/*
** Lesson 15.3: ARCH Analysis of U. S. Inflation
** Greene [1999], Example 18.12
** Based on Engle and Kraft [1983]: ARCH(q) and GARCH(p,q)
*/
use gpe2;
output file=gpe\output15.3 reset;

n=137;
load data[n,4]=gpe\usinf.txt;
p=ln(data[2:n,4]);
dp=packr(100*(p-lagn(p,1)));

call reset;
_rstat=1;
_rplot=2;

_acf=12;
_bgtest=6;
_acf2=12;
_ebtest=6;

_dlags=3;
_garch={1,1,0.5,0.5,0.1};
_method=5;
_iter=100;

call estimate(dp,0);

end;