global path "C:\Users\renzo\Desktop\renzo\SUNASS\DPN\Noviembre\filtro de kallman\Data"

use "$path\dataframe", clear

tostring NUANIO, gen(year)

tostring NUMMES, gen(mes)
gen largo = length(mes)
replace mes = "0"+mes if largo==1

egen aux = concat(year mes) , punct(-)

generate time = monthly(aux, "YM")

sort time
format time %tm
tsset time

gen y=ln(VOLFAC)
tsline y 

***  Especificacion solo Ciclo


constraint 1 [u2]L.u1=1
constraint 2 [y]u1=1

 sspace  (u1 L.u1 L.u2,state  noconst)     ///
		(u2 L.u1, state noerror noconst)    ///
		(y u1 ),                              ///
		covstate(unstructured) constraints(1/2) vce(robust) nolog

		
	** Especificación Utilizada
	***  Especificacion  Ciclo y tendencia

		
constraint 1 [u3]L.u2=1
constraint 2 [y]u1=1
constraint 3 [y]u2=1


 sspace (u1 L.u1 , state  noconst)     						///
		(u2 L.u2 L.u3,state  noconst)     					///
		(u3 L.u2, state noerror noconst)    				///
		(y u1 u2,  ),                              			///
		covstate(diagonal) constraints(1/3) vce(robust) 

		
		
		****
		
tsappend, add(12)


predict resy,resid
tsline resy if e(sample)


predict f_y, dynamic(tm(2020m12)) rmse(rmse_f_y)

predict f_y_smoth ,  smethod(smooth) 

predict u_f , state smethod(filter) 

 tsline y  f_y_smoth if e(sample)
 
  tsline y f_y f_y_smoth  , tline(2020m12)

 
 tsline y f_y   , tline(2020m12)


. predict trend if e(sample), states smethod(smooth) equation(u1)
. predict trend2 if e(sample), states smethod(smooth) equation(u2)


. tsline y f_y trend , tline(2020m12)
 
 **drop upmse dnmse
 
 
 
** e(sample)

*** Winki clases **

constraint 1 [u1]L.u1=2
constraint 2 [u1]L.u2=-1
constraint 3 [u2]L.u1=1
constraint 4 [u4]L.u3=1
constraint 5 [y]u1=1
constraint 6 [y]u3=1

 sspace (u1 L.u1 L.u2   , state noconst)      ///
		(u2 L.u1        , state noerror noconst)   ///
		(u3 L.u3 L.u4   , state  noconst) 		///
		(u4 L.u3        , state noerror noconst)   ///
		(y u1 u3, noconst),                ///
		covstate(unstructured) constraints(1/6) vce(robust)  

*******


*** Winki clases **

constraint 1 [u1]L.u1=2
constraint 2 [u1]L.u2=-1
constraint 3 [u2]L.u1=1
constraint 4 [u4]L.u3=1
constraint 5 [y]u1=1
constraint 6 [y]u3=1

 sspace (u1 L.u1 L.u2   , state noconst)      ///
		(u2 L.u1        , state noerror noconst)   ///
		(u3 L.u3 L.u4   , state  noconst) 		///
		(u4 L.u3        , state noerror noconst)   ///
		(y u1 u3, noconst),                ///
		covstate(diagonal) constraints(1/6) 
		
		
		
** Book ***
constraint 1 [u2]L.u2=-1
constraint 2 [u2]L.u3=-1
constraint 3 [u2]L.u4=-1
constraint 4 [u3]L.u2=1
constraint 5 [u4]L.u3=1
constraint 6 [y]u1=1
constraint 7 [y]u2=1

 sspace (u1 L.u1,state noconst) (u2 L.u2 L.u3 L.u4,state noconstant) (u3 L.u2,state noerror noconst) (u4 L.u3, state noerror noconst) (y u1 u2, noconst),covstate(diagonal) constraints(1/7)

tsappend, add(12)

sspace (u1 L.u1,state noconst) (u2 L.u2 L.u3 L.u4,state noconstant) (u3 L.u2,state noerror noconst) (u4 L.u3,state noerror noconst) (y u1 u2,noconst),covstate(diagonal) constraints(1/7) vce(robust)




********************************************************************************************************************************************
*  Tendencia mas estacionalidad
********************************************************************************************************************************************
constraint 1 [u2]L.u2=-1
constraint 2 [u2]L.u3=-1
constraint 3 [u2]L.u4=-1
constraint 4 [u2]L.u5=-1
constraint 5 [u2]L.u6=-1
constraint 6 [u2]L.u7=-1
constraint 7 [u2]L.u8=-1
constraint 8 [u2]L.u9=-1
constraint 9 [u2]L.u10=-1
constraint 10 [u2]L.u11=-1
constraint 11 [u2]L.u12=-1

constraint 12 [u3]L.u2=1
constraint 13 [u4]L.u3=1
constraint 14 [u5]L.u4=1
constraint 15 [u4]L.u5=1
constraint 16 [u4]L.u6=1
constraint 17 [u4]L.u7=1
constraint 18 [u4]L.u8=1
constraint 19 [u4]L.u9=1
constraint 20 [u4]L.u10=1
constraint 21 [u4]L.u11=1

constraint 22 [y]u1=1
constraint 23 [y]u2=1


 sspace (u1 L.u1,state noconst)    ///
 (u2 L.u2 L.u3 L.u4 L.u5 L.u6 L.u7 L.u8 L.u9 L.u10 L.u11 L.u12,state noconstant)   ///
 (u3 L.u2,state noerror noconst) 					///
 (u4 L.u3, state noerror noconst) 					///
 (u5 L.u4, state noerror noconst)  				///
 (u6 L.u5, state noerror noconst)  				///
 (u7 L.u6, state noerror noconst)  				///
 (u8 L.u7, state noerror noconst) 			 ///
 (u9 L.u8, state noerror noconst) 			///
 (u10 L.u9, state noerror noconst)			 ///
 (u11 L.u10, state noerror noconst) 			 ///
 (u12 L.u11, state noerror noconst)  			///
 (y u1 u2 u3 u4 u5 u6 u7 u8 u9 u10 u11 u12 , noconst), covstate(diagonal) constraints(1/23)