library("smoother")
library("plot")
setsize(640,480)
; data preparation
lynx = read("lynx.dat")
lynxrows = rows(lynx)
lag1 = lynx[1:lynxrows-1] ; vector of first lag
y = lynx[2:lynxrows] ; vector of dep. var.
data = lag1~y
data = log(data)
; estimation
h = 0.2*(max(data[,1])-min(data[,1])) ; crude bandwidth choice
"Bandwidth used" h
mh = regxest(data,h) ; N-W estimation
; graphics
mh = setmask(mh,"line","blue")
xy = setmask(data,"cross","small")
plot(xy,mh)
setgopt(plotdisplay,1,1,"title","Estimated NAR(1) mean function","xlabel","First Lag","ylabel","Lynx")