library pgraph;

load y[167,1]=a:\lpgnp.txt; 
dy=y[2:167]-y[1:166]; @calculate first differences@
mu=meanc(dy); @unconditional mean@
B_t=dy[1:166]-mu~
	(0|dy[1:165]-mu)~
	(0|0|dy[1:164]-mu)~
	(0|0|0|dy[1:163]-mu)~
	(0|0|0|0|dy[1:162]-mu)~
	(0|0|0|0|0|dy[1:161]-mu)~
	(0|0|0|0|0|0|dy[1:160]-mu)~
	(0|0|0|0|0|0|0|dy[1:159]-mu)~
	(0|0|0|0|0|0|0|0|dy[1:158]-mu)~
	(0|0|0|0|0|0|0|0|0|dy[1:157]-mu)~
	(0|0|0|0|0|0|0|0|0|0|dy[1:156]-mu)~
	(0|0|0|0|0|0|0|0|0|0|0|dy[1:155]-mu);


@Calculate BN for AR(12)@
phi1=0.254412;
phi2=0.169027;
phi3=-0.003905;
phi4=0.011861;
phi5=-0.169271;
phi6=0.126703;
phi7=-0.109377;
phi8=-0.130239;
phi9=0.011780;
phi10=0.092026;
phi11=0.020486;
phi12=-0.193578;

F=phi1~phi2~phi3~phi4~phi5~phi6~phi7~phi8~phi9~phi10~phi11~phi12|
	eye(11)~zeros(11,1); @companion matrix for AR(12)@

c_tt=(-F*inv(eye(12)-F)*B_t')'; @BN cycle@

output file=a:\bncycle12.dta reset;
c_tt[.,1];
output off;

END;