'open data
wfopen .\coincident_data.wf1
'draw Figure-1
freeze(mode=overwrite,figure1) grdata.line

'estimation of alternative lag specifications
grdata.coincident(transform=1,benchmark=1,flag=1,elag=1,output,noref) 'AR(1)
grdata.coincident(transform=1,benchmark=1,flag=2,elag=2,output,noref) 'AR(2)
grdata.coincident(transform=1,benchmark=1,flag=3,elag=3,output,optmethod=”legacy”,noref) 'AR(3) requires different optimization method
'grdata.coincident(transform=1,benchmark=1,flag=0,elag=0,output,noref) 'Random walk does not converge properly

'draw Figure-3
group grcindex.add cindex cindex01 cindex02 'group the estimated coincident indices
freeze(mode=overwrite,figure3) grcindex.line
figure3.legend columns(3)
figure3.setelem(1) legend(AR(1) (right scale))
figure3.setelem(2) legend(AR(2))
figure3.setelem(3) legend(AR(3))
figure3.axis overlap
figure3.setelem(1) axis(r)
figure3.axis(l) range(-15,25)
figure3.axis(r) range(-1.5,2.5)


'estimation of coincident index with reference series (i.e. GDP deflator)
grdata2.coincident(transform=1,benchmark=2,flag=1,elag=1,output,optmethod=”legacy”,sample="2015m03 2025m03") 

'draw Figure-4
output03.extract(results) estimation_results 'extract estimation results
ttom(results,parameters) 'convert table to matrix output
series cindex_deflator = parameters(1,1) + parameters(5,1)*(cindex03 + cindex03(-1) + cindex03(-2))/3 'estimated factor for deflator
series mean_expectation = @rmean(grdata) 'average of expectations
group grcompare1.add gdp_deflator cindex_deflator mean_expectation 'group the series of interest
freeze(mode=overwrite,figure4) grcompare1.line(wf)