*==========================================================================
*
*  C:\PROJECT\ERM\GDPPOP\DIAGNOST.PRG
*
*  RATS code that performs some diagnostics to see if an ARMA model is
*  misspecified.
*
*==========================================================================
*
cal 1947 1 4
compute t0 = 1947:1       ;* quarter of first observation
compute tf = 1997:4       ;* quarter of last observation
compute nstep = 16        ;* number of quarters to compute impulse responses
all tf+nstep
*
*  READ INPUT FILE AND COMPUTE PER CAPITA SERIES
*
open data gdppop.por
data(format=portable) / gdp pop p16
*
set gdp = gdp * 1000000000              ;* real GDP
set gdpall = gdp / (pop * 1000000)      ;* GDP / total population
set gdp16 = gdp / (p16 * 1000000)       ;* GDP / civilian noninstitutional pop
*
*  LOG TRANSFORMATIONS
*
set lgdpall = log(gdpall)
set lgdp16 = log(gdp16)
*
*  TIME TRENDS
*
set trend = t
set trend2 = (t ** 2)
*
*  TIME DETREND ALL SERIES
*
linreg gdpall
# constant trend trend2
prj fit
set dgdpall = gdpall - fit
*
linreg gdp16
# constant trend trend2
prj fit
set dgdp16 = gdp16 - fit
*
linreg lgdpall
# constant trend trend2
prj fit
set dlgdpall = lgdpall - fit
*
linreg lgdp16
# constant trend trend2
prj fit
set dlgdp16 = lgdp16 - fit
*
*  LOGGED 16+ PER CAPITA SERIES
*
compute nar = 2
compute nma = 1
boxjenk(ar=nar,diffs=0,ma=nma,constant,iterations=50) dlgdp16 / eps
correlate(qstats,number=nstep,dfc=nar+nma) eps