*
* Chapter 8 - Norway & Finland data, forecasts
*
open data norwayfinland.txt
calendar(a) 1970
data(format=free,org=columns,skips=1) 1970:01 2003:01 year norway finland
*
set logfinland = log(finland)
set lognorway  = log(norway)
*
* The local level model is used for the Norway data in section 2.3.
*
@LocalDLMInit(irreg=sigsqeps) lognorway
nonlin sigsqeps sigsqxi
compute sigsqxi=sigsqeps*.01
*
dlm(a=1.0,c=1.0,sv=sigsqeps,sw=sigsqxi,exact,y=lognorway,$
  method=bfgs,yhat=yhat,svhat=svhat) * 2008:1 xstates vstates
*
* Because RATS dates the "filtered" state differently from the book, the
* in-sample forecasts are computing using the yhat option.
*
set forecast  1970:2 2008:1 = %if(t<=2003:1,%scalar(yhat),%scalar(xstates(t)))
set fvariance 1970:2 2008:1 = %if(t<=2003:1,%scalar(svhat),%scalar(vstates(t)))
*
set upper * 2008:1 = forecast+1.64*sqrt(fvariance)
set lower * 2008:1 = forecast-1.64*sqrt(fvariance)
*
graph(footer="Figure 8.13 In-sample one step forecasts and \\"+$
  "five year out-of-sample forecasts for Norway") 4
# lognorway
# forecast   * 2008:1 2
# upper      * 2008:1 3
# lower      * 2008:1 3
*
* The local trend model with a zero variance for the level shock is used
* for the Finland data in section 3.4.
*
@LocalDLM(type=trend,shocks=both,a=at,c=ct,f=ft)
@LocalDLMInit(irreg=sigsqeps,trend=sigsqzeta) logfinland
compute sigsqxi=sigsqeps*.01
nonlin sigsqeps sigsqxi=0.0 sigsqzeta
dlm(a=at,c=ct,sv=sigsqeps,f=ft,sw=%diag(||sigsqxi,sigsqzeta||),exact,y=logfinland,$
  method=bfgs,yhat=vhat,svhat=svhat) * 2008:1 xstates vstates
*
set forecast  1970:3 2008:1 = %if(t<=2003:1,%scalar(yhat),%scalar(xstates(t)))
set fvariance 1970:3 2008:1 = %if(t<=2003:1,%scalar(svhat),%scalar(vstates(t)))
*
set upper * 2008:1 = forecast+1.64*sqrt(fvariance)
set lower * 2008:1 = forecast-1.64*sqrt(fvariance)
*
graph(footer="Figure 8.14 In-sample one step forecasts and \\"+$
  "five year out-of-sample forecasts for Finland") 4
# lognorway
# forecast   * 2008:1 2
# upper      * 2008:1 3
# lower      * 2008:1 3