3.54 4.21 4.27 4.42 4.56 4.73 4.97 5.00 4.98 5.17 5.38 5.66 5.52 5.31 5.09 5.19 5.35 5.45 5.96 6.14 6.12 6.02 6.11 6.04 6.44 7.00 6.98 7.09 7.00 7.24 7.82 7.87 7.13 6.63 6.51 6.84 6.68 6.45 6.41 6.13 5.91 5.28 4.87 4.44 3.70 3.38 3.86 4.14 4.75 5.40 4.94 4.69 4.46 4.22 4.01 3.38 3.20 3.73 3.71 3.69 3.91 3.98 4.02 4.66 4.74 4.78 5.07 5.41 5.60 6.09 6.26 6.36 7.19 8.01 8.67 8.29 7.22 7.83 7.45 7.77 7.12 7.96 8.33 8.23 7.90 7.55 8.96 8.06 7.46 7.47 7.15 6.26 5.50 5.49 5.61 5.23 5.34 6.13 6.44 6.42 5.96 5.48 5.44 4.87 4.88 5.00 4.86 5.20 5.41 5.23 5.14 5.08 4.92 4.75 4.35 4.62 4.67 4.60 4.54 4.96 5.02 5.19 5.49 5.81 6.16 6.10 6.07 6.44 6.45 6.29 6.29 6.41 6.73 7.01 7.08 7.85 7.99 8.64 9.08 9.35 9.32 9.48 9.46 9.61 9.06 9.24 9.52 10.26 11.70 11.79 12.04 12.00 12.86 15.20 13.20 8.58 7.07 8.06 9.13 10.27 11.62 13.73 15.49 15.02 14.79 13.36 13.69 16.30 14.73 14.95 15.51 14.70 13.54 10.86 10.85 12.28 13.48 12.68 12.70 12.09 12.47 11.35 8.68 7.92 7.71 8.07 7.94 7.86 8.11 8.35 8.21 8.19 8.79 9.08 9.34 9.00 8.64 8.76 9.00 8.90 9.09 9.52 9.69 9.83 9.87 10.12 10.47 10.37 9.74 8.61 8.06 7.76 8.27 8.52 7.95 7.48 6.95 7.08 7.14 7.10 7.16 7.24 7.10 7.07 7.06 6.56 6.06 6.15 6.21 5.83 5.53 5.21 5.18 5.35 5.53 5.43 5.59 5.59 5.64 5.66 5.67 5.69 6.04 6.40 6.13 5.69 5.77 5.81 5.66 5.70 5.91 6.26 6.46 * Use the ARIMA command to inspect the time series properties. ARIMA TBILL / NLAGP=6 PACF=PACREC PLOTAC PLOTPAC * Now compute the partial autocorrelation function by an exact method * and compare the results with the computational method employed by the * ARIMA command. DIM PACOLS 6 BETA 5 PACDOLS 6 DO #=1,6 * Use ? to request no listing of the OLS results ?OLS TBILL TBILL(1.#) / COEF=BETA GEN1 PACOLS:#=BETA:# ENDO * * Now analyze the first differences ARIMA TBILL / NLAGP=6 PACF=PACDREC NDIFF=1 PLOTAC PLOTPAC SAMPLE 2 462 GENR TBILLD=TBILL-LAG(TBILL) DO #=1,6 ?OLS TBILLD TBILLD(1.#) / COEF=BETA GEN1 PACDOLS:#=BETA:# ENDO * Compare the results for the calculations of the PACF. SAMPLE 1 6 PRINT PACOLS PACREC PACDOLS PACDREC STOP