library(dyn)
data1 = read.table("d:\\FSU-school\\statapp2\\project\\4-17\\data10.txt", header=TRUE)
data2 = read.table("d:\\FSU-school\\statapp2\\project\\4-17\\data6.txt", header=TRUE)
data2
attach(data2)

data1_ts = ts(data1, start=c(2006, 4), frequency=260)
data1_ts
data2_ts = ts(data2$EDM3, start=c(2006, 4), frequency=260)
data3_ts = ts(data2$TCMNOMM3, start=c(2006, 4), frequency=260)

par(mfrow=c(2,2))
plot.ts(data1_ts, ylab="30 Year T-rate", main="Mar 06-Apr 08", col="red")
plot.ts(data2_ts, ylab="3 month LIBOR", main="Mar 06-Apr 08", col="red")
plot.ts(data3_ts, ylab="3 month T-rate", main="Mar 06-Apr 08", col="red")

data = data.frame(data1_ts, data2_ts, data3_ts, lag(data3_ts,-1))

cor(data)

fit1 = dyn$lm(data2_ts~lag(data3_ts,-1))
summary(fit1)

x = .015
y = sum(x*fit1$coef)
y
z = qt(0.975,260)
bm = sqrt(x)*z*0.3568/258
c(y-bm, y+bm)

par(mfrow=c(2,1))
plot(fit1$fitted.values, )
plot.ts(data2_ts)

par(mfrow=c(2,2))
plot(fit1)