-- 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