? P&R Exercise 13.1

options crt limwarn=0;

freq m;
smpl 79:1 88:6;
read(file='\tsp\prhb\datadisk\ex131.xls') pho qho nho;

?  Use VAR to compute vector autoregression.
smpl 80:1 88:6;
var(nlags=8) pho qho nho | c ;

?  To get forecasts, do OLS on each equation and use form to make
?  an equation for forecasting. 
dot pho qho nho;
  olsq(silent) . c pho(-1)-pho(-8) qho(-1)-qho(-8) nho(-1)-nho(-8);
  form e.;
  print e. ;
enddot;

?  Now jointly forecast with all the equations using SIML.
?  This is a dynamic forecast.
smpl 88:1 88:6;
siml (endog=(pho qho nho),tag=f) epho eqho enho ;
print pho phof qho qhof nho nhof ;