options double nodate nwidth=20,signif=10;
name bjrg 'real gnp quarterly - ARIMA(2,1,2)';
?    Follows Newbold, Agiakloglou, and Miller, "Adventures with ARIMA
? Software", International Journal of Forecasting 10, 1994, pp.573-581
? (abbreviated NAM below).  Similar to NAM paper, but their series went
? from 1950-89.  This is the original Campbell-Mankiw series, from Perron.
load;
lrg = log(rgnpq);
bjest(exactml,nar=2,ndiff=1,nma=2,const,noplot,nocumpl,nlag=0,tol=1e-7,
      hcov=fu) lrg;
bjest(exactml,nar=2,ndiff=1,nma=2,const,noplot,nocumpl,nlag=0,tol=1e-7,roots,
      hiter=u,hcov=u) lrg;

? Investigate potential multiple optima
title 'CLS 3';
mmake @start 1.344 -.532 1.030 -.239 0;
bjest(exactml,nar=2,ndiff=1,nma=2,const,noplot,nocumpl,nlag=0,tol=1e-7,roots,
      hiter=u,hcov=u) lrg;   ? reaches standard optimum

title 'BC 1';
mmake @start 1.774 -.797 1.461 -.466 0;
bjest(exactml,nar=2,ndiff=1,nma=2,const,noplot,nocumpl,nlag=0,tol=1e-7,roots,
      hiter=u,hcov=u) lrg;  ? stalls at weird point
mmake @start 1.774 -.797 1.461 -.466 0;
bjest(exactml,nar=2,ndiff=1,nma=2,const,noplot,nocumpl,nlag=0,tol=1e-7,roots,
      hiter=f,hcov=fu) lrg;

title 'BC 8';
mmake @start 1.680 -.749 1.328 -.392 0;
bjest(exactml,nar=2,ndiff=1,nma=2,const,noplot,nocumpl,nlag=0,tol=1e-7,roots,
      hiter=u,hcov=u) lrg;  ? fails to improve at inferior point
mmake @start 1.680 -.749 1.328 -.392 0;
bjest(exactml,nar=2,ndiff=1,nma=2,const,noplot,nocumpl,nlag=0,tol=1e-7,roots,
      hiter=f,hcov=fu) lrg;

end;
noprint;
freq q;
smpl 1947:1 1986:3;
load rgnpq; ? us real gnp in $1982
1056.5 1063.2 1067.1 1080.0 1086.8 1106.1 1116.3 1125.5
1112.4 1105.9 1114.3 1103.3 1148.2 1181.0 1225.3 1260.2
1286.6 1320.4 1349.8 1356.0 1369.2 1365.9 1378.2 1406.8
1431.4 1444.9 1438.2 1426.6 1406.8 1401.2 1418.0 1438.8
1469.6 1485.7 1505.5 1518.7 1515.7 1522.6 1523.7 1540.6
1553.3 1552.4 1561.5 1537.3 1506.1 1514.2 1550.0 1586.7
1606.4 1637.0 1629.5 1643.4 1671.6 1666.8 1668.4 1654.1
1671.3 1692.1 1716.3 1754.9 1777.9 1796.4 1813.1 1810.1
1834.6 1860.0 1892.5 1906.1 1948.7 1965.4 1985.2 1993.7
2036.9 2066.4 2099.3 2147.6 2190.1 2195.8 2218.3 2229.2
2241.8 2255.2 2287.7 2300.6 2327.3 2366.9 2385.3 2383.0
2416.5 2419.8 2433.2 2423.5 2408.6 2406.5 2435.8 2413.8
2478.6 2478.4 2491.1 2491.0 2545.6 2595.1 2622.1 2671.3
2734.0 2741.0 2738.3 2762.8 2747.4 2755.2 2719.3 2695.4
2642.7 2669.6 2714.9 2752.7 2804.4 2816.9 2828.6 2856.8
2896.0 2942.7 3001.8 2994.1 3020.5 3115.9 3142.6 3181.6
3181.7 3178.7 3207.4 3201.3 3233.4 3157.0 3159.1 3199.2
3261.1 3250.2 3264.6 3219.0 3170.4 3179.9 3154.5 3159.3
3186.6 3258.3 3306.4 3365.1 3444.7 3487.1 3507.4 3520.4
3547.0 3567.6 3603.8 3622.3 3655.9 3661.4 3683.3
;end;