PROC IML;      reset spaces=5;
  A = .8;  ** Y(t) = e(t) + A e(t-1) **;
  do h=2 to 6;  h1=h-1;
  Gamma = shape(0,h,h); V=shape(0,h,1);
  do i=1 to h; Gamma[i,i] = 1+A*A; end;
  do i=1 to h1; Gamma[i,i+1]=A; Gamma[i+1,i]=A;end;
  V[1,1]=A;
  Beta = inv(gamma)*V;
print gamma [format=5.2] V  Beta;
end;
                  GAMMA                   V          BETA
                   1.64  0.80           0.8      0.640125
                   0.80  1.64             0     -0.312256  <--

               GAMMA                         V          BETA
                1.64  0.80  0.00           0.8       0.70928
                0.80  1.64  0.80             0      -0.45403
                0.00  0.80  1.64             0       0.22148  <--

            GAMMA                               V          BETA
             1.64  0.80  0.00  0.00           0.8      0.745869
             0.80  1.64  0.80  0.00             0     -0.529032
             0.00  0.80  1.64  0.80             0      0.338647
             0.00  0.00  0.80  1.64             0     -0.165194  <--

         GAMMA                                     V          BETA
          1.64  0.80  0.00  0.00  0.00           0.8      0.766794
          0.80  1.64  0.80  0.00  0.00             0     -0.571928
          0.00  0.80  1.64  0.80  0.00             0      0.405659
          0.00  0.00  0.80  1.64  0.80             0     -0.259672
          0.00  0.00  0.00  0.80  1.64             0      0.126670   <--

      GAMMA                                           V          BETA
       1.64  0.80  0.00  0.00  0.00  0.00           0.8      0.779298
       0.80  1.64  0.80  0.00  0.00  0.00             0     -0.597562
       0.00  0.80  1.64  0.80  0.00  0.00             0      0.445703
       0.00  0.00  0.80  1.64  0.80  0.00             0     -0.316129
       0.00  0.00  0.00  0.80  1.64  0.80             0      0.202362
       0.00  0.00  0.00  0.00  0.80  1.64             0     -0.098713  <--