1 yields data

colnames(yields) = "monthly_yield"
monthly_yield = ts(as.vector(as.matrix(yields)), start = c(1983, 1), end = c(2003, 
    12), frequency = 12)
monthly_yield

      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1983 2.22 2.23 2.22 2.20 2.09 1.97 2.03 1.98 1.94 1.79 1.74 1.86
1984 1.78 1.72 1.79 1.82 1.89 1.99 1.89 1.83 1.71 1.70 1.97 2.21
1985 2.36 2.41 2.92 3.15 3.26 3.51 3.48 3.16 3.01 2.97 2.88 2.91
1986 3.45 3.29 3.17 3.09 3.02 2.99 2.97 2.94 2.84 2.85 2.86 2.89
1987 2.93 2.93 2.87 2.82 2.63 2.33 2.22 2.15 2.28 2.28 2.06 2.54
1988 2.29 2.66 3.03 3.17 3.83 3.99 4.11 4.51 4.66 4.37 4.45 4.58
1989 4.58 4.76 4.89 4.65 4.51 4.65 4.52 4.52 4.57 4.65 4.74 5.10
1990 5.00 4.74 4.79 4.83 4.80 4.83 4.77 4.80 5.38 6.18 6.02 5.91
1991 5.66 5.42 5.06 4.70 4.73 4.64 4.62 4.48 4.43 4.33 4.32 4.30
1992 4.26 4.02 4.06 4.08 4.09 4.14 4.15 4.20 4.30 4.26 4.15 4.27
 [ reached getOption("max.print") -- omitted 11 rows ]

plot(monthly_yield, lwd = 2, col = "red")
grid()

acf(monthly_yield)

pacf(monthly_yield)

2 ARIMA(0,1,1)

fit_my <- auto.arima(monthly_yield, seasonal = FALSE)
fit_my

Series: monthly_yield 
ARIMA(0,1,1) 

Coefficients:
         ma1
      0.4350
s.e.  0.0652

sigma^2 estimated as 0.03591:  log likelihood=61.76
AIC=-119.52   AICc=-119.47   BIC=-112.47

plot(fit_my)

checkresiduals(fit_my)

    Ljung-Box test

data:  Residuals from ARIMA(0,1,1)
Q* = 31.121, df = 23, p-value = 0.1198

Model df: 1.   Total lags used: 24

3 ARIMA(0,1,1)(0,0,2)[12]

fit_my_se <- auto.arima(monthly_yield, seasonal = T)
fit_my_se

Series: monthly_yield 
ARIMA(0,1,1)(0,0,2)[12] 

Coefficients:
         ma1    sma1     sma2
      0.4576  0.1806  -0.1406
s.e.  0.0658  0.0631   0.0615

sigma^2 estimated as 0.03461:  log likelihood=66.87
AIC=-125.75   AICc=-125.58   BIC=-111.65

plot(fit_my_se)

checkresiduals(fit_my_se)

    Ljung-Box test

data:  Residuals from ARIMA(0,1,1)(0,0,2)[12]
Q* = 27.51, df = 21, p-value = 0.1546

Model df: 3.   Total lags used: 24

4 Conclusion:

• The best model is ARIMA(0,1,1)(0,0,2)[12]