/* This program is intended to demonstrate the effects of a pulse change in x(t)
on the quality spread regression (quarterly data). The model we will
examine is the ARDL model Pip(t) = 0.005595 + 0.33Pip(t-1) - 0.0243spdiff(t)
- 0.0185spdiff(t-1). */
/* Here we examine the effect of keeping x(t) (here spdiff(t)) at zero for t = -20, -10,
... -1 and then at time t = 0 make x(t) = 1 and then x(t) = 0 again thereafter (i.e. a temporary
change in xt). This will help us plot the lagged effects on the quality spread equation. */
Options Nodate;
data dynamic;
yt=0;
yt1=0.008;
xt=0;
xt1=0;
xt2=0;
do t = -20 to 20;
if t = 0 then xt = 1;
if t = 1 then xt = 0;
if t = 2 then xt1 = 0;
yt = 0.005595 - 0.0243*xt - 0.0185*xt1 + 0.33*yt1;
output;
yt1=yt;
xt2=xt1;
xt1=xt;
end;
run;
title 'Pulse change in spdiff(t) at time t = 0';
proc plot data=dynamic;
plot xt*t;
run;
title1 'Effect of Pulse Change in spdiff(t) on Pip(t):';
title2 'Pip(t) = 0.005595 + 0.33Pip(t-1) - 0.0243spdiff(t) - 0.01855spdiff(t-1)';
proc plot data=dynamic;
plot yt*t;
run;
proc print data=dynamic;
run;