-- load data into SCA and call the series ibm and sp.

input ibm,sp. file 'm-ibmspln.dat'

desc ibm

desc sp

miden ibm,sp. maxlag 5. output level(detail).

-- the above four commands are for Table 8.1

 --

miden ibm,sp. no ccm. arfits 1 to 6.

 -- The above command is for Table 8.3

mtsmodel m1. series ibm,sp. model (i-p1*b-p3*b**3)series=p0+noise.

mestim m1. hold resi(r1,r2)

 -- put zero  parameter constraints

p1(1,1)=0

p1(2,1)=0

cp1(1,1)=1

cp1(2,1)=1

p3(1,1)=0

p3(2,1)=0

cp3(1,1)=1

cp3(2,1)=1

mestim m1. hold resi(r1,r2).

miden r1,r2. maxlag 6.

 -- The above commands are used to obtain Table 8.4

mfore m1. nofs 4.

 -- The above command produces 1-step to 4-step forecasts

mtsmodel m2. series ibm,sp. model series=t0+(1-t1*b-t3*b**3)noise.

mestim m2. hold resi(r1,r2).

 -- The above command performs conditional MLE estimation.

mestim m2. hold resi(r1,r2). method exact.

 -- put on zero parameter constraints

t1(1,1)=0

t1(2,1)=0

ct1(1,1)=1

ct1(2,1)=1

t3(1,1)=0

t3(2,1)=0

ct3(1,1)=1

ct3(2,1)=1

mestim m2. hold resi(r1,r2). method exact.

miden r1,r2. maxl 6.

stop



