-- load the data into sca. Name the data ir1 & ir3. input ir1,ir3. file 'm-gs1n3.dat' -- take log transformation. Call the transformed series r1t & r3t. r1t=ln(ir1) r3t=ln(ir3) -- identify VAR model via M-stat & AIC miden r1t,r3t. no ccm. arfits 1 to 8. -- specify a VARMA(2,1) model. Name the model m1. -- Denote the coef-mtx by p1, p2, and t1. mtsmodel m1. series r1t,r3t. @ model (i-p1*b-p2*b**2)series=p0+(i-t1*b)noise. -- estimation mestim m1. method exact. hold resi(res1,res2) -- put zero parameter constraints p1(2,1)=0 cp1(2,1)=1 p2(2,1)=0 cp2(2,1)=1 p2(2,2)=0 cp2(2,2)=1 t1(2,1)=0 ct1(2,1)=1 -- redo estimation mestim m1. method exact. hold resi(res1,res3). -- check residuals cross-correlation matrices miden res1,res3. stop