* PS10.11, using DATA10-1, for Example 10.9
*
TIME 1964 4
SAMPLE 1964.1 1991.2
READ(data10-1) PERIOD R M D
GENR R1=LAG(R)
GENR R2=LAG(R,2)
GENR R3=LAG(R,3)
GENR R4=LAG(R,4)
GENR M1=LAG(M)
GENR M2=LAG(M,2)
GENR M3=LAG(M,3)
GENR M4=LAG(M,4)
GENR D1=LAG(D)
GENR D2=LAG(D,2)
GENR D3=LAG(D,3)
GENR D4=LAG(D,4)
*
* The sample range is changed from 1964.1 to 1965.1 since 4 observations were
* lost when the difference in the variables are lagged back four periods.
* As well, we save 10 observations for postsample forecasts.
*
SAMPLE 1965.1 1988.4
* 
* Dimension forecast errors for calculation of MAPEs.
*
DIM RHATU 110 RHATF 110 MHATU 110 MHATF 110 DHATU 110 DHATF 110
*
* Estimate the Unrestricted Model for the Interest Rates, R
*
OLS R R1 R2 R3 R4 M1 M2 M3 M4 D1 D2 D3 D4 
* 
* Generate forecasts for the period 1989.1 1991.2.
*
FC /LIST BEG=1989.1 END=1991.2 RESID=RHATU
*
* Eliminate insignificant variables, one at a time.
*
OLS R R1 R2 R3 R4 M1 M2 M3 M4 D1 D3 D4
OLS R R1 R2 R3 R4 M1 M2 M3 M4 D1 D4
OLS R R1 R2 R3 R4 M1 M2 M3 M4 D4
OLS R R1 R2 R3 R4 M1 M2 M3 D4
OLS R R1 R2 R3 R4 M1 M2 D4
OLS R R1 R2 R3 R4 M1 D4
*
* Forecast again for final model.
*
FC /LIST BEG=1989.1 END=1991.2 RESID=RHATF
*
* Repeat for money supply equation.
*
OLS M M1 M2 M3 M4 R1 R2 R3 R4 D1 D2 D3 D4 
FC /LIST BEG=1989.1 END=1991.2 RESID=MHATU
OLS M M1 M2 M4 R1 R2 R3 R4 D1 D2 D3 D4 
OLS M M1 M2 M4 R1 R2 R3 R4 D1 D3 D4 
OLS M M1 M2 M4 R1 R2 R3 R4 D1 D3  
OLS M M1 M2 M4 R1 R2 R4 D1 D3  
OLS M M1 M2 M4 R1 R2 D1 D3 
FC /LIST BEG=1989.1 END=1991.2 RESID=MHATF
*
* Repeat for government deficit equation
*
OLS D D1 D2 D3 D4 M1 M2 M3 M4 R1 R2 R3 R4 
FC /LIST BEG=1989.1 END=1991.2 RESID=DHATU
OLS D D1 D2 D3 D4 M1 M2 M3 M4 R1 R3 R4 
OLS D D1 D2 D3 M1 M2 M3 M4 R1 R3 R4 
OLS D D1 D2 D3 M1 M3 M4 R1 R3 R4 
OLS D D1 D2 D3 M1 M3 M4 R1 R3
OLS D D1 D2 D3 M1 M3 R1 R3
OLS D D1 D2 D3 M3 R1 R3
OLS D D1 D2 D3 R1 R3
OLS D D1 D2 D3 R3
FC /LIST BEG=1989.1 END=1991.2 RESID=DHATF
*
* Calculate MAPEs in prediction period.
*
SAMPLE 1989.1 1991.2
GENR APERU=100*ABS(RHATU)/R
GENR APERF=100*ABS(RHATF)/R
GENR APEMU=100*ABS(MHATU)/M
GENR APEMF=100*ABS(MHATF)/M
GENR APEDU=100*ABS(DHATU)/D
GENR APEDF=100*ABS(DHATF)/D
*
* Calculate Mean APEs.
*
STAT APERU APERF APEMU APEMF APEDU APEDF
STOP