? P&R Exercise 18.3

options crt limwarn=0;
freq m;
smpl 50:1 96:3;
read(file='\tsp\prhb\datadisk\ex161.xls', format=excel) fygn3;
r=fygn3;
dr=r-r(-1);
smpl 60:1 96:2;

?  To forecast the change in the interest rate, we estimate
?  the ARMA(8,4) model on dr, the differenced interest rate,
?  and then forecase. 

bjest(constant, nar=8, nma=4, 
      nocumplo, noplot, nostart, maxit=50) dr; 

title '24-month forecast of dr';
bjfrcst(orgbeg=94:3, nhoriz=24) dr;
title '12-month forecast of dr';
bjfrcst(orgbeg=95:3, nhoriz=12) dr;
title '6-month forecast of dr';
bjfrcst(orgbeg=95:9, nhoriz=6) dr;
title '18-month forecast of dr';
bjfrcst(orgbeg=95:9, nhoriz=18) dr;

? To forecast the interest rate itself, we estimate the
? ARIMA (8,1,4) model on r, and then forecast. bjfrcst
? remembers the ndiff, nar, and nma options from the bjest
? command.  

title '6-month forecast of r';
bjest(constant, nar=8, ndiff=1, nma=4, 
      nocumplo, noplot, nostart, maxit=50) r; 
bjfrcst(orgbeg=95:9, nhoriz=6) r;