*
* Example 8/4 from pp 423-428
*
open data capital.dat
calendar(q) 1953
data(format=free,org=columns) 1953:1 1974:4 capital approp
*
graph(footer="Figure 8-16 Time Plots of Capital Expenditure Data",$
 key=upleft,klabels=||"Capital expenditure","Capital appropriation"||) 2
# capital
# approp
*
set lcap = log(capital)
set lapp = log(approp)
set gcap = lcap-lcap{1}
set gapp = lapp-lapp{1}
*
graph(footer="Figure 8-17 Capital Expenditure Data, Log First Differences",$
 key=below,klabels=||"Differenced log capital expenditure","Differenced log capital appropriation"||) 2
# gcap
# gapp
*
@yulevar(lags=10,det=none,crit=aic)
# gcap gapp
@yulevar(lags=4,det=constant,model=varmodel)
# gcap gapp
*
equation(identity,coeffs=||1.0,1.0||) capint lcap
# lcap{1} gcap
equation(identity,coeffs=||1.0,1.0||) appint lapp
# lapp{1} gcap
*
compute newmodel=varmodel+capint+appint
compute %modelsetvcv(newmodel,%modelgetvcv(varmodel))
forecast(stderrs=stderrs,results=forecasts,model=newmodel) * 12 1975:1
set expfore 1975:1 1977:12 = exp(forecasts(4))
graph 2
# expfore
# capital
set lower 1975:1 1977:12 = exp(forecasts(4)+%invnormal(.05)*stderrs(4))
set upper 1975:1 1977:12 = exp(forecasts(4)+%invnormal(.95)*stderrs(4))
graph 4
# expfore
# approp
# lower
# upper