'open workfile
wfopen .\smlocalirfs_data.wf1

'macroeconomic variables
%yvar = "yg"
%xvar = "ir"
%zvar = "pi"

'draw figure-1
group vars.add {%yvar} {%xvar} {%zvar}
freeze(mode=overwrite,figure1) vars.line
figure1.legend columns(3)
figure1.setelem(1) legend(GDP growth)
figure1.setelem(2) legend(Interest rate)
figure1.setelem(3) legend(Inflation rate)

'input variables
!lags = 4 'number of lags
!Hmax = 20 'horizon of impulse-response
!lambda = 100 'penalty parameter
!alpha = 0.05 'significance

'control variables
group controls.add {%yvar} {%zvar} {%yvar}(-1to-!lags ) {%xvar}(-1to-!lags ) {%zvar}(-1to-!lags )

'sample period
%sample = "1960q1 2007q2"

smpl {%sample}

'run the add-in (regular LP)
smlocalirfs(yvar={%yvar},xvar={%xvar},zvar=controls,lag=!lags,Hmax=!Hmax,type=1,alpha=!alpha,smpl={%sample},nocont)

'run the add-in (smoothed LP)
smlocalirfs(yvar={%yvar},xvar={%xvar},zvar=controls,lag=!lags,Hmax=!Hmax,type=2,r=2,lambda=!lambda,alpha=!alpha,smpl={%sample},nocont)

'run the add-in (cross validation for the optimal lambda value and confidence interval)
vector lambdas = @fill(1,10,50,100,250,500,1000,5000,10000)
smlocalirfs(yvar={%yvar},xvar={%xvar},zvar=controls,lag=!lags,Hmax=!Hmax,type=2,r=2,lambdavec=lambdas,alpha=!alpha,smpl={%sample},nocont,confint)

'draw Figure 3
matrix impreps = @hcat(imprep,imprep01)
freeze(mode=overwrite,figure3) impreps.line
figure3.setelem(1) legend(Regular LP)
figure3.setelem(2) legend(Smooth LP)

'draw Figure 4
matrix impreps2 = @hcat(imprep02,imprep_confint)
freeze(mode=overwrite,figure4) impreps2.line
figure4.legend columns(3)
figure4.setelem(1) legend(Base)
figure4.setelem(2) legend(Lower band)
figure4.setelem(3) legend(Upper band)
figure4.options linepat
figure4.setelem(2) linecolor(@rgb(213,0,50))
figure4.setelem(3) linepattern(DASH1) linecolor(@rgb(213,0,50))