###
### Example 5: extrapolation using artificial data, 
### y and X are both matrices
### (data case 1 in section 9.3 of the Gretl User's Guide)
###

set verbose off
set seed 3720
clear

nulldata 200
setobs 1 1 --special-time-series

N = $nobs
s = 14 # "uncommon" periodicity
T = floor(N/s)
m = N - T*s
printf "T = %d, s = %d, m = %d\n", T, s, m

# generate unobservable high-freq y as a persistent AR(1) process
matrix true_y = filter(mnormal(N, 1) * 0.36, 1, 0.95)
# generate observable x as y + noise
matrix x = true_y + mnormal(N, 1)
# generate observable y as 30-period average
matrix tmp = mshape(true_y[1:T*s], s, T)
matrix y = meanc(tmp)'

# plot disaggregated series with extrapolation vertical band

series yhat = tdisagg(y, x, s, _(aggtype="sum", verbose=1, plot=1))