/*
** Fractional Differenced Error Process: 
** Nonlinear Maximum Likelikood Estimation
** based on the example of Greene [1999], Chap. 13
*/
use gpe2;

n=21;
load data[n,5]=Tsinghua\usinv.txt;
rinv=data[2:n,3]./data[2:n,4];  @ real investment @
rgnp=data[2:n,2]./data[2:n,4];  @ real GNP @
rate=data[2:n,5]-               @ real interest rate @
     100*(data[2:n,4]-lagn(data[2:n,4],1))./lagn(data[2:n,4],1);
data=packr(rinv~rate~rgnp);
data=data~ones(rows(data),1);
/*
data matrix is arranged with the dependent variable in the first column,
followed by colums of independent variables including constant    
*/
@ OLS estimates as Table 13.2 of Greene [1999] @
b=data[.,1]/data[.,2:4];
call reset;
_rplot=2;
_acf=8;
_acf2=8;

call estimate(data[.,1],data[.,2:3]);
end;
call reset;
_rplot=2;
_nlopt=1;   @ maximum likelihood estimation @
_method=3;  @ optimization method @
_iter=100;

_fdiff=0.5;   @ fractional difference @

call armaest(data[.,1],data[.,2:4],b);

_bjtest=1;
_bptest=1;
_bgtest=4;
_ebtest=5;
_acf=8;
_acf2=8;
call diagnose(data[.,1],data[.,2:4],__e);

end;

#include gpe\arma.gpe;
#include gpe\diagnose.gpe;