calendar 1978 1 12
allocate 1997:12
open data usdata.txt
data(format=free,org=obs) / pres npros3 npros1 npros2 nret ppros pret dstorm $
 iranp rally19 iranc reagan tien bush irann clinton hinkley

source bjident.src
source sbc.src

statistics ppros
graph(key=loright,header='Aggregated Personal Economic Expectations',subhead='1978-1997') 1
# ppros

@bjident ppros
diff ppros / pprosd
@bjident pprosd
boxjenk(ar=1,ma=||1||) pprosd / resid
@sbc
correlate(number=20,qstats) resid



** Try presidential approval -- its very strange!
statistics pres
graph(key=loright,header='Presidential Approval',subhead='1978-1997') 1
# pres

@bjident pres

correlate(number=50,partial=prespart,stderrs=auto, $
 qstats) pres / presaut
print / auto
graph(style=bargraph,key=loright,nodates,number=0, $
 max=1.0,min=-1.0) 3
# presaut
# prespart
# auto

boxjenk(ar=1) pres / resids

diff pres / presd
@bjident presd

boxjenk(diffs=0,ar=||10,13||) presd / resids
graph 1
# resids
@bjident resids

** Now try national retrospections
@bjident nret

diff nret / nretd

@bjident nretd

boxjenk nretd / res
@sbc
boxjenk(ar=||1||) nretd / res
@sbc
boxjenk(ar=||1||,ma=||1||) nretd / res
@sbc
boxjenk(ar=||2||) nretd / res
@sbc
boxjenk(ar=||2||,ma=||1||) nretd / res
@sbc
boxjenk(ar=||2||,ma=||2||) nretd / res
@sbc
boxjenk(ar=||3||,ma=||0||) nretd / res
@sbc
boxjenk(ar=||3||,ma=||1||) nretd / res
@sbc
boxjenk(ar=||3||,ma=||2||) nretd / res
@sbc
boxjenk(ar=||3||,ma=||3||) nretd / res
@sbc
boxjenk(ma=||1||) nretd / res
@sbc
boxjenk(ma=||2||) nretd / res
@sbc
boxjenk(ma=||3||) nretd / res
@sbc
boxjenk(ar=1,ma=||2||) nretd / res
@sbc
boxjenk(ar=1,ma=||3||) nretd / res
@sbc
boxjenk(ar=2,ma=||3||) nretd / res
@sbc

boxjenk(ar=2,ma=||1,2||) nretd / resids
@sbc
boxjenk(ar=3,ma=3) nretd / resids
@sbc

@bjident pret
diff pret / pretd
@bjident pretd
boxjenk(ma=1) pretd / res
@sbc
boxjenk(ar=2,ma=3) pretd / res2
graph 1
# res2
@sbc

** Forecasts -- here we back-cast the last four observations of the NRET series
boxjenk(diffs=1,ar=1,ma=||2,5||,define=eq1) nret 5 236 nretres
forecast(print) 1 4 237
# eq1
** Compare with actual values
print 97:09 97:12 nret

** Forecasts -- Forward casting
boxjenk(diffs=1,ar=1,ma=||2,5||,define=eq2) nret 5 240 nretres2
forecast(print) 1 4 241
# eq2
** No values in this data set with which to compare these forecasts.