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.  Starting Negiz4 ARIMA Case Study
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. Setting Dataplot defaults
reset data
reset plot control
erase
x3label automatic
label case asis
dimension 100 variables
.  Finished Setting Defaults
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. Starting Step 1.1
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SKIP 50
SET READ FORMAT 3E16.4
read NEGIZ4.DAT junk1 junk2 y
set read format
delete junk1 junk2
. Finished Step 1.1: Page Back for Output

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. Starting Step 2.1 - Generate a run sequence plot
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y1label width
x1label sequence
run sequence plot y

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. Starting Step 2.2 - Generate an autocorrelation plot (original data)
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x3label Autocorrelation Plot of the Original Data
y1label Autocorrelation
x1label Lag
set autocorrelation band plot box-jenkins
set autocorrelation lag zero off
xtic offset 1 1
xlimits 0 50
line blank solid solid solid blank blank
line color black black blue blue
spike on
autocorrelation plot y
xtic offset 0 0
xlimits
line solid all
line color black all
spike off
line color blue
draw 45 85 50 85
justification left
move 51 84
text 95% Confidence Band
line color black
. Finished Step 2.2: Page Back for Output

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. Starting Step 2.3 - Generate a run sequence plot of differenced data
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let ydiff = sequential difference y
x3label Run Sequence Plot of the Differenced Data
y1label width
x1label sequence
run sequence plot ydiff
.  Finished Step 2.3: Page Back for Output

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. Starting Step 2.4 - Generate an autocorrelation plot (differenced data)
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let ydiff = sequential difference y
x3label Autocorrelation Plot of the Differenced Data
y1label Autocorrelation
x1label Lag
set autocorrelation band plot box-jenkins
set autocorrelation lag zero off
xtic offset 1 1
xlimits 0 50
line blank solid solid solid blank blank
line color black black blue blue
spike on
autocorrelation plot ydiff
xtic offset 0 0
xlimits
line solid all
line color black all
spike off
line color blue
draw 45 85 50 85
justification left
move 51 84
text 95% Confidence Band
line color black
. Finished Step 2.2: Page Back for Output

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. Starting Step 2.5 - Generate a partial autocorrelation plot
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let ydiff = sequential difference y
y1label Partial Autocorrelation
x1label Lag
x3label Partial Autocorrelation Plot of the Differenced Data
xtic offset 1 1
xlimits 0 50
spike on
set autocorrelation lag zero off
line blank solid solid solid blank blank
line color black black blue blue
partial autocorrelation plot ydiff
xtic offset 0 0
xlimits
line solid all
line color black all
spike off
line color blue
draw 45 85 50 85
justification left
move 51 84
text 95% Confidence Band
line color black
. Finished Step 2.5: Page Back for Output

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. Starting Step 3.1 - Fit ARIMA(2,1,0) model
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arma y 2 1 0
. Finished Step 3.1: Page Back for Output

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. Starting Step 3.2 - Fit ARIMA(0,1,1) model
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arma y 0 1 1
. Finished Step 3.2: Page Back for Output

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. Starting Step 4.1 - 4-Plot of Residuals
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arma y 2 1 0
y1label
x1label
x3label
4-plot res
. Finished Step 4.1: Page Back for Output

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. Starting Step 4.2 - Generate an autocorrelation plot of residuals
.                     from ARIMA(2,1,0) model
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arma y 2 1 0
x3label Autocorrelation Plot of the Residuals from ARIMA(2,1,0) Model
y1label Autocorrelation
x1label Lag
set autocorrelation plot band white noise
set autocorrelation lag zero off
xtic offset 1 1
xlimits 0 50
line blank solid solid solid blank blank
line color black black blue blue
spike on
autocorrelation plot res
xtic offset 0 0
xlimits
line solid all
line color black all
spike off
line color blue
draw 45 85 50 85
justification left
move 51 84
text 95% Confidence Band
line color black
. Finished Step 4.2: Page Back for Output

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. Starting Step 4.3 - Lujan-Box test for independence
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arma y 2 1 0
let numlag = 25
capture lujan1.out
ljung-box test res
end of capture
delete numlag
. Finished Step 4.3: Page Back for Output

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. Starting Step 4.4 - 4-Plot of Residuals
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arma y 0 1 1
y1label
x1label
x3label
4-plot res
. Finished Step 4.4: Page Back for Output

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. Starting Step 4.5 - Generate an autocorrelation plot of residuals
.                     from ARIMA(0,1,1) model
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arma y 0 1 1
x3label Autocorrelation Plot of the Residuals from ARIMA(0,1,1) Model
y1label Autocorrelation
x1label Lag
set autocorrelation plot band white noise
set autocorrelation lag zero off
xtic offset 1 1
xlimits 0 50
line blank solid solid solid blank blank
line color black black blue blue
spike on
autocorrelation plot res
xtic offset 0 0
xlimits
line solid all
line color black all
spike off
line color blue
draw 45 85 50 85
justification left
move 51 84
text 95% Confidence Band
line color black
. Finished Step 4.5: Page Back for Output

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. Starting Step 4.6 - Lujan-Box test for independence
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arma y 0 1 1
let numlag = 25
capture lujan2.out
ljung-box test res
end of capture
delete numlag
. Finished Step 4.6: Page Back for Output