TIME 1961 4
SAMPLE 1961.1 1996.3
* Read the CANSIM data 
READ (RATES.txt) DATE PDEFL RATE

* Compute an inflation rate
GENR PDEFL=PDEFL/100
GENR INFL=LOG(PDEFL) - LOG(LAG(PDEFL))

* Compute a weighted moving average of past inflation rates
GENR INFL4=0.2*LAG(INFL) + 0.3*LAG(INFL,2) + 0.3*LAG(INFL,3) + 0.2*LAG(INFL,4)

* Because of the lags, there are 5 undefined observations at the 
* beginning of the sample.
* Adjust the sample period to exclude the undefined observations.
SAMPLE 1962.2 1996.3
* Generate a time trend
GENR TREND=TIME(0)
* Get an expected inflation rate as the predicted values 
* from an OLS regression.
OLS INFL INFL4 TREND / PREDICT=EINFL

* Compute a real interest rate.
* The factor of 400 is needed to convert quarterly rates to 
* annual percentage rates.
GENR RR = RATE - 400*EINFL

* Write the results to a data file.
SAMPLE 1963.1 1996.3
FORMAT(F10.1,2F8.2)
WRITE (RR.txt) DATE RATE RR / FORMAT
STOP