*
* JAPAN.DAT example from pp 352-361
*
open data japan.dat
calendar(m) 1970
data(format=free,org=columns) 1970:1 1992:7 time japan
*
* Transform to logs
*
set ljapan = log(japan)
graph(footer="Figure 8-12 log Japanese stock index")
# ljapan
@bjident(diffs=1) ljapan
boxjenk(diffs=1,const) ljapan
*
graph(footer="Figure 8-13 Residuals from ARIMA(0,1,0)1")
# %resids
@regcorrs(number=36)
*
boxjenk(diffs=1,const,ar=1,define=withtrend) ljapan
@regcorrs
*
prj fitted
print(picture="*.####") 1991:8 1992:7 ljapan fitted %resids
*
* Redo model without the constant
*
boxjenk(diffs=1,ar=1,define=withouttrend) ljapan
prj fitnotrend
*
graph(footer="Figure 8-15 Fitted values with and without trend",key=loleft,$
  klabels=||"Log (Japan Index)","ARIMA(1,1,0)1","ARIMA(1,1,0)"||) 3
# ljapan 1991:7 1992:7
# fitted 1991:7 1992:7
# fitnotrend 1991:7 1992:7
*
uforecast(equation=withtrend) ftrend 1990:10 1992:6
uforecast(equation=withouttrend) fnotrend 1990:10 1992:6
*
graph(footer="Figure 8-16(a)") 3
# ljapan 1982:1 *
# ftrend
# fnotrend
graph(footer="Figure 8-16(b)") 3
# ljapan 1990:10 1992:6
# ftrend
# fnotrend