SCA commands used in time series analysis:

I use the data set "m-unrate.txt" in the illustration.
Again, "%" denotes explanation.

input yy,mm,dd,rate. file 'm-unrate.txt'   % load data into SCA

diff old rate. new zt. compress.  % Take the first difference.

iden zt. maxlag 15.   % Compute 15 lags of ACF & PACF

utsm m1. model (1,2)zt=(1)noise. % Specify an ARMA(2,1) model.

estim m1. hold resi(r1). % Fit the model and save the residual in "r1".

acf r1. maxl 12. % Compute 15 lags of residual ACF.

fore m1. nofs 5. % Compute 1- to 5-step ahead forecasts.


More model specification will be discussed in class.