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log: /Volumes/ecxs2/users/baum/CompustatCompann/Faulkender_macro.smcl
log type: smcl
opened on: 7 Jul 2008, 08:32:49
. // Faulkender_macro: assemble data for Faulkender
.
. // DRI: detrended index of leading indicators (monthly), 1959-2006
. insheet using dlead.raw,clear
(4 vars, 583 obs)
. g ym = ym(year,mon)
. format ym %tm
. rename mdata dlead
. drop scode mon
. tsset ym
time variable: ym, 1959m1 to 2007m7
delta: 1 month
. reg dlead ym
Source | SS df MS Number of obs = 583
-------------+------------------------------ F( 1, 581) = 5411.49
Model | 382914.941 1 382914.941 Prob > F = 0.0000
Residual | 41111.3413 581 70.7596237 R-squared = 0.9030
-------------+------------------------------ Adj R-squared = 0.9029
Total | 424026.282 582 728.567496 Root MSE = 8.4119
------------------------------------------------------------------------------
dlead | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ym | .1522788 .0020701 73.56 0.000 .1482132 .1563445
_cons | 35.85674 .6744843 53.16 0.000 34.53201 37.18146
------------------------------------------------------------------------------
. predict double dleaddt,resid
. su
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
year | 583 1982.794 14.0382 1959 2007
dlead | 583 78.34254 26.99199 41.3 138.6
ym | 583 279 168.4419 -12 570
dleaddt | 583 7.46e-15 8.404644 -18.22431 18.68534
. saveold dlead59,replace
file dlead59.dta saved
. tscollap dlead, to(y)
Converting from M to Y
time variable: y_y, 1959 to 2006
delta: 1 year
. keep if tin(1962,)
(3 observations deleted)
. rename y_y year
. tsset year
time variable: year, 1962 to 2006
delta: 1 year
. l
+-----------------+
| dlead year |
|-----------------|
1. | 46.59167 1962 |
2. | 49.15833 1963 |
3. | 51.95833 1964 |
4. | 54.625 1965 |
5. | 55.45833 1966 |
|-----------------|
6. | 55.54167 1967 |
7. | 58.1 1968 |
8. | 58.15833 1969 |
9. | 54.54167 1970 |
10. | 58.18333 1971 |
|-----------------|
11. | 63.44167 1972 |
12. | 64.875 1973 |
13. | 58.24167 1974 |
14. | 56 1975 |
15. | 62.425 1976 |
|-----------------|
16. | 66.35833 1977 |
17. | 67.66666 1978 |
18. | 65.84167 1979 |
19. | 62.125 1980 |
20. | 60.65833 1981 |
|-----------------|
21. | 59.43333 1982 |
22. | 66.35 1983 |
23. | 70.30833 1984 |
24. | 73.54166 1985 |
25. | 77.23333 1986 |
|-----------------|
26. | 80.525 1987 |
27. | 82.85 1988 |
28. | 82.40833 1989 |
29. | 80.975 1990 |
30. | 81.41666 1991 |
|-----------------|
31. | 85.81667 1992 |
32. | 90.41666 1993 |
33. | 95.30833 1994 |
34. | 97.18333 1995 |
35. | 100 1996 |
|-----------------|
36. | 105.3083 1997 |
37. | 108.9417 1998 |
38. | 112.85 1999 |
39. | 114.825 2000 |
40. | 112.825 2001 |
|-----------------|
41. | 118.4 2002 |
42. | 124.05 2003 |
43. | 132.825 2004 |
44. | 136.175 2005 |
45. | 137.8583 2006 |
+-----------------+
. saveold dlead_ann62, replace
file dlead_ann62.dta saved
.
. // 3-month TB rate, CPI from FRED
. freduse TB3MS CPIAUCSL,clear
(893 observations read)
(737 observations read)
. g ym = mofd(daten)
. format ym %tm
. tsset ym
time variable: ym, 1934m1 to 2008m5
delta: 1 month
. keep if tin(1962m1,2006m12)
(353 observations deleted)
. g lcpi = log(CPIAUCSL)
. g infl = D.lcpi
(1 missing value generated)
. su
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
date | 0
CPIAUCSL | 540 102.877 55.7633 30 203.8
daten | 540 8933.081 4749.137 731 17136
TB3MS | 540 5.67413 2.736413 .88 16.3
ym | 540 293.5 156.0288 24 563
-------------+--------------------------------------------------------
lcpi | 540 4.451084 .640707 3.401197 5.317139
infl | 539 .0035501 .0030671 -.0054841 .0179377
. saveold infl62, replace
file infl62.dta saved
. tscollap TB3MS CPIAUCSL, to(y)
Converting from M to Y
time variable: y_y, 1962 to 2006
delta: 1 year
. keep if tin(1962,)
(0 observations deleted)
. rename y_y year
. tsset year
time variable: year, 1962 to 2006
delta: 1 year
. l
+------------------------------+
| TB3MS CPIAUCSL year |
|------------------------------|
1. | 2.7733333 30.25 1962 |
2. | 3.1591667 30.641667 1963 |
3. | 3.5466667 31.041667 1964 |
4. | 3.9491667 31.55 1965 |
5. | 4.8625 32.5 1966 |
|------------------------------|
6. | 4.3066667 33.375 1967 |
7. | 5.3383333 34.791667 1968 |
8. | 6.6666667 36.683333 1969 |
9. | 6.3916667 38.841667 1970 |
10. | 4.3325 40.483333 1971 |
|------------------------------|
11. | 4.0725 41.808333 1972 |
12. | 7.0316667 44.425 1973 |
13. | 7.83 49.316667 1974 |
14. | 5.775 53.825 1975 |
15. | 4.9741667 56.933333 1976 |
|------------------------------|
16. | 5.2691667 60.616667 1977 |
17. | 7.1883333 65.241667 1978 |
18. | 10.069167 72.583333 1979 |
19. | 11.434167 82.383333 1980 |
20. | 14.025 90.933333 1981 |
|------------------------------|
21. | 10.614167 96.533333 1982 |
22. | 8.6108333 99.583333 1983 |
23. | 9.5225 103.93333 1984 |
24. | 7.4791667 107.6 1985 |
25. | 5.9783333 109.69167 1986 |
|------------------------------|
26. | 5.775 113.61667 1987 |
27. | 6.6675 118.275 1988 |
28. | 8.1116667 123.94167 1989 |
29. | 7.4933333 130.65833 1990 |
30. | 5.375 136.16667 1991 |
|------------------------------|
31. | 3.4316667 140.30833 1992 |
32. | 2.9975 144.475 1993 |
33. | 4.2466667 148.225 1994 |
34. | 5.49 152.38333 1995 |
35. | 5.0058333 156.85833 1996 |
|------------------------------|
36. | 5.0608333 160.525 1997 |
37. | 4.7766667 163.00833 1998 |
38. | 4.6383333 166.58333 1999 |
39. | 5.8166667 172.19167 2000 |
40. | 3.3883333 177.04167 2001 |
|------------------------------|
41. | 1.6041667 179.86667 2002 |
42. | 1.0108333 184 2003 |
43. | 1.3716667 188.90833 2004 |
44. | 3.1466667 195.28333 2005 |
45. | 4.7266667 201.58333 2006 |
+------------------------------+
. saveold tb3_ann62, replace
file tb3_ann62.dta saved
. merge year using dlead_ann62, unique
. tab _merge
_merge | Freq. Percent Cum.
------------+-----------------------------------
3 | 45 100.00 100.00
------------+-----------------------------------
Total | 45 100.00
. drop _merge
. saveold Faulkender_macro,replace
file Faulkender_macro.dta saved
.
. log close
log: /Volumes/ecxs2/users/baum/CompustatCompann/Faulkender_macro.smcl
log type: smcl
closed on: 7 Jul 2008, 08:32:50
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