* Curve Estimation. TSET NEWVAR=NONE. CURVEFIT /VARIABLES=Interest rate WIT! "ar#et Borro$in%s /CONSTANT /"O&EL=LINEAR /'LOT FIT.

Curve Fit

Notes Output Created Comments Active Dataset !i"ter Input %ei&'t p"it !i"e ( o) *o+s in %or,in& Data !i"e 0ser-de)ined missin& De)inition o) -issin& -issin& .a"ue /and"in& Cases 0sed va"ues are treated as missin&1 Cases +it' a missin& va"ue in an2 varia3"e are not used in t'e ana"2sis1 C0*.E!I5 6.A*IA78E 9Interest:rate 2nta4 %I5/ -ar,et:7orro+in&s 6CO( 5A(5 6-ODE898I(EA* 6;8O5 !I51 *esources 0se ;rocessor 5ime E"apsed 5ime !rom 5o 00:00:00114 00:00:0011< !irst o3servation 8ast o3servation Data et0 #none$ #none$ #none$ 22 09-DEC-2013 14:55:38

;redict

!rom 5o Amount o) Output avin& (e+ .aria3"es -a4imum (um3er o) 8a&s in Autocorre"ation or ;artia" Autocorre"ation ;"ots -a4imum (um3er o) 8a&s ;er Cross-Corre"ation ;"ots Notes

!irst O3servation )o""o+in& t'e use period 8ast o3servation ;*I(5 9 DE!A085 (E%.A* 9 (O(E

5ime eries ettin&s =5 E5>

-?A05O 9 1@

-?C*O

9<

5ime eries ettin&s =5 E5>

-a4imum (um3er o) (e+ .aria3"es Aenerated ;er ;rocedure -a4imum (um3er o) (e+ Cases ;er ;rocedure 5reatment o) 0ser--issin& .a"ues Con)idence Interva" ;ercenta&e .a"ue 5o"erance )or Enterin& .aria3"es in *e&ression EBuations -a4imum Iterative ;arameter C'an&e -et'od o) Ca"cu"atin& td1 Errors )or Autocorre"ations 8en&t' o) easona" ;eriod .aria3"e %'ose .a"ues 8a3e" O3servations in ;"ots EBuations Inc"ude CO( 5A(5 0nspeci)ied C(.E*AE 9 1001 5O8E* 9 10001 -?;*EDIC5 9 1000 -?(E%.A* 9 @0

-I

I(A 9 E?C80DE

CI( 9 95

AC! E 9 I(D 0nspeci)ied

(&ataSet)*

Model Description -ode" (ame Dependent .aria3"e EBuation Independent .aria3"e Constant .aria3"e %'ose .a"ues 8a3e" O3servations in ;"ots 1 1 -OD:5 Interest:rate 8inear -ar,et:7orro+in&s Inc"uded 0nspeci)ied

Case Processing Summary ( 5ota" Cases E4c"uded Cases

a

22 0 0 0

!orecasted Cases (e+"2 Created Cases a1 Cases +it' a missin& va"ue in an2 varia3"e are e4c"uded )rom t'e ana"2sis1

Variable Processing Summary .aria3"es Dependent Interest:rate Independent -ar,et:7orro +in&s (um3er o) ;ositive .a"ues (um3er o) Ceros (um3er o) (e&ative .a"ues (um3er o) -issin& .a"ues 0ser--issin& 2stem--issin& 22 0 0 0 0 22 0 0 0 0

Model Summary and Parameter Estimates Dependent .aria3"e: Interest:rate

EBuatio n * Buare 8inear 131< !

-ode" ummar2 d)1 d)2 i&1

;arameter Estimates Constan t 31

912<5

20

100@

111201

-11221E-005

5'e independent varia3"e is -ar,et:7orro+in&s1

* Curve Estimation. TSET NEWVAR=NONE. CURVEFIT /VARIABLES='rivate Invst WIT! "ar#et Borro$in%s /CONSTANT /"O&EL=LINEAR /'LOT FIT.

Curve Fit

Notes Output Created Comments Active Dataset !i"ter Input %ei&'t p"it !i"e ( o) *o+s in %or,in& Data !i"e 0ser-de)ined missin& De)inition o) -issin& -issin& .a"ue /and"in& Cases 0sed va"ues are treated as missin&1 Cases +it' a missin& va"ue in an2 varia3"e are not used in t'e ana"2sis1 C0*.E!I5 6.A*IA78E 9;rivate:Invs 2nta4 t %I5/ -ar,et:7orro+in&s 6CO( 5A(5 6-ODE898I(EA* 6;8O5 !I51 *esources 0se ;rocessor 5ime E"apsed 5ime !rom 5o !rom 5o 5ime eries ettin&s =5 E5> Amount o) Output avin& (e+ .aria3"es 00:00:00119 00:00:0011< !irst o3servation 8ast o3servation !irst O3servation )o""o+in& t'e use period 8ast o3servation ;*I(5 9 DE!A085 (E%.A* 9 (O(E Data et0 #none$ #none$ #none$ 22 09-DEC-2013 14:5@:19

;redict

-a4imum (um3er o) 8a&s in Autocorre"ation or ;artia" Autocorre"ation ;"ots -a4imum (um3er o) 8a&s ;er Cross-Corre"ation ;"ots Notes 5ime eries ettin&s =5 E5> -a4imum (um3er o) (e+ .aria3"es Aenerated ;er ;rocedure -a4imum (um3er o) (e+ Cases ;er ;rocedure 5reatment o) 0ser--issin& .a"ues Con)idence Interva" ;ercenta&e .a"ue 5o"erance )or Enterin& .aria3"es in *e&ression EBuations -a4imum Iterative ;arameter C'an&e -et'od o) Ca"cu"atin& td1 Errors )or Autocorre"ations 8en&t' o) easona" ;eriod .aria3"e %'ose .a"ues 8a3e" O3servations in ;"ots EBuations Inc"ude CO( 5A(5 0nspeci)ied C(.E*AE 9 1001 5O8E* 9 10001 -?;*EDIC5 9 1000 -?(E%.A* 9 @0 -?C*O 9< -?A05O 9 1@

-I

I(A 9 E?C80DE

CI( 9 95

AC! E 9 I(D 0nspeci)ied

(&ataSet)*

Model Description -ode" (ame Dependent .aria3"e 1 -OD:@ ;rivate:Invst

EBuation Independent .aria3"e Constant

8inear -ar,et:7orro+in&s Inc"uded 0nspeci)ied

.aria3"e %'ose .a"ues 8a3e" O3servations in ;"ots

Case Processing Summary ( 5ota" Cases E4c"uded Cases

a

22 0 0 0

!orecasted Cases (e+"2 Created Cases a1 Cases +it' a missin& va"ue in an2 varia3"e are e4c"uded )rom t'e ana"2sis1

Variable Processing Summary .aria3"es Dependent ;rivate:Invs t (um3er o) ;ositive .a"ues (um3er o) Ceros (um3er o) (e&ative .a"ues (um3er o) -issin& .a"ues 0ser--issin& 2stem--issin& 22 0 0 0 0 Independent -ar,et:7orro +in&s 22 0 0 0 0

Model Summary and Parameter Estimates Dependent .aria3"e: ;rivate:Invst EBuatio n * Buare 8inear 18@9 132154< 1 20 1000 1882431@5@ <13@5 ! -ode" ummar2 d)1 d)2 i&1 ;arameter Estimates Constant 31

5'e independent varia3"e is -ar,et:7orro+in&s1