? P&R Exercise 8.2

options crt limwarn=0;
freq m;
smpl 59:1 96:2;
read(file='\tsp\prhb\datadisk\ex42.xls', format=excel) fygn3 ip fm2 pw;
r=fygn3;
m2=fm2;
gm2=(m2-m2(-1))/m2(-1);
gpw=(pw-pw(-1))/pw(-1);

? OLS estimate
smpl 60:1 93:12;
olsq r c ip gm2 gpw(-1);
? OLS forecast
smpl 93:9 94:8;
forcst(print) rols ;
rmsep r rols rmseols uols ;
print r rols;
print rmseols uols ;

? AR1 estimate
smpl 60:1 93:12;
ar1 r c ip gm2 gpw(-1);
? AR1 forecast (in sample)
smpl 60:1 93:12;
forcst(static) rar;
? AR1 dynamic forecast (out of sample)
smpl 94:1 94:8;
forcst(print, dynam) rar;
smpl 93:9 94:8;
rmsep r rar rmsear uar ;
print r rar;
print rmsear uar ;

? Root Mean Squared Error and U-Theil Procedure

proc rmsep y yfit rmse u ;
 dif = (y-yfit)**2 ;
 y2 = y**2;
 yfit2 = yfit**2;
 msd(noprint) dif y2 yfit2 ;
 set mse = @mean(1) ;
 set rmse = sqrt(mse) ;
 set u=rmse/(sqrt(@mean(2))+sqrt(@mean(3))); 
endproc rmsep ;