open dj2007.gdt
genr infl = 100*(log(cpiaucsl)-log(cpiaucsl(-4)))
genr pvprof = 100*cpatax/tcm10y

logs pvprof sp14
genr ld_cprof = l_pvprof - l_pvprof(-1)
genr ld_dj = l_sp14 - l_sp14(-1)
genr djgap = l_pvprof - l_sp14
genr djgap_1 = djgap(-1)
ECM <- ols ld_dj const ld_cprof djgap_1
genr SSRr = $ess
genr djresid = $uhat
RPLOT <- gnuplot djresid time --with-lines

prop = exp($coeff(const)/$coeff(djgap_1))
print prop
genr equil = prop * pvprof

# genr equil = prop + log(pvprof)
# genr logdj = log(sp14)

EPLOT <- gnuplot sp14 equil time --with-lines
# EPLOT <- gnuplot logdj equil time --with-lines
ols l_sp14 const l_pvprof l_pvprof(-1) l_sp14(-1)
genr SSRu = $ess
genr dfu = $df
genr Ftest = (SSRr-SSRu)/(SSRu/dfu)
pvalue F 1 dfu Ftest