***forecast correction model for the LIV survey
*
* This is program LIV_FIEbias_1Qlhs_10yr_08Nov.prg on 11/14/08
*     It runs forecast improvement exercises
*     Uses 1Q actual on LHS of FIE equation
*       Modified to make it easier to change number of obs in first regression
*     Uses a ten-year rolling window instead of full sample
*       Modified 06Nov to include DM test
*
cal 1947 1 2
alloc 0 2010:2
*
declare series newfor
declare series pinf
source(noecho) c:\Data\msetest2.src
*  set some parameters
*       ffirst = first forecast date
*       flast = last forecast date
*       afirst = first actual date
*       alast = last actual date
*
compute ffirst = 1971:1      ; * first forecast
compute flast = 2007:2       ; * last forecast
compute afirst = 1965:2      ; * first actual
compute alast = 2007:2       ; * last actual
compute aflast = 2006:2      ; * last actual minus one year for lag in forecast
compute ffs = 24             ; * when ffs = 24, you have 20 observation in the first fie regression
*
open data   c:\data\LIVPIE1.xls
data(format=xls,org=obs) ffirst flast livpie1
*
* First, test capturing the right actuals
*
open data c:\data\LIV_actuals_p_08May.xls
data(format=xls,org=obs,select=2) afirst alast actual_l_q5 actual_1q_q5 actual_1y_q5 $
                                      actual_3y_q5 actual_pb_q5
*
print(dates) afirst flast livpie1 actual_l_q5 actual_1q_q5 actual_1y_q5 $
                                      actual_3y_q5 actual_pb_q5

*
*
*
*
*
***************************************************
*                                                 *
* Part 4. Create improved forecasts               *
*                                                 *
*                                                 *
***************************************************

*
*
*
*  Here's the new part
*

*
*
do fdate = ffirst+ffs, flast
compute fdate5 = fdate - 5
compute fdate5_10 = fdate5 - 20
if ffirst .gt. fdate5_10
        compute fregstart = ffirst
else
        compute fregstart = fdate5_10

display 'fregstart= ' fregstart
display 'ffirst= ' ffirst
display 'fdate5_10= ' fdate5_10
display 'fdate5= ' fdate5
*
set pinf / = actual_1q_q5(t+2)
* display 'fdate = ' fdate
* display 'ffirst = ' ffirst
* compute fdate1 = fdate - 1
print(dates) fregstart fdate5 pinf livpie1

set perror / = pinf - livpie1
*
linreg perror fregstart fdate5
# constant
*
set newfor fdate fdate = %beta(1) + livpie1(fdate)
print(dates) fdate fdate newfor livpie1
display 'alpha=  ' %beta(1)
*display 'beta=  ' %beta(2)
*
*
end do fdate
*
***************************************************
*                                                 *
* Part 5. Calculate RMSEs                         *
*                                                 *
*                                                 *
***************************************************
set z1 = actual_1q_q5
*
display ' '
display 'Forecast improvement exercise'
display 'Actuals are 1Q'
display ' '
*
compute ffirsts = ffirst + ffs
compute flast5 = flast - 5
*
set pi1 / = z1(t+2)
set e    = pi1 - livpie1
set newerror = pi1 - newfor
print(dates) ffirsts flast5 pi1 livpie1 newfor e newerror
*
***descriptive statistics of forecast errors

smpl ffirsts flast5
*
*
display 'Statistics for survey forecast error'
statistics e
*
*
display 'Statistics for improved survey forecast error'
statistics newerror
*
*
display ' '
*
***Calculate RMSE
*
compute ts = %nobs
compute ae = %dot(e,e)
compute rmsee = sqrt(ae/ts)
*compute rmse(2,1) = rmsee
display 'This is actuals = 1Q'
display ' '
display 'Root Mean Square Forecast Error for survey =' rmsee
*
compute ts = %nobs
compute ae = %dot(newerror,newerror)
compute rmsee = sqrt(ae/ts)
*compute rmse(2,1) = rmsee
display 'Root Mean Square Forecast Error for improvement to survey =' rmsee
*
*  End of new part
@msetest2(nopictures) livpie1 newfor pi1 ffirsts flast5 3 p11 p1