*
* This is program LIV_RTIMA11_p_08Nov.prg on 11/14/08
*     It runs real-time forecasts to see if improvement is possible over LIV
*        Compare survey forecast RMSEs to QRTSIC & RTSIC via RMSE
*        Does this with latest available & calculates RMSEs for subsamples
*          Adds subsamples
*       Modified 06Nov to do DM test
*
cal 1947 1 2
alloc 0 2010:2
*
*  set some parameters
*       ffirst = first forecast date
*       flast = last forecast date
*       afirst = first actual date
*       alast = last actual date
*
declare series z
source(noecho) c:\Data\msetest2.src
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
*
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
open data c:\data\IMA11_fore_p08.xls
data(format=xls,org=obs,select=2) afirst alast dxq4_hat dxq4q_hat
print(dates) afirst flast livpie1 dxq4_hat dxq4q_hat

compute vtot = 85                                            ;* change this
declare series z1 pi1 pi1a
declare series newfor
declare series pinf
declare vector[series] x(vtot) dxq(vtot) dxq4(vtot)

*
***************************************************
*                                                 *
* Part 5. Calculate RMSEs                         *
*                                                 *
*                                                 *
***************************************************




compute [vector[string]] actualbl = $
    ||'latest','1 quarter','1 year','3 years','pre-bench'||
compute i = 1
*
dofor z1 = actual_l_q5 actual_1q_q5 actual_1y_q5 actual_3y_q5 actual_pb_q5
*
display ' '
display 'IMA vs LIV vs IMALA'
display 'Actuals are ' actualbl(i)
display ' '
*
compute flast5 = flast - 3
*
set pi1 / = z1(t+2)
set e    = pi1 - livpie1
set newerror = pi1 - dxq4_hat
set quasie = pi1 - dxq4q_hat
print(dates) ffirst flast5 pi1 livpie1 dxq4_hat e newerror
print(dates) ffirst flast5 pi1 dxq4q_hat quasie
*
***descriptive statistics of forecast errors

smpl ffirst ffirst+20
*
*
display 'Subsample:  the first ten years from 1971:1 to 1980:2'
display 'Statistics for survey forecast error'
statistics e
*
*
display 'Statistics for IMA11 forecast error'
statistics newerror
*
display 'Statistics for IMA11 quasi (latest available data) forecast error'
statistics quasie
*
*
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 = ' actualbl(i)
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 IMA11 forecast =' rmsee
*
compute ts = %nobs
compute ae = %dot(quasie,quasie)
compute rmsee = sqrt(ae/ts)
*compute rmse(2,1) = rmsee
display 'Root Mean Square Forecast Error for IMA11 quasi (latest available data) forecast =' rmsee
*
@msetest2(nopictures) livpie1 dxq4_hat pi1 ffirst ffirst+20 3 p11 p1
@msetest2(nopictures) livpie1 dxq4q_hat pi1 ffirst ffirst+20 3 p12 p2
*
smpl ffirst flast5
*
*
display 'Full Sample'
display 'Statistics for survey forecast error'
statistics e
*
*
display 'Statistics for IMA11 forecast error'
statistics newerror
*
display 'Statistics for IMA11 quasi (latest available data) forecast error'
statistics quasie
*
*
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 = ' actualbl(i)
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 IMA11 forecast =' rmsee
*
compute ts = %nobs
compute ae = %dot(quasie,quasie)
compute rmsee = sqrt(ae/ts)
*compute rmse(2,1) = rmsee
display 'Root Mean Square Forecast Error for IMA11 quasi (latest available data) forecast =' rmsee
*
@msetest2(nopictures) livpie1 dxq4_hat pi1 ffirst flast5 3 p21 p3
@msetest2(nopictures) livpie1 dxq4q_hat pi1 ffirst flast5 3 p22 p4
*  End of new part


compute i = i + 1
end do for



*