Replicating Econbrowser's replication of CEA analysis

There was an interesting post on Econbrowser where the impact of the fiscal stimulus done by the CEA was replicated.

options nocenter;
filename gdp 'C:\ReplicateCEA\GDPC1.txt';
/* File downloaded from FRED St. Louis */
data GDP;
infile gdp firstobs = 14;
/* Read two variables: date and GDP */
input date value;
informat date yymmdd10.;
format date yymmdd10.;
lngdp = log(value);
y=lngdp;
/* Calculate the first difference of y */
diffy = dif(y);
run;

data gdp4q;
set GDP end=last;
output;
if last then do;
date = '01Oct2009'd;
value = value * 1.04;
lngdp = log(value);
y=lngdp;
output;
end;
run;

data gdp4q;
set gdp4q;
dateq = put(date,yyq6.);
run;

filename nfp 'C:SVAR\ReplicateCEA\PAYEMS.txt';
/* File downloaded from FRED St. Louis */
data NFP;
infile nfp firstobs = 16;
/* Read two variables: date and GDP */
input date value;
informat date yymmdd10.;
format date yymmdd10.;
lnnfp = log(value);
e=lnnfp;
/* Calculate the first difference of y */
diffnfp = dif(e);
dateq = put(date,yyq6.);
run;

data nfp2;
set nfp; by dateq date;

if last.dateq then output;
run;

data gdp_nfp(drop = ln: diff:);
merge gdp4q(in=a rename = (value = gdp)) nfp2(in=b rename = (value = nfp));

by dateq;
if a and b;
run;

proc print data = gdp_nfp noobs;
where year(date)>=2007;
run;

ods output ParameterEstimates=pe;
proc varmax data = gdp_nfp;
where 1990<=year(date)<=2007;
id date interval = qtr;
model y e /p=4 ;
output lead=12 out = for;
run;

proc transpose data = pe out = pe_ty;
where equation = 'y';
var estimate;
id parameter;
run;

data pe_ty;
set pe_ty(rename = (const1 = intercept) drop = _name_);
_type_ = 'PARMS';
_model_ = 'Baseline';
_depvar_ = 'y';
y = -1;
RUN;

proc transpose data = pe out = pe_te;
where equation = 'e';
var estimate;
id parameter;
run;

data pe_te;
set pe_te(rename = (const2 = intercept) drop = _name_);
_type_ = 'PARMS';
_model_ = 'Baseline';
_depvar_ = 'e';
e = -1;
RUN;

%macro genar(lag=,eq1=,eq2=,var1=,var2=);
%do i=1 %to &lag;
%do e=1 %to &eq2;
ar&i._&eq1._&e=lag&i(&&var&e);
%end;
%end;
%mend genar;

options mprint;
data gdp2;
set gdp_nfp;
%genar(lag=4,eq1=1,eq2=2,var1=y,var2=e);
run;

data e2;
set gdp_nfp;
%genar(lag=4,eq1=2,eq2=2,var1=y,var2=e);
run;

proc score data = gdp2 score = pe_ty out=gdp2_score type=parms;
var ar1_1_1 ar1_1_2 ar2_1_1 ar2_1_2 ar3_1_1 ar3_1_2 ar4_1_1 ar4_1_2;
run;

proc score data = e2 score = pe_te out=e2_score type=parms;
var ar1_2_1 ar1_2_2 ar2_2_1 ar2_2_2 ar3_2_1 ar3_2_2 ar4_2_1 ar4_2_2;
run;

symbol1 value=none i=join;
symbol2 value=none i=join;
proc gplot data = gdp2_Score;
where year(date)>=2008;
plot (baseline y) * date / overlay;
run;
quit;

proc gplot data = e2_score;
where year(date)>=2008;
plot (baseline e) * date / overlay;
run;
quit;