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

@bjident presd
difference pres / presd
boxjenk(ar=1,ma=1) presd / presdres
@sbc
graph 1
# presdres

set clintonhmoon = t ==93:01
print / clintonhmoon
graph(shading=clintonhmoon,header='Presidential Approval 1978-1997', $
 subheader='With Clinton Honeymoon Intervention') 1
# pres

boxjenk(ar=1,ma=1,inputs=1,applydifferences) presd / res
# clintonhmoon 0 0 0
set reaganhmoon = t == 81:01
boxjenk(ar=1,ma=1,inputs=2,applydifferences) presd / res
# clintonhmoon 0 0 0
# reaganhmoon 0 1 0

correlate(number=20,qstats,dfc=4,stderrs=stderrs) res / presdrescorrs
print / presdrescorrs stderrs

graph(key=loright) 2
# res
# presdres

print / iranp irann iranc tien hinkley
boxjenk(ar=1,ma=1,inputs=6,applydifferences) presd / res
# clintonhmoon 0 0 0
# reaganhmoon 0 1 0
# iranp 0 0 0
# irann 0 0 0
# iranc 0 0 0
# tien 0 0 0


set desertstorm = T ==91:01
print / desertstorm dsend

** Add intervention to noise model
boxjenk(ar=||10,13||,inputs=1,applydifferences) presd / presdres
# desertstorm 1 1 1




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

** PREWHITENING
boxjenk(ar=1,ma=1) presd / presdres
cross(corrs=CrossCorrs,qstats) resid presdres 1978:1 1997:12 -12 12
graph(style=bargraph,key=upright,number=0,max=1.0,min=-1.0) 1
# CrossCorrs



** 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.