macro
autoreg y x.1-x.p
mconstant p ny i rho k se rhomin kmin
mcolumn x.1-x.p y yl Yp xl.1-xl.p Xp.1-Xp.p sse crho
let ny=n(y)
let kmin=1
brief 0
do i=1:19
  let rho=i/20
  let crho(i)=rho
  let yl=y-rho*lag(y)
  do k=1:p
    let xl.k=x.k-rho*lag(x.k) 
  enddo
  regr yl p xl.1-xl.p;
  mse se.
  let sse(i)=se*(ny-p-2)
enddo
plot sse*crho;
  symbol;
  Axis 1;
  label "Rho";
  Axis 2;
  label "SSE".
brief 2
let kmin=sum(((sse-lag(sse)) lt 0))+1
let rhomin=crho(kmin)
print rhomin
let Yp=y-rhomin*lag(y)
do k=1:p
  let Xp.k=x.k-rhomin*lag(x.k)
enddo
note   
note This is the regression of Y(t)' on X(t)'
regr Yp p Xp.1-Xp.p
endmacro