On Wed, 4 Mar 2009, Stephen Motluk wrote: Here's an example. <script> open data9-7 list XL = 0 PRICE INCOME PRIME matrix X = { XL } # get PWE estimates ar1 QNC XL --pwe # save various things uh1 = $uhat yh1 = $yhat scalar r = $rho matrix b = $coeff # series for manual computations series uh2 series yh2 # PWE special for first obs scalar pw1 = sqrt(1.0 - r * r) scalar T = $T scalar et loop i=1..T --quiet if (i == 1) et = pw1 * (QNC[i] - X[i,] * b) else et = QNC[i] - r * QNC[i-1] et -= (X[i,] - r * X[i-1,]) * b endif uh2[i] = et; yh2[i] = QNC[i] - et; endloop # compare automatic and manual values print QNC yh1 yh2 uh1 uh2 --byobs </script> Allin Cottrell