open greene18_2.gdt
# log of quarterly U.S. nominal GNP, 1950:1 to 1983:4
series y = log(Y)
# and its first difference
series dy = diff(y)
# reserve 2 years for out-of-sample forecast
smpl ; 1981:4
# Estimate using ARIMA
arima 1 1 1 ; y 
# forecast over full period
smpl --full
fcast fc1
# Return to sub-sample and run ARMA on the first difference of y
smpl ; 1981:4
arma 1 1 ; dy
smpl --full
fcast fc2
series fcdiff = (t<=1982:1)? (fc1 - y(-1)) : (fc1 - fc1(-1))
# compare the forecasts over the later period
smpl 1981:1 1983:4
print y fc1 fc2 fcdiff --byobs