*
* Example 8/1/4 from pp 400-402
*
open data jcars.dat
calendar 1947
data(format=free,org=columns) 1947:1 1989:1 jcars
*
set trend * 2002:1 = t-1963:1
*
* Run the regression over the data from 1964:1 on
*
boxjenk(regressors,ar=1,maxl,define=trendmodel) jcars 1964:1 *
# constant trend
boxjenk(diffs=1,constant,define=arimamodel) jcars 1964:1 *
*
uforecast(equation=trendmodel,stderrs=tstderrs) trendfore 1990:1 2002:1
uforecast(equation=arimamodel,stderrs=astderrs) arimafore 1990:1 2002:1
*
set lower 1990:1 2002:1 = trendfore+%invnormal(.025)*tstderrs
set upper 1990:1 2002:1 = trendfore+%invnormal(.975)*tstderrs
graph(footer="Forecasts using linear trend model",overlay=fan,ovsame,ovcount=2) 4
# jcars
# trendfore
# lower
# upper
*
set lower 1990:1 2002:1 = arimafore+%invnormal(.025)*astderrs
set upper 1990:1 2002:1 = arimafore+%invnormal(.975)*astderrs
graph(footer="Forecasts using ARIMA model",overlay=fan,ovsame,ovcount=2) 4
# jcars
# arimafore
# lower
# upper