EXAMPLES

A LIMDEP Guide to the Examples
Econometric Analysis
Fourth Edition
William H. Greene
New York University
Prentice Hall, Upper Saddle River, New Jersey 07458
Contents
Chapter
Chapter
Chapter
3
Chapter
5
Chapter
24
Chapter
1.
2.
3.
Introduction
Matrix Algebra
Probability and Distribution Theory
4.
Statistical Inference
5.
Computation and Optimization
6.
38
Chapter 7.
51
Chapter 8.
1
2
The Classical Multiple Linear Regression

Model - Specification and Estimation
Inference and Prediction
Functional Form, Nonlinearity, and

Specification
66
Chapter 9. Large Sample Results and Alternative
Estimators for the Classical Regression
Model
74
Chapter 10. Nonlinear Regression Models
86
Chapter 11. Nonspherical Disturbances, Generalized
Regression, and GMM Estimation
107
Chapter 12. Heteroscedasticity
116
Chapter 13. Autocorrelation
129
Chapter 14. Models for Panel Data
143
Chapter 15. Systems of Regression Equations
158
Chapter 16. Simultaneous Equations Models
192
Chapter 17. Regressions with Lagged Variables
214
Chapter 18. Time Series Models
242
Chapter 19. Models with Discrete Dependent Variables
262
Chapter 20. Limited Dependent Variable and Duration
Models
303
Chapter 1. Introduction
/*==========================================================
Example 1.1. Keyness Consumption Function
*/==========================================================
?
? Read data
?
Read ; Nobs = 10 ; Nvar = 2 ; Names = C,X
; By Variables $
672.1 696.8 737.1 767.9 762.8
779.4 823.1 864.3 903.2 927.6
751.6 779.2 810.3 864.7 857.5
874.9 906.8 942.9 988.8 1015.7
?
? Plot the figure
?
Plot ; Lhs = X ; Rhs = C ; Regression Line $
Regression line is X
950
= -67.58063 +
.97927C
900
850
800
750
700
650
700
750
800
850
900
950
1000
1050
/*==========================================================
Example 1.2. Income and Education - An Econometric Issue
*/==========================================================
?
? There are no computations in Example 1.2.
?
Chapter 2. Matrix Algebra

/*=========================================================
Section 2.9.2.
/*=========================================================
?
? The unconstrained solution requires computation
? of a - 2Ax = 0, or [x1 x2 x3]' = inv(2*A)a.
?
Matrix ; MA = [2,1,3 /
1,3,2 /
3,2,5 ]
; a = [5 / 4 / 2 ] $
Matrix ; list ; x = .5 * <MA> * a $
Calc;List;fn=a'xqfr(x,MA)$
/*
MatrixX1
+
1|.1125000D+02
2|.1750000D+01
3|.7250000D+01
FN=.24375000000000010D+02
The constrained solution requires solution of
[ -2A C' ] (x
)
(-a)
[
C 0 ] (lambda) = ( 0)
C = [ 1 -1 1 ]
[ 1 1 1 ]
There are simpler ways to get this solution,
but the following is complete and explicit.
*/
Matrix ; C = [1, -1, 1 /
1, 1, 1] $
Matrix ; MTWOA = -2 * MA ; Minusa = -1 * a $
Matrix ; Zero = [0 / 0] ; Zero22 = [0,0/0,0]$
Matrix ; CT = C' $
Matrix ; D = [MTWOA , CT /
C
, Zero22 ]$
Matrix ; q = [Minusa / zero ] $
Matrix ; XL = <D> * q $
/*
Note that the solution for x(2) is not identically zero because of rounding.
*/
Matrix ; List ; x = XL(1:3) ; lambda=XL(4:5) $
Calc;List;fn=a'xqfr(x,MA)$
/*
MatrixXhas3rowsand1columns.
1
+
1|.1500000D+01
2|.5551115D15
3|.1500000D+01
MatrixLAMBDAhas2rowsand1columns.
1
+
1|.5000000D+00
2|.7500000D+01
FN=.22499999999999980D+01
Chapter 3. Probability and Distribution Theory

/*=========================================================
Example 3.1 Poisson Model for a Discrete Outcome.
No computations needed. To illustrate the distribution, try
Calc ; TBP( lambda) $ For example: Calc ; TBP(5) $ produces
/*=========================================================
P(x)
.200
.192
.184
.176
.168
.160
.152
.144
.136
.128
.120
.112
.104
.096
.088
.080
.072
.064
.056
.048
.040
.032
.024
.016
.008
.000
Poisson distribution with lambda = 5.0000

[Probability of x occurrences, mean occurrences/pd = lambda.]
Mean =
5.00000, Standard deviation =
2.23607
x P(X=x)
+---------------------------------------------------+ -- -----|
| 0 .00674
+
+ 1 .03369
|
| 2 .08422
|
X X
| 3 .14037
|
X X
| 4 .17547
|
X X
| 5 .17547
|
X X | 6 .14622
+
x X X X
+ 7 .10444
|
X X X X
| 8 .06528
|
X X X X
| 9 .03627
|
X X X X
| 10 .01813
|
X X X X | 11 .00824
|
X X X X X
| 12 .00343
+
X X X X X
+ 13 .00132
|
x X X X X X
| 14 .00047
|
X X X X X X
| 15 .00016
|
X X X X X X | 16 .00005
|
X X X X X X X
| 17 .00001
|
X X X X X X X
| 18 .00000
+
X X X X X X X
+ 19 .00000
| - X X X X X X X x
| 20 .00000
| X X X X X X X X X
| 21 .00000
| X X X X X X X X X | 22 .00000
| X X X X X X X X X X | 23 .00000
|X X X X X X X X X X X X x - - - - - - | 24 .00000
++---+---+---+---+---+---+---+---+---+---+---+---+--+ 25+ .00000
0
2
4
6
8 10 12 14 16 18 20 22 24 x
P(X<=x)
------.00674
.04043
.12465
.26503
.44049
.61596
.76218
.86663
.93191
.96817
.98630
.99455
.99798
.99930
.99977
.99993
.99998
.99999
1.00000
1.00000
1.00000
1.00000
1.00000
1.00000
1.00000
1.00000
*/
/*==================================================================
Example 3.2. Approximation to the Chi-Squared Distribution
Computes exact and approximate values of chi-squared probabilities.
*/==================================================================
Proc=apxchi(x,d)$
Calc;z=sqr(2*x)-sqr(2*d-1)
;list
;approx=Phi(z)
;exact=chi(x,d)$
Endproc
Exec;proc=apxchi(85,70)$
/*
APPROX = .89409039431135510D+00
EXACT
= .89297135030469340D+00
*/
/*==================================================================
Example 3.3. Linear Transformation of Normal Variable
No computations.
*/==================================================================
/*==================================================================
Example 3.4. Linear Transformations
Linear transformation of normally distributed variable. No
computations.
*/==================================================================
/*==================================================================
Example 3.5. Regression in an Exponential Distribution
Conditional distribution for an exponential model. No computations.
*/==================================================================
/*==================================================================
Example 3.6. Poisson Regression
Poisson Regression. Linear conditional mean function. No computations.
*/==================================================================
/*==================================================================
Example 3.7. Conditional Variance in a Poisson Model
Poisson Regression. Conditional variance function. No computations.
*/==================================================================
/*==================================================================
Example 3.8. Uniform - Exponential Mixture Distibution.
No computations.
*/==================================================================
/*==================================================================
Example 3.9. Covariance in a Mixture Distibution.
No computations.
*/==================================================================
/*==================================================================
Example 3.10. Decomposition of Variance.
No computations.
*/==================================================================
/*==================================================================
Example 3.11. Conditional Variance in a Poisson Regression.
Simple arithmetic computations.
*/==================================================================
/*==================================================================
Example 3.12. Analysis of Variance in a Poisson Model.
No computations.
*/==================================================================
Chapter 4. Statistical Inference

/*==================================================================
Example 4.1. Descriptive Statistics for a Random Sample
*/==================================================================
Read ; Nobs = 20 ; Nvar = 3 ; Names = I,Y,E$
1
20.5
12
2
31.5
16
3
47.7
18
4
26.2
16
5
44.0
12
6
8.28
12
7
30.8
16
8
17.2
12
9
19.9
10
10
9.96
12
11
55.8
16
12
25.2
20
13
29.0
12
14
85.5
16
15
15.1
10
16
28.5
18
17
21.4
16
18
17.7
20
19
6.42
12
20
84.9
16
Dstat ; Rhs = Y,E ; All ; Output = 3 $
Plot ; Lhs = E ; Rhs = Y $
DescriptiveStatistics
Allresultsbasedonnonmissingobservations.
==============================================================================
=
VariableMeanStd.Dev.MinimumMaximum
Cases
==============================================================================
=
Y31.278000022.37583376.4200000085.5000000
20
Skewness=1.3343Kurtosis=3.8681
E14.60000003.1187041810.000000020.0000000
20
Skewness=.1649Kurtosis=1.7860
MatrixCOV.MAT.has2rowsand2columns.
YE
+
Y|.5006779D+03.2359705D+02
E|.2359705D+02.9726316D+01
CorrelationMatrixforListedVariables
YE
Y1.00000.33815
E.338151.00000
90
80
70
60
50
40
30
20
10
0
10
12
14
16
18
20
22
/*==================================================================
Example 4.2. Sampling Distribution of a Sample Mean
Central limit theorem. Computes a draw from chi-squared 1 by squaring
a draw from standard normal. Averages 4 such draws. Repeats
1000 times, and plots a histogram of the draws.
*/==================================================================
Sample ; 1-1000$
Create ; Means = (1/4)*(
(Rnn(0,1))^2+(Rnn(0,1))^2
+(Rnn(0,1))^2+(Rnn(0,1))^2)$
Histogram ; Rhs=means ; int=30$ (30 Bars)
128
Histogram for Variable MEANS
Frequency
96
64
32
0 1 2 3 4 5 6 7 8 91011121314151617181920212223242526272829
Bin
HistogramforMEANSNOBS=1000,Toolow:0,Toohigh:0
BinLowerlimitUpperlimitFrequencyCumulativeFrequency
========================================================================
0.026.17546(.0460)46(.0460)
1.175.32475(.0750)121(.1210)
2.324.473103(.1030)224(.2240)
3.473.623113(.1130)337(.3370)
4.623.772112(.1120)449(.4490)
5.772.921100(.1000)549(.5490)
6.9211.07077(.0770)626(.6260)
71.0701.21966(.0660)692(.6920)
81.2191.36858(.0580)750(.7500)
91.3681.51747(.0470)797(.7970)
101.5171.66739(.0390)836(.8360)
111.6671.81631(.0310)867(.8670)
121.8161.96528(.0280)895(.8950)
131.9652.11425(.0250)920(.9200)
142.1142.26313(.0130)933(.9330)
152.2632.41217(.0170)950(.9500)
162.4122.56210(.0100)960(.9600)
172.5622.71113(.0130)973(.9730)
182.7112.8603(.0030)976(.9760)
192.8603.0095(.0050)981(.9810)
203.0093.1583(.0030)984(.9840)
213.1583.3074(.0040)988(.9880)
223.3073.4574(.0040)992(.9920)
233.4573.6062(.0020)994(.9940)
243.6063.7553(.0030)997(.9970)
253.7553.9041(.0010)998(.9980)
263.9044.0531(.0010)999(.9990)
274.0534.2020(.0000)999(.9990)
284.2024.3520(.0000)999(.9990)
294.3524.5011(.0010)1000(1.0000)
/*==================================================================
Example 4.3. Sampling Distribution of the Sample Minimum.
No computations.
*/==================================================================
/*==================================================================
Example 4.4. Mean Squared Error of the Sample Variance.
No computations.
*/==================================================================
/*==================================================================
Example 4.5. Quadratic Loss Function.
No computations.
*/==================================================================
/*==================================================================
Example 4.6. Likelihood Function for the Exponential Distribution.
No computations.
*/==================================================================
/*===================================================================
Example 4.7. Likelihood Function for the Normal Distribution.
No computations.
*/==================================================================
/*==================================================================
Example 4.8. Variance Bound for the Poisson Distribution.
No computations.
*/==================================================================
/*==================================================================
Example 4.9. Information Matrix for the Normal Distribution.
No computations.
*/==================================================================
/*==================================================================
Example 4.10. Convergence of the Sample Minimum in Exponential
Sampling. No computations.
*/==================================================================
/*==================================================================
Example 4.11. Estimating a Function of the Mean
No computations.
*/==================================================================
/*==================================================================
Example 4.12. Probability Limit of a Function of x-bar and s-squared
No computations.
*/==================================================================
/*==================================================================
Example 4.13. Limiting Distribution of t(n-1)
The following plots the distribution of t for 2, 10, 40,and infinite
degrees of freedom.
*/==================================================================
Sample ; 1-101$
Plot and connect 100 segments
Create ; t=trn(-4,.08)$
Values -4 to +4 in steps of .08
?
? This procedure obtains the value of the density over a
? grid of values contained in variable t, and puts then
? in a variable passed as fn.
?
Proc = tdensity(fn,t,d)$
Create;fn=Gma((d+1)/2)/Gma(d/2) / sqr(d*pi) *
(1+t*t/d)^(-(d+1)/2)$
Endproc$
?
? Compute for 2, 10, 40, infinity. (Last is N(0,1).)
Execute ; Proc=tdensity(t2,t,2)$
Create ; tinf=N01(t)$
?
? Now plot the four densities in the same figure.
Plot
; lhs=t ;rhs=t2,t10,t40,tinf ; Fill intervals
; Yaxis=Density
; Title=t Densities with Different Degrees of Freedom$
10
t Densities with Different Degrees of Freedom

.42
Density
.34
T2
T10
T40
TINF
.25
.17
.08
.00
-6
-4
-2
/*==================================================================
Example 4.14. Asymptotic Distribution of the Mean of an Exponential
Sample.
We generate the plot in the text for the mean of a sample of 16 from
exponential with parameter theta=1. Note, N and Theta are reserved
names in LIMDEP, so we use other names
*/==================================================================
Sample ; 1-101$
Calc
; thet = 1 ; nobs=16 ; df=2*nobs $
?
? Density of the chi-squared variable with 2n degrees of freedom
? Computed for t = 0 to 50.
Create ; t = trn(0,.5)
; Exact = .5^(df/2)/Gma(df/2) * Exp(-.5*t)*(t^(df/2-1)) $
?
? For the simple linear transformation from t to Xbar=theta/2n*t,
? just scale the variable down and the density up.
?
Create ; Xbar_n = t*thet/df
; Exact = Df/thet * Exact $
?
? Asymptotic distribution is normal with mean theta, and
? standard deviation theta/sqr(n).
?
Create ; Asymp = 1/Sqr(thet/nobs) *
N01((Xbar_n-thet)/Sqr(Thet/Nobs))$
?
? Now, just plot two densities.
?
Plot
; Lhs = Xbar_n
; Rhs = Exact,Asymp
; Fill;Endpoints=0,1.75
; Yaxis=Density
; Title=Asymptotic and Exact Distribution$
11
Asymptotic and Exact Distribution

1.7
EXACT
ASYMP
Density
1.4
1.0
.7
.3
.0
.0
.3
.7
1.0
1.4
1.8
XBAR_N
/*==================================================================
Example 4.15. Asymptotic Inefficiency of the Median in Normal
Sampling
No computations.
*/==================================================================
/*==================================================================
Example 4.16. Asymptotic Distribution for a Function of Two Estimates
No computations.
*/==================================================================
/*==================================================================
Example 4.17. Asymptotic Moments of the Sample Variance
No computations.
*/==================================================================
/*==================================================================
Example 4.18. Poisson Likelihood Function.
No computations.
*/==================================================================
/*==================================================================
Example 4.19. Likelihood for the Normal Distribution.
No computations.
*/==================================================================
/*==================================================================
Example 4.20. Multivariate Normal Mean Vector
No computations.
*/==================================================================
12
/*==================================================================
Example 4.21. Information Matrix for a Multivariate Normal Distribution
No computations.
*/==================================================================
/*==================================================================
Example 4.22. Variance Estimators for an MLE
*/==================================================================
Read ; Nobs=20 ; Nvar=3 ; Names=
I,
Y,
X $
1
20.5
12
2
31.5
16
3
47.7
18
4
26.2
16
5
44.0
12
6
8.28
12
7
30.8
16
8
17.2
12
9
19.9
10
10
9.96
12
11
55.8
16
12
25.2
20
13
29.0
12
14
85.5
16
15
15.1
10
16
28.5
18
17
21.4
16
18
17.7
20
19
6.42
12
20
84.9
16
?
? 1. Compute Maximum Likelihood Estimator
?
Results that will follow are shown.
?
Maximize ; Fcn = -log(beta+e)-y/(beta+e)
; Labels = beta
; Start = 0 $
/*=================================================================
Note that the standard error shown below is the square root of the
BHHH estimate which we compute below. This is the one that LIMDEP
uses.
+---------------------------------------------+
| User Defined Optimization
|
| Maximum Likelihood Estimates
|
| Dependent variable
Function
|
| Weighting variable
ONE
|
| Number of observations
20
|
| Iterations completed
2
|
| Log likelihood function
-88.43626
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] |
+---------+--------------+----------------+--------+---------+
BETA
15.60272720
10.025547
1.556
.1196
*/=================================================================
13
?
? Compute variance estimators. Compute as a set of observations
? sum, then take reciprocals of sums.
Create
; Hessian = 1/(beta+e)^2 - 2*y/(beta+e)^3

; EHessian = -1/(beta+e)^2
; BHHH
= (-1/(beta+e) + y/(beta+e)^2)^2$
Calc;List; V1 = -1/Sum(Hessian)
; V2 = -1/Sum(EHessian)
; V3 = 1/Sum(BHHH)$
/*=================================================================
V1
= .46163366852196030D+02
V2
= .44254604293881970D+02
V3
= .10051158752168130D+03
Calculator: Computed
3 scalar results
*/==================================================================
/*==================================================================
Example 4.23. Two Step Estimation.
No computations, as no data used. The following shows how to do it.
*/==================================================================
? 1. Set up the data after reading them in.
Namelist ; X = the list of variables $
Namelist ; Z = the list of variables $
Create
; Y1 = the Poisson variable $
Create
; Y2 = the binary variable $
? 2 Fit the Poisson model. LIMDEP has a simple command
?
for this: Poisson ; Lhs = Y1 ; Rhs = Z $
?
Note a trick, Gma(y+1)=y!. Lgm(.)=Log(Gma)
Calc
; KZ = Col(Z) $
Matrix
; Delta0 = Init(KZ,1,0.0) $
Maximize ; Labels = KZ_Delta ; Start = Delta0
; Fcn = ey = Exp(Delta1'Z) | -ey+y1*log(ey)-lgm(y1+1)$
? (Note, B is the full coefficient vector estimated)
Create
; ey1 = Exp(b'Z) ; uisqrd = (y1 - ey1)^2$
Matrix
; V1 = <Z'[uisqrd]Z>$
?
? 3. Fit the logit model. Once again, there is a simple
?
command, Logit ; Lhs=Y2 ; Rhs = X2,Ey1 $ But, we'll
?
do it a little more elaborately.
?
Namelist ; X21 = X,Ey $
Calc
; K1 = Col(X) $
Matrix
; Beta0 = Init(K1,1,0.0)$
Maximize ; Labels = K1_Beta,Gamma ; Start = Beta0, 0
; Fcn = P = 1/(1+exp(-Beta0'X1-Gamma*Ey)) |
log( y2*P + (1-y2)*(1-P)) $
Create
; Prob = 1/(1+exp(-B'X21)) ; visqrd
= (y2 - Prob)^2 $
Matrix
; V2 = <X21'[Visqrd]X21> $
?
? 4. Compute R and C to do the correction to V2
?
Create
; ci = visqrd*Gamma*Ey1
; ri = Sqr(visqrd)*Sqr(visqrd) $
Matrix
; C = X21'[ci]Z ; R = X21'[ri]Z
; V2S = C*V1*C' - R*V1*C1 - C*V1*R'
; V2S = V2 + V2 * V2S * V2
; Stat(b,V2S) $
/*==================================================================
Example 4.24. Method of Moments Estimator for N[mu,sigma^2]
No computations.
14
*/==================================================================
/*==================================================================
Example 4.25. Mixture of Normal Distributions.
No computations.
*/==================================================================
/*==================================================================
Example 4.26. Gamma distribution.
Method of moments and MLE.
*/==================================================================
I,
Y,
X $
1
20.5
12
2
31.5
16
3
47.7
18
4
26.2
16
5
44.0
12
6
8.28
12
7
30.8
16
8
17.2
12
9
19.9
10
10
9.96
12
11
55.8
16
12
25.2
20
13
29.0
12
14
85.5
16
15
15.1
10
16
28.5
18
17
21.4
16
18
17.7
20
19
6.42
12
20
84.9
16
?
?------------------------------------------------------------? First compute moments. With 'i' = variable, then means.
?------------------------------------------------------------Create ; m1i=y ; m2i=y*y ; mstari=log(y) ; m_1i=1/y$
Calc
; list ; m1=xbr(m1i) ; m2=xbr(m2i) ; mstar=xbr(mstari)
; m_1=xbr(m_1i) $
?------------------------------------------------------------? Starting value for solutions to moment equations. If
? P=1, Lambda = 1/y-bar. Use these as initial guesses.
?------------------------------------------------------------Calc
; l0 = 1/m1$
?------------------------------------------------------------? Maximum likelihood estimation. Results are shown.
?------------------------------------------------------------Maximize
; fcn=p*log(l)-lgm(p)-l*y+(p-1)*log(y)
; labels=p,l ; start = 1,l0$
15
/*
Normal exit from iterations. Exit status=0.
+---------------------------------------------+
|
20
|
6
|
-85.37567
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
+---------+--------------+----------------+--------+---------+
P
2.410601626
.87682554
2.749
.0060
L
.7707018675E-01 .27077098E-01
2.846
.0044
*/
?------------------------------------------------------------? Alternative estimators using the method of moments.
? Just finding solution to two equations, so set sample to 1.
?------------------------------------------------------------?
Sample ; 1 $
?
?------------------------------------------------------------? Based on m1 and m2. Note, equations are m1=P/l = 0 and
? m2=P(P+1)/l^2 = 0. But, the solution is the same for
? l*m1 - P = 0 and l*l*m2 - P(P+1) = 0. Also, the solutions
? are forced by minimizing the sum of squares. For two
? equations and two unknowns, this zeros exactly.
?------------------------------------------------------------?
Minimize ; fcn = (l*m1 - p)^2 + (l*l*m2 - p*(p+1))^2
; labels = p,l ; Start = 1,l0 $
/*
+---------------------------------------------+
81
|
-.2122069E-14 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
+---------+--------------+----------------+--------+---------+
P
2.056818141
1.0000000
2.057
.0397
L
.6575925992E-01 1.0000000
.066
.9476
*/
?------------------------------------------------------------? Based on m_1 and m2
?------------------------------------------------------------?
Minimize ; fcn = ((p-1)*m_1 - l)^2 + (l*l*m2 - p*(p+1))^2
/*
+---------------------------------------------+
1
|
11
|
-.9040069E-09 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
+---------+--------------+----------------+--------+---------+
P
2.607765493
1.0000000
2.608
.0091
L
.8044102328E-01 1.0000000
.080
.9359
*/
?-------------------------------------------------------------
16
? Based on m1 and m*
?------------------------------------------------------------?
Minimize ; fcn = (l*m1 - P)^2 + (mstar - (psi(p)-log(l)))^2
/*
+---------------------------------------------+
1
|
9
|
-.4243523E-12 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
+---------+--------------+----------------+--------+---------+
P
2.410597740
1.0000000
2.411
.0159
L
.7707008485E-01 1.0000000
.077
.9386
*/
?------------------------------------------------------------? Based on m2 and m*
?------------------------------------------------------------?
Minimize ; fcn = (l*l*m2 - P*(P+1))^2 + (mstar - (psi(p)-log(l)))^2
/*
+---------------------------------------------+
1
|
10
|
-.1754566E-10 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
+---------+--------------+----------------+--------+---------+
P
2.264470105
1.0000000
2.264
.0235
L
.7130398476E-01 1.0000000
.071
.9432
*/
?------------------------------------------------------------? Based on m_1 and m*
?------------------------------------------------------------?
Mini ; fcn = ((p-1)*m_1 - l)^2 + (mstar - (psi(p)-log(l)))^2
/*
+---------------------------------------------+
1
|
11
|
-.2031249E-12 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
+---------+--------------+----------------+--------+---------+
P
3.035841208
1.0000000
3.036
.0024
L
.1018203332
1.0000000
.102
.9189
*/
17
?------------------------------------------------------------? Next set of computations is based on the MLEs, which use

? m1 and m*. So, we redo the computations of l and P with
? these two moments.
?------------------------------------------------------------?
Sample
; 1 $
Minimize ; fcn = (l*m1 - P)^2 + (mstar - (psi(p)-log(l)))^2
?
?------------------------------------------------------------? Get estimated covariance matrix for moments
?------------------------------------------------------------Sample ; 1 - 20 $
Matrix ; list; V = 1/n*Xvcm(m1i,mstari)$
/*
Matrix V
has 2 rows and 2 columns.
1
2
+---------------------------1| .2503390D+02 .7155037D+00
2| .7155037D+00 .2387296D-01
*/
?------------------------------------------------------------? Elements of derivative matrix.
?------------------------------------------------------------Calc;list ; g11=-1/l;g12=p/l^2;g21=-psp(P);g22=1/l$
/*
G11
= -.12975203049693140D+02
G12
= .40583833808939320D+03
G21
= -.51240866266339470D+00
G22
= .12975203049693140D+02
*/
?------------------------------------------------------------? G matrix, and covariance matrix.
?------------------------------------------------------------Matrix ;G=[g11,g12/g21,g22];Gt=G';list;Var=<G>*V*<Gt>$
/*
Matrix VAR
1
2
+---------------------------1| .3897375D+00 .1460351D-01
2| .1460351D-01 .6874036D-03
*/
?
?------------------------------------------------------------? Covariance matrix based on Hessian of the log likelihood.
?------------------------------------------------------------Sample ; 1-20$
Calc
; h11=psp(p);h12=-1/l;h21=h12;h22=p/l^2$
Matrix ; Hessian=[h11,h12/h21,h22];list;1/n*<Hessian>$
/*
Matrix Result
1
2
+---------------------------1| .5124327D+00 .1638317D-01
2| .1638317D-01 .6469939D-03
*/
18
/*==================================================================
Example 4.27. Characterizing normality of a distribution
No computations, but here is how they could be applied. We use the data from
table 4.1
*/==================================================================
I,
Y,
E $
1
20.5
12
2
31.5
16
3
47.7
18
4
26.2
16
5
44.0
12
6
8.28
12
7
30.8
16
8
17.2
12
9
19.9
10
10
9.96
12
11
55.8
16
12
25.2
20
13
29.0
12
14
85.5
16
15
15.1
10
16
28.5
18
17
21.4
16
18
17.7
20
19
6.42
12
20
84.9
16
Create ; d = y - Xbr(y)
; m2 = d^2 ; m3 = d^3 ; m4 = d^4 ; m5 = d^5
; m6 = d^6 ; m7 = d^7 ; m8 = d^8$
Calc
; mu2 = Xbr(m2) ; mu3 = Xbr(m3) ; mu4 = Xbr(m4)
; mu5 = Xbr(m5) ; mu6 = Xbr(m6) ; mu7 = Xbr(m7)
; mu8 = Xbr(m8) $
Calc
; Theta1 = Mu3 / Mu2^(1.5)
; Theta2 = Mu4 / Mu2^2 -3$
Names ; M = m2,m3,m4 $
Matrix ; V = 1/n* XVCM(M) $
Calc
; j11 = -1.5 / mu2^2.5 * mu3
; j12 = mu2^(-1.5)
; j21 = -2/mu2^3 * mu4
; j23 = mu2^(-2) $
Matrix ; J = [j11,j12,0 / j21,0,j23]
; Vart = J * V * J'
; Theta12 = [Theta1 / Theta2]
; Stat(Theta12,Vart)$
/*
Matrix statistical results: Coefficients=TH2
Variance=VART
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
TH2 _ 1 1.368929905
.36055351
3.797
.0001
TH2 _ 2 1.071718598
.90811548
1.180
.2379
*/
19
/*==================================================================
Example 4.28. Confidence Intervals for the Normal Mean.
For N[mu,sigma^2]
*/==================================================================
?
? Data and sample set up in variable named X.
?
Proc = CI(x,sig) $
Calc ; xbar = Xbr(x)
; sdev = Sdv(x) $
Calc ; list ; z = ttb(sig,(n-1))
; Lower = xbar - z*sdev/sqr(n)
; Upper = xbar + z*sdev/sqr(n) $
Calc ; list ; c1 = ctb(sig,(n-1))
; c2 = ctb((1-sig),(n-1))
; Lower = sqr(n-1)*sdev/c1
; Upper = sqr(n-1)*sdev/c2 $
EndProc
?
? We now execute our procedure for the income data of the
? previous examples.
?
Exec;proc=ci(y,.95)$
/*
Z
= .17291328084071510D+01
LOWER
= .22626476765584580D+02
UPPER
= .39929523234415430D+02
C1
= .30143527215110020D+02
C2
= .10117013148930000D+02
LOWER
= .32356531161353670D+01
UPPER
= .96405921717317770D+01
*/
/*==================================================================
Example 4.29. Estimated Confidence Intervals for A Normal Mean.
No computation required.
*/==================================================================
/*==================================================================
Example 4.30. Confidence Intervals for A Normal Variance
No computation required.
*/==================================================================
20
/*==================================================================
Example 4.31. Power Function for a Test about a Mean
We compute the power function for a test based on the
results in Example 4.19. Sampling 25 observations from
the normal distribution, we obtain xbar=1.63 and s=1.51.
The test is H0:mu = 1.5. The hypothesis will be rejected
if the t-ratio, sqr(n)*(xbar-1.5)/s is > 2.064.
*/==================================================================
?
? The t statistic is shown first.
?
Calc list ; tstat=sqr(25)*(1.63-1.5)/.51$
?
? Now, compute and plot the power function.
?
? A grid of values for mu. We use .5 to 2.5, steps of .02
?
Sample ; 1-100$
Create ; mu=trn(.5,.02)$
Create ; pwr=0$
?
? We'll use the calc function for the t-table, in a loop
?
Proc $
Sample ; i$
? In the loop, Prob|t| > 2.064 if mu = mui equals
?
Prob|t*| > 2.064 - sqr(n)(mu-1.5)/s
?
Calc
; upper = 2.064-sqr(25)*(mui-1.5)/.51
; lower = -2.064-sqr(25)*(mui-1.5)/.51
; mui=mui+.02
; power = 1-tds(upper,24) + tds(lower,24)$
? Computed for this one observation, then put in the data.
Create ; pwr=power$
endproc
? Start the loop, then produce 100 values.
Calc
; mui=.5$
Exec
; i=1,100$
Sample ; 1-100$
Plot
; lhs=mu;rhs=pwr;fill;Title=Power Function for t test$
Power Function for t test
1.2
1.0
PW R
.8
.6
.4
.2
.0
MU
/*==================================================================
Example 4.32. Consistent Test About a Mean.
21
No computations done.
*/==================================================================
/*==================================================================
Example 4.33. Testing a Hypothesis about a Mean with a Confidence
Interval.
*/==================================================================
/*==================================================================
Example 4.34. One Sided Test About a Mean
*/==================================================================
/*==================================================================
Example 4.35. Wald Test for a Restriction
*/==================================================================
/*==================================================================
Example 4.36. Testing a Hypothesis About a Mean
*/==================================================================
/*===================================================
Section 4.9.4. Example of Various Test Procedures.
*/===================================================
Read ; Nobs = 20 ; Nvar = 3 ; Names = I,Y,E$
1
20.5
12
2
31.5
16
3
47.7
18
4
26.2
16
5
44.0
12
6
8.28
12
7
30.8
16
8
17.2
12
9
19.9
10
10
9.96
12
11
55.8
16
12
25.2
20
13
29.0
12
14
85.5
16
15
15.1
10
16
28.5
18
17
21.4
16
18
17.7
20
19
6.42
12
20
84.9
16
Sample;1-20$
?
? Just change name to be consistent with text
?
Create;x=e$
?
? Unrestricted maximum likelihood estimation.
?
22
Maxize ; fcn = -r*log(beta+x)-log(gma(r))-y/(beta+x)+(r-1)*log(y)

; start=-5,1
; labels=beta,r$
/*
+---------------------------------------------+
|
|
Function
|
ONE
|
20
|
4
|
-82.91605
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BETA
-4.718503621
3.6568024
-1.290
.1969
R
3.150896345
1.2398481
2.541
.0110
*/
?
? Pick off parameter estimates
?
Calc ; betaml=b(1);rml=b(2)$
?
? Compute variables that are first and second derivatives
? gb and gr are first derivatives, hbb,hrr,hbr = Hessian
? Also computes log likelihood function
?
Create ; gb=-rml/(betaml+x)+y/(betaml+x)^2
; gr=-log(betaml+x)-psi(rml)+log(y)
; hbb=rml/(betaml+x)^2-2*y/(betaml+x)^3
; hrr=-psp(rml)
; hbr=-1/(betaml+x)$
; loglik=-rml*log(betaml+x)-log(gma(rml))
-y/(betaml+x)+(rml-1)*log(y)$
?
? Summing terms produces log likelihood and derivatives.
?
calc;list;lloglu=sum(loglik)
;gbu=sum(gb)
;gru=sum(gr)
;hbbu=sum(hbb)
;hrru=sum(hrr)
;hbru=sum(hbr)$
;hbru=sum(hbr)$
/*
LLOGLU = -.82916048583538210D+02
GBU
= -.16887894027650670D-07
GRU
= .54968437801505840D-07
HBBU
= -.85570382274745960D+00
HRRU
= -.74591837131888800D+01
HBRU
= -.22419691609929970D+01
Calculator: Computed
6 scalar results
*/
? Estimators for asymptotic covariance matrix
? 1. Based on actual Hessian
?
Matrix ; vh=[hbbu/hbru,hrru] ; vh=-1*vh ; list; vh= <vh>$
23
/*
Matrix VH

1
2
+---------------------------1| .5499144D+01 -.1652850D+01
2| -.1652850D+01 .6308517D+00
*/
? 2. Expected Hessian. Compute variables and sum
?
Create ; ehbb=rml/(betaml+x)^2
; ehrr=psp(rml)
; ehbr=1/(betaml+x)$
Calc
; vehbb=sum(ehbb)
; vehrr=sum(ehrr)
; vehbr=sum(ehbr)$
Matrix ; list;evh=[vehbb/vehbr,vehrr];evh=<evh>$
/*
Matrix EVH
1
2
+---------------------------1| .4900316D+01 -.1472863D+01
2| -.1472863D+01 .5767540D+00
*/
? 3. BHHH estimator can be obtained using simple sums
?
Namelist ; G=gb,gr$
Matrix
; list ; VB = <G'G> $
/*
Matrix VB
1
2
+---------------------------1| .1337220D+02 -.4321743D+01
2| -.4321743D+01 .1537223D+01
*/
?--------------------------------------------------------? Testing procedures for the hypothesis RHO = 1.
?--------------------------------------------------------? 1. Form confidence interval
?
Calc ; list ; rholower=r-1.96*sqr(vh(2,2))
;rhoupper=r+1.96*sqr(vh(2,2))$
/*
RHOLOWER= .15941433617939830D+01
RHOUPPER= .47076493284860730D+01
*/
?
? 2. Likelihood ratio test requires restricted maximum
?
Note it's done by fixing RHO at the start value.
?
Maximize ; fcn=-r*log(beta+x)-log(gma(r))-y/(beta+x)+(r-1)*log(y)
; start=-5,1
; labels=beta,r
; fix=r$
Calc;list; lrtest=-2*(logl-lloglu)$
24
/*
+---------------------------------------------+
|
Function
|
20
|
2
|
-88.43626
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BETA
15.60272448
.24174096E-02 6454.316
.0000
R
1.000000000
........(Fixed Parameter)........
LRTEST = .11040428574057930D+02
*/
? Wald test
? Recompute estimates, then use built-in Wald procedure.
? This uses the BHHH estimator for the VC matrix.
?
; start=-5,1
; labels=beta,r$
Wald
; fn1=r-1$
/*
+-----------------------------------------------+
| WALD procedure. Estimates and standard errors |
| for nonlinear functions and joint test of
|
| nonlinear restrictions.
|
| Wald Statistic
=
3.00955
|
| Prob. from Chi-squared[ 1] =
.08278
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) 2.150896345
1.2398481
1.735
.0828
*/
? Unfortunately, if the test is based on the Hessian, a different
? conclusion is reached. Using asymptotic results with 20
? observations can lead to this.
?
Calc ; List ; Waldtest=(rml-1)^2/VH(2,2)$
/*
WALDTEST= .73335066911316080D+01
*/
? LM Test. Compute gradient and Hessian using restricted values.
?
? These maximization results appear above.
?
; start=-5,1
; labels=beta,r ; Fix = r $
Calc
; betaml=b(1);rml=b(2)$
Create
; gb=-rml/(betaml+x)+y/(betaml+x)^2
; gr=-log(betaml+x)-psi(rml)+log(y) $
Namelist ; G=gb,gr$
Matrix
; list ; lm=1'G*<G'G>*G'1$
/*
1| .1568679D+02
*/
25
Chapter 5. Computation and Optimization

/*==================================================================
Example 5.1. Random Number Generator
No computations done. For the interested reader, here is a Fortran
subroutine that does the computation. The 'COMMON' is used to make
the routine remeber the seed between calls. Many programs use
different 'library' programs, such as the IMSL routines.
C
C RANDOM NUMBER GENERATOR
C
SUBROUTINE RANDOM (X)
IMPLICIT
DOUBLE PRECISION ( A-H, O-Z )
COMMON/RNSEED/SEED
RPM = 2147483647.D0
RPM2 = 2147483655.D0
SEED = MOD( 16807.D0*SEED, RPM )
X = SEED / RPM2
RETURN
END
*/==================================================================
/*==================================================================
Example 5.2. Gibbs Sampler for a Bivariate Distribution
*/==================================================================
/*==================================================================
Example 5.3. Monte Carlo Study of the Mean versus
the Median. We do this with a procedure with variable
parameters, and some useful tools from matrix algebra.
*/==================================================================
?
? The entire operation is contained in the procedure
?
Proc = MeanMed(r,nr,d)
?
? Initialize targets and set ultimate sample size.
?
Calc
; Vmean=0;Vmedian=0$
Sample ; 1 - nr $
?
? Matrix command generates a sample of nr observations
? from t distribution with d degrees of freedom.
? Repeat operation R times.
?
Do For ; Rep ; ir = 1,r $
Matrix ; Zc = Rndm(nr,d) ; Zt = Rndm(nr) ? Std. Normal
; Zc = Dirp(Zc,Zc) ? Squares of standard normals
; i =Init(d,1,1.0) ? Sqrt of sum of squares.
; c = 1/d * Zc * i ; c = Esqr(c)
; c = Diri(c) ; t = Dirp(c,Zt) $ Sample from t.
?
? Move matrix of values to variable so Calc can use.
26
? Then, get Mean, Median, mean square for both.

Create ; ti = t $
Calc; ; Mean = Xbr(ti) ; Median = Med(ti)
; Vmean=Vmean + (1/r)*Mean^2
; Vmedian = Vmedian + (1/r)*Median^2 $
EndDo ; Rep $
EndProc
?
? Run Simulation, then report results.
?
Exec
; Proc = MeanMed(100,10,3)$
Calc
; List ; 10;3;Vmean ; Vmedian ; Mnd= VMedian/VMean $
Exec
Calc
Exec
; Proc = MeanMed(100,10,10)$
Calc
Exec
Calc
Exec
Calc
Exec
; Proc = MeanMed(100,25,10)$
Calc
Exec
; Proc = MeanMed(100,100,3)$
Calc
Exec
; Proc = MeanMed(100,100,6)$
Calc
Exec
; Proc = MeanMed(100,100,10)$
Calc
/*
--> Calc
Result = .10000000000000000D+02
Result = .30000000000000000D+01
VMEAN
= .22776773705592240D+00
VMEDIAN = .17605331923973410D+00
MND
= .77295108392155140D+00
--> Calc
Result = .10000000000000000D+02
Result = .60000000000000000D+01
VMEAN
= .19460318324261890D+00
VMEDIAN = .17792811471082130D+00
MND
= .91431245751510570D+00
--> Calc
Result = .10000000000000000D+02
Result = .10000000000000000D+02
VMEAN
= .13668025146327190D+00
VMEDIAN = .19708691312004350D+00
MND
= .14419560324924030D+01
--> Calc
Result = .25000000000000000D+02
Result = .30000000000000000D+01
VMEAN
= .94318530651331700D-01
VMEDIAN = .61968114454716990D-01
MND
= .65700890404871950D+00
--> Calc
Result = .25000000000000000D+02
Result = .60000000000000000D+01
VMEAN
= .51450736989300260D-01
VMEDIAN = .78848948688663210D-01
MND
= .15325134935396690D+01
--> Calc
Result = .25000000000000000D+02
Result = .20000000000000000D+02
27
VMEAN
= .53514169743784310D-01
VMEDIAN = .68681800841004060D-01
MND
= .12834320549088120D+01
--> Calc
Result = .10000000000000000D+03
Result = .30000000000000000D+01
VMEAN
= .29494182014539210D-01
VMEDIAN = .19603646167951140D-01
MND
= .66466146300607670D+00
--> Calc
Result = .10000000000000000D+03
Result = .60000000000000000D+01
VMEAN
= .14990919512419500D-01
VMEDIAN = .18084504512921710D-01
MND
= .12063639257044430D+01
--> Calc
Result = .10000000000000000D+03
Result = .10000000000000000D+02
VMEAN
= .11726483356199100D-01
VMEDIAN = .17747666776421600D-01
MND
= .15134688070860960D+01
*/
/*==================================================================
Example 5.4. Probabilities for a Discrete Choice Model
*/==================================================================
/*==================================================================
Example 5.5. The Bivariate Normal CDF
*/==================================================================
/*==================================================================
Example 5.6. Fractional Moments of the Truncated Normal
Distribution.
*/==================================================================
? This can be done elegantly using Geweke's method of Simulating a
? truncated distribution. When computation is cheap, brute force will
? suffice. Here, we estimate the expected value of z^.45 given
? z > 0 when the underlying distribution is normal with
? mean -.35 and standard deviation 1.179.
Rows
; 10000 $
Create ; z = Rnn(-.35,1.179) $
Reject ; z <= 0 $
Create ; zp = z^.45 $
Dstat ; Rhs = zp $
/*
The resulting subsample has 3867 observations, enough to estimate the
mean of a distribution with fair precision.
Descriptive Statistics
==============================================================================
=
Variable
Mean
Std.Dev.
Minimum
Maximum
Cases
-----------------------------------------------------------------------------ZP
.837394245 .338424255
.350684226E-01 1.78732350
3867
*/
/*==================================================================
Example 5.7. Mean of a Lognormal Distribution.
*/==================================================================
?
28
? We sample 10,000 observations from the chi-squared 1

? distribution, then average the values of
? exp(.5*(x - (log(x))^2 * sqr(x). Note, true value = 1.648
?
Rows
; 10000 $
Create ; x = (Rnn(0,1))^2 ; q = exp(.5*(x - (log(x))^2) * sqr(x) $
Calc
; List ; Xbr(q) $
/*
Result = .15718250473903100D+01
*/
/*==================================================================
Example 5.8. Consumer Choice
No computations.
*/==================================================================
/*==================================================================
Example 5.9. Concentrated log likelihood function
No computations.
*/==================================================================
/*==================================================================
Example 5.10. Function of One Parameter
*/==================================================================
? Iterative solution to finding the maximum of f(t) = log(t)-.1*t*t
?
Proc=Iterate$
Calc ; List ; f = log(t) - .1*t*t ; f1 = 1/t - .2*t ; f2 = -1/t^2 - .2
; t = t - f1/f2 $
EndProc
Calc ; t = 5 $
Exec ; n = 5 $
/*
F
= -.89056208756589970D+00
F1
= -.80000000000000000D+00
F2
= -.24000000000000000D+00
T
= .16666666666666670D+01
F
= .23304784598821290D+00
F1
= .26666666666666640D+00
F2
= -.55999999999999980D+00
T
= .21428571428571430D+01
F
= .30295637857750900D+00
F1
= .38095238095238070D-01
F2
= -.41777777777777780D+00
T
= .22340425531914890D+01
F
= .30471813550042990D+00
F1
= .81053698074978750D-03
F2
= -.40036281179138330D+00
T
= .22360670593565920D+01
F
= .30471895621688160D+00
F1
= .36725735436116130D-06
F2
= -.40000016424254940D+00
T
= .22360679774996010D+01
Maximum repetitions of PROC
*/
/*==================================================================
Example 5.11. Function of Two Parameters - The Gamma Distribution
*/==================================================================
Proc = GammaMin(Method,r0,beta0)
Sample ; 1 $
Maximize ; fcn = r*log(beta)-lgm(r)-3*beta+r-1
; labels = r,beta
29
; Start = r0,beta0
; Alg = Method ; Output = 3 $
EndProc
Exec ; Proc = GammaMin(DFP,4,1)$
Exec ; Proc = GammaMin(Newton,4,1)$
/*
Results are as reported in the text. One example, the first trial with
the two different methods follows, with the third on using Netwon.
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
First trial with DFP
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
--> Exec ; Proc = GammaMin(DFP,4,1)$
Nonlinear Estimation of Model Parameters
Method=D/F/P ; Maximum iterations=100
Convergence criteria:gtHg
.1000D-05 chg.F
.0000D+00 max|dB|
.0000D+00
Nodes for quadrature: Laguerre=40;Hermite=20.
Replications for GHK simulator= 100
Start values:
.40000D+01
.10000D+01
1st derivs.
.25612D+00 -.10000D+01
Parameters:
.40000D+01
.10000D+01
Itr 1 F= .1792D+01 gtHg= .1032D+01 chg.F= .1792D+01 max|db|=
.1000D+01
1st derivs.
-.50064D-01
.46474D-01
Parameters:
.39165D+01
.13260D+01
Itr 2 F= .1644D+01 gtHg= .6831D-01 chg.F= .1475D+00 max|db|=
.3505D-01
1st derivs.
-.24433D-01 -.27472D-01
Parameters:
.39422D+01
.13022D+01
Itr 3 F= .1643D+01 gtHg= .3676D-01 chg.F= .1191D-02 max|db|=
.2110D-01
1st derivs.
-.45950D-01
.40884D-01
Parameters:
.39805D+01
.13452D+01
.3039D-01
1st derivs.
-.45950D-01
.40884D-01
Parameters:
.39805D+01
.13452D+01
Itr 1 F= .1642D+01 gtHg= .6151D-01 chg.F= .1642D+01 max|db|=
.3039D-01
1st derivs.
-.22873D-01 -.25705D-01
Parameters:
.40047D+01
.13236D+01
.7429D-02
1st derivs.
-.29678D-02
.80328D-02
Parameters:
.52166D+01
.17435D+01
.2087D-02
1st derivs.
.28664D-04 -.74510D-04
Parameters:
.52315D+01
.17438D+01
.3484D-04
1st derivs.
-.38532D-07
.94779D-06
Parameters:
.52313D+01
.17438D+01
.2322D-05
1st derivs.
-.20931D-07
.56667D-07
Parameters:
.52313D+01
.17438D+01
30
.2005D-07
* Converged
+---------------------------------------------+
|
|
Function
|
ONE
|
1
|
6
|
-1.623390
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
R
5.231320409
1.0000000
5.231
.0000
BETA
1.743773508
1.0000000
1.744
.0812
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
First trial with Newton
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
--> Exec ; Proc = GammaMin(Newton,4,1)$
Method=NEWTON; Maximum iterations=100
.1000D-05 chg.F
.0000D+00 max|dB|
.0000D+00
Start values:
.40000D+01
.10000D+01
1st derivs.
.25612D+00 -.10000D+01
Parameters:
.40000D+01
.10000D+01
.2030D+00
1st derivs.
.16474D-01 -.16874D+00
Parameters:
.38120D+01
.12030D+01
.3112D+00
1st derivs.
.40035D-02 -.40076D-01
Parameters:
.47952D+01
.15773D+01
.9545D-01
1st derivs.
.35301D-03 -.35036D-02
Parameters:
.51898D+01
.17279D+01
.9095D-02
1st derivs.
.28057D-05 -.32759D-04
Parameters:
.52309D+01
.17436D+01
.9067D-04
1st derivs.
-.42699D-08 -.14918D-07
Parameters:
.52313D+01
.17438D+01
.9583D-07
* Converged
+---------------------------------------------+
|
|
Function
|
ONE
|
31
1
|
6
|
-1.623390
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
R
5.231320038
7.1712051
.729
.4657
BETA
1.743773343
2.5089255
.695
.4870
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Last trial with Newton
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Method=NEWTON; Maximum iterations=100
.1000D-05 chg.F
.0000D+00 max|dB|
.0000D+00
Start values:
.20000D+01
.70000D+01
1st derivs.
-.25231D+01
.27143D+01
Parameters:
.20000D+01
.70000D+01
.3441D+02
Obs.=
1 Cannot compute function:
Note: Iterations, fn not computable at crnt. trial estimate
Cannot compute function at current values. Exit status=4.
+---------------------------------------------+
|
|
Function
|
ONE
|
1
|
1
|
.0000000
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
R
-47.82221823
1.0000000
-47.822
.0000
BETA
-233.8689728
1.0000000
-233.869
.0000
*/
32
/*==================================================================
Example 5.12. A Concentrated log likelihood function
*/==================================================================
?
? We plot the concentrated log likelihood, which suggests
? where the solution is. Then, we maximize it, and compute
? the other parameter residually. The full maximization
? over both parameters produces the same result.
?
Sample
; 1 $
Fplot
; Fcn = r*log(r/3) - lgm(r) - 1
; Start = 1
; Plot(r)
; Labels = r
; Pts = 100
; Limits = .05,10 $
Plot of User Defined Function
F u n c t io n
-1.5
-2.0
-2.5
-3.0
-3.5
-4.0
-4.5
.0
.2
.4
.6
.8
1.0
R (x10^01)
Maximize ; Fcn = r*log(r/3) - lgm(r) - 1

; labels = r
; start = 1 $
/*
Note: DFP and BFGS usually take more than 4 or 5
iterations to converge. If this problem was not
structured for quick convergence, you might want
to examine results closely. If convergence is too
early, tighten convergence with, e.g., ;TLG=1.D-9.
+---------------------------------------------+
|
|
Function
|
ONE
|
1
|
2
|
-1.623390
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
R
5.231326303
1.0000000
5.231
.0000
*/
33
Calc
; List
; Beta = r/3 $
Maximize ; Fcn = r*log(bt)-lgm(r)-3*bt+r-1
; Labels = r,bt
; Start = 4,1 $
/*
BETA=.17437754344134900D+01
+---------------------------------------------+
|
|
Function
|
ONE
|
1
|
6
|
-1.623390
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
R
5.231320513
1.0000000
5.231
.0000
BT
1.743773510
1.0000000
1.744
.0812
*/
34
/*==================================================================
Example 5.13 Maximum Likelihood Estimation
Program Code for Estimation of Harvey's Model
The data set for this model is 100 observations from Greene (1992)
Variables are:
Exp = Average monthly credit card expenditure
Age = Age in years+ 12ths of a year
Income = Income, divided by 10,000
OwnRent = individual owns (1) or rents (0) home
SelfEmpl = self employed (1=yes, 0=no)
*/==================================================================
?
? Initial Data Setup. Used for all examples
?
Read ; Nobs = 100 ; Nvar = 7 ; Names =
Derogs,Card,Age,Income,Exp,OwnRent,SelfEmpl $
0 1 38 4.52
124.98
1 0
0 1 33 2.42
9.85
0 0
0 1 34 4.50
15.00
1 0
0 1 31 2.54
137.87
0 0
0 1 32 9.79
546.50
1 0
0 1 23 2.50
92.00
0 0
0 1 28 3.96
40.83
0 0
0 1 29 2.37
150.79
1 0
0 1 37 3.80
777.82
1 0
0 1 28 3.20
52.58
0 0
0 1 31 3.95
256.66
1 0
0 0 42 1.98
0.00
1 0
0 0 30 1.73
0.00
1 0
0 1 29 2.45
78.87
1 0
0 1 35 1.91
42.62
1 0
0 1 41 3.20
335.43
1 0
0 1 40 4.00
248.72
1 0
7 0 30 3.00
0.00
1 0
0 1 40 10.00
548.03
1 1
3 0 46 3.40
0.00
0 0
0 1 35 2.35
43.34
1 0
1 0 25 1.88
0.00
0 0
0 1 34 2.00
218.52
1 0
1 1 36 4.00
170.64
0 0
0 1 43 5.14
37.58
1 0
0 1 30 4.51
502.20
0 0
0 0 22 3.84
0.00
0 1
0 1 22 1.50
73.18
0 0
0 0 34 2.50
0.00
1 0
0 1 40 5.50 1532.77
1 0
0 1 22 2.03
42.69
0 0
1 1 29 3.20
417.83
0 0
1 0 25 3.15
0.00
1 0
0 1 21 2.47
552.72
1 0
0 1 24 3.00
222.54
0 0
0 1 43 3.54
541.30
1 0
0 0 43 2.28
0.00
0 0
0 1 37 5.70
568.77
1 0
0 1 27 3.50
344.47
0 0
0 1 28 4.60
405.35
1 0
0 1 26 3.00
310.94
1 0
0 1 23 2.59
53.65
0 0
0 1 30 1.51
63.92
0 0
0 1 30 1.85
165.85
0 0
0 1 38 2.60
9.58
0 0
0 0 28 1.80
0.00
0 1
35
0 1
0 0
0 1
0 1
0 0
0 1
0 1
0 1
0 1
1 1
0 1
0 1
0 0
0 1
2 1
0 1
0 1
0 1
3 0
0 0
0 1
0 1
0 0
0 1
0 1
0 1
0 1
0 1
0 1
1 0
0 1
0 1
0 1
0 1
0 0
1 1
0 1
0 1
3 0
0 1
0 0
0 0
0 0
1 0
2 0
0 0
0 1
4 0
2 0
0 1
1 1
1 1
0 1
0 1
Create
Reject
36 2.00
319.49
38 3.26
0.00
26 2.35
83.08
28 7.00
644.83
50 3.60
0.00
24 2.00
93.20
21 1.70
105.04
24 2.80
34.13
26 2.40
41.19
33 3.00
169.89
34 4.80 1898.03
33 3.18
810.39
45 1.80
0.00
21 1.50
32.78
25 3.00
95.80
27 2.28
27.78
26 2.80
215.07
22 2.70
79.51
27 4.90
0.00
26 2.50
0.00
41 6.00
306.03
42 3.90
104.54
22 5.10
0.00
25 3.07
642.47
31 2.46
308.05
27 2.00
186.35
33 3.25
56.15
37 2.72
129.37
27 2.20
93.11
24 4.10
0.00
24 3.75
292.66
25 2.88
98.46
36 3.05
258.55
33 2.55
101.68
33 4.00
0.00
55 2.64
65.25
20 1.65
108.61
29 2.40
49.56
40 3.71
0.00
41 7.24
235.57
41 4.39
0.00
35 3.30
0.00
24 2.30
0.00
54 4.18
0.00
34 2.49
0.00
45 2.81
0.00
43 2.40
68.38
35 1.50
0.00
36 8.40
0.00
22 1.56
0.00
33 6.00
474.15
25 3.60
234.05
26 5.00
451.20
46 5.50
251.52
; y = Exp $
; Exp = 0 $
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
1
0
0
0
1
1
1
0
0
0
1
0
0
0
0
1
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
36
?
? Define variables in scedastic function
?
Namelist ; Z = One,Age,Income,OwnRent,SelfEmpl$
?
? Variables in deviations from means, hi used later.
?
Create
; y = y - Xbr(y) ; hi = log(y^2) $
?
? matrices that only need compute once, start values also.
?
Matrix
; ZZI = <Z'Z> ; gamma0 = ZZI * Z'hi ; H = 2*ZZI$
Calc
; c0 = gamma0(1)+1.2704 ; K = Col(Z)
; s20 = y'y/n ; delta = 1 ; iter=0 $
Create
; vi0 = (y^2 / s20 - 1) $
Matrix
; Gamma0(1) = c0
; Gamma
= Gamma0 $
?
? Computations in the iteration.
?
Procedure
Create
; vari = exp(Z'Gamma)
; vi = y^2 / vari - 1
; logli = -.5*(log(2*pi) + log(vari) + y^2/vari) $
?
? This is the iteration.
?
Matrix
; g = .5 * Z'vi ; update = H*g ; Gamma = Gamma + update $
?
? Display progress to solution
?
Calc
; list ; Iter = Iter+1 ; LoglU = Sum(logli)
; delta = g'update $
EndProc
?
? Do the estimation, with exit rule checked by the program
?
Execute ; While delta > .00001 $
?
? Display all results.
?
Matrix
; Stat (Gamma,H) $
/*
ITER
= .10000000000000000D+01
LOGLU
= -.51488159157020980D+03
DELTA
= .50216892265715530D+02
ITER
= .20000000000000000D+01
LOGLU
= -.50632062784012100D+03
DELTA
= .10110878618370730D+02
ITER
= .30000000000000000D+01
LOGLU
= -.50133108852306380D+03
DELTA
= .11384997784439750D+01
ITER
= .40000000000000000D+01
LOGLU
= -.50075807000005030D+03
DELTA
= .54612572364539240D-01
ITER
= .50000000000000000D+01
LOGLU
= -.50074068923265340D+03
DELTA
= .10654967586285280D-01
ITER
= .60000000000000000D+01
LOGLU
= -.50073784718162780D+03
DELTA
= .26491951233769230D-02
ITER
= .70000000000000000D+01
37
LOGLU
= -.50073714244356620D+03
DELTA
= .66467890235364090D-03
ITER
= .80000000000000000D+01
LOGLU
= -.50073696346889480D+03
DELTA
= .16586568129915330D-03
ITER
= .90000000000000000D+01
LOGLU
= -.50073691849030420D+03
DELTA
= .41471330270019660D-04
ITER
= .10000000000000000D+02
LOGLU
= -.50073690712118170D+03
DELTA
= .10359793062824090D-04
ITER
= .11000000000000000D+02
LOGLU
= -.50073690425106620D+03
DELTA
= .25907113319667200D-05
DELTA>.00001
Matrix statistical results: Coefficients=GAMMA
Variance=H
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
GAMMA_ 1 8.485631925
.83489674
10.164
.0000
GAMMA_ 2 .2030078669E-01 .27025653E-01
.751
.4526
GAMMA_ 3 .6713184878
.13026077
5.154
.0000
GAMMA_ 4 -.6084003442
.42520045
-1.431
.1525
GAMMA_ 5 -4.620293694
1.1792600
-3.918
.0001
*/
?
? Estimate of sigma-squared, plus a standard error for it.
?
Calc;List; Sigmasq = Exp(Gamma(1))
; SE = Sigmasq * Sqr(H(1,1)) $
/*
SIGMASQ = .48446579597521760D+04
SE
= .40447891203908600D+04
*/
?
? Test the hypothesis that coefficients are zero.
? 1. Likelihood ratio test
? 2. Wald test
? 3. LM test requires some computation
?
Calc
; list ; LogLR = -n/2*(1 + log(2*pi) + log(y'y/n))
; LRTest = -2*(LogLR - LogLU) $
Matrix
; Alpha = Gamma(2:K) ; Valpha = Part(H,2,K,2,K)
; List ; WaldTest = Alpha ' <VAlpha> Alpha $
Matrix
; list ; LMTest = .5* vi0'Z * <Z'Z> * Z'vi0 $
/*
LOGLR
= -.51653837177479360D+03
LRTEST = .31602935047454820D+02
Matrix WALDTEST has 1 rows and 1 columns.
1
+-------------1| .3332298D+02
Matrix LMTEST
has 1 rows and

1
+-------------1| .3262055D+02
1 columns.
*/
?
? Compute 3 different asymptotic covariance matrices
?
Create
; hi=y*y/exp(Z'gamma)
38
Matrix
;
;
;
;
;
vi=((hi-1)/2)^2$
List
Hessian = 2*<Z'[hi]Z>
EHessian= 2*<Z'Z>
BHHH
= <Z'[vi]Z> $
/*
Matrix HESSIAN
has
1
5 rows and
2
5 columns.
3
+---------------------------------------------------------------------1| .6249186D+00 -.2021446D-01 .1305190D-02 .7334084D-01 .

1124411D+00
2| -.2021446D-01 .9593834D-03 -.2513101D-02 -.3702593D-02 .8412266D02
3| .1305190D-02 -.2513101D-02 .2384767D-01 -.3461803D-02
-.1212877D+00
4| .7334084D-01 -.3702593D-02 -.3461803D-02 .1461350D+00 -.1586299D01
5| .1124411D+00 .8412266D-02 -.1212877D+00 -.1586299D-01 .
1701592D+01
Matrix EHESSIAN has
1
5 rows and
2
5 columns.
3
+---------------------------------------------------------------------1| .6970526D+00 -.1965523D-01 -.3255282D-01 .1312624D+00 .

2937755D+00
2| -.1965523D-01 .7303859D-03 -.4736367D-03 -.3852661D-02 -.4209978D02
3| -.3255282D-01 -.4736367D-03 .1696787D-01 -.2386884D-01 -.7207342D01
4| .1312624D+00 -.3852661D-02 -.2386884D-01 .1807954D+00 .
1253234D+00
5| .2937755D+00 -.4209978D-02 -.7207342D-01 .1253234D+00 .
1390654D+01
Matrix BHHH
has
1
5 rows and
2
5 columns.
3
+---------------------------------------------------------------------1| .1071198D+01 -.3381672D-01 .1772900D-01 .5956687D-01 .

1267734D+00
2| -.3381672D-01 .1584545D-02 -.4230208D-02 -.3443973D-02 .5204941D02
3| .1772900D-01 -.4230208D-02 .2782876D-01 .5289991D-02 -.7167319D01
4| .5956687D-01 -.3443973D-02 .5289991D-02 .1003494D+00 -.1257290D01
5| .1267734D+00 .5204941D-02 -.7167319D-01 -.1257290D-01 .
4409877D+01
*/
39
Chapter 6. The Classical Multiple Linear

Regression
Model - Specification and Estimation
/*==================================================================
Example 6.1. Keynes's Consumption Function
*/==================================================================
/*==================================================================
Example 6.2. Income and Education
*/==================================================================
/*==================================================================
Example 6.3. The U.S. Gasoline Market
No computations done. Data discussed in this example listed below.
*/==================================================================
Year, G,
Pg,
Y,
Pnc,
Puc,
Ppt,
Pd,
Pn,
Ps,
Pop $
1960 129.7
.925 6036 1.045
.836
.810
.444
.331
.302 180.7
1961 131.3
.914 6113 1.045
.869
.846
.448
.335
.307 183.7
1962 137.1
.919 6271 1.041
.948
.874
.457
.338
.314 186.5
1963 141.6
.918 6378 1.035
.960
.885
.463
.343
.320 189.2
1964 148.8
.914 6727 1.032 1.001
.901
.470
.347
.325 191.9
1965 155.9
.949 7027 1.009
.994
.919
.471
.353
.332 194.3
1966 164.9
.970 7280
.991
.970
.952
.475
.366
.342 196.6
1967 171.0 1.000 7513 1.000 1.000 1.000
.483
.375
.353 198.7
1968 183.4 1.014 7728 1.028 1.028 1.046
.501
.390
.368 200.7
1969 195.8 1.047 7891 1.044 1.031 1.127
.514
.409
.386 202.7
1970 207.4 1.056 8134 1.076 1.043 1.285
.527
.427
.407 205.1
1971 218.3 1.063 8322 1.120 1.102 1.377
.547
.442
.431 207.7
1972 226.8 1.076 8562 1.110 1.105 1.434
.555
.458
.451 209.9
1973 237.9 1.181 9042 1.111 1.176 1.448
.566
.497
.474 211.9
1974 225.8 1.599 8867 1.175 1.226 1.480
.604
.572
.513 213.9
1975 232.4 1.708 8944 1.276 1.464 1.586
.659
.615
.556 216.0
1976 241.7 1.779 9175 1.357 1.679 1.742
.695
.638
.598 218.0
1977 249.2 1.882 9381 1.429 1.828 1.824
.727
.671
.648 220.2
1978 261.3 1.963 9735 1.538 1.865 1.878
.769
.719
.698 222.6
1979 248.9 2.656 9829 1.660 2.010 2.003
.821
.800
.756 225.1
1980 226.8 3.691 9722 1.793 2.081 2.516
.892
.894
.839 227.7
1981 225.6 4.109 9769 1.902 2.569 3.120
.957
.969
.926 230.0
1982 228.8 3.894 9725 1.976 2.964 3.460 1.000 1.000 1.000 232.2
1983 239.6 3.764 9930 2.026 3.297 3.626 1.041 1.021 1.062 234.3
1984 244.7 3.707 10421 2.085 3.757 3.852 1.038 1.050 1.117 236.3
1985 245.8 3.738 10563 2.152 3.797 4.028 1.045 1.075 1.173 238.5
1986 269.4 2.921 10780 2.240 3.632 4.264 1.053 1.069 1.224 240.7
1987 276.8 3.038 10859 2.321 3.776 4.413 1.085 1.111 1.271 242.8
1988 279.9 3.065 11186 2.368 3.939 4.494 1.105 1.152 1.336 245.0
1989 284.1 3.353 11300 2.414 4.019 4.719 1.129 1.213 1.408 247.3
1990 282.0 3.834 11389 2.451 3.926 5.197 1.144 1.285 1.482 249.9
1991 271.8 3.766 11272 2.538 3.942 5.427 1.167 1.332 1.557 252.6
1992 280.2 3.751 11466 2.528 4.113 5.518 1.184 1.358 1.625 255.4
1993 286.7 3.713 11476 2.663 4.470 6.086 1.200 1.379 1.684 258.1
1994 290.2 3.732 11636 2.754 4.730 6.268 1.225 1.396 1.734 260.7
1995 297.8 3.789 11934 2.815 5.224 6.410 1.239 1.419 1.786 263.2
Create ; lg = Log(100*G/Pop) ; li = Log(Y) ; lpg= Log(Pg)
; lpnc = Log(Pnc)
; lpuc = log(Puc) $
/*==================================================================
40
Example 6.4. The Logistic Model

*/==================================================================
/*==================================================================
Example 6.5. The Translog Model
*/==================================================================
/*==================================================================
Example 6.6. Short Rank
*/==================================================================
/*==================================================================
Example 6.7. Least Squares in the Two Variable Model
*/==================================================================
/*==================================================================
Example 6.8. Investment Equation
*/==================================================================
/*
? These are the original raw data that appear in the
? example. As noted, if the original data are read
? in, transformed, then used for the regression, you
? get slightly different answers from those in the
? text, which are based on Table 6.2, which contains
? the transformed data after rounding.
?
Year,
GNP,
Invest,
CPI,
Interest$
1968
873.4
133.3
82.54
5.16
1969
944.0
149.3
86.79
5.87
1970
992.7
144.2
91.45
5.95
1971 1077.6
166.4
96.01
4.88
1972 1185.9
195.0
100.00
4.50
1973 1326.4
229.8
105.75
6.44
1974 1434.2
228.7
115.08
7.83
1975 1549.2
206.1
125.79
6.25
1976 1718.0
257.9
132.34
5.50
1977 1918.3
324.1
140.05
5.46
1978 2163.9
386.6
150.42
7.46
1979 2417.8
423.0
163.42
10.28
1980 2633.1
402.3
178.64
11.77
1981 2937.7
471.5
195.51
13.42
1982 3057.5
421.9
207.23
11.02
Create ; Y = Invest / CPI) / 10
; T = Year - 1967
; G = (GNP / CPI) / 10
; If(Year = 1968) P = 100*(CPI - 79.06)/79.06
; If(Year > 1968) P = 100*(CPI - CPI[-1])/CPI[-1]
; R = Interest $
*/
41
Read ; Nobs = 15 ; Nvar = 5 ; Names = Y,T,G,R,P $

0.161 1 1.058 5.16 4.40
0.172 2 1.088 5.87 5.15
0.158 3 1.086 5.95 5.37
0.173 4 1.122 4.88 4.99
0.195 5 1.186 4.50 4.16
0.217 6 1.254 6.44 5.75
0.199 7 1.246 7.83 8.82
0.163 8 1.232 6.25 9.31
0.195 9 1.298 5.50 5.21
0.231 10 1.370 5.46 5.83
0.257 11 1.439 7.46 7.40
0.259 12 1.479 10.28 8.64
0.225 13 1.474 11.77 9.31
0.241 14 1.503 13.42 9.44
0.204 15 1.475 11.02 5.99
?
? Regression of Y on a constant, T, and G
?
Calc ; List ; Yb = Xbr(Y)
; Tb = Xbr(T)
; Gb = Xbr(G) $
/*
YB
= .20333333333333340D+00
TB
= .80000000000000000D+01
GB
= .12873333333333330D+01
*/
Create
; dy = y - yb ; dt = t - tb ; dg = g - gb $
Calc ; List ; sty = dy'dt ; sgg = dg'dg ; sgy = dg'dy
; stt = dt'dt ; stg = dt'dg ; syy = dy'dy $
/*
STY
= .16040000000000000D+01
SGG
= .35960933333333340D+00
SGY
= .66196333333333340D-01
STT
= .28000000000000000D+03
STG
= .98200000000000000D+01
SYY
= .16353333333333330D-01
*/
Calc ; List ; b2 = (sty*sgg - sgy*stg) / (stt*sgg - stg^2)
; b3 = (sgy*stt - sty*stg) / (stt*sgg - stg^2)
; b1 = yb - b2*tb - b3*gb $
/*
B2
= -.17198439094956700D-01
B3
= .65372331431648270D+00
B1
= -.50063896720376510D+00
*/
Calc ; List ; byg = sgy/sgg ; byt = sty/stt ; btg = stg/sgg
; rsqgt = stg^2 / (sgg*stt)
; byg_t = byg/(1-rsqgt) - (byt*btg)/(1-rsqgt) $
/*
BYG
= .18407846292458110D+00
BYT
= .57285714285714280D-02
BTG
= .27307411376048820D+02
RSQGT
= .95770992754571180D+00
BYG_T
= .65372331431648250D+00
*/
42
Namelist
; X = One,T,G,R,P $
Matrix;List ; XX = X'X
; Xy = X'y
; bb = <X'X>*X'y $
/*
Matrix XX
1
2
3
4
5
+---------------------------------------------------------------------1| .1500000D+02 .1200000D+03 .1931000D+02 .1117900D+03 .9977000D+02
2| .1200000D+03 .1240000D+04 .1643000D+03 .1035930D+04 .8756000D+03
3| .1931000D+02 .1643000D+03 .2521802D+02 .1489838D+03 .1312163D+03
4| .1117900D+03 .1035930D+04 .1489838D+03 .9438557D+03 .7990186D+03
5| .9977000D+02 .8756000D+03 .1312163D+03 .7990186D+03 .7166685D+03
Matrix XY
1
+-------------1| .3050000D+01
2| .2600400D+02
3| .3992563D+01
4| .2352069D+02
5| .2073158D+02
Matrix BB
1
+-------------1| -.5090708D+00
2| -.1658039D-01
3| .6703834D+00
4| -.2325928D-02
5| -.9401070D-04
*/
43
/*==================================================================
Example 6.9. Deviations from Means - Regression ona Constant.
We illustrate this with the first regression in Example 6.8.
*/==================================================================
0.161 1 1.058 5.16 4.40
0.172 2 1.088 5.87 5.15
0.158 3 1.086 5.95 5.37
0.173 4 1.122 4.88 4.99
0.195 5 1.186 4.50 4.16
0.217 6 1.254 6.44 5.75
0.199 7 1.246 7.83 8.82
0.163 8 1.232 6.25 9.31
0.195 9 1.298 5.50 5.21
0.231 10 1.370 5.46 5.83
0.257 11 1.439 7.46 7.40
0.259 12 1.479 10.28 8.64
0.225 13 1.474 11.77 9.31
0.241 14 1.503 13.42 9.44
0.204 15 1.475 11.02 5.99
?
? Create deviations from means. (Not the most efficient
? way to do this, but it works fine.)
?
Calc ; List ; Yb = Xbr(Y)
; Tb = Xbr(T)
; Gb = Xbr(G) $
Create
; dy = y - yb
; dt = t - tb
; dg = g - gb $
?
? Two regressions. (Only coefficients are shown)
? 1. Including constant term.
Regress
; Lhs = Y ; Rhs = One,T,G $
/*
Constant -.5006389672
T
-.1719843909E-01
G
.6537233143
*/
?
? 2. Deviations, without constant term. Same results.
Regress
; Lhs = dy ; Rhs = dt,dg $
/*
DT
-.1719843909E-01
DG
.6537233143
*/
?
? What if Y is not transformed? No problem. Y need not
? be transformed.
?
Regress
; Lhs = Y ; Rhs = dt,dg $
/*
DT
-.1719843909E-01
DG
.6537233143
*/
/*==================================================================
Example 6.10. Partial Correlations
*/==================================================================
44

<... Data are the same as in the previous example. ...>
?
? Simple Correlations
?
Calc ; List ; Cor(Y,T) ; Cor(Y,G) ; Cor(Y,R) ; Cor(Y,P) $
/*
Result = .74958727214560710D+00
Result = .86320771284687750D+00
Result = .58713497756276230D+00
Result = .47771172812588810D+00
*/
?
? Partial Correlations
? We have to compute a set of residual vectors.
? 1. Time
Silent
$
Regress ; Lhs = T ; Rhs = One,G,R,P ; Res = Tstar$
Regress ; Lhs = Y ; Rhs = One,G,R,P ; Res = Ystar$
NoSilent $
Calc
; List ; Cor(Ystar,Tstar) $
/*
Result = -.93600196919123690D+00
*/
? 2. GNP
Silent
$
Regress ; Lhs = G ; Rhs = One,T,R,P ; Res = Gstar$
Regress ; Lhs = Y ; Rhs = One,T,R,P ; Res = Ystar$
NoSilent $
Calc
; List ; Cor(Ystar,Gstar) $
/*
Result = .96795712668804980D+00
*/
? 3. Interest
Silent
$
Regress ; Lhs = R ; Rhs = One,T,G,P ; Res = Rstar$
Regress ; Lhs = Y ; Rhs = One,T,G,P ; Res = Ystar$
NoSilent $
Calc
; List ; Cor(Ystar,Rstar) $
/*
Result = -.51666471908205260D+00
*/
? 4. Inflation
Silent
$
Regress ; Lhs = P ; Rhs = One,T,G,R ; Res = Pstar$
Regress ; Lhs = Y ; Rhs = One,T,G,R ; Res = Ystar$
NoSilent $
Calc
; List ; Cor(Ystar,Pstar) $
/*
Result = -.22057138371905460D-01
*/
45
/*==================================================================
Example 6.11. Fit of a Consumption Function
*/==================================================================
Read ; Nobs = 11 ; Nvar = 3 ; Names = Year,X,C $
1940
241 226
1941
280 240
1942
319 235
1943
331 245
1944
345 255
1945
340 265
1946
332 295
1947
320 300
1948
339 305
1949
338 315
1950
371 325
Sample ; 1 - 11 $
Calc ; List ; yb = Xbr(C)
; xb = Xbr(X)
; Sxx = (N-1)*Var(X)
; Syy = (N-1)*Var(C)
; Sxy = (N-1)*Cov(X,C)
; SST = Syy
; slope = Sxy/Sxx
; SSR = slope^2 * Sxx
; SSE = SST - SSR
; Rsq = slope^2 * Sxx / SST $
/*
YB
= .27327272727272730D+03
XB
= .32327272727272730D+03
SXX
= .12300181818181820D+05
SYY
= .12618181818181820D+05
SXY
= .84231818181818160D+04
SST
= .12618181818181820D+05
SLOPE
= .68480140722236160D+00
SSR
= .57682067623807180D+04
SSE
= .68499750558011020D+04
RSQ
= .45713454168723260D+00
*/
Sample ; 1,2,7-11$
Calc
; ... exactly as above $
/*
YB
= .28657142857142860D+03
XB
= .31728571428571430D+03
SXX
= .11219428571428570D+05
SYY
= .87137142857142860D+04
SXY
= .95708571428571430D+04
SST
= .87137142857142860D+04
SLOPE
= .85306101660385040D+00
SSR
= .81645251240559370D+04
SSE
= .54918916165834890D+03
RSQ
= .93697416008249000D+00
*/
46
/*====================================================
Example 6.12. Analysis of Variance for an Investment Equation
*/====================================================
0.161 1 1.058 5.16 4.40
0.172 2 1.088 5.87 5.15
0.158 3 1.086 5.95 5.37
0.173 4 1.122 4.88 4.99
0.195 5 1.186 4.50 4.16
0.217 6 1.254 6.44 5.75
0.199 7 1.246 7.83 8.82
0.163 8 1.232 6.25 9.31
0.195 9 1.298 5.50 5.21
0.231 10 1.370 5.46 5.83
0.257 11 1.439 7.46 7.40
0.259 12 1.479 10.28 8.64
0.225 13 1.474 11.77 9.31
0.241 14 1.503 13.42 9.44
0.204 15 1.475 11.02 5.99
?
Sample;1-15$
Namelist ; X = One,T,G,R,P $
Calc
; Yb = Xbr(y) $
Matrix
; bb = <X'X> * X'y
; Xy = X'y $
Calc ; List ; RegSS = bb'Xy - n*Yb^2
; TotSS = y'y
- n*Yb^2
; ResSS = TotSS - RegSS
; DFReg = Col(X) - 1
; DFRes = n - Col(X)
; DFTot = n - 1
; MSReg = RegSS / DFReg
; MSRes = ResSS / DFRes
; MSTot = TotSS / DFTot
; Rsq
= 1 - ResSS/TotSS $
/*
REGSS
= .15902521532841770D-01
TOTSS
= .16353333333333110D-01
RESSS
= .45081180049133530D-03
DFREG
= .40000000000000000D+01
DFRES
= .10000000000000000D+02
DFTOT
= .14000000000000000D+02
MSREG
= .39756303832104430D-02
MSRES
= .45081180049133530D-04
MSTOT
= .11680952380952220D-02
RSQ
= .97243303299074560D+00
*/
/*==================================================================
Example 6.13. Sampling Variance in the Two Variable Regression Model
*/==================================================================
47
/*==================================================================
*/==================================================================
0.161 1 1.058 5.16 4.40
0.172 2 1.088 5.87 5.15
0.158 3 1.086 5.95 5.37
0.173 4 1.122 4.88 4.99
0.195 5 1.186 4.50 4.16
0.217 6 1.254 6.44 5.75
0.199 7 1.246 7.83 8.82
0.163 8 1.232 6.25 9.31
0.195 9 1.298 5.50 5.21
0.231 10 1.370 5.46 5.83
0.257 11 1.439 7.46 7.40
0.259 12 1.479 10.28 8.64
0.225 13 1.474 11.77 9.31
0.241 14 1.503 13.42 9.44
0.204 15 1.475 11.02 5.99
?
? Standard Regression Results
?
Matrix
; bb = <X'X> * X'y
; ee = y'y - bb' * X'X * bb $
Calc ;List; s2 = ee/(n - Col(X)) $
Matrix
; List ; Var = s2 * <X'X>
; Stat (bb,Var) $
/*
S2
= .45081180048978100D-04
Matrix VAR
1
2
3
4
5
+---------------------------------------------------------------------1| .3039062D-02 .1023405D-03 -.3010234D-02 .5599212D-05 -.3207697D-05
2| .1023405D-03 .3887842D-05 -.1017688D-03 -.2884571D-06 -.4257379D-07
3| -.3010234D-02 -.1017688D-03 .3024694D-02 -.7278842D-05 -.2278947D-05
4| .5599212D-05 -.2884571D-06 -.7278842D-05 .1485638D-05 -.7507108D-06
5| -.3207697D-05 -.4257379D-07 -.2278947D-05 -.7507108D-06 .1815703D-05
Matrix statistical results: Coefficients=BB
Variance=VAR
+---------+--------------+----------------+--------+---------+
+---------+--------------+----------------+--------+---------+
BB
_ 1 -.5090707909
.55127690E-01
-9.234
.0000
BB
_ 2 -.1658039448E-01 .19717611E-02
-8.409
.0000
BB
_ 3 .6703834376
.54997215E-01
12.189
.0000
BB
_ 4 -.2325928344E-02 .12188677E-02
-1.908
.0564
BB
_ 5 -.9401070242E-04 .13474804E-02
-.070
.9444
*/
48
/*==================================================================
Example 6.15. Confidence Interval for the Income
Elasticity of Demand for Gasoline.
*/==================================================================
Read ; Nobs = 36 ; Nvar = 11
; Names =
Year, G,
Pg,
Y,
Pnc,
Puc,
Ppt,
Pd,
Pn,
Ps,
Pop $
<... Data appear in Example 6.3 ...>
?
Create
; lg = Log(100*G/Pop)
; li = Log(Y)
; lpg= Log(Pg)
; lpnc = Log(Pnc)
; lpuc = log(Puc) $
Namelist ; X = One,lpg,li,lpnc,lpuc $
Regress ; Lhs = lg ; Rhs = X $
/*
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |t-ratio |P[|T|>t] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
Constant -7.736670352
.67489471
-11.464
.0000
LPG
-.5909513203E-01 .32484958E-01
-1.819
.0786 .67409433
LI
1.373399117
.75627675E-01
18.160
.0000 9.1109277
LPNC
-.1267966682
.12699351
-.998
.3258 .44319821
LPUC
-.1187084716
.81337098E-01
-1.459
.1545 .66361224
*/
Wald ; Fn1 = B_li - 1 $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .3733991166
.75627675E-01
4.937
.0000
*/
/*==================================================================
Example 6.16. Confidence Interval for a Linear Combination of
Coefficients - The Oaxaca Decomposition. This shows the application
to the gasoline demand model of Example 6.15 for the pre- and post1973 embargo. Regression results appear in Example 7.8 and Table 7.3.
*/==================================================================
; Names =
Year, G,
Pg,
Y,
Pnc,
Puc,
Ppt,
Pd,
Pn,
Ps,
Pop $
?
Create ; lg = Log(100*G/Pop)
; li = Log(Y)
; lpg= Log(Pg)
; lpnc = Log(Pnc)
; lpuc = log(Puc) $
Namelist ; X = One,lpg,li,lpnc,lpuc $
?
? Set first period = post embargo and collect results.
?
Include ; New ; Year > 1973 $ (Post embargo)
Regress ; Lhs = LG ; Rhs = X $
Matrix
; Bpost = b ; Vpost = Varb ; Xpost = Mean(X) $
Calc
; Npost = N ; Ybarpost=ybar$
?
? Set second period = pre embargo. Get same results.
?
Include ; New ; Year <= 1973 $ (Pre embargo)
49
Regress ; Lhs = LG ; Rhs = X $

Matrix
; Bpre = b ; Vpre = Varb ; Xpre = Mean(X) $
Calc
; Npre = N ; Ybarpre=Ybar$
?
? Begin comparison. Change in coefficients and
? covariance matrix for change in coefficients.
?
Matrix
; Db = Bpost - Bpre ; Vd = Vpost + Vpre $
?
? First part of decomposition
Calc;List; Change = Ybarpost - YbarPre
; delta = Xpost'Db
; sdelta = Sqr(Qfr(Xpost,Vd))
; tstar = ttb(.975,(Npost+Npre-2*Kreg))
; Lower = Delta-tstar*sdelta
; Upper = Delta+tstar*sdelta $
/*
CHANGE = .22023478727896160D+00
DELTA
= -.40244123581929490D+00
SDELTA = .17556711898756920D+00
TSTAR
= .20555294386434850D+01
LOWER
= -.76332461735606690D+00
UPPER
= -.41557854282522900D-01
*/
Matrix
; Dx=Xpost-Xpre$
?
? Second part of decomposition
Calc;list; Gamma = Dx'Bpost
; sgamma = Sqr(Qfr(Dx,Vpre))
; tstar = ttb(.975,Npre)
; lower = gamma-tstar*sgamma
; upper = gamma+tstar*sgamma $
/*
GAMMA
= .10455654817832680D-01
SGAMMA = .17548083885496660D+00
TSTAR
= .21447866879179390D+01
LOWER
= -.36591331234297270D+00
UPPER
= .38682462197863800D+00
*/
/*==================================================================
Example 6.17. Confidence Interval for sigma squared.
*/==================================================================
50
/*==================================================================
Example 6.18. F Test for the Investment Equation
*/==================================================================
?
? Test the hypothesis that the last four coefficients
? are zero. There are many ways to do this.
?
Regress
; Lhs = y ; Rhs = X $
/*
+-----------------------------------------------------------------------+
| Ordinary
least squares regression
Weighting variable = none
|
| Dep. var. = Y
Mean=
.2033333333
, S.D.=
.3417740830E-01 |
| Model size: Observations =
15, Parameters =
5, Deg.Fr.=
10 |
| Residuals: Sum of squares= .4508118005E-03, Std.Dev.=
.00671 |
| Fit:
R-squared= .972433, Adjusted R-squared =
.96141 |
| Model test: F[ 4,
10] =
88.19,
Prob value =
.00000 |
| Diagnostic: Log-L =
56.8098, Restricted(b=0) Log-L =
29.8762 |
|
LogAmemiyaPrCrt.=
-9.719, Akaike Info. Crt.=
-6.908 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -.5090707909
.55127690E-01
-9.234
.0000
T
-.1658039448E-01 .19717611E-02
-8.409
.0000 8.0000000
G
.6703834376
.54997215E-01
12.189
.0000 1.2873333
R
-.2325928344E-02 .12188677E-02
-1.908
.0854 7.4526667
P
-.9401070242E-04 .13474804E-02
-.070
.9458 6.6513333
*/
Calc ; List ; F = (Rsqrd/(Col(X)-1)) / ((1-Rsqrd)/(n-Col(X))) $
/*
F
= .88188250148830110D+02
*/
Regress ; Lhs = y ; Rhs = X
; Cls: b(2)=0, b(3)=0, b(4)=0, b(5)=0 $
/*
+-----------------------------------------------------------------------+
| Linearly restricted regression
|
| Dep. var. = Y
Mean=
.2033333333
, S.D.=
.3417740830E-01 |
15, Parameters =
1, Deg.Fr.=
14 |
.03418 |
| Fit:
.00000 |
|
(Note: Not using OLS. R-squared is not bounded in [0,1] |
29.8762 |
|
LogAmemiyaPrCrt.=
-3.850 |
| Note, when restrictions are imposed, R-squared can be less than zero. |
| F[ 4,
10] for the restrictions =
88.1883, Prob =
.0000
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant .2033333333
.88245689E-02
23.042
.0000
T
-.3122502257E-16 .42828688E-09
.000 1.0000 8.0000000
G
.5551115123E-15........(Fixed Parameter)........ 1.2873333
R
.0000000000
........(Fixed Parameter)........ 7.4526667
P
-.5407458335E-17........(Fixed Parameter)........ 6.6513333
*/
/*==================================================================
Example 6.19. Multicollinearity in the Longley Data
*/==================================================================
51
Read ; Nobs = 16 ; Nvar = 5 ; names =

Employ, Price,
GNP,
Armed,
Year$
60323
83.0
234289
1590
1947
61122
88.5
259426
1456
1948
60171
88.2
258054
1616
1949
61187
89.5
284599
1650
1950
63221
96.2
328975
3099
1951
63639
98.1
346999
3594
1952
64989
99.0
365385
3547
1953
63761
100.0
363112
3350
1954
66019
101.2
397469
3048
1955
67857
104.6
419180
2857
1956
68169
108.4
442769
2798
1957
66513
110.8
444546
2637
1958
68655
112.6
482704
2552
1959
69564
114.2
502601
2514
1960
69331
115.7
518173
2572
1961
70551
116.9
554894
2827
1962
Namelist ; X = One,Year,Price,GNP,Armed $
Regress ; Lhs = Employ ; Rhs = X $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant 1169087.526
835902.44
1.399
.1895
YEAR
-576.4643034
433.48748
-1.330
.2105 1954.5000
PRICE
-19.76807082
138.89276
-.142
.8894 101.68125
GNP
.6439397420E-01 .19951886E-01
3.227
.0081 387698.44
ARMED
-.1014525302E-01 .30856947
-.033
.9744 2606.6875
*/
Sample
; 1 - 15 $
Regress ; Lhs = Employ ; Rhs = X $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
714182.87
2.043
.0682
YEAR
-721.7561307
369.98492
-1.951
.0796 1954.0000
PRICE
-181.1229587
135.52491
-1.336
.2110 100.66667
GNP
.9106777595E-01 .20260779E-01
4.495
.0012 376552.07
ARMED
-.7493704667E-01 .26112716
-.287
.7800 2592.0000
*/
52
Chapter 7. Inference and Prediction

/*==================================================================
Example 7.1, 7.2, 7.3, 7.4, 7.17, 7.18. Investment Equation
*/==================================================================
0.161 1 1.058 5.16 4.40
0.172 2 1.088 5.87 5.15
0.158 3 1.086 5.95 5.37
0.173 4 1.122 4.88 4.99
0.195 5 1.186 4.50 4.16
0.217 6 1.254 6.44 5.75
0.199 7 1.246 7.83 8.82
0.163 8 1.232 6.25 9.31
0.195 9 1.298 5.50 5.21
0.231 10 1.370 5.46 5.83
0.257 11 1.439 7.46 7.40
0.259 12 1.479 10.28 8.64
0.225 13 1.474 11.77 9.31
0.241 14 1.503 13.42 9.44
0.204 15 1.475 11.02 5.99
? ---------------------------------------------------------------------? Example 7.1. Linear Combination of Coefficients
? ---------------------------------------------------------------------Regress ; Lhs = y ; Rhs = One,T,G,R,P $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -.5090707909
.55127690E-01
-9.234
.0000
T
-.1658039448E-01 .19717611E-02
-8.409
.0000 8.0000000
G
.6703834376
.54997215E-01
12.189
.0000 1.2873333
R
-.2325928344E-02 .12188677E-02
-1.908
.0854 7.4526667
P
-.9401070242E-04 .13474804E-02
-.070
.9458 6.6513333
*/
Calc
; List ;se = sqr(Varb(4,4)+Varb(5,5)+2*Varb(4,5))
;tstat = (b(4)+b(5)) /
sqr(Varb(4,4)+Varb(5,5)+2*Varb(4,5)) $
/*
SE
= .13416111045265850D-02
TSTAT
= -.18037559755411260D+01
*/
? ---------------------------------------------------------------------? Example 7.2. Reparameterizing a Restriction
? ---------------------------------------------------------------------Create ; RealRate = R - P $
Regress; Lhs = y ; Rhs = One,T,G,RealRate,P $
/*
Constant -.5090707909
.55127690E-01
-9.234
.0000
T
-.1658039448E-01 .19717611E-02
-8.409
.0000 8.0000000
G
.6703834376
.54997215E-01
12.189
.0000 1.2873333
REALRATE -.2325928344E-02 .12188677E-02
-1.908
.0854 .80133333
P
-.2419939047E-02 .13416111E-02
-1.804
.1014 6.6513333
*/
53
? ---------------------------------------------------------------------? Example 7.3. Restricted Investment Equation

? ---------------------------------------------------------------------Namelist ; X = One,T,G,R,P $
Matrix
; XX = X'X
; Xy = X'y
; bb = <X'X>* X'y $
Calc
; ss = (y'y - bb'Xy)/(n-Col(X)) $
Matrix
; Vb = ss * <X'X> $
Matrix
; RR = [0,1,0,0,0 / 0,0,1,0,0 / 0,0,0,1,1]
; q = [0 / 1 / 0]
; Rb_q = RR*bb - q
; Vrb = RR * Vb * RR'
; List ; F = 1/3 * Rb_q ' * <Vrb> * Rb_q $
/*
Matrix F
1
+-------------1| .1266349D+04
*/
? ---------------------------------------------------------------------? Example 7.4. Joint Confidence Region
? This takes a little creativity. We use a routine written for LIMDEP.
? ---------------------------------------------------------------------PROC = CONFREGN (Beta,Varbeta,COEF1,COEF2) $
CALC
; S11=VARBeta(COEF1,COEF1)
; U = Sqr(S22 - S12*S12/S11)
; F=Ftb(.95,2,(N-KREG))
; Gg = Sqr(2*F*S11)
; MIN= -.995*Gg ; MAX= -MIN ; DELTA=(MAX-MIN)/1000 $
SAMPLE ; 1 - 999 $
CREATE ; B1=Trn(MIN,DELTA)
; Qq=U*Sqr(2*F-B1*B1/S11)
; Tvalue=Rnn(0,1)
; If(Tvalue>0)B2=Beta(COEF2) + B1*S12/S11+Qq
;
(Else)
B2=Beta(COEF2) + B1*S12/S11-Qq
;
B1=B1+Beta(COEF1) $
SAMPLE ; 1000$
CREATE ; B1=Beta(COEF1) ; B2=Beta(COEF2) $
SAMPLE ; 1-1000$
CALC
; UCB2=Beta(COEF2)+1.96*Sqr(S22)
; LCB2=Beta(COEF2)-1.96*Sqr(S22)
; UCB1=Beta(COEF1)+1.96*Sqr(S11)
; LCB1=Beta(COEF1)-1.96*Sqr(S11)
; TOP = 1.1 * Max(B2) ; BOT = .9 * Min(B2)
; LFT = .9 * Min(B1) ; RT = 1.1 * Max(B1) $
PLOT
; Lhs=B1 ; Rhs=B2 ; Bars=UCB2,LCB2 ; Spikes=UCB1,LCB1
; Limits = BOT,TOP ; Endpoints = LFT,RT $
ENDPROC
54
Exec ; Proc = ConfRegn(bb,Vb,2,3) $
.90
.82
B2
.73
.64
.56
.47
-.025
-.020
-.015
-.010
B1
? ---------------------------------------------------------------------? Example 7.17. Forecast for Investment
? ---------------------------------------------------------------------Matrix
; x0 = [1/16/1.5/10/4] $
Calc ;List ; y0 = x0 ' bb
; s0 = sqr(ss + qfr(x0,Vb))
; upper = y0 + 2.228 * s0
; lower = y0 - 2.228 * s0 $
/*
Y0
= .20758272743002830D+00
S0
= .10232227264123570D-01
UPPER
= .23038012977449560D+00
LOWER
= .18478532508556100D+00
*/
55
? ---------------------------------------------------------------------? Example 7.18. Forecasting Performance

? ---------------------------------------------------------------------Proc = ForeCast(X,y) $
Matrix ; beta = <X'X> * X'y $
Create ; yfit = X'beta
; res = y - yfit
; res2 = res^2
; ares = sqr(res2)
; yy
= y*y
; dy = 0 ; if(_obsno > 1)dy = y - y[-1]
; dyf= 0 ; if(_obsno > 1)dyf= yfit - y[-1]
; ddy = (dy - dyf)^2
; dy2 = dy^2 $
Calc ; List ; Rmse = Sqr(Xbr(res2))
; Mae = Xbr(ares)
; U
= Sqr( Xbr(res2) / Xbr(yy) )
; Ud
= Sqr( Xbr(ddy) / Xbr(dy2) ) $
EndProc
Sample
; 1 - 15 $
Namelist ; XGnp
= One,G,T,R,P $
Exec
; Proc
= Forecast(XGNP,y) $
RMSE
= .54821638093911870D-02
MAE
= .42261699509099190D-02
U
= .26612863766215620D-01
UD
= .19727440685625440D+00
Create
; YFGNP
= Yfit $
Namelist ; XNoGNP = One,T,R,P $
Exec
; Proc
= Forecast(XNoGNP,y) $
RMSE
= .21831243091395650D-01
MAE
= .16901540599976300D-01
U
= .10597857313989480D+00
UD
= .89560407224967610D+00
Create
; YFNoGNP = Yfit $
Date
; 1968 $
Period
; 1968-1982 $
Plot
; Rhs = Y,YFGNP,YFNOGNP $
.27
V a r ia b l e
.25
Y
YFGNP
YFNOGNP
.22
.20
.17
.15
1967 1969 1971 1973 1975 1977 1979 1981 1983
Year
56
/*==================================================================
Example 7.2. Reparameterizing a Restriction
Results are contained in Ex7_1.lim
*/==================================================================
/*==================================================================
Example 7.3. Restricted Investment Equation
*/==================================================================
/*==================================================================
Example 7.4. Joint Confidence Region
*/==================================================================
/*==================================================================
Examples 7.5, 7.6, 7.7. Production Functions
*/==================================================================
Read ; Nobs = 27 ; Nvar = 4 ; Names = 1 $
Obs
ValueAdd
Labor
Capital
1
657.29
162.31
279.99
2
935.93
214.43
542.50
3
1110.65
186.44
721.51
4
1200.89
245.83
1167.68
5
1052.68
211.40
811.77
6
3406.02
690.61
4558.02
7
2427.89
452.79
3069.91
8
4257.46
714.20
5585.01
9
1625.19
320.54
1618.75
10
1272.05
253.17
1562.08
11
1004.45
236.44
662.04
12
598.87
140.73
875.37
13
853.10
145.04
1696.98
14
1165.63
240.27
1078.79
15
1917.55
536.73
2109.34
16
9849.17
1564.83
13989.55
17
1088.27
214.62
884.24
18
8095.63
1083.10
9119.70
19
3175.39
521.74
5686.99
20
1653.38
304.85
1701.06
21
5159.31
835.69
5206.36
22
3378.40
284.00
3288.72
23
592.85
150.77
357.32
24
1601.98
259.91
2031.93
25
2065.85
497.60
2492.98
26
2293.87
275.20
1711.74
27
745.67
137.00
768.59
?
? Set up loglinear production function
?
Create ; lq = Log(Valueadd) ; ll = Log(Labor) ; lk = Log(capital) $
57
? ---------------------------------------------------------------------? Example 7.5. Labor Elasticity Equal to 1

? ---------------------------------------------------------------------Regress ; Lhs = lq ; Rhs = one,ll,lk $
Calc
; List ; F = (b(2)-1)^2 / Varb(2,2) $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LQ
Mean=
7.443631312
, S.D.=
.7611528551
|
27, Parameters =
3, Deg.Fr.=
24 |
| Residuals: Sum of squares= .8516336549
, Std.Dev.=
.18837 |
| Fit:
.93875 |
| Model test: F[ 2,
24] = 200.25,
Prob value =
.00000 |
-30.4330 |
|
LogAmemiyaPrCrt.=
-.396 |
| Autocorrel: Durbin-Watson Statistic =
1.88599,
Rho =
.05701 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.32678203
3.582
.0015
LL
.6029992072
.12595396
4.787
.0001 5.7636521
LK
.3757102983
.85345948E-01
4.402
.0002 7.4459224
F
= .99347992790907430D+01
*/
? ---------------------------------------------------------------------? Example 7.6. Constant Returns to Scale
? ---------------------------------------------------------------------Calc
; List ; F = (b(2)+b(3)-1)^2 /
(Varb(2,2)+Varb(3,3)+2*Varb(2,3))$
/*
F
= .11575416204059710D+00
*/
?
? An alternative approach
?
Wald
; Fn1 = b_ll + b_lk - 1 $
/*
+-----------------------------------------------+
|
|
| Wald Statistic
=
.11575
|
.73369
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) -.2129049454E-01 .62577389E-01
-.340
.7337
*/
? ---------------------------------------------------------------------? Example 7.7. Translog Function
? ---------------------------------------------------------------------?
Calc
; Rsqr = Rsqrd $
Create ; lll=.5*ll*ll ; lkk = .5*lk*lk ; lllk = ll*lk $
Regress ; Lhs = lq ; Rhs = One,ll,lk,lll,lkk,lllk $
Calc
; List ; F = ((Rsqrd - Rsqr)/3)/((1-Rsqrd)/(n-kreg))$
/*
+---------+--------------+----------------+--------+---------+----------+
58
+---------+--------------+----------------+--------+---------+----------+
2.9107537
.324
.7489
LL
3.613638942
1.5480727
2.334
.0296 5.7636521
LK
-1.893112914
1.0162611
-1.863
.0765 7.4459224
LLL
-.9640522102
.70738483
-1.363
.1874 16.817193
LKK
.8529466466E-01 .29260898
.291
.7735 28.172489
LLLK
.3123870410
.43892721
.712
.4845 43.463191
F
*/
.17677551205521390D+01
/*==================================================================
Example 7.6. Constant Returns to Scale
*/==================================================================
/*==================================================================
Example 7.7. Translog Production Function
*/==================================================================
/*==================================================================
Examples 7.8 to 7.13. The U.S. Gasoline Market
*/==================================================================
Year, G,
Pg,
Y,
Pnc,
Puc,
Ppt,
Pd,
Pn,
Ps,
Pop $
; li = Log(Y)
; lpg= Log(Pg)
; lpnc = Log(Pnc)
; lpuc = log(Puc) $
? ---------------------------------------------------------------------? Example 7.8. Separate Regressions
? ---------------------------------------------------------------------Namelist ; X = One,li,lpg,lpnc,lpuc,year $
Sample ; 1 - 36 $
Regress; Lhs = lg ; Rhs = X $
Calc
; ee = sumsqdev $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.601461580
, S.D.=
.1516908508
|
36, Parameters =
6, Deg.Fr.=
30 |
.02898 |
| Fit:
.96351 |
| Model test: F[ 5,
30] = 185.84,
Prob value =
.00000 |
17.3181 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
10.114642
2.439
.0208
LI
1.954625536
.19285427
10.135
.0000 9.1109277
LPG
-.1155296916
.33479492E-01
-3.451
.0017 .67409433
LPNC
.2052822304
.15201946
1.350
.1870 .44319821
LPUC
-.1292742276
.71411834E-01
-1.810
.0803 .66361224
YEAR
-.1911812699E-01 .59565192E-02
-3.210
.0032 1977.5000
*/
Sample ; 1 - 14 $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
59
| Dep. var. = LG
Mean=
4.466873655
, S.D.=
.1597154523
|
14, Parameters =
6, Deg.Fr.=
8 |
.00903 |
| Fit:
.99680 |
| Model test: F[ 5,
8] = 811.85,
Prob value =
.00000 |
6.3347 |
|
LogAmemiyaPrCrt.=
-6.279 |
2.39104,
Rho =
-.19552 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -51.18115395
18.049912
-2.836
.0220
LI
.4239945140
.35177772
1.205
.2625 8.8955658
LPG
.9454665245E-01 .15051077
.628
.5474 -.68297549E-02
LPNC
.5838963403
.13149307
4.441
.0022 .47207784E-01
LPUC
-.3346187867
.92326477E-01
-3.624
.0067 .72121949E-03
YEAR
.2636647807E-01 .10690348E-01
2.466
.0389 1966.5000
*/
Calc
; ee0 = sumsqdev $
Sample ; 15 - 36 $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.687108442
, S.D.=
.5289858199E-01 |
22, Parameters =
6, Deg.Fr.=
16 |
.01707 |
| Fit:
.89587 |
| Model test: F[ 5,
16] =
37.13,
Prob value =
.00000 |
33.9614 |
|
LogAmemiyaPrCrt.=
-5.076 |
1.42205,
Rho =
.28898 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
6.8393649
2.990
.0087
LI
1.014076422
.28568584
3.550
.0027 9.2479762
LPG
-.2423735704
.40029664E-01
-6.055
.0000 1.1074097
LPNC
.3301675679
.18111744
1.823
.0871 .69519211
LPUC
-.5537415036E-01 .50773921E-01
-1.091
.2916 1.0854520
YEAR
-.1261698901E-01 .37735594E-02
-3.344
.0041 1984.5000
*/
Calc
Calc
/*
; ee1 = sumsqdev $
; List ; F = ((ee - ee0 - ee1)/6) / ((ee0+ee1)/24) $
F
.14958007848150170D+02
*/
60
? ---------------------------------------------------------------------? Example 7.9. Change Only in the Constant Term

? ---------------------------------------------------------------------Sample ; 1 - 36 $
Create ; Pre = Year <= 1973 ; Post = 1 - Pre $
Regress; Lhs = lg ; Rhs = Pre,Post,li,lpg,lpnc,lpuc,Year $
Calc
; List ; F = ((Sumsqdev - ee0 - ee1)/5) / ((ee0+ee1)/24) $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.601461580
, S.D.=
.1516908508
|
36, Parameters =
7, Deg.Fr.=
29 |
.02464 |
| Fit:
.97362 |
| Model test: F[ 6,
29] = 216.29,
Prob value =
.00000 |
17.3181 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
PRE
21.26299392
8.6542460
2.457
.0202 .38888889
POST
21.34030490
8.6518361
2.467
.0198 .61111111
LI
1.838167379
.16725847
10.990
.0000 9.1109277
LPG
-.1780047791
.33507740E-01
-5.312
.0000 .67409433
LPNC
.2098424139
.12926658
1.623
.1153 .44319821
LPUC
-.1281315190
.60721402E-01
-2.110
.0436 .66361224
YEAR
-.1686177911E-01 .51048172E-02
-3.303
.0025 1977.5000
F
= .11099431388516700D+02
*/
? ---------------------------------------------------------------------? Example 7.10. Separate Subset of Coefficients
? ---------------------------------------------------------------------Create ; Prei = Pre*li ; Prep = Pre*lpg
; Posti= Post*li; Postp= Post*lpg $
Regress; Lhs = lg ; Rhs = Pre,Prei,Prep,Post,Posti,Postp,lpnc,lpuc,Year $
Calc
; List ; F = ((Sumsqdev - ee0 - ee1)/3) / ((ee0+ee1)/24) $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.601461580
, S.D.=
.1516908508
|
36, Parameters =
9, Deg.Fr.=
27 |
.01724 |
| Fit:
.98708 |
| Model test: F[ 8,
27] = 335.15,
Prob value =
.00000 |
17.3181 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
PRE
16.32243783
6.1259042
2.664
.0128 .38888889
PREI
1.517165726
.19199460
7.902
.0000 3.4593867
PREP
.9166129748E-01 .22831406
.401
.6912 -.26560158E-02
POST
24.18866905
6.3195492
3.828
.0007 .61111111
POSTI
.6637563221
.25184266
2.636
.0137 5.6515410
POSTP
-.2924967156
.33165324E-01
-8.819
.0000 .67675035
LPNC
.5933328540
.13501541
4.395
.0002 .44319821
LPUC
-.1080756827
.44715762E-01
-2.417
.0227 .66361224
YEAR
-.1290562810E-01 .36745792E-02
-3.512
.0016 1977.5000
F
= .40864779992470740D+01
*/
? ---------------------------------------------------------------------? Example 7.11. Inadaquate Degrees of Freedom
61
? ---------------------------------------------------------------------Sample ; 1-14,17-20,23-36$
Calc
; List ; F = ((ee-sumsqdev)/4) / (sumsqdev/26) $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.597746553
, S.D.=
.1601823575
|
32, Parameters =
6, Deg.Fr.=
26 |
.02752 |
| Fit:
.97049 |
| Model test: F[ 5,
26] = 204.91,
Prob value =
.00000 |
13.7081 |
|
LogAmemiyaPrCrt.=
-4.181 |
1.06405,
Rho =
.46798 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
10.228911
2.685
.0124
LI
1.999881259
.18827701
10.622
.0000 9.1073579
LPG
-.6707231764E-01 .46024417E-01
-1.457
.1570 .64198804
LPNC
.3338620907
.15487335
2.156
.0405 .44760441
LPUC
-.2355018723
.84892005E-01
-2.774
.0101 .67589832
YEAR
-.2074944302E-01 .59935678E-02
-3.462
.0019 1977.5000
F
= .18165999605094310D+01
*/
? ---------------------------------------------------------------------? Example 7.12. Wald Test for Structural Change
? ---------------------------------------------------------------------Sample ; 1 - 14 $
Matrix ; b1 = b ; V1 = Varb $
Sample ; 15-36 $
Matrix ; b2 = b ; V2 = Varb $
Matrix ; d = b1 - b2 ; V = V1 + V2
; List ; WaldTest = d'*<V>*d $
/*
1
+-------------1| .1286673D+03
*/
62
? ---------------------------------------------------------------------? Example 7.13. Tests of Model Stability

? ---------------------------------------------------------------------Sample
; 1 - 36 $
Regress
; Lhs = lg ; Rhs = X ; Res = et ; Cusum $
Plot of Cumulative Sum of Squared Residuals
Cusum (x10^01)
Plot of Cumulative Sum of Residuals

1.6
1.3
.7
1.0
-.1
.7
usumSqd
-.9
.4
-1.7
.1
-2.5
16
24
32
40
Observ.#
Create
Calc
Matrix
;
;
;
;
;
-.2
16
24
32
40
Observ.#
vt=et*et-sumsqdev/n$
K = Col(X) + 1 ; Nobs = n $
ff=init(k,k,0)
st=[k|0]
ss=ff$
Procedure
Sample
; Obs $
Calc
; ut = vt(obs)
; rt = et(obs) $
Matrix
; ft = rt*x'
; ft = [ut/ft]
; ff = ff+ft*ft'
; st = st+ft
; ss=ss+st*st' $
Endproc
Execute
; obs=1,nobs$
Matrix
; H=1/nobs * <ff>*ss ; list ; trce(H)$
/*
Matrix Result
1
+-------------1| .1724912D+01
*/
/*==================================================================
Example 7.9. Change only in the Constant Term
*/==================================================================
/*==================================================================
Example 7.10. Separate Subset of Coefficients
*/==================================================================
/*==================================================================
Example 7.11. Inadequate Degrees of Freedom
*/==================================================================
/*==================================================================
Example 7.12. Wald Test for Structural Change
63

*/==================================================================
/*==================================================================
Example 7.13. Tests of Model Stability
*/==================================================================
/*==================================================================
Examples 7.14, 7.15, and 7.16. Testing Procedures
*/==================================================================
Read ; Nobs=36 ; Nvar=3 ; Names=1$
Year
Y
C
1950
791.8
733.2
1951
819.0
748.7
1952
844.3
771.4
1953
880.0
802.5
1954
894.0
822.7
1955
944.5
873.8
1956
989.4
899.8
1957 1012.1
919.7
1958 1028.8
932.9
1959 1067.2
979.4
1960 1091.1 1005.1
1961 1123.2 1025.2
1962 1170.2 1069.0
1963 1207.3 1108.4
1964 1291.0 1170.6
1965 1365.7 1236.4
1966 1431.3 1298.9
1967 1493.2 1337.7
1968 1551.3 1405.9
1969 1599.8 1456.7
1970 1688.1 1492.0
1971 1728.4 1538.8
1972 1797.4 1621.9
1973 1916.3 1689.6
1974 1896.6 1674.0
1975 1931.7 1711.9
1976 2001.0 1803.9
1977 2066.6 1883.8
1978 2167.4 1961.0
1979 2216.2 2004.4
1980 2214.3 2000.4
1981 2248.6 2024.2
1982 2261.5 2050.7
1983 2334.6 2145.9
1984 2468.4 2239.9
1985 2509.0 2312.6
Create
; If(_obsno>1) | y1=y[-1] ; c1=c[-1]$
Sample
; 2-36$
64
? ---------------------------------------------------------------------? Example 7.14. Long Run Marginal Propensity to Consume

? ---------------------------------------------------------------------Regress ; Lhs = C ; Rhs = One,Y,C1 $
Calc
; List ; beta = b(2) ; gamma = b(3)
; lrmpc = beta/(1 - gamma)
; db = 1/(1-gamma)
; dc = beta / (1 - gamma)^2
; vmpc = db^2*Varb(2,2) + dc^2*Varb(3,3)+2*db*dc*Varb(2,3)
; z = (lrmpc - 1)/sqr(vmpc)$
Calc
; List
; q = beta+gamma-1
; vq = Varb(2,2)+Varb(3,3)+2*Varb(2,3)
; tstat = q / sqr(vq) $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = C
Mean=
1429.137143
, S.D.=
482.0019313
|
35, Parameters =
3, Deg.Fr.=
32 |
| Residuals: Sum of squares= 10061.99778
, Std.Dev.=
17.73238 |
| Fit:
.99865 |
| Model test: F[ 2,
32] =12544.65,
Prob value =
.00000 |
-148.7334, Restricted(b=0) Log-L =
-265.3838 |
|
LogAmemiyaPrCrt.=
5.833, Akaike Info. Crt.=
8.670 |
1.01420,
Rho =
.49290 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
9.4508045
1.059
.2973
Y
.6460707377
.10419071
6.201
.0000 1578.5571
C1
.2884835617
.11857655
2.433
.0207 1384.0114
BETA
= .64607073767042220D+00
GAMMA
= .28848356165467560D+00
LRMPC
= .90801941157241540D+00
DB
= .14054489061778560D+01
DC
= .12761748887827120D+01
VMPC
= .89754212050797980D-04
Z
= -.97088717493105980D+01
Q
= -.65445700674902190D-01
VQ
= .24366353329137450D-03
TSTAT
= -.41926233909608440D+01
*/
65
? ---------------------------------------------------------------------? Example 7.15. J Test for a Consumption Function

? ---------------------------------------------------------------------Regress ; Lhs = C ; Rhs = One,Y,C1 ; Keep = H1F $
Regress ; Lhs = C ; Rhs = One,Y,Y1,H1F $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -24.76331080
11.713175
-2.114
.0426
Y
-.9520512117
.43386539
-2.194
.0358 1578.5571
Y1
-.4806759314
.14607719
-3.291
.0025 1529.4943
H1F
2.583348143
.60065461
4.301
.0002 1429.1371
*/
Regress ; Lhs = C ; Rhs = One,Y,Y1 ; Keep = H0F $
Regress ; Lhs = C ; Rhs = One,Y,C1,H0F $
/*
63.530023
3.420
.0018
Y
19.35413532
5.6861024
3.404
.0019 1578.5571
C1
.7452534734
.17327898
4.301
.0002 1384.0114
H0F
-21.25142164
6.4582970
-3.291
.0025 1429.1371
*/
? ---------------------------------------------------------------------? Example 7.16. Cox Test for a Consumption Function
? ---------------------------------------------------------------------Namelist ; X=one,y,y1; Z=one,y,c1 $
?
? This is a general procedure for the Cox Test. Just define the
? variables to be X and Z in two namelists.
?
Proc=CoxTest(Xvars,Zvars,yvar) $
Regress
; Lhs=yvar ; Rhs = Xvars ; Keep = Xb$
Calc
; List
; s2x=sumsqdev/n$
Regress
; Lhs=yvar ; Rhs = Zvars ; Keep = Zd$
Calc
; List
; s2z=sumsqdev/n$
Regress
; Lhs=xb
; Rhs = Zvars ; res=mzxb$
Calc
; List
; bxmzxb=sumsqdev$
Regress
; Lhs=mzxb ; Rhs = Xvars$
Calc
; List
; bxmmmxb=sumsqdev$
Calc
; List
; s2zx=s2x+bxmzxb/n$
Calc
; List
; c01=(n/2)*log(s2z/s2zx)$
Calc
; List
; v01=s2x*bxmmmxb/s2zx^2$
Calc
; List
; q=c01/Sqr(v01)$
EndProc
?
? First test. Then just reverse roles of X and Z.
?
Exec;Proc=CoxTest(X,Z,c) $
Exec;Proc=CoxTest(Z,X,c) $
/*
C01
= -.29548426754289190D+01
V01
= .10869014982846900D-01
Q
= -.28342572680460310D+02
C01
= .18235321357659550D+01
V01
= .13091404924804580D+01
Q
= .15937503501103000D+01
*/
66
/*==================================================================
Example 7.15. J Test for a Consumption Function
*/==================================================================
/*==================================================================
Example 7.16. Cox Test for a Consumption Function
*/==================================================================
/*==================================================================
Example 7.17. Forecast for Investment
*/==================================================================
/*==================================================================
Example 7.18. Forecasting Performance
*/==================================================================
67
Chapter 8. Functional Form, Nonlinearity, and

Specification
/*==================================================================
Example 8.1. Wartime Consumption
*/==================================================================
Year
X
C
1940
241 226
1941
280 240
1942
319 235
1943
331 245
1944
345 255
1945
340 265
1946
332 295
1947
320 300
1948
339 305
1949
338 315
1950
371 325
Create ; W = (Year >1941) * (Year < 1946) $
Regress ; Lhs = C ; Rhs = One,X $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = C
Mean=
273.2727273
, S.D.=
35.52208020
|
11, Parameters =
2, Deg.Fr.=
9 |
, Std.Dev.=
27.58819 |
| Fit:
.39682 |
| Model test: F[ 1,
9] =
7.58,
Prob value =
.02237 |
-54.3558 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
80.843975
.642
.5369
X
.6848014072
.24875251
2.753
.0224 323.27273
*/
Regress ; Lhs = C ; Rhs = One,X,W $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = C
Mean=
273.2727273
, S.D.=
35.52208020
|
11, Parameters =
3, Deg.Fr.=
8 |
, Std.Dev.=
9.19549 |
| Fit:
.93299 |
| Model test: F[ 2,
8] =
70.61,
Prob value =
.00001 |
-54.3558 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
27.299480
.531
.6099
X
.8575111125
.85340539E-01
10.048
.0000 323.27273
W
-50.68973653
5.9323733
-8.545
.0000 .36363636
*/
68
/*==================================================================
Example 8.2. Analysis of Variance
*/==================================================================
Type TA TB TC TD TE Y6064 Y6579 Y7074 Y7579 Num
1
1 0 0 0 0
1
0
0
0
0
1
1 0 0 0 0
0
1
0
0
4
1
1 0 0 0 0
0
0
1
0
18
1
1 0 0 0 0
0
0
0
1
11
2
0 1 0 0 0
1
0
0
0
29
2
0 1 0 0 0
0
1
0
0
53
2
0 1 0 0 0
0
0
1
0
44
2
0 1 0 0 0
0
0
0
1
18
3
0 0 1 0 0
1
0
0
0
1
3
0 0 1 0 0
0
1
0
0
1
3
0 0 1 0 0
0
0
1
0
2
3
0 0 1 0 0
0
0
0
1
1
4
0 0 0 1 0
1
0
0
0
0
4
0 0 0 1 0
0
1
0
0
0
4
0 0 0 1 0
0
0
1
0
11
4
0 0 0 1 0
0
0
0
1
4
5
0 0 0 0 1
1
0
0
0
0
5
0 0 0 0 1
0
1
0
0
7
5
0 0 0 0 1
0
0
1
0
12
5
0 0 0 0 1
0
0
0
1
1
Regress ; Lhs = Num ; Rhs = One,Tb,TC,TD,TE,Y6579,Y7074,Y7579 $
Calc
; List ; DFALL = DEGFRDM ; EEAll = Sumsqdev $
Regress ; Lhs = Num ; Rhs = One,
Y6579,Y7074,Y7579 $
Calc
; List ; DFYears = DEGFRDM ; EEYears = Sumsqdev $
Regress ; Lhs = Num ; Rhs = One,Tb,TC,TD,TE
$
Calc
; List ; DFTypes = DEGFRDM ; EETypes = Sumsqdev $
Regress ; Lhs = Num ; Rhs = One
$
Calc
; List ; DFNone = DEGFRDM ; EENone = Sumsqdev $
Calc
; List ; FYears = (EETypes - EEAll)/(DFTypes-DFAll) /
(EEAll / DFAll)
; Ftypes = (EEYears - EEAll)/(DFYears-DFAll) /
(EEAll / DFAll)
; FBoth = (EENone - EEAll)/(DFNone-DFALL) /
(EEAll / DFAll) $
/*
4.6936127
.724
.4827
TB
27.75000000
5.2476185
5.288
.0002 .20000000
TC
-7.000000000
5.2476185
-1.334
.2070 .20000000
TD
-4.500000000
5.2476185
-.858
.4080 .20000000
TE
-3.250000000
5.2476185
-.619
.5473 .20000000
Y6579
7.000000000
4.6936127
1.491
.1617 .25000000
Y7074
11.40000000
4.6936127
2.429
.0318 .25000000
Y7579
1.000000000
4.6936127
.213
.8349 .25000000
Residuals: Sum of squares= 660.9000000
, Std.Dev.=
7.42125
Fit:
.75969
DFALL
= .12000000000000000D+02
EEALL
= .66090000000000010D+03
69
7.0046413
.857
.4043
Y6579
7.000000000
9.9060588
.707
.4900
Y7074
11.40000000
9.9060588
1.151
.2667
Y7579
1.000000000
9.9060588
.101
.9208
, Std.Dev.=
Fit:
DFYEARS=.16000000000000000D+02
EEYEARS=.39252000000000000D+04
4.2627260
1.935
.0720
TB
27.75000000
6.0284050
4.603
.0003
TC
-7.000000000
6.0284050
-1.161
.2637
TD
-4.500000000
6.0284050
-.746
.4669
TE
-3.250000000
6.0284050
-.539
.5977
, Std.Dev.=
Fit:
DFTYPES = .15000000000000000D+02
EETYPES = .10902500000000000D+04
3.3851650
3.205
.0047
, Std.Dev.=
Fit:
DFNONE = .19000000000000000D+02
EENONE = .43545500000000000D+04
FYEARS
FTYPES
FBOTH
.25000000
.25000000
.25000000
15.66285
-.07041
.20000000
.20000000
.20000000
.20000000
8.52545
.68286
15.13892
.00000
= .25985776970797390D+01
= .14817521561507030D+02
= .95808313338953360D+01
/*==================================================================
Example 8.3. Nonlinear Cost Function
*/==================================================================
70
/*==================================================================
Example 8.4. Intrinsically Linear Regression
*/==================================================================
Read ; Nobs=20 ; Nvar=3 ; Names = 1 $
I
Y
X
1
20.5
12
2
31.5
16
3
47.7
18
4
26.2
16
5
44.0
12
6
8.28
12
7
30.8
16
8
17.2
12
9
19.9
10
10
9.96
12
11
55.8
16
12
25.2
20
13
29.0
12
14
85.5
16
15
15.1
10
16
28.5
18
17
21.4
16
18
17.7
20
19
6.42
12
20
84.9
16
?
Regress ; Lhs = Y ; Rhs = One,X ; PrintVC$
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = Y
Mean=
31.27800000
, S.D.=
22.37583367
|
20, Parameters =
2, Deg.Fr.=
18 |
, Std.Dev.=
21.63479 |
| Fit:
.06514 |
| Model test: F[ 1,
18] =
2.32,
Prob value =
.14478 |
-90.0255 |
|
LogAmemiyaPrCrt.=
9.081 |
1.98091,
Rho =
.00955 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -4.143116883
23.733895
-.175
.8634
X
2.426103896
1.5914816
1.524
.1448 14.600000
Matrix Cov.Mat. has 2 rows and 2 columns.
1
2
+---------------------------1| .5632978D+03 -.3697908D+02
2| -.3697908D+02 .2532814D+01
*/
71
Wald
/*
; Fn1 = b_one/b_x$
+-----------------------------------------------+
|
|
| Wald Statistic
=
.03863
|
.84419
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) -1.707724426
8.6890014
-.197
.8442
*/
Calc
; List ; g1 = 1/b(2) ; g2 = -b(1)/(b(2))^2
; beta = b(1)/b(2)
; v = g1^2*varb(1,1)+g2^2*varb(2,2)+2*g1*g2*varb(1,2)
; se = sqr(v) $
/*
G1
= .41218350195385680D+00
G2
= .70389583423435310D+00
BETA
= -.17077244258872660D+01
V
= .75498746069805050D+02
SE
= .86890014426172740D+01
*/
Nlsq
; Lhs = Y ; Fcn = br*r + r*x ; Labels = Br,r ; start=0,0 ;dfc$
/*
+-----------------------------------------------------------------------+
|
| Nonlinear
|
| Number of iterations completed =
8
|
| Dep. var. = Y
Mean=
31.27800000
, S.D.=
22.37583367
|
20, Parameters =
2, Deg.Fr.=
18 |
, Std.Dev.=
21.63479 |
| Fit:
.06514 |
|
| Model test: F[ 1,
18] =
2.32,
Prob value =
.14478 |
-90.0255 |
|
LogAmemiyaPrCrt.=
9.081 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BR
-1.707724426
8.6890014
-.197
.8442
R
2.426103896
1.5914816
1.524
.1274
*/
/*==================================================================
Example 8.5. CES Production Function
*/==================================================================
72
/*==================================================================
Example 8.6. Omitted Variables
*/==================================================================
; Names =
Year, G,
Pg,
Y,
Pnc,
Puc,
Ppt,
Pd,
Pn,
Ps,
Pop $
1960 129.7
.925 6036 1.045
.836
.810
.444
.331
.302 180.7
1961 131.3
.914 6113 1.045
.869
.846
.448
.335
.307 183.7
1962 137.1
.919 6271 1.041
.948
.874
.457
.338
.314 186.5
1963 141.6
.918 6378 1.035
.960
.885
.463
.343
.320 189.2
1964 148.8
.914 6727 1.032 1.001
.901
.470
.347
.325 191.9
1965 155.9
.949 7027 1.009
.994
.919
.471
.353
.332 194.3
1966 164.9
.970 7280
.991
.970
.952
.475
.366
.342 196.6
1967 171.0 1.000 7513 1.000 1.000 1.000
.483
.375
.353 198.7
1968 183.4 1.014 7728 1.028 1.028 1.046
.501
.390
.368 200.7
1969 195.8 1.047 7891 1.044 1.031 1.127
.514
.409
.386 202.7
1970 207.4 1.056 8134 1.076 1.043 1.285
.527
.427
.407 205.1
1971 218.3 1.063 8322 1.120 1.102 1.377
.547
.442
.431 207.7
1972 226.8 1.076 8562 1.110 1.105 1.434
.555
.458
.451 209.9
1973 237.9 1.181 9042 1.111 1.176 1.448
.566
.497
.474 211.9
1974 225.8 1.599 8867 1.175 1.226 1.480
.604
.572
.513 213.9
1975 232.4 1.708 8944 1.276 1.464 1.586
.659
.615
.556 216.0
1976 241.7 1.779 9175 1.357 1.679 1.742
.695
.638
.598 218.0
1977 249.2 1.882 9381 1.429 1.828 1.824
.727
.671
.648 220.2
1978 261.3 1.963 9735 1.538 1.865 1.878
.769
.719
.698 222.6
1979 248.9 2.656 9829 1.660 2.010 2.003
.821
.800
.756 225.1
1980 226.8 3.691 9722 1.793 2.081 2.516
.892
.894
.839 227.7
1981 225.6 4.109 9769 1.902 2.569 3.120
.957
.969
.926 230.0
1982 228.8 3.894 9725 1.976 2.964 3.460 1.000 1.000 1.000 232.2
1983 239.6 3.764 9930 2.026 3.297 3.626 1.041 1.021 1.062 234.3
1984 244.7 3.707 10421 2.085 3.757 3.852 1.038 1.050 1.117 236.3
1985 245.8 3.738 10563 2.152 3.797 4.028 1.045 1.075 1.173 238.5
1986 269.4 2.921 10780 2.240 3.632 4.264 1.053 1.069 1.224 240.7
1987 276.8 3.038 10859 2.321 3.776 4.413 1.085 1.111 1.271 242.8
1988 279.9 3.065 11186 2.368 3.939 4.494 1.105 1.152 1.336 245.0
1989 284.1 3.353 11300 2.414 4.019 4.719 1.129 1.213 1.408 247.3
1990 282.0 3.834 11389 2.451 3.926 5.197 1.144 1.285 1.482 249.9
1991 271.8 3.766 11272 2.538 3.942 5.427 1.167 1.332 1.557 252.6
1992 280.2 3.751 11466 2.528 4.113 5.518 1.184 1.358 1.625 255.4
1993 286.7 3.713 11476 2.663 4.470 6.086 1.200 1.379 1.684 258.1
1994 290.2 3.732 11636 2.754 4.730 6.268 1.225 1.396 1.734 260.7
1995 297.8 3.789 11934 2.815 5.224 6.410 1.239 1.419 1.786 263.2
Create ; G = G/POP $
73
? Simple plot, from Chapter 7

Plot
; Lhs = G ; Rhs = PG ; Grid ; Regression

; Title=Effect of Omitted Variables $
Regression line is G
4.5
-2.85307 +
5.13424PG
4.0
3.5
PG
3.0
2.5
2.0
1.5
1.0
.5
.7
.8
.9
1.0
1.1
1.2
? Regressions to produce residuals, then new plot.

Regress; Lhs = G ; Rhs = One,Y ; Res = RG $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = G
Mean=
1.006903428
, S.D.=
.1407758311
|
36, Parameters =
2, Deg.Fr.=
34 |
, Std.Dev.=
.07175 |
| Fit:
.74021 |
| Model test: F[ 1,
34] = 100.72,
Prob value =
.00000 |
20.0064 |
|
LogAmemiyaPrCrt.=
-2.377 |
.20727,
Rho =
.89636 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.63816376E-01
5.920
.0000
Y
.6813927273E-04 .67894281E-05
10.036
.0000 9232.8611
*/
/*==================================================================
Example 8.7. Mean Squared Error Test (Hypothetical)
*/==================================================================
/*==================================================================
Example 8.8. Restricting a Coefficient to be Positive
*/==================================================================
74
Regress; Lhs = PG; Rhs = ONe,Y ; Res = RPG $

/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = PG
Mean=
2.316611111
, S.D.=
1.251734620
|
36, Parameters =
2, Deg.Fr.=
34 |
, Std.Dev.=
.60931 |
| Fit:
.76305 |
| Model test: F[ 1,
34] = 113.71,
Prob value =
.00000 |
-58.6578 |
|
LogAmemiyaPrCrt.=
-.937, Akaike Info. Crt.=
1.901 |
.29590,
Rho =
.85205 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -3.359742724
.54191393
-6.200
.0000
Y
.6147990061E-03 .57654256E-04
10.664
.0000 9232.8611
*/
Plot
; Lhs = RG; Rhs = RPG; Grid ; Regression
; Title=Effect of Omitted Variables $
Regression line is RG
2.0
.00000 -
6.38505RPG
1.5
RPG
1.0
.5
.0
-.5
-1.0
-1.5
-.10
-.05
.00
.05
.10
.15
RG
75
Chapter 9. Large Sample Results and

Alternative
Estimators for the Classical
Regression Model
/*==================================================================
Example 9.1. Asymptotic Distribution of the Constant in a
Log-Linear Model
/*==================================================================
/*==================================================================
Example 9.2. Estimating an Elasticity
*/==================================================================
Year
G
Pg
Y
Pnc
Puc
Ppt
Pd
Pn
Ps
Pop
1960 129.7
.925 6036 1.045
.836
.810
.444
.331
.302 180.7
1961 131.3
.914 6113 1.045
.869
.846
.448
.335
.307 183.7
1962 137.1
.919 6271 1.041
.948
.874
.457
.338
.314 186.5
1963 141.6
.918 6378 1.035
.960
.885
.463
.343
.320 189.2
1964 148.8
.914 6727 1.032 1.001
.901
.470
.347
.325 191.9
1965 155.9
.949 7027 1.009
.994
.919
.471
.353
.332 194.3
1966 164.9
.970 7280
.991
.970
.952
.475
.366
.342 196.6
1967 171.0 1.000 7513 1.000 1.000 1.000
.483
.375
.353 198.7
1968 183.4 1.014 7728 1.028 1.028 1.046
.501
.390
.368 200.7
1969 195.8 1.047 7891 1.044 1.031 1.127
.514
.409
.386 202.7
1970 207.4 1.056 8134 1.076 1.043 1.285
.527
.427
.407 205.1
1971 218.3 1.063 8322 1.120 1.102 1.377
.547
.442
.431 207.7
1972 226.8 1.076 8562 1.110 1.105 1.434
.555
.458
.451 209.9
1973 237.9 1.181 9042 1.111 1.176 1.448
.566
.497
.474 211.9
1974 225.8 1.599 8867 1.175 1.226 1.480
.604
.572
.513 213.9
1975 232.4 1.708 8944 1.276 1.464 1.586
.659
.615
.556 216.0
1976 241.7 1.779 9175 1.357 1.679 1.742
.695
.638
.598 218.0
1977 249.2 1.882 9381 1.429 1.828 1.824
.727
.671
.648 220.2
1978 261.3 1.963 9735 1.538 1.865 1.878
.769
.719
.698 222.6
1979 248.9 2.656 9829 1.660 2.010 2.003
.821
.800
.756 225.1
1980 226.8 3.691 9722 1.793 2.081 2.516
.892
.894
.839 227.7
1981 225.6 4.109 9769 1.902 2.569 3.120
.957
.969
.926 230.0
1982 228.8 3.894 9725 1.976 2.964 3.460 1.000 1.000 1.000 232.2
1983 239.6 3.764 9930 2.026 3.297 3.626 1.041 1.021 1.062 234.3
1984 244.7 3.707 10421 2.085 3.757 3.852 1.038 1.050 1.117 236.3
1985 245.8 3.738 10563 2.152 3.797 4.028 1.045 1.075 1.173 238.5
1986 269.4 2.921 10780 2.240 3.632 4.264 1.053 1.069 1.224 240.7
1987 276.8 3.038 10859 2.321 3.776 4.413 1.085 1.111 1.271 242.8
1988 279.9 3.065 11186 2.368 3.939 4.494 1.105 1.152 1.336 245.0
1989 284.1 3.353 11300 2.414 4.019 4.719 1.129 1.213 1.408 247.3
1990 282.0 3.834 11389 2.451 3.926 5.197 1.144 1.285 1.482 249.9
1991 271.8 3.766 11272 2.538 3.942 5.427 1.167 1.332 1.557 252.6
1992 280.2 3.751 11466 2.528 4.113 5.518 1.184 1.358 1.625 255.4
1993 286.7 3.713 11476 2.663 4.470 6.086 1.200 1.379 1.684 258.1
1994 290.2 3.732 11636 2.754 4.730 6.268 1.225 1.396 1.734 260.7
1995 297.8 3.789 11934 2.815 5.224 6.410 1.239 1.419 1.786 263.2
?
Create ;G = 100*G/Pop $
Regress ; lhs=g;rhs=one,pg,y,pnc,puc$
76
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = G
Mean=
100.6903428
, S.D.=
14.07758311
|
36, Parameters =
5, Deg.Fr.=
31 |
, Std.Dev.=
2.68067 |
| Fit:
.96374 |
| Model test: F[ 4,
31] = 233.56,
Prob value =
.00000 |
-145.7797 |
|
LogAmemiyaPrCrt.=
4.938 |
.76932,
Rho =
.61534 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -8.981344220
5.0778730
-1.769
.0868
PG
-4.237117549
.98405636
-4.306
.0002 2.3166111
Y
.1587396313E-01 .67782829E-03
23.419
.0000 9232.8611
PNC
-10.13809322
6.1707739
-1.643
.1105 1.6707778
PUC
-4.324964646
2.4144154
-1.791
.0830 2.3436389
*/
Namelist ; x=one,pg,y,pnc,puc$
Calc
; xbk=xbr(y) ; yb = xbr(g)
; list ; hy=b_y * xbk / yb $
/*
HY
= .14555725279065750D+01
*/
Matrix
; gamma = {-hy/yb} * Mean(x)$
Calc
; gamma3 = gamma(3) + xbk/yb $
Matrix
; gamma(3)=gamma3
; list ; vh = gamma'varb*gamma $
Calc
; list;sqr(vh)$
/*
Matrix VH
1
+-------------1| .3904817D-02
Result = .62488534246613110D-01
*/
/*==================================================================
Example 9.3. The Consumption Function
/*==================================================================
/*==================================================================
Example 9.4. Income and Education and a Study of Twins
/*==================================================================
77
/*==================================================================
Example 9.5. Hausman Test for the Consumption Functioin
*/==================================================================
Read ; Nobs=36 ; Nvar = 3 ; Names = 1 $
Year
Y
C
1950
791.8
733.2
1951
819.0
748.7
1952
844.3
771.4
1953
880.0
802.5
1954
894.0
822.7
1955
944.5
873.8
1956
989.4
899.8
1957 1012.1
919.7
1958 1028.8
932.9
1959 1067.2
979.4
1960 1091.1 1005.1
1961 1123.2 1025.2
1962 1170.2 1069.0
1963 1207.3 1108.4
1964 1291.0 1170.6
1965 1365.7 1236.4
1966 1431.3 1298.9
1967 1493.2 1337.7
1968 1551.3 1405.9
1969 1599.8 1456.7
1970 1688.1 1492.0
1971 1728.4 1538.8
1972 1797.4 1621.9
1973 1916.3 1689.6
1974 1896.6 1674.0
1975 1931.7 1711.9
1976 2001.0 1803.9
1977 2066.6 1883.8
1978 2167.4 1961.0
1979 2216.2 2004.4
1980 2214.3 2000.4
1981 2248.6 2024.2
1982 2261.5 2050.7
1983 2334.6 2145.9
1984 2468.4 2239.9
1985 2509.0 2312.6
?
? Create lagged values, then set sample for complete data
?
Create
; If(_Obsno > 1) | y1 = y[-1] ; c1 = c[-1] $
Sample
; 2 - 36 $
?
? Define data matrices
?
Namelist ; X = One,y ; Z = One,y1,c1 $
?
? X-hat - by regressions on Z
?
Matrix
; Xh = Z*<Z'Z>*Z'X $
?
? Variance estimator. Only consistent under null hypothesis
?
Calc
; s2 = Ess(X,c)/(n-col(X)) $
?
78
? Variance matrix. V has rank 1, so invert by Moore-Penrose

?
Matrix
; V = s2*<XH'XH> - s2*<X'X>
; d = <Xh'Xh>*Xh'c - <X'X>*X'c
; List ; H = d' * Mpnv(V) * d $
?
? Hausman Statistic
/*
Matrix H
1
+-------------1| .2527632D+01
*/
? Wu statistic, based on regressions
?
/*
Regress; Lhs = y ; Rhs = z ; Keep = ys $
Regress;Lhs = c ; Rhs = Ys,X ; Cls:b(1)=0 $
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = C
Mean=
1429.137143
, S.D.=
482.0019313
|
35, Parameters =
3, Deg.Fr.=
32 |
, Std.Dev.=
18.54882 |
| Fit:
.99852 |
| Model test: F[ 2,
32] =11463.25,
Prob value =
.00000 |
-265.3838 |
|
LogAmemiyaPrCrt.=
8.761 |
.86755,
Rho =
.56622 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
YS
.1827179262
.11215078
1.629
.1131 1578.5571
9.8977338
.901
.3741
Y
.7169744289
.11199299
6.402
.0000 1578.5571
*/
/*==================================================================
Example 9.6. Test Statistics for the Investment
Equation
*/==================================================================
0.161 1 1.058 5.16 4.40
0.172 2 1.088 5.87 5.15
0.158 3 1.086 5.95 5.37
0.173 4 1.122 4.88 4.99
0.195 5 1.186 4.50 4.16
0.217 6 1.254 6.44 5.75
0.199 7 1.246 7.83 8.82
0.163 8 1.232 6.25 9.31
0.195 9 1.298 5.50 5.21
0.231 10 1.370 5.46 5.83
0.257 11 1.439 7.46 7.40
0.259 12 1.479 10.28 8.64
0.225 13 1.474 11.77 9.31
0.241 14 1.503 13.42 9.44
0.204 15 1.475 11.02 5.99
?
? Define two X matrices.
?
Namelist; X = T,G,R,P ; Xall = One,X $
?
79
? Unrestricted Regression
?
Regress ; Lhs = Y ; Rhs = Xall; Res = e $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = Y
Mean=
.2033333333
, S.D.=
.3417740830E-01 |
15, Parameters =
5, Deg.Fr.=
10 |
.00671 |
| Fit:
.96141 |
| Model test: F[ 4,
10] =
88.19,
Prob value =
.00000 |
29.8762 |
|
LogAmemiyaPrCrt.=
-6.908 |
1.96364,
Rho =
.01818 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -.5090707909
.55127690E-01
-9.234
.0000
T
-.1658039448E-01 .19717611E-02
-8.409
.0000 8.0000000
G
.6703834376
.54997215E-01
12.189
.0000 1.2873333
R
-.2325928344E-02 .12188677E-02
-1.908
.0854 7.4526667
P
-.9401070242E-04 .13474804E-02
-.070
.9458 6.6513333
*/
?
? Standard F statistic
?
Calc
; List ; J=Col(X)
; K = Kreg
; F = (Rsqrd/J)/((1-Rsqrd)/(n-Kreg))$
/*
F
= .88188250148830110D+02
*/
?
? Asymptotic equivalents. Note, Wald uses (e'e/n)<X'X>
? so it comes out much larger by this method than by the
? other methods listed below, which use (e'e/(n-K))<X'X>
?
Calc
; List ; LMStat
= n*J*F/((n-K)*(1+J*F/(n-K))) $
/*
LMSTAT = .14586495494857850D+02
*/
Calc
; List ; WaldStat = n*J*F /(n-K) $
/*
WALDSTAT= .52912950089298070D+03
*/
Calc
; List ; LRStat
= n*log(1+J*F/(n-K)) $
/*
LRSTAT = .53867056058035250D+02
*/
80
Matrix
; b2 = b(2:5) ; V2 = Part(Varb,2,5,2,5)
; List ; Wald = b2' * <V2> * b2 $
/*
Matrix WALD
has 1 rows and

1
+-------------1| .3527530D+03
*/
?
Wald
/*
1 columns.
; Fn1=b_T - 0 ; Fn2=b_G-0 ; Fn3=b_R-0 ; Fn4=b_P-0 $
+-----------------------------------------------+
|
|
| Wald Statistic
=
352.75300
|
.00000
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) -.1658039448E-01 .19717611E-02
-8.409
.0000
Fncn( 2) .6703834376
.54997215E-01
12.189
.0000
Fncn( 3) -.2325928344E-02 .12188677E-02
-1.908
.0564
Fncn( 4) -.9401070242E-04 .13474804E-02
-.070
.9444
*/
Regress ; Lhs = Y ; Rhs = One,X ;
cls: b(2)=0,b(3)=0,b(4)=0,b(5)=0 $
/*
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = Y
Mean=
.2033333333
, S.D.=
.3417740830E-01 |
15, Parameters =
1, Deg.Fr.=
14 |
.03418 |
| Fit:
.00000 |
|
29.8762 |
|
LogAmemiyaPrCrt.=
-3.850 |
| F[ 4,
88.1883, Prob =
.0000
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.88245689E-02
23.042
.0000
T
-.3122502257E-16 .42828688E-09
.000 1.0000 8.0000000
G
R
.0000000000
........(Fixed Parameter)........ 7.4526667
P
-.5407458335E-17........(Fixed Parameter)........ 6.6513333
*/
81
Regress ; Lhs = Y ; Rhs = One ; Res = estar $

/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = Y
Mean=
.2033333333
, S.D.=
.3417740830E-01 |
15, Parameters =
1, Deg.Fr.=
14 |
.03418 |
| Fit:
.00000 |
| Model test: F[ 1,
14] =
.00,
Prob value =
1.00000 |
29.8762 |
|
LogAmemiyaPrCrt.=
-3.850 |
.54490,
Rho =
.72755 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.88245689E-02
23.042
.0000
*/
Calc
; List ; LRT = n*log( estar'estar / e'e ) $
/*
LRT
= .53867056058035290D+02
*/
Matrix ; List
; LMStat = {n/estar'estar} * estar'Xall * <Xall'Xall> * Xall'estar
/*
Matrix LMSTAT
1
+-------------1| .1458650D+02
*/
/*==================================================================
Example 9.7. The Gamma Regression Model
/*==================================================================
82
/*==================================================================
Example 9.8. Stochastic Frontier Model
*/==================================================================
State
ValueAdd
Capital
Labor
NFirm
Alabama
126.148
3.804
31.551
68
California
3201.486
185.446
452.844
1372
Connecticut
690.670
39.712
124.074
154
Florida
56.296
6.547
19.181
292
Georgia
304.531
11.530
45.534
71
Illinois
723.028
58.987
88.391
275
Indiana
992.169
112.884
148.530
260
Iowa
35.796
2.698
8.017
75
Kansas
494.515
10.360
86.189
76
Kentucky
124.948
5.213
12.000
31
Louisiana
73.328
3.763
15.900
115
Maine
29.467
1.967
6.470
81
Maryland
415.262
17.546
69.342
129
Massachusetts
241.530
15.347
39.416
172
Michigan
4079.554
435.105
490.384
568
Missouri
652.085
32.840
84.831
125
NewJersey
667.113
33.292
83.033
247
NewYork
940.430
72.974
190.094
461
Ohio
1611.899
157.978
259.916
363
Pennsylvania
617.579
34.324
98.152
233
Texas
527.413
22.736
109.728
308
Virginia
174.394
7.173
31.301
85
Washington
636.948
30.807
87.963
179
WestVirginia
22.700
1.543
4.063
15
Wisconsin
349.711
22.001
52.818
142
?
Create ; q = log(Valueadd) ; K = log(Capital) ; L = Log(Labor) $
?
? Linear Model
?
Regress ; Lhs = Q ; Rhs = One,K,L $
/*
++
|OrdinaryleastsquaresregressionWeightingvariable=none|
|Dep.var.=QMean=5.812092204,S.D.=1.375303514|
|Modelsize:Observations=25,Parameters=3,Deg.Fr.=22|
|Residuals:Sumofsquares=1.222259953,Std.Dev.=.23571|
|Fit:Rsquared=.973075,AdjustedRsquared=.97063|
|Modeltest:F[2,22]=397.54,Probvalue=.00000|
|Diagnostic:LogL=2.2537,Restricted(b=0)LogL=42.9300|
|LogAmemiyaPrCrt.=2.777,AkaikeInfo.Crt.=.060|
|Autocorrel:DurbinWatsonStatistic=1.95755,Rho=.02123|
++
+++++++
|Variable|Coefficient|StandardError|tratio|P[|T|>t]|MeanofX|
+++++++
Constant1.844415714.233592857.896.0000
K.2454280713.106857432.297.03152.9581994
L.8051829551.126333616.373.00004.0259810
*/
83
?
? Half normal stochastic frontier
?
Frontier ; Lhs = q ; rhs = One,K,L ; Res = Normal$
/*
+---------------------------------------------+
| Limited Dependent Variable Model - FRONTIER |
|
Q
|
ONE
|
25
|
10
|
2.469522
|
| Variances: Sigma-squared(v)=
.03068
|
|
Sigma-squared(u)=
.04907
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Primary Index Equation for Model
.42187394
4.933
.0000
K
.2585478087
.14364877
1.800
.0719 2.9581994
L
.7802451298
.16981927
4.595
.0000 4.0259810
Variance parameters for compound error
Lambda
1.264536663
1.6194821
.781
.4349
Sigma
.2823997646
.87253260E-01
3.237
.0012
*/
?
? Exponential Frontier
?
Frontier ; Lhs = q ; rhs = One,K,L ; Model=E ; Res = Expon $$
/*
+---------------------------------------------+
| Limited Dependent Variable Model - FRONTIER |
|
Q
|
ONE
|
25
|
11
|
2.860489
|
| Exponential frontier model
|
| Variances: Sigma-squared(v)=
.02938
|
|
Sigma-squared(u)=
.01827
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.29002725
7.135
.0000
K
.2624859319
.12020162
2.184
.0290 2.9581994
L
.7703794735
.13803075
5.581
.0000 4.0259810
Variance parameters for compound error
Theta
7.398138999
3.9306818
1.882
.0598
Sigmav
.1713924807
.54061028E-01
3.170
.0015
*/
84
List ; Normal,Expon $
/*
Listing of raw data (Current sample)
Line Observ.
NORMAL
EXPON
1
1
.20113
.14593
2
2
.14481
.97217E-01
3
3
.19035
.13479
4
4
.51753
.59033
5
5
.10398
.71410E-01
6
6
.12127
.83042E-01
7
7
.21128
.15451
8
8
.24933
.20073
9
9
.10100
.68576E-01
10
10
.56269E-01 .41524E-01
11
11
.20333
.15066
12
12
.22263
.17246
13
13
.13534
.92455E-01
14
14
.15637
.10933
15
15
.15810
.10757
16
16
.10288
.70415E-01
17
17
.95843E-01 .65880E-01
18
18
.27788
.22249
19
19
.22914
.16982
20
20
.15007
.10303
21
21
.20298
.14552
22
22
.14000
.96761E-01
23
23
.11048
.75333E-01
24
24
.15561
.11236
25
25
.14067
.97086E-01
/*==================================================================
Example 9.9. Nonnormal Disturbances
*/==================================================================
State
ValueAdd
Capital
Labor
NFirm
<... Data appear in previous example ...>
?
?
? Normality Test
?
Regress;lhs=q;rhs=one,k,l; Res = e $
?
? Construct Test
?
Create ; e2 = e^2 ; e3 = e^3 ; e4 = e^4 $
Calc
; list
; m2 = xbr(e2)
; m3 = xbr(e3)/(m2^1.5) ; m4 = xbr(e4)/m2^2 - 3 $
/*
M2
= .48890398139161950D-01
M3
= -.31082932096476550D+00
M4
= .22194786523673490D+01
*/
Calc
; List ; Wald = n*( m3^2/6 + m4^2/24 ) $
/*
WALD
= .55339009952083870D+01
*/
85
/*==================================================================
Example 9.10. LAD Estimation of a Cobb-Douglas
Production Function
*/==================================================================
State
ValueAdd
Capital
Labor
NFirm
<... Data appear in Example 9.8. ...>
?
?
? Examine Residuals
?
Regress;lhs=q;rhs=one,k,l ; Standardize ; PlotResiduals$
/*
++
|OrdinaryleastsquaresregressionWeightingvariable=none|
|Dep.var.=QMean=5.812092204,S.D.=1.375303514|
|Modelsize:Observations=25,Parameters=3,Deg.Fr.=22|
|Residuals:Sumofsquares=1.222259953,Std.Dev.=.23571|
|Fit:Rsquared=.973075,AdjustedRsquared=.97063|
|Modeltest:F[2,22]=397.54,Probvalue=.00000|
|Diagnostic:LogL=2.2537,Restricted(b=0)LogL=42.9300|
|LogAmemiyaPrCrt.=2.777,AkaikeInfo.Crt.=.060|
|Autocorrel:DurbinWatsonStatistic=1.95755,Rho=.02123|
++
+++++++
|Variable|Coefficient|StandardError|tratio|P[|T|>t]|MeanofX|
+++++++
Constant1.844415714.233592857.896.0000
K.2454280713.106857432.297.03152.9581994
L.8051829551.126333616.373.00004.0259810
Standardized Residuals. Bars mark mean res. and +/- 2s(e)

3
R esidual
2
1
0
-1
-2
-3
-4
12
16
20
24
28
Observ.#
?
86
? There is a built-in procedure for this

?
Sample ; 1 - 25 $
Regress ; Lhs = q ; Rhs = X ; Alg=LAD ; Nbt=500 $
/*
+-----------------------------------------------------------------------+
| Least absolute deviations estimator
|
| Dep. var. = Q
Mean=
5.812092204
, S.D.=
1.375303514
|
25, Parameters =
3, Deg.Fr.=
22 |
, Std.Dev.=
.23747 |
| Fit:
.97376 |
|
| Model test: F[ 2,
22] = 391.49,
Prob value =
.00000 |
.4691, Restricted(b=0) Log-L =
-42.9300 |
| Sum of absolute deviations is
2.7396873
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Covariance matrix based on 500 replications.
K
.2048726092
.13031597
1.572
.1159 2.9581994
L
.8494661424
.16305026
5.210
.0000 4.0259810
.32298194
5.593
.0000
*/
?
? We can also do it with matrix algebra. Same results.
?
Namelist ; X = one,k,l $
Matrix
; list ; BL = LADB(X,q) ; VB = Init(3,3,0.) $
/*
Matrix BL
1
+-------------1| .1806418D+01
2| .2048726D+00
3| .8494661D+00
*/
Procedure
Draw
; n = 25 ; Replacement $
Matrix ; BLr = LADB(X,q)
; D = BLr - BL ; VB = VB + 1/NR * d*d' $
EndProc
Calc
; NR=500 $
Execute; i = 1,NR $
Matrix ; Stat(BL,VB) $
/*
Matrix statistical results: Coefficients=BL
Variance=VB
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BL
_ 1 1.806418413
.32932016
5.485
.0000
BL
_ 2 .2048726092
.12929412
1.585
.1131
BL
_ 3 .8494661424
.16355446
5.194
.0000
*/
Draw;n=0$
/*==================================================================
Example 9.11. Bayesian Estimate of the Marginal Propensity to Consume
*/==================================================================
87
Chapter 10. Nonlinear Regression Models

/*==================================================================
Example 10.1. First Order Conditions for a Nonlinear Model
No computations.
*/==================================================================
/*==================================================================
Example 10.2. Linearized Regression
No computations.
*/==================================================================
/*==================================================================
Examples 10.3. A Nonlinear Consumption Function
10.4. Multicollinearity in Nonlinear Regression
10.6. Instrumental Variables Estimates of the Consumption Function
10.8. Hypothesis Tests in a Nonlinear Regression Model
*/==================================================================
Year
Y
C
1950
791.8
733.2
1951
819.0
748.7
1952
844.3
771.4
1953
880.0
802.5
1954
894.0
822.7
1955
944.5
873.8
1956
989.4
899.8
1957 1012.1
919.7
1958 1028.8
932.9
1959 1067.2
979.4
1960 1091.1 1005.1
1961 1123.2 1025.2
1962 1170.2 1069.0
1963 1207.3 1108.4
1964 1291.0 1170.6
1965 1365.7 1236.4
1966 1431.3 1298.9
1967 1493.2 1337.7
1968 1551.3 1405.9
1969 1599.8 1456.7
1970 1688.1 1492.0
1971 1728.4 1538.8
1972 1797.4 1621.9
1973 1916.3 1689.6
1974 1896.6 1674.0
1975 1931.7 1711.9
1976 2001.0 1803.9
1977 2066.6 1883.8
1978 2167.4 1961.0
1979 2212.2 2004.4
1980 2214.3 2000.4
1981 2248.6 2024.2
1982 2261.5 2050.7
1983 2334.6 2145.9
1984 2468.4 2239.9
1985 2509.0 2312.6
88
?
? Get starting values. Assume gamma=1.
? Save sum of squares for Example 10.8 tests.
?
Sample ; 1 - 36 $
Regress ; Lhs = C ; Rhs = One,Y $
Calc
; EE1 = Sumsqdev $
?
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = C
Mean=
1409.805556
, S.D.=
489.0210115
|
36, Parameters =
2, Deg.Fr.=
34 |
, Std.Dev.=
18.83975 |
| Fit:
.99852 |
| Model test: F[ 1,
34] =23547.57,
Prob value =
.00000 |
-273.5013 |
|
LogAmemiyaPrCrt.=
8.764 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
9.6403233
1.156
.2557
Y
.8985335453
.58554634E-02 153.452
.0000 1556.6028
*/
? Nonlinear Least Squares Regression. (Actually takes more iterations
? to converge, but additional iterations are trivial. If it continues
? to iterate, the parameter values change slightly.)
? Keep sum of squares
Nlsq
; Lhs = c ; fcn = alpha + beta*y^gamma
; labels = alpha,beta,gamma ; start = b,1
; DFC ; output = 1$
Calc
; EE = SumsQdev $
/*
Begin NLSQ iterations. Linearized regression.
Iteration= 1; Sum of squares= 12067.8341
; Gradient= 3547.31832
Iteration= 2; Sum of squares= 227235024.
; Gradient= 227226603.
; Gradient= 343043.020
; Gradient= 587.614486
; Gradient= .132517660E-02
; Gradient= .417021418E-07
; Gradient= .265749824E-10
+-----------------------------------------------------------------------+
|
| Nonlinear
|
| Dep. var. = C
Mean=
1409.805556
, S.D.=
489.0210115
|
36, Parameters =
3, Deg.Fr.=
33 |
, Std.Dev.=
15.97410 |
| Fit:
.99893 |
|
| Model test: F[ 2,
33] =16384.12,
Prob value =
.00000 |
-273.5013 |
|
LogAmemiyaPrCrt.=
8.459 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
ALPHA
187.8989963
40.677226
4.619
.0000
BETA
.2460040329
.82999421E-01
2.964
.0030
GAMMA
1.156396418
.41007251E-01
28.200
.0000
MatrixCov.Mat.has3rowsand3columns.
123
89
+
1|.1654532D+04.3329262D+01.1641340D+01
2|.3329262D+01.6883158D02.3401887D02
3|.1641340D+01.3401887D02.1681777D02
?
? Marginal propensity to consume
?
Wald
; Fn1 = gamma - 1
; Fn2 = beta*gamma*2509^(gamma-1) $
; Fn3 = beta*gamma*2509^(gamma-1) - 1 $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .1563964183
.41007251E-01
3.814
.0001
Fncn( 3) .9676508712
.19245239E-01
50.280
.0000
Fncn( 3) -.3234912783E-01 .19245239E-01
-1.681
.0928
*/
/*==================================================================
Example 10.4. Multicollinearity in Nonlinear Regression
*/==================================================================
?
? Condition number of the data matrix of pseudo regressors
?
Create ; x20=y^gamma
; x30=beta*x20*log(y) $
Calc
; list ; Cor(x20,x30) $
?
Result = .99986594591977720D+00
?
Namelist ; X = One,x20,x30 $
Matrix
; XX = X'X ; D = Diag(XX) ; D = Isqr(D) ; V = D*XX*D $
?
Matrix
; List ; L = Root(V) $
Calc
; List ; cn = sqr(L(1)/L(3)) $
/*
Matrix L
1
+-------------1| .2897766D+01
2| .1022142D+00
3| .1952984D-04
CN
= .38519646674583850D+03
*/
90
/*==================================================================
Example 10.6. Instrumental Variables Estimates of the Consumption
Function
*/==================================================================
Create ; If(_obsno > 1)
c1 = c[-1] $
Create ; If(_obsno > 2) | y1 =y[-1] ; y2 = y[-2] $
Sample ; 3 - 36 $
Regress ; Lhs = C ; Rhs = One,Y $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = C
Mean=
1449.150000
, S.D.=
474.2607359
|
34, Parameters =
2, Deg.Fr.=
32 |
, Std.Dev.=
19.31758 |
| Fit:
.99834 |
| Model test: F[ 1,
32] =19858.37,
Prob value =
.00000 |
-257.2362 |
|
LogAmemiyaPrCrt.=
8.817 |
.84794,
Rho =
.57603 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
10.742996
.841
.4067
Y
.8996347863
.63840236E-02 140.920
.0000 1600.7794
*/
Matrix ; Bols = b $
Nlsq
; Lhs = c
; fcn = alpha + beta*y^gamma
; labels = alpha,beta,gamma
; start = bols,1
; DFC ; output = 1; table = NLSQ $
/*
+-----------------------------------------------------------------------+
|
| Nonlinear
|
| Number of iterations completed = 10
|
| Dep. var. = C
Mean=
1449.150000
, S.D.=
474.2607359
|
34, Parameters =
3, Deg.Fr.=
31 |
, Std.Dev.=
16.09889 |
| Fit:
.99885 |
|
| Model test: F[ 2,
31] =14303.96,
Prob value =
.00000 |
-257.2362 |
|
LogAmemiyaPrCrt.=
8.479 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
ALPHA
214.9680758
45.144186
4.762
.0000
BETA
.2011697535
.76321137E-01
2.636
.0084
GAMMA
1.180567691
.46085907E-01
25.617
.0000
*/
91
Wald
/*
; Fn1 = beta*gamma*2509^(gamma-1)$
+-----------------------------------------------+
|
|
| Wald Statistic
=
2208.66113
|
.00000
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .9760983124
.20769642E-01
46.996
.0000
*/
Nlsq
; Lhs = c
; fcn = alpha + beta*y^gamma
; Inst= one,c1,y1,y2
; labels = alpha,beta,gamma
; start = bols,1
; DFC ; table = NLIV ; Res = u ; Maxit=200$
/*
+-----------------------------------------------------------------------+
| Instrumental Variables (NL2SLS)
|
| Nonlinear
|
|
| Dep. var. = TA*Y^GL Mean=
1449.150000
, S.D.=
474.2607359
|
34, Parameters =
3, Deg.Fr.=
31 |
, Std.Dev.=
18.28936 |
| Fit:
.99851 |
|
| Model test: F[ 2,
31] =11079.35,
Prob value =
.00000 |
-257.2362 |
|
LogAmemiyaPrCrt.=
8.735 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
ALPHA
335.7107115
76.408816
4.394
.0000
BETA
.6352351182E-01 .51391310E-01
1.236
.2164
GAMMA
1.321362196
.99258677E-01
13.312
.0000
*/
Wald
; Fn1 = beta*gamma*2509^(gamma-1)$
/*
+-----------------------------------------------+
|
|
| Wald Statistic
=
525.65168
|
.00000
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) 1.038549911
.45297929E-01
22.927
.0000
*/
92
Create ; x00=1 ; x10 = y^gamma ; x20 = beta*y^gamma*log(y) $

Namelist; x0 = x00,x10,x20 ; z = one,c1,y1,y2 $
Calc
; List ; ee=u'u ; s2 = u'u/n ; sqr(s2) $
/*
EE
= .10369515935344020D+05
S2
= .30498576280423600D+03
Result = .17463841582087140D+02
*/
Matrix ; Xh = Z*<Z'Z>*Z'X0 ; V = s2*<Xh'Xh> ; Stat(b,V) $
/*
Matrix statistical results: Coefficients=B
Variance=V
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 335.7107115
72.960011
4.601
.0000
B
_ 2 .6352351182E-01 .49071714E-01
1.295
.1955
B
_ 3 1.321362196
.94778559E-01
13.942
.0000
*/
/*==================================================================
Example 10.8. Hypothesis Tests in a Nonlinear Regression Model
Hypothesis tests for gamma = 1
*/==============================================================
?
? F Test
?
Calc ; List ; F = ((EE1 - EE)/1) / (EE/(n-3)) $
/*
F
= .14292964880531070D+02
*/
?
? Likelihood Ratio
?
Calc ; List ; LR = n * log(EE1/EE) $
/*
LR=.12962069520649460D+02
*/
?
? Lagrange Multiplier
?
Matrix ; BR = Xlsq(One,Y,C) $
Create ; Er = C - br(1) - br(2)*Y $
Create ; x10 = 1
; x20 = Y
; x30 = br(2)*Y*log(Y) $
Namelis; X0 = x10,x20,x30 $
Matrix ; List ; LM = {n/EE1} * Er'X0*<X0'X0>*X0'Er $
/*
Matrix LM
1
+-------------1| .1058214D+02
*/
93
/*==================================================================
Example 10.4. Multicollinearity in Nonlinear Regression.
Computations done in Ex10_3.lim
*/==================================================================
/*==================================================================
Example 10.5. A Generalized Production Function
*/==================================================================
State
ValueAdd
Capital
Labor
NFirm
Alabama
126.148
3.804
31.551
68
California
3201.486
185.446
452.844
1372
Connecticut
690.670
39.712
124.074
154
Florida
56.296
6.547
19.181
292
Georgia
304.531
11.530
45.534
71
Illinois
723.028
58.987
88.391
275
Indiana
992.169
112.884
148.530
260
Iowa
35.796
2.698
8.017
75
Kansas
494.515
10.360
86.189
76
Kentucky
124.948
5.213
12.000
31
Louisiana
73.328
3.763
15.900
115
Maine
29.467
1.967
6.470
81
Maryland
415.262
17.546
69.342
129
Massachusetts
241.530
15.347
39.416
172
Michigan
4079.554
435.105
490.384
568
Missouri
652.085
32.840
84.831
125
NewJersey
667.113
33.292
83.033
247
NewYork
940.430
72.974
190.094
461
Ohio
1611.899
157.978
259.916
363
Pennsylvania
617.579
34.324
98.152
233
Texas
527.413
22.736
109.728
308
Virginia
174.394
7.173
31.301
85
Washington
636.948
30.807
87.963
179
WestVirginia
22.700
1.543
4.063
15
Wisconsin
349.711
22.001
52.818
142
?
? Data setup
?
Create
; q=valueadd/nfirm ; k=log(capital/nfirm) ; l=log(labor/nfirm)$
?
? Regression to get starting values
?
Regress ; lhs=log(q);rhs=one,k,l$
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LOGQ
Mean=
.7717343935
, S.D.=
.8993058288
|
25, Parameters =
3, Deg.Fr.=
22 |
, Std.Dev.=
.18846 |
| Fit:
.95608 |
| Model test: F[ 2,
22] = 262.24,
Prob value =
.00000 |
-32.3099 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.10718278
21.396
.0000
K
.2789823055
.80685784E-01
3.458
.0022 -2.0821584
L
.9273117612
.98322176E-01
9.431
.0000 -1.0143768
*/
94
Matrix
; bols=b$
Calc
; s2 = s*s $
?
? Maximum likelihood estimates.
?
Maximize ;fcn=-.5*log(2*pi) -.5*log(sgsq) +
log(1+t*q) - log(q)
-.5/sgsq* (log(q)+t*q-b0-b1*k-b2*l)^2
;start=bols,.1,s2 ;labels=b0,b1,b2,t,sgsq$
/*
+---------------------------------------------+
|
|
Function
|
ONE
|
25
|
12
|
-8.939044
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B0
2.914822411
.44912222
6.490
.0000
B1
.3500676243
.10018605
3.494
.0005
B2
1.092275274
.16070124
6.797
.0000
T
.1066655870
.78702507E-01
1.355
.1753
SGSQ
.4274269499E-01 .15116672E-01
2.828
.0047
*/
?
? Residuals, compute sum of squares, then verify that
? MLE of sigma-squares really is (1/n)*e'e
?
Create
; e = log(q) + t*q -b0 - b1*k - b2*l $
Calc
; List ; ee1 = e'e ; ee2 = n*sgsq$
/*
EE1
= .10685673673024950D+01
EE2
= .10685673747114620D+01
*/
?
? Plot scale economies measure with confidence limits
?
Create
; u=log(q)+t*q - (b0 + b1*k + b2*l)$
Calc
; s2=u'u/n$
Create
; w1=(u/s2)*1 ; w2=(u/s2)*k ;w3=(u/s2)*l
; w4=1/(t+1/q) - u/s2*q
; w5=1/(2*s2)*(u*u/s2-1)$
Namelist ; w=w1,w2,w3,w4,w5 $
Matrix
; v=<w'w>$
Create
; alpha=(b1+b2)/(1+t*q)
; w1=0
;w2=1/(1+t*q)
; w3=w2
; w4=-q*w2*alpha
; w5=0 $
Create
; sdalpha=sqr(qfr(W,v))
; upper=alpha+1.96*sdalpha
; lower=alpha-1.96*sdalpha$
Plot
; lhs=q;rhs=alpha,lower,upper;fill;bars=1
; Yaxis=SclElast ; Title=Measure of Scale Economies$
95
Measure of Scale Economies

1.8
ALPHA
LOWER
UPPER
SclElast
1.5
1.3
1.0
.7
.4
Q
?
? Ordinary least squares treating theta as known to get
? conditional (incorrect) standard errors.
?
Create
; yf = log(q) + t*q$
Regress ; Lhs = yf ; rhs = One,K,L $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = YF
Mean=
1.077947507
, S.D.=
1.075785616
|
25, Parameters =
3, Deg.Fr.=
22 |
, Std.Dev.=
.22039 |
| Fit:
.95803 |
| Model test: F[ 2,
22] = 274.93,
Prob value =
.00000 |
-36.7895 |
|
LogAmemiyaPrCrt.=
-.075 |
1.54685,
Rho =
.22657 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.12533963
23.255
.0000
K
.3500676253
.94354022E-01
3.710
.0012 -2.0821584
L
1.092275272
.11497803
9.500
.0000 -1.0143768
*/
?
? Nonlinear least squares estimates. Note much smaller sum of
? squares. (Least squares is least squares.)
?
Minimize ; fcn=(log(q)+t*q-b0-b1*k-b2*l)^2
; start=bols,.1
; labels=b0,b1,b2,t$
96
/*
+---------------------------------------------+
|
|
Function
|
ONE
|
25
|
5
|
-.7655490
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B0
2.108924948
5.3414125
.395
.6930
B1
.2579002461
2.0766482
.124
.9012
B2
.8783878688
2.2423430
.392
.6953
T
-.3163424243E-01 .84543523
-.037
.9702
*/
/*==================================================================
Example 10.6. Instrumental Variables Estimates of the Consumption Function
*/==================================================================
/*==================================================================
Example 10.7.
Two Step Estimation of a Credit Scoring Model
*/==================================================================
; Names = Derogs,Card,Age,Income,Exp,OwnRent,SelfEmpl $
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7
0
3
0
1
0
1
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
1
1
1
1
1
1
1
1
1
1
1
0
0
1
1
1
1
0
1
0
1
0
1
1
1
1
0
1
0
1
1
1
0
1
1
1
0
1
1
38 4.52
33 2.42
34 4.50
31 2.54
32 9.79
23 2.50
28 3.96
29 2.37
37 3.80
28 3.20
31 3.95
42 1.98
30 1.73
29 2.45
35 1.91
41 3.20
40 4.00
30 3.00
40 10.00
46 3.40
35 2.35
25 1.88
34 2.00
36 4.00
43 5.14
30 4.51
22 3.84
22 1.50
34 2.50
40 5.50
22 2.03
29 3.20
25 3.15
21 2.47
24 3.00
43 3.54
43 2.28
37 5.70
27 3.50
124.98
9.85
15.00
137.87
546.50
92.00
40.83
150.79
777.82
52.58
256.66
0.00
0.00
78.87
42.62
335.43
248.72
0.00
548.03
0.00
43.34
0.00
218.52
170.64
37.58
502.20
0.00
73.18
0.00
1532.77
42.69
417.83
0.00
552.72
222.54
541.30
0.00
568.77
344.47
1
0
1
0
1
0
0
1
1
0
1
1
1
1
1
1
1
1
1
0
1
0
1
0
1
0
0
0
1
1
0
0
1
1
0
1
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
97
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
2
0
0
0
3
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
3
0
0
0
0
1
2
0
0
4
2
0
1
1
0
0
1
1
1
1
1
1
0
1
0
1
1
0
1
1
1
1
1
1
1
0
1
1
1
1
1
0
0
1
1
0
1
1
1
1
1
1
0
1
1
1
1
0
1
1
1
0
1
0
0
0
0
0
0
1
0
0
1
1
1
1
1
28
26
23
30
30
38
28
36
38
26
28
50
24
21
24
26
33
34
33
45
21
25
27
26
22
27
26
41
42
22
25
31
27
33
37
27
24
24
25
36
33
33
55
20
29
40
41
41
35
24
54
34
45
43
35
36
22
33
25
26
46
4.60
3.00
2.59
1.51
1.85
2.60
1.80
2.00
3.26
2.35
7.00
3.60
2.00
1.70
2.80
2.40
3.00
4.80
3.18
1.80
1.50
3.00
2.28
2.80
2.70
4.90
2.50
6.00
3.90
5.10
3.07
2.46
2.00
3.25
2.72
2.20
4.10
3.75
2.88
3.05
2.55
4.00
2.64
1.65
2.40
3.71
7.24
4.39
3.30
2.30
4.18
2.49
2.81
2.40
1.50
8.40
1.56
6.00
3.60
5.00
5.50
405.35
310.94
53.65
63.92
165.85
9.58
0.00
319.49
0.00
83.08
644.83
0.00
93.20
105.04
34.13
41.19
169.89
1898.03
810.39
0.00
32.78
95.80
27.78
215.07
79.51
0.00
0.00
306.03
104.54
0.00
642.47
308.05
186.35
56.15
129.37
93.11
0.00
292.66
98.46
258.55
101.68
0.00
65.25
108.61
49.56
0.00
235.57
0.00
0.00
0.00
0.00
0.00
0.00
68.38
0.00
0.00
0.00
474.15
234.05
451.20
251.52
1
1
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
1
0
0
0
1
1
1
0
0
0
1
0
0
0
0
1
0
1
1
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
?
? Setup for two models. W in probability, X in regression
?
Namelist ; W = One,Age,Income,SelfEmpl,OwnRent
; X = One,Age,Income,Expend $
?
? Probability Model, Maximum likelihood. Could use LOGIT
?
Create
; q = 2*Card - 1 $ (see 19-20 to 19-22)
Maximize ; Fcn = Log(Lgp(q*(c1'W)))
98
; Start = 0,0,0,0,0
; Labels= c1,c2,c3,c4,c5 $
/*
+---------------------------------------------+
|
|
Function
|
ONE
|
100
|
10
|
-53.92463
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
C1
2.723655716
1.0970066
2.483
.0130
C2
-.7327692237E-01 .29617637E-01
-2.474
.0134
C3
.2192028932
.14925569
1.469
.1419
C4
-1.943879185
1.0126624
-1.920
.0549
C5
.1893680073
.49816937
.380
.7039
*/
?
? Note, VC is the BHHH estimator shown in the text.
?
Matrix
; Gamma = B ; VC = VARB $
Create
; Prob = Lgp(W'Gamma) $
Namelist ; X0 = X,Prob $
?
? 1. Linear Regression Model
?
Regress ; Lhs = Derogs ; Rhs = X0 ; Res = Ei $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = DEROGS
Mean=
.3600000000
, S.D.=
1.010250494
|
100, Parameters =
5, Deg.Fr.=
95 |
, Std.Dev.=
1.00289 |
| Fit:
.01451 |
| Model test: F[ 4,
95] =
1.36,
Prob value =
.25213 |
-142.4112 |
|
LogAmemiyaPrCrt.=
.055, Akaike Info. Crt.=
2.892 |
2.05681,
Rho =
-.02841 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -1.062808491
1.2215862
-.870
.3865
AGE
.2166060189E-01 .19243146E-01
1.126
.2632 32.080000
INCOME
.3473139843E-01 .74547884E-01
.466
.6424 3.3693000
EXPEND
-.7873806527E-03 .37619623E-03
-2.093
.0390 189.02310
PROB
1.040752075
1.0929908
.952
.3434 .73000000
*/
?
? Recover e'e/n
?
Calc
; List ; s2 = sqr(sumsqdev/n)
; delta = b(kreg)
; s2sqrd=s2*s2 $
/*
S2
= .97750011147810210D+00
DELTA
= .10407520752603880D+01
S2SQRD = .95550646793970210D+00
99
*/
Matrix
; VB = 1/ssqrd * VARB ; VV=s2sqrd*VB ; Stat(b,VV) $
/*
Variance=VV
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 -1.062808491
1.1906549
-.893
.3721
B
_ 2 .2166060189E-01 .18755899E-01
1.155
.2481
B
_ 3 .3473139843E-01 .72660289E-01
.478
.6327
B
_ 4 -.7873806527E-03 .36667073E-03
-2.147
.0318
B
_ 5 1.040752075
1.0653156
.977
.3286
*/
?
? Derivative of regression wrt gamma (* w'). C matrix
?
Create
; Ci = Ei * Ei * delta * Prob * (1-Prob)
?
? Residual * derivative of term in log-L wrt gamma
?
; Gi = Ei * (Card - Lgp(W'gamma)) $
?
? Compute C and R then assemble corrected matrix
?
Matrix
; C = X0'[Ci]W ; R = X0'[Gi]W
; Term = C*VC*C' - C*VC*R' - R*VC*C'
; VBS = Ssqrd*VB + VB * Term * VB
; Stat(B,VBS) $
/*
Variance=VBS
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 -1.062808491
1.2681171
-.838
.4020
B
_ 2 .2166060189E-01 .20088641E-01
1.078
.2809
B
_ 3 .3473139843E-01 .82078519E-01
.423
.6722
B
_ 4 -.7873806527E-03 .41257840E-03
-1.908
.0563
B
_ 5 1.040752075
1.1772992
.884
.3767
*/
100
?
? Repeat for nonlinear model. Nonlinear least squares
? diverges for this model if it is allowed to iterate very
? long. We found a moderately good solution by trial and
? error by stopping after 11 iterations.
?
Nlsq
; Lhs = Derogs
; Fcn = Exp(B1'X0)
; Start = 0,0,0,0,0
; maxit=11 ; output=1
; Labels = B1,B2,B3,B4,B5 ; Keep=YFi ; Res = Ei$
/*
Begin NLSQ iterations. Linearized regression.
; Gradient= 46.4493514
; Gradient= 7.03076074
; Gradient= 2.41299864
; Gradient= 1.58178528
; Gradient= 1.66128707
; Gradient= 1.58565710
; Gradient= 1.11446670
; Gradient= .672406850
; Gradient= .268266105
; Gradient= .513063938E-01
; Gradient= .811534575E-02
Maximum iterations exceeded
+-----------------------------------------------------------------------+
|
| Nonlinear
|
|
| Dep. var. = DEROGS
Mean=
.3600000000
, S.D.=
1.010250494
|
100, Parameters =
5, Deg.Fr.=
95 |
, Std.Dev.=
.89617 |
| Fit:
.21309 |
|
| Model test: F[ 4,
95] =
6.13,
Prob value =
.00020 |
-142.4112 |
|
LogAmemiyaPrCrt.=
-.170, Akaike Info. Crt.=
2.719 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
-7.196892992
6.2707629
-1.148
.2511
B2
.7998362187E-01 .81353151E-01
.983
.3255
B3
-.1328069100
.21379593
-.621
.5345
B4
-.2800751224
.96428971
-.290
.7715
B5
6.990980386
5.7978047
1.206
.2279
*/
? Redo for nonlinear. Function=Exp(B'X+delta*Prob)
? Derivative of regression wrt gamma. Construct R and C.
Create
; Ci = Ei * Ei * YFI * YFI * B5 * Prob * (1-Prob)
; Gi = Ei * YFI * (Card - Lgp(W'gamma)) $
? Remaining computations are identical to what we did earlier.
Calc
; List
; s2 = sqr(sumsqdev/n)
; s2sqrd = s2*s2$
/*
S2
= .89617327697944940D+00
S2SQRD = .80312654237208490D+00
*/
Matrix
; VB = 1/s2sqrd * VARB $
Matrix
; C = X0'[Ci]W ; R = X0'[Gi]W
101
? Now assemble corrected matrix

; Term = C*VC*C' - C*VC*R' - R*VC*C'
; VBS = ssqrd*VB + VB * Term * VB
; Stat(B,VBS) $
/*
Variance=VBS
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 -7.196892992
49.385396
-.146
.8841
B
_ 2 .7998362187E-01 .61183528
.131
.8960
B
_ 3 -.1328069100
1.8686678
-.071
.9433
B
_ 4 -.2800751224
.96968943
-.289
.7727
B
_ 5 6.990980386
49.344114
.142
.8873
*/
Dstat ; Rhs = YFI $
==============================================================================
=
Variable
Mean
Std.Dev.
Minimum
Maximum
Cases
==============================================================================
=
YFI
.280180762
.510988639
.194757757-230 1.95321710
100
Calc
; Lbar = xbr(YFI) $
Matrix ; List ; ME = Lbar * B $
Poisson
/*
; Lhs = Derogs ; Rhs = X0 ; Keep = YFI ; Res = Ei$
+---------------------------------------------+
| Poisson Regression
|
|
DEROGS
|
ONE
|
100
|
9
|
-78.33099
|
| Restricted log likelihood
-91.93738
|
| Chi-squared
27.21278
|
| Degrees of freedom
4
|
| Significance level
.1800315E-04 |
| Chi- squared =
193.02558 RsqP=
.3123
|
| G - squared =
112.77200 RsqD=
.1944
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -6.319948392
3.9307689
-1.608
.1079
AGE
.7310594941E-01 .54245816E-01
1.348
.1778 32.080000
INCOME
.4523355142E-01 .17411137
.260
.7950 3.3693000
EXPEND
-.6896910011E-02 .20200124E-02
-3.414
.0006 189.02310
PROB
4.632355728
3.6617746
1.265
.2059 .73000000
*/
Create ; Ci = Ei * Ei * b(Kreg) * Prob * (1 - Prob)
; Gi = Ei * (Card - Lgp(q*(Gamma'W))) $
102
?
? Compute
?
Matrix ;
;
;
C and R then assemble corrected matrix

C = X0'[Ci]W ; R = X0'[Gi]W
Term = C*VC*C' - C*VC*R' - R*VC*C'
VBS = Varb + Varb * Term * Varb
; Stat(B,VBS) $
/*
Variance=VBS
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 -6.319948392
8.6212781
-.733
.4635
B
_ 2 .7310594941E-01 .10115676
.723
.4699
B
_ 3 .4523355142E-01 .39056118
.116
.9078
B
_ 4 -.6896910011E-02 .37046155E-02
-1.862
.0626
B
_ 5 4.632355728
9.3355541
.496
.6197
*/
/*==================================================================
Example 10.8. Hypothesis Tests in a Nonlinear Regression Model
*/==================================================================
/*==================================================================
Example 10.9. Money Demand
*/==================================================================
Year
r
M
Y
1966
4.5
480.0 2208.3
1967
4.19
524.3 2271.4
1968
5.16
566.3 2365.6
1969
5.87
589.5 2423.3
1970
5.95
628.2 2416.2
1971
4.88
712.8 2484.8
1972
4.50
805.2 2608.5
1973
6.44
861.0 2744.1
1974
7.83
908.4 2729.3
1975
6.25
1023.1 2695.0
1976
5.50
1163.6 2826.7
1977
5.46
1286.6 2958.6
1978
7.46
1388.9 3115.2
1979
10.28
1497.9 3192.4
1980
11.77
1631.4 3187.1
1981
13.42
1794.4 3248.8
1982
11.02
1954.9 3166.0
1983
8.50
2188.8 3277.7
1984
8.80
2371.7 3492.0
1985
7.69
2563.6 3573.5
?
? Data setup
?
Create
; lm = log(M) ; lr = log(r) ; ly = log(y) $
Namelist ; X = one,r,y
; LX = One,lr,ly $
?
? Get predictions from simple regressions
?
Regress ; Lhs = m ; Rhs = X ; Keep = Yf $
Regress ; Lhs = lm ; Rhs = LX ; Keep = Lyf $
/*
+-----------------------------------------------------------------------+
103
| Ordinary
|
| Dep. var. = M
Mean=
1247.030000
, S.D.=
653.2915067
|
20, Parameters =
3, Deg.Fr.=
17 |
, Std.Dev.=
175.73475 |
| Fit:
.92764 |
| Model test: F[ 2,
17] = 122.79,
Prob value =
.00000 |
-157.5063 |
|
LogAmemiyaPrCrt.=
13.313 |
.44466,
Rho =
.77767 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -3169.418045
310.81726
-10.197
.0000
R
-14.92228419
22.588241
-.661
.5177 7.2735000
Y
1.588145997
.14343298
11.072
.0000 2849.2250
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LM
Mean=
6.995212139
, S.D.=
.5355391345
|
20, Parameters =
3, Deg.Fr.=
17 |
, Std.Dev.=
.08810 |
| Fit:
.97294 |
| Model test: F[ 2,
17] = 342.51,
Prob value =
.00000 |
-15.3762 |
|
LogAmemiyaPrCrt.=
-1.883 |
1.05521,
Rho =
.47239 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -21.99158434
1.6477750
-13.346
.0000
LR
-.3157025606E-01 .96787418E-01
-.326
.7483 1.9265979
LY
3.656275189
.22550430
16.214
.0000 7.9445934
*/
?
? predicted log - log of prediction from linear
?
Create
; dl = lyf - log(yf)
?
? predicted value - exp(predicted log)
?
; d
= yf - exp(lyf) $
?
? PE test for linear model
?
Regress ; Lhs = m ; Rhs = X,dl $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -3547.816481
281.05383
-12.623
.0000
R
-17.95961432
18.426364
-.975
.3442 7.2735000
Y
1.722803777
.12464630
13.822
.0000 2849.2250
DL
751.2119701
242.21248
3.101
.0069 .22390676E-01
*/
?
? PE test for loglinear model
?
Regress ; Lhs = lm ; Rhs = LX,d $
/*
+---------+--------------+----------------+--------+---------+----------+
104
+---------+--------------+----------------+--------+---------+----------+
Constant -22.08606298
1.6819831
-13.131
.0000
LR
-.2929830440E-01 .98497905E-01
-.297
.7699 1.9265979
LY
3.667728539
.23000589
15.946
.0000 7.9445934
D
-.1363164163E-03 .20672941E-03
-.659
.5190 6.5341270
*/
/*==================================================================
Example 10.10. Flexible Cost Function
No computations.
*/==================================================================
/*==================================================================
Example 10.11. A Box-Cox Specification for Money
Demand
*/==================================================================
Year
r
M
Y
<... Data appear in Example 10.9 ... >
?
? Data setup
?
Create
; lm = log(M) ; lr = log(r) ; ly = log(y) $
Namelist ; X = one,r,y
; LX = One,lr,ly $
/*==========================================================================
First half of application: Transforming independent variables only.
*/==========================================================================
BoxCox
; lhs=LM ; Rhs=r,y,one ;
; Model=2 ; lambda=-.5,.5 ; pts=201 $
/*
+-----------------------------------------------------------------------+
| Box-Cox Nonlinear Regression Model
|
| Dep. var. = LM
Mean=
6.995212139
, S.D.=
.5355391345
|
20, Parameters =
3, Deg.Fr.=
17 |
, Std.Dev.=
.07975 |
| Fit:
.97893 |
|
| Model test: F[ 2,
17] = 374.80,
Prob value =
.00000 |
-15.3762 |
|
LogAmemiyaPrCrt.=
-1.920 |
| Transformations: RHS = Lambda , LHS = ONE
|
| Log-likelihood accounting for the LHS transformation
=
22.19833 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Variables transformed by LAMBDA =
.47500
R
-.5946170688E-02 .33980103E-01
-.175
.8611 7.2735000
Y
.8337778613E-01 .36561885
.228
.8196 2849.2250
Variables that were not transformed
Constant -.4704825331
7.9109939
-.059
.9526
Variance and transformation parameters
Lambda
.4750000000
.55099265
.862
.3886
Sigma-sq .6360044944E-02 .20112228E-02
3.162
.0016
*/
? Internal routine uses second derivatives. Recompute using (10-51)
?
Calc
; Lambda1 = .475 $
Create
; BCM=LM ; BCR=R@Lambda1 ; BCY=Y@Lambda1
; e=BCM - b(3) - b(1)*BCR - B(2)*BCY $
Calc
; s2=e'e/n $
105
Create
; w1=(e/s2)*bcr ; w2=(e/s2)*bcy ; w3=(e/s2)*1

; w4=-(e/s2)*(
-b(1)*(r^Lambda1*Log(r)-Bcr)/Lambda1
-b(2)*(Y^Lambda1*Log(Y)-BcY)/Lambda1 )
; w5=(1/(2*s2))*(e^2/s2 - 1)
$
Namelist ; W = w1,w2,w3,w4,w5 $
Matrix
; Result = [b/Lambda1/s2] ; VC = <W'W> ; Stat(Result,VC) $
/*
Matrix statistical results: Coefficients=RESULT
Variance=VC
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
RESUL_ 1 -.5946170688E-02 .47510568E-01
-.125
.9004
RESUL_ 2 .8337778613E-01 .69489504
.120
.9045
RESUL_ 3 -.4704825331
15.142264
-.031
.9752
RESUL_ 4 .4750000000
1.0453325
.454
.6495
RESUL_ 5 .6360044943E-02 .25803299E-02
2.465
.0137
*/
Regress ; Lhs = Lm ; Rhs = BCR,BCY,One $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LM
Mean=
6.995212139
, S.D.=
.5355391345
|
20, Parameters =
3, Deg.Fr.=
17 |
, Std.Dev.=
.08650 |
| Fit:
.97391 |
| Model test: F[ 2,
17] = 355.64,
Prob value =
.00000 |
-15.3762 |
|
LogAmemiyaPrCrt.=
-1.920 |
1.16162,
Rho =
.41919 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BCR
-.5946170688E-02 .34791755E-01
-.171
.8663 3.2195923
BCY
.8337778613E-01 .48543574E-02
17.176
.0000 89.770181
Constant -.4704825331
.35740140
-1.316
.2055
*/
/*===========================================================================
Second half of application: Transforming entire model, both LHS and RHS.
*/===========================================================================
?
? BoxCox regressions. Lambda=0 and 1, then the MLE
?
106
BoxCox
; lhs=M ; Rhs=r,y,one ; lambda=0$
/*
+-----------------------------------------------------------------------+
|
| Maximum likelihood estimator
Heteroscedasticity:W(i) = ONE
|
|
| Dep. var. = M
Mean=
1247.030000
, S.D.=
653.2915067
|
20, Parameters =
3, Deg.Fr.=
17 |
, Std.Dev.=
.08153 |
| Fit:
R-squared= 1.000000, Adjusted R-squared =
1.00000 |
|
| Model test: F[ 2,
17] =********,
Prob value =
.00000 |
-157.5063 |
|
LogAmemiyaPrCrt.=
-1.876 |
| Transformations: RHS = ONE
, LHS = Lambda
|
| Elasticities have been kept in matrix EPSILON
|
=
-118.14801 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
R
.3821882465E-03 .10509205E-01
.036
.9710 7.2735000
Y
.1270563563E-02 .13804284E-02
.920
.3574 2849.2250
.19258267
17.511
.0000
Lambda
.0000000000
.15426026
.000 1.0000
Sigma-sq .6647526115E-02 .14407630E-01
.461
.6445
*/
?
BoxCox
; lhs=M ; Rhs=r,y,one ; lambda=1$
/*
+-----------------------------------------------------------------------+
|
| Maximum likelihood estimator
Heteroscedasticity:W(i) = ONE
|
|
| Dep. var. = M
Mean=
1247.030000
, S.D.=
653.2915067
|
20, Parameters =
3, Deg.Fr.=
17 |
, Std.Dev.=
162.01944 |
| Fit:
.94157 |
|
| Model test: F[ 2,
17] = 129.70,
Prob value =
.00000 |
-157.5063 |
|
LogAmemiyaPrCrt.=
13.313 |
| Transformations: RHS = ONE
, LHS = Lambda
|
| Elasticities have been kept in matrix EPSILON
|
=
-130.13320 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
R
-14.92228419
40.084453
-.372
.7097 7.2735000
Y
1.588145997
2.7126656
.585
.5582 2849.2250
Constant -3170.418045
5628.1851
-.563
.5732
Lambda
1.000000000
.23928458
4.179
.0000
Sigma-sq 26250.29778
93464.349
.281
.7788
*/
107
? Unrestricted value, transforming both Y and the Xs.

?
BoxCox
; lhs=M ; Rhs=r,y,one ;
; Model=3 ; lambda=-.5,.5 ; pts=101 $
? Internal
Create
;
;
Calc
;
Create
;
;
routine uses second derivatives. Recompute using (10-51)

BCM=M@Lambda ; BCR=R@Lambda ; BCY=Y@Lambda
e=BCM - b(3) - b(1)*BCR - B(2)*BCY $
s2=e'e/n$
w1=(e/s2)*bcr ; w2=(e/s2)*bcy ; w3=(e/s2)*1
w4=log(M)-(e/s2)*( (M^Lambda*Log(m)-BCM)/Lambda
-b(1)*(r^Lambda*Log(r)-Bcr)/Lambda
-b(2)*(Y^Lambda*Log(Y)-BcY)/Lambda )
; w5=(1/(2*s2))*(e^2/s2 - 1)
$
Namelist ; W = w1,w2,w3,w4,w5 $
Matrix
; Result = [b/Lambda/s2] ; VC = <W'W> ; Stat(Result,VC) $
Matrix statistical results: Coefficients=RESULT
Variance=VC
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
RESUL_ 1 -.5689951298E-02 .21017806E-01
-.271
.7866
RESUL_ 2 5.143679829
1.1261646
4.567
.0000
RESUL_ 3 -11.16993953
3.5159365
-3.177
.0015
RESUL_ 4 -.3500000000
.23573204
-1.485
.1376
RESUL_ 5 .4216415661E-04 .14031597E-03
.300
.7638
*/
? Least squares ignoring variation in estimation of lambda
?
Regress ; Lhs=BCM ; Rhs = One,BCR,BCY $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = BCM
Mean=
2.606044385
, S.D.=
.4671572927E-01 |
20, Parameters =
3, Deg.Fr.=
17 |
.00704 |
| Fit:
.97727 |
| Model test: F[ 2,
17] = 409.45,
Prob value =
.00000 |
33.4076 |
|
LogAmemiyaPrCrt.=
-6.936 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -11.16993953
.78296306
-14.266
.0000
BCR
-.5689951302E-02 .15918747E-01
-.357
.7252 1.3915955
BCY
5.143679830
.29879860
17.215
.0000 2.6797745
*/
? Lagrange multiplier test for Lambda=0 against not zero
Regress ; lhs=log(m) ; rhs=one,log(r),log(y);res=e$
Calc
; s2=e'e/n$
Create
; es=(1/2)*((log(m))^2 - b(2)*(log(r))^2 - b(3)*(log(y))^2)
; w1=e/s2 ; w2=log(r)*e/s2 ; w3=log(y)*e/s2
; w4=log(m)-e*es/s2 ; w5=(1/2)*(e*e/s2 - 1)/s2$
Matrix
; list;lml=1'w*<w'w>*w'1$
Matrix LML
1
+-------------1| .4156711D+01
108
Chapter 11. Nonspherical Disturbances,

Generalized
Regression, and GMM Estimation
/*==================================================================
Example 11.1. A Model in Which Ordinary Least Squares is inconsistent.
No computations
*/==================================================================
/*==================================================================
Example 11.2. Groupwise Heteroscedasticity
No computations specified. We develop the computationsand an aplication here.
*/==================================================================
?
? The following program does the computations shown
? in Example 11.2. As an example, we apply it to the
? Grunfeld data used in Chapters 14 and 15.
?
? 1. Namelist ; X contains all independent variables
? 2. Variable
y is the dependent variable
? 3. Variable
i is a group indicator. Must take all
?
values from 1,...,G.
? Preceding is all assumed.
?
Year Firm
I
F
C
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
317.60
391.80
410.60
257.70
330.80
461.20
512.00
448.00
499.60
547.50
561.20
688.10
568.90
529.20
555.10
642.90
755.90
891.20
1304.40
1486.70
40.29
72.76
66.26
51.60
52.41
69.41
68.35
46.80
47.40
59.57
88.78
74.12
62.68
89.36
78.98
100.66
160.62
145.00
174.93
3078.50
4661.70
5387.10
2792.20
4313.20
4643.90
4551.20
3244.10
4053.70
4379.30
4840.90
4900.90
3526.50
3254.70
3700.20
3755.60
4833.00
4924.90
6241.70
5593.60
417.50
837.80
883.90
437.90
679.70
727.80
643.60
410.90
588.40
698.40
846.40
893.80
579.00
694.60
590.30
693.50
809.00
727.00
1001.50
2.80
52.60
156.90
209.20
203.40
207.20
255.20
303.70
264.10
201.60
265.00
402.20
761.50
922.40
1020.10
1099.00
1207.70
1430.50
1777.30
2226.30
10.50
10.20
34.70
51.80
64.30
67.10
75.20
71.40
67.10
60.50
54.60
84.80
96.80
110.20
147.40
163.20
203.50
290.60
346.10
109
1954
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
2
3
3
3
3
3
3
3
3
3
3
3
3
3
3
3
3
3
3
3
3
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
172.49
33.10
45.00
77.20
44.60
48.10
74.40
113.00
91.90
61.30
56.80
93.60
159.90
147.20
146.30
98.30
93.50
135.20
157.30
179.50
189.60
12.93
25.90
35.05
22.89
18.84
28.57
48.51
43.34
37.02
37.81
39.27
53.46
55.56
49.56
32.04
32.24
54.38
71.78
90.08
68.60
209.90
355.30
469.90
262.30
230.40
261.60
472.80
445.60
361.60
288.20
258.70
420.30
420.50
494.50
405.10
418.80
588.20
645.20
641.00
459.30
703.20
1170.60
2015.80
2803.30
2039.70
2256.20
2132.20
1834.10
1588.00
1749.40
1687.20
2007.70
2208.30
1656.70
1604.40
1431.80
1610.50
1819.40
2079.70
2371.60
2759.90
191.50
516.00
729.00
560.40
519.90
628.50
537.10
561.20
617.20
626.70
737.20
760.50
581.40
662.30
583.80
635.20
723.80
864.10
1193.50
1188.90
1362.40
1807.10
2676.30
1801.90
1957.30
2202.90
2380.50
2168.60
1985.10
1813.90
1850.20
2067.70
1796.70
1625.80
1667.00
1677.40
2289.50
2159.40
2031.30
2115.50
414.90
97.80
104.40
118.00
156.20
172.60
186.60
220.90
287.80
319.90
321.30
319.60
346.00
456.40
543.40
618.30
647.40
671.30
726.10
800.30
888.90
1.80
.80
7.40
18.10
23.50
26.50
36.20
60.80
84.40
91.20
92.40
86.00
111.10
130.60
141.80
136.70
129.70
145.50
174.80
213.50
53.80
50.50
118.10
260.20
312.70
254.20
261.40
298.70
301.80
279.10
213.80
232.60
264.80
306.90
351.10
357.80
342.10
444.20
623.60
669.70
?
? Variables specific to this problem.
?
Create ; y=i ; i=firm $
Namelist ; X=one,f,c $
?------------------------------------------------? The general procedure.
?------------------------------------------------? Step 1. Get starting values by pooled OLS
?
110
Sample ; All $
Regress ; Lhs = y ; Rhs = X ; Res = e $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = Y
Mean=
248.9570000
, S.D.=
267.8654462
|
100, Parameters =
3, Deg.Fr.=
97 |
, Std.Dev.=
127.25831 |
| Fit:
.77430 |
| Model test: F[ 2,
97] = 170.81,
Prob value =
.00000 |
-700.4398 |
|
LogAmemiyaPrCrt.=
12.560 |
.35995,
Rho =
.82002 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -48.02973763
21.480165
-2.236
.0276
F
.1050854108
.11377830E-01
9.236
.0000 1922.2230
C
.3053655452
.43507814E-01
7.019
.0000 311.06700
*/
Matrix ; b0 = b $
Calc
; G = max(i) $
Matrix ; Var = Init(G,1,0) $
Calc
; q = 1 $
?
? Step 2. Get group variances
?
Procedure
Calc
; Group = 0 $
Label
; 2 $
Calc
; Group = Group + 1 $
Include ; new ; i = Group $
Calc
; s2i=e'e/n $
Matrix ; Var(group) = s2i $
GoTo
; 2 ; Group < G $
?
? Step 3. Compute GLS
?
Sample ; All $
Create ; Weight = Var(i) $
Matrix ; Bgls = <X'<Weight>X> * X'<Weight>y
; Vgls = <X'<Weight>X>
; d = Bgls - b0 ; b0 = Bgls $
Create ; e = y - X'Bgls ; Logw = Log(Weight) $
Matrix ; Alogl = e'<Weight>e $
Calc
; list ; q = d'd
; Alogl = Alogl -.5*( n*log(2*pi)
+ sum(Logw) + alogl ) $
EndProc $
111
Execute ; While q > .000001$

Q=.13867613727964510D+03
ALOGL=.47544015056026220D+03
Q=.35668389593212430D+02
ALOGL=.46953645635071370D+03
Q=.15883344658993950D+02
ALOGL=.46664051140783220D+03
Q=.39590637764084680D+01
ALOGL=.46503989896460190D+03
Q=.53436366657723120D+00
ALOGL=.46460227140255900D+03
Q=.51030754470364540D01
ALOGL=.46454176868236060D+03
Q=.42778628224788110D02
ALOGL=.46453600646895050D+03
Q=.34380528444477250D03
ALOGL=.46453552901018950D+03
Q=.27229916311651940D04
ALOGL=.46453549110366130D+03
Q=.21435601253190620D05
ALOGL=.46453548813057820D+03
Q=.16822403753443300D06
ALOGL=.46453548789817600D+03
Q>.000001
Matrix ; Stat(Bgls,Vgls) $
/*
Matrixstatisticalresults:Coefficients=BGLSVariance=VGLS
+++++++
|Variable|Coefficient|StandardError|b/St.Er.|P[|Z|>z]|MeanofX|
+++++++
BGLS_123.258333914.81518734.830.0000
BGLS_2.9434993495E01.62834177E0215.016.0000
BGLS_3.3337018169.22039084E0115.141.0000
*/
/*==================================================================
Example 11.3. The Gamma Distribution
No computations
*/==================================================================
112
/*==================================================================
Example 11.4. GMM Estimation of a gamma distribution.
Example 11.5. Continued
*/==================================================================
read;nobs=20;nvar=3;names=
I,
Y,
X $
1
20.5
12
2
31.5
16
3
47.7
18
4
26.2
16
5
44.0
12
6
8.28
12
7
30.8
16
8
17.2
12
9
19.9
10
10
9.96
12
11
55.8
16
12
25.2
20
13
29.0
12
14
85.5
16
15
15.1
10
16
28.5
18
17
21.4
16
18
17.7
20
19
6.42
12
20
84.9
16
?------------------------------------------------------------? First compute moments. With 'i' = variable, then means.
?------------------------------------------------------------Create ; m1i=y
; m2i=y*y
; mstari=log(y)
; m_1i=1/y$
Calc
; list ; m1=xbr(m1i)
; m2=xbr(m2i)
; mstar=xbr(mstari)
; m_1=xbr(m_1i) $
?------------------------------------------------------------? Starting value for solutions to moment equations. If
? P=1, Lambda = 1/y-bar. Use these as initial guesses.
?------------------------------------------------------------Calc
; l0 = 1/m1$
?------------------------------------------------------------? Start with simple least squares
?------------------------------------------------------------Sample ; 1 $
?
? Obtain starting values by ML. Just use m1 and mstar
?
Minimize
; fcn=( l*m1 - p )^2 + (mstar - psi(p) + log(l))^2
; labels=p,l
; start = 1,l0 ; output=2 $
113
/*
1st derivs.
-.13018D-05
.37090D-04
Itr 9 F= .4244D-12 gtHg= .9641D-06 chg.F=
* Converged
.4236D-08 max|db|=
.1873D-05
+---------------------------------------------+
|
|
Function
|
ONE
|
1
|
9
|
-.4243523E-12 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
2.410597740
1.0000000
2.411
.0159
L
.7707008485E-01 1.0000000
.077
.9386
*/
Calc
; p0 = p ; l0 = l $
?
? Now obtain method of moments estimates using all 4.
?
Minimize
; fcn=( l*m1 - p )^2 +
(l*l*m2 - p*(p+1))^2 +
(mstar - psi(p) + log(l))^2 +
((p-1)*m_1 - l) ^2
; labels=p,l
; start = p0,l0 ; output=2 $
/*
1st derivs.
-.37623D-07
.19079D-05
Itr 6 F= .7531D-03 gtHg= .3809D-07 chg.F= .2597D-10 max|db|= .4724D-07
* Converged
+---------------------------------------------+
|
|
Function
|
ONE
|
1
|
6
|
-.7530752E-03 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
2.179917312
1.0000000
2.180
.0293
L
.6905767606E-01 1.0000000
.069
.9449
*/
114
?
? Compute W matrix for GMM
?
Sample ; 1 - 20 $
Calc
; P0 = b(1) ; l0 = b(2)
; j1 = l0 ; j2 = l0*l0 ; j3 = 1 ; J4 = P0-1 $
Create ; m10i = m1i - p0/l0
; m20i = m2i - p0*(p0+1)/l0^2
; m30i = mstari - psi(p0) + log(l0)
; m40i = m_1i - l0/(p0-1) $
Namelist ; M0 = m10i,m20i,m30i,m40i $
Matrix
; list ; W0 = .05 * Xvcm(M0) $
Matrix
; J = [j1/0,j2/0,0,j3/0,0,0,j4]
; JWJ = J*W0*J ; JWJi = <JWJ> $
Calc
; w11= JWJi(1,1)
; w12=2*JWJi(1,2) ; w22= JWJi(2,2)
; w13=2*JWJi(1,3) ; w23=2*JWJi(2,3) ; w33= JWJi(3,3)
; w14=2*JWJi(1,4) ; w24=2*JWJi(2,4) ; w34=2*JWJi(3,4) ;
w44=JWJi(4,4)$
Sample
; 1 $
Minimize
; fcn=
e1 = (l*m1-p)
|
e2 = (l*l*m2 - p*(p+1))
|
e3 = (mstar - psi(p) + log(l)) |
e4 = ((p-1)*m_1 - l)
|
e1^2 *w11 +
e1*e2*w12 + e2^2 *w22 +
e1*e3*w13 + e2*e3*w23 + e3^2*w33 +
e1*e4*w14 + e2*e4*w24 + e3*e4*w34 + e4^2 * w44
; labels=p,l
; start = p0,l0; output=2 $
/*
1st derivs.
-.24135D-05
.47747D-04
* Converged
.1266D-07
+---------------------------------------------+
|
|
Function
|
ONE
|
1
|
7
|
-2.222237
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
2.567535015
1.0000000
2.568
.0102
L
.7119341825E-01 1.0000000
.071
.9432
*/
115
?
? Obtain
?
Sample ;
Calc
;
;
?
Create ;
;
;
;
Namelist
Matrix
Matrix
asymptotic covariance matrix

1 - 20 $
P0 = p ; l0 = l
j1 = l0 ; j2 = l0*l0 ; j3 = 1 ; J4 = P0-1 $
m10i = m1i - p0/l0
m20i = m2i - p0*(p0+1)/l0^2
m30i = mstari - psi(p0) + log(l0)
m40i = m_1i - l0/(p0-1) $
; M0 = m10i,m20i,m30i,m40i $
; list ; W0 = .05 * Xvcm(M0) $
; J = [j1/0,j2/0,0,j3/0,0,0,j4]
; List ; R = J * W0 * J $
/*
Matrix R

1
2
3
4
+-------------------------------------------------------1| .1268844D+00 .8347825D+00 .5093916D-01 -.3314708D-02
2| .8347825D+00 .5858484D+01 .3025994D+00 -.1732874D-01
3| .5093916D-01 .3025994D+00 .2387296D-01 -.1846720D-02
4| -.3314708D-02 -.1732874D-01 -.1846720D-02 .1682070D-03
*/
Calc
;
;
;
;
;
;
Matrix
g11=-1/l0 ; g12 = -(2*p0+1)/l^2 ; g13 = -psp(p0) ; g14=l0/(P0-1)^2

g21=p0/l^2; g22=2*p0*(p0+1)/l0^3; g23 = 1/l0 ; g24 = -1/(p0-1) $
Gt = [g11,g12,g13,g14/g21,g22,g23,g24]
V = Gt * J * <R> * J * Gt'
List ; Vgmm = n * <V>
stat(b,Vgmm)$
/*
Matrix VGMM

1
2
+---------------------------1| .3284842D+00 .8609874D-02
2| .8609874D-02 .1578774D-02

Variance=VGMM
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 2.567534940
.57313539
4.480
.0000
B
_ 2 .7119341919E-01 .39733790E-01
1.792
.0732
*/
Matrix ; list ; mbar = mean(M0)
; q = mbar'<w0>mbar $
Matrix MBAR
1
+-------------1| -.4786219D+01
2| -.3532373D+03
3| -.1567138D+00
4| .4596674D-02
Matrix Q
has 1 rows and

1
+-------------1| .1361826D+02
1 columns.
116
/*==================================================================
Example 11.5. Conclusion of Example 4.26. The Gamma Distribution
Completed in Ex11_4.lim
*/==================================================================
/*==================================================================
Example 11.6. Linear Models and GMM
No computations
*/==================================================================
/*==================================================================
Example 11.7. Testing for Heteroscedasticity in the Linear Regression Model
No computations
*/==================================================================
117
Chapter 12. Heteroscedasticity

/*==================================================================
Example 12.1. Heteroscedastic Regression
*/==================================================================
?
?
<... Data appear in Example 10.7...>
?
Sample
; 1-100 $
Create
; Incomesq = Income^2 $
Namelist ; X = One,Age,OwnRent,Income,Incomesq $
Reject
; Exp = 0 $
?---------------------------------------------------------? Heteroscedastic Regression
?---------------------------------------------------------Regress ; Lhs = Exp ; Rhs=X ; Res = u $
(OLS)
?
? Test for presence of income and square in regression
?
Regress ; Lhs = Exp ; Rhs = X ; Cls:b(4)=0,b(5)=0 $
?
Plot
; Lhs = Income ; Rhs = u ; Grid
; title=Plot of Residuals Against Income $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = EXP
Mean=
262.5320833
, S.D.=
318.0468313
|
72, Parameters =
5, Deg.Fr.=
67 |
, Std.Dev.=
284.75080 |
| Fit:
.19842 |
| Model test: F[ 4,
67] =
5.39,
Prob value =
.00080 |
-516.5384 |
|
LogAmemiyaPrCrt.=
14.208 |
1.64003,
Rho =
.17998 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -237.1465136
199.35166
-1.190
.2384
AGE
-3.081814038
5.5147165
-.559
.5781 31.277778
OWNRENT
27.94090839
82.922324
.337
.7372 .37500000
INCOME
234.3470270
80.365950
2.916
.0048 3.4370833
INCOMESQ -14.99684418
7.4693370
-2.008
.0487 14.661565
118
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = EXP
Mean=
262.5320833
, S.D.=
318.0468313
|
72, Parameters =
3, Deg.Fr.=
69 |
, Std.Dev.=
312.14015 |
| Fit:
.03680 |
|
| Model test: F[ 2,
69] =
2.36,
Prob value =
.10236 |
-516.5384 |
|
LogAmemiyaPrCrt.=
14.366 |
| F[ 2,
7.9561, Prob =
.0008
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
172.71017
.608
.5455
AGE
3.397084795
5.7618001
.590
.5575 31.277778
OWNRENT
136.9084474
84.534850
1.620
.1100 .37500000
INCOME
.8526512829E-13 .46512507E-05
.000 1.0000 3.4370833
INCOMESQ -.1598721155E-13 .58140634E-06
.000 1.0000 14.661565
*/
Plot of Residuals Against Income
2000
1500
1000
500
0
-500
10
12
INCOME
/*==================================================================
Example 12.2. Inefficiency of Ordinary Least Squares
No computations
*/==================================================================
/*==================================================================
Example 12.3. Heteroscedasticity Due to Grouping
No computations
*/==================================================================
119
/*==================================================================
Example 12.4. Using the White Estimator
*/==================================================================
?
Sample
; 1-100 $
Create
; Incomesq = Income^2 $
Namelist ; X = One,Age,OwnRent,Income,Incomesq $
Reject
; Exp = 0 $
?
Regress ; Lhs = Exp;Rhs=X ; Hetero
$
(White)
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Results Corrected for heteroskedasticity
|
| Breusch - Pagan chi-squared =
49.0616, with
4 degrees of freedom |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -237.1465136
212.99053
-1.113
.2695
AGE
-3.081814038
3.3016612
-.933
.3540 31.277778
OWNRENT
27.94090839
92.187777
.303
.7628 .37500000
INCOME
234.3470270
88.866352
2.637
.0104 3.4370833
INCOMESQ -14.99684418
6.9445635
-2.160
.0344 14.661565
*/
?
? See if income and square are still significant when the
? White corrected covariance matrix is used. (Yes)
?
Matrix
; bi=b(4:5)
; Vbi=part(varb,4,5,4,5)
; List ; WaldStat = bi'<Vbi>bi$
/*
Matrix WALDSTAT has 1 rows and 1 columns.
1
+-------------1| .2060415D+02
*/
?
? Davidson and MacKinnon recommended corrections
?
Calc
; Scale = N/(N-Col(X)) $
Matrix
; DM1 = Scale * VARB ; Stat(B,DM1) $
Variance=DM1
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 -237.1465136
220.79495
-1.074
.2828
B
_ 2 -3.081814038
3.4226411
-.900
.3679
B
_ 3 27.94090839
95.565731
.292
.7700
B
_ 4 234.3470270
92.122602
2.544
.0110
B
_ 5 -14.99684418
7.1990269
-2.083
.0372
*/
120
Matrix
; XXI=<X'X> $
Create
; v = u^2 /(1-qfr(X,XXI))$
Matrix
; DM2=XXI * X'[v]X * XXI $
Matrix
; Stat(b,DM2)$
/*
Variance=DM2
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 -237.1465136
221.08893
-1.073
.2834
B
_ 2 -3.081814038
3.4477148
-.894
.3714
B
_ 3 27.94090839
95.672111
.292
.7702
B
_ 4 234.3470270
92.083684
2.545
.0109
B
_ 5 -14.99684418
7.1995375
-2.083
.0372
*/
/*==================================================================
Example 12.5. Testing for Heteroscedasticity
*/==================================================================
; Names =
?
? Get a set of residuals
?
Regress ; Lhs = Exp ; Rhs = X ; Res = E $
Create
; U = E^2 $
?
? White's test.
?
Create
; Age2=Age^2 ; Income3=Income^3 ; Income4=Income^4
; Agerent=Age*Ownrent ; Ageinc=Age*Income
; Ageinc2=Age*Incomesq ; Rentinc=Ownrent*Income
; Rentinc2=Ownrent*Incomesq$
Namelist ; Z=X,Age2,Agerent,Ageinc,Ageinc2,RentInc,Rentinc2,
income3,income4$
Regr
; Lhs=u ; Rhs=z$
Calc
; List ; White=n * Rsqrd $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = U
Mean=
75452.25046
, S.D.=
279705.5299
|
72, Parameters = 13, Deg.Fr.=
59 |
| Residuals: Sum of squares= .4449239595E+13, Std.Dev.=
274610.34322 |
| Fit:
.03610 |
| Model test: F[ 12,
59] =
1.22,
Prob value =
.29051 |
-1004.6475 |
|
LogAmemiyaPrCrt.=
28.046 |
+-----------------------------------------------------------------------+
WHITE
= .14328953022237780D+02
*/
121
?
? Goldfeld and Quandt test
?
Sort
; Lhs = Income ; Rhs = * $ (Carry all variables)
Create
; j=trn(1,1)$ (Sequence numbers)
Reject
; j > 36 $
Regress ; Lhs = Exp ; Rhs = X $
Calc
; E1E1 = Sumsqdev $
Sample
;all $
Reject
; Exp = 0 $
Reject
; j <= 36 $
Calc
; E2E2 = Sumsqdev ; List ; GQ = e2e2/e1e1 $
/*
GQ
= .15001289822041010D+02
*/
?
? Breusch and Pagan - Godfrey LM test
?
Sample
; All $
Reject
; Exp=0 $
Calc
; een = e'e/n $
Create
; g = u/een - 1$
Namelist ; Z = One,Income,IncomeSQ $
Matrix
; list ; LMtest = .5 * g'Z * <Z'Z> * Z'g $
/*
Matrix LMTEST
1
+-------------1| .4192030D+02
*/
?
? Koenker and Bassett variant
?
Create
; devu=u-een $
Calc
; Vdu=Devu'Devu/n $
Matrix
; list ; LMKB=1/Vdu * devu'Z * <Z'Z> * Z'devu $
/*
Matrix LMKB
1
+-------------1| .6186868D+01
*/
?
? Glesjer's tests. Uses White VC and tests a=0.
?
Create
; w1=u ; w2=abs(e) ; w3=log(w2)$
Regress ; Lhs=w1 ; Rhs=Z ; het ; cls:b(2)=0,b(3)=0 $
122
/*
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = W1
Mean=
75452.25046
, S.D.=
279705.5299
|
72, Parameters =
1, Deg.Fr.=
71 |
| Residuals: Sum of squares= .5554698027E+13, Std.Dev.=
279705.52995 |
| Fit:
.00000 |
|
| Diagnostic: Log-L = -1004.6475, Restricted(b=0) Log-L =
-1004.6475 |
|
LogAmemiyaPrCrt.=
27.935 |
| F[ 2,
3.2432, Prob =
.0451
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
32963.613
2.289
.0251
INCOME
.3492459655E-09 .41679372E-02
.000 1.0000 3.4370833
INCOMESQ -.4001776688E-10........(Fixed Parameter)........ 14.661565
*/
Regress
; Lhs=w2 ; Rhs=Z ; het ; cls:b(2)=0,b(3)=0 $
/*
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = W2
Mean=
164.6520947
, S.D.=
221.4109539
|
72, Parameters =
1, Deg.Fr.=
71 |
, Std.Dev.=
221.41095 |
| Fit:
.00000 |
|
-490.4615 |
|
LogAmemiyaPrCrt.=
13.652 |
| F[ 2,
6.9346, Prob =
.0018
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
26.093531
6.310
.0000
INCOME
-.1421085472E-12 .32992803E-05
.000 1.0000 3.4370833
INCOMESQ .1065814104E-13........(Fixed Parameter)........ 14.661565
*/
123
Regress
; Lhs=w3 ; Rhs=Z ; het ; cls:b(2)=0,b(3)=0 $
/*
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = W3
Mean=
4.545233426
, S.D.=
1.118941476
|
72, Parameters =
1, Deg.Fr.=
71 |
, Std.Dev.=
1.11894 |
| Fit:
.00000 |
|
| Model test: F[ 1,
71] =
.00,
Prob value =
1.00000 |
-109.7517 |
|
LogAmemiyaPrCrt.=
3.076 |
| F[ 2,
12.0677, Prob =
.0000
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.13186852
34.468
.0000
INCOME
INCOMESQ -.1942890293E-15 .14737455E-08
.000 1.0000 14.661565
*/
/*==================================================================
Example 12.6. Groupwise Heteroscedasticity
No Computations
*/==================================================================
/*==================================================================
Example 12.7. Two Step Estimation of a Heteroscedastic Regression
*/==================================================================
; Names =
?
?---------------------------------------------------------? 1. Unweighted Least Squares
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -237.1465136
199.35166
-1.190
.2384
AGE
-3.081814038
5.5147165
-.559
.5781 31.277778
OWNRENT
27.94090839
82.922324
.337
.7372 .37500000
INCOME
234.3470270
80.365950
2.916
.0048 3.4370833
INCOMESQ -14.99684418
7.4693370
-2.008
.0487 14.661565
124
? 2. Variance proportional to income

Create
; wt = 1/income $
Regress ; Lhs = Exp ; Rhs = X ; Wts = wt $
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -181.8706365
165.51908
-1.099
.2758
AGE
-2.935010276
4.6033307
-.638
.5259 30.094941
OWNRENT
50.49364198
69.879140
.723
.4724 .29685435
INCOME
202.1694048
76.781521
2.633
.0105 2.8850928
INCOMESQ -12.11363760
8.2731405
-1.464
.1478 9.9163043
? 3. Variance proportional to income squared
Create
; wt = 1/IncomeSq $
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -114.1088694
139.68750
-.817
.4169
AGE
-2.694185161
3.8073063
-.708
.4816 29.075956
OWNRENT
60.44877369
58.550888
1.032
.3056 .24382948
INCOME
158.4269775
76.391154
2.074
.0419 2.5197627
INCOMESQ -7.249289873
9.7243373
-.745
.4586 7.2697491
*/
?
? 4. Variance proportional to z'alpha. Z=Income,IncomeSq
?
Regress ; Lhs=Exp ; Rhs=X ; res=e$ Initial OLS
Create
; ee=e*e$
Namelist ; Z = income,incomesq $
Matrix
; alpha = <Z'Z>*Z'ee $
Create
; wt = 1/Z'Alpha $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -196.0428521
169.42949
-1.157
.2513
AGE
-2.999272554
4.8423814
-.619
.5378 30.403813
OWNRENT
45.10975131
73.426706
.614
.5411 .31950914
INCOME
211.7943369
73.521722
2.881
.0053 3.0514417
INCOMESQ -13.12857275
7.2336616
-1.815
.0740 11.483295
*/
?
? 5. Variance proportional to (z'alpha)^2. Z=Income,IncomeSq
?
Create
; ee=abs(e)$
Matrix
Create
; wt = 1/Z'Alpha $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -199.6992740
170.11154
-1.174
.2446
AGE
-3.038905456
4.9530236
-.614
.5416 30.654493
OWNRENT
41.89771924
75.326869
.556
.5799 .34202133
INCOME
214.7859223
70.174359
3.061
.0032 3.2391111
INCOMESQ -13.41379232
6.3537377
-2.111
.0385 13.559496
*/
125
?
? 6. Variance proportional to exp(z'alpha)Z=1,Income,IncomeSq
?
Create
; ee=log((abs(e))^2)$
Namelist ; Z=one,income,incomesq$
Matrix
Create
; wt = 1/exp(Z'Alpha) $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -117.8674510
101.38621
-1.163
.2491
AGE
-1.233682303
2.5511958
-.484
.6303 33.826036
OWNRENT
50.94976258
52.814292
.965
.3382 .71458039
INCOME
145.3044547
46.362697
3.134
.0026 7.1415528
INCOMESQ -7.938279996
3.7367153
-2.124
.0373 64.604359
*/
? ---------------------------------------------------------Two Step Estimation of a Heteroscedastic Regression
? ---------------------------------------------------------Regress ; Lhs = Exp ; Rhs = X ; Res = e $
Create
; loginc=log(income)$
Namelist ; Z=one,loginc$
Procedure
Create ; Logee=log(e*e)$
Matrix ; Bold=B ; Alpha = <Z'Z> * Z'Logee$
Create ; Wt= 1/exp(Z'alpha)$
Regress; Lhs=exp ; Rhs=X ; Wts=wt ; Res=e$
Matrix ; Delta=B-Bold ; Cnv=Delta'Delta$
Endproc
Calc
; Cnv=1$
Execute Procedure ; While Cnv > .00001 $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -193.3253320
171.08329
-1.130
.2625
AGE
-2.957871315
4.7626896
-.621
.5367 30.295399
OWNRENT
47.35698663
72.138933
.656
.5138 .30875365
INCOME
208.8759353
77.198018
2.706
.0086 2.9683339
INCOMESQ -12.76880393
8.0838301
-1.580
.1189 10.579641
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -130.3854224
145.03664
-.899
.3719
AGE
-2.775374205
3.9817421
-.697
.4882 29.305900
OWNRENT
59.12564268
61.043596
.969
.3362 .25482015
INCOME
169.7372086
76.179924
2.228
.0292 2.5942699
INCOMESQ -8.599603984
9.3133061
-.923
.3591 7.7722505
126
Hreg
/*
; Lhs=Exp ; Rhs = X ; Rh2 = Loginc $
+---------------------------------------------+
| Multiplicative Heteroskedastic Regr. Model |
|
EXP
|
ONE
|
72
|
13
|
-482.3243
|
-506.4888
|
| Chi-squared
48.32899
|
1
|
.0000000
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Regression (mean) function
Constant -19.24884795
113.05739
-.170
.8648
AGE
-1.705823279
2.7581505
-.618
.5363 31.277778
OWNRENT
58.10213435
43.508335
1.335
.1817 .37500000
INCOME
75.97012488
81.039539
.937
.3485 3.4370833
INCOMESQ 4.391516361
13.433286
.327
.7437 14.661565
Variance function (log-linear)
Sigma
24.51179166
5.9326334
4.132
.0000
LOGINC
3.651373863
.39873679
9.157
.0000 1.1397657
*/
127
/*==================================================================
Example 12.8. Maximum Likelihood Estimation
*/==================================================================
; Names =
<... Data appear in Exasmple 10.7 ...>
?
? This routine produces a plot of the concentrated log
? likelihood
?
Create ; Loginc = Log(Income) $
Calc
; SumL = Sum(Loginc) ; i = 0 $
Matrix ; Alpha = init(101,1,0.); LogLHREG=Alpha$
Procdure
Create ; Wt= 1/income^a$
Matrix ; Bw = <X'[wt]x> * X'[Wt]Exp $
Create ; GSQ=(exp-X'bw)^2 * Wt$
Calc
; Ssw=Sum(GSQ)/n
; loglw=-n/2*(1+log(2*pi)+log(ssw))-(a/2)*SumL
; i=i+1$
Matrix ; Alpha(i)=a ; LogLHREG(i)=loglw$
Endproc
Execute; a=0,5,.05$
?
Mplot ; Lhs=alpha;Rhs=Loglhreg;fill;grid
; Title=Plot of Concentrated Log Likelihood$
PLOT OF CONCENTRATED LOG LIKELIHOOD
LO G LH R EG
-480
-490
-500
-510
-1
ALPHA
128
/*==================================================================
Example 12.9. Multiplicative Heteroscedasticity
*/==================================================================
Namelist ; X = One,Age,OwnRent,Income,IncomeSq
; Z = One,Income,IncomeSq $
? Collect ordinary least squares results.
Regress ; Lhs = Exp ; Rhs = X ; Res = E $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = EXP
Mean=
262.5320833
, S.D.=
318.0468313
|
72, Parameters =
5, Deg.Fr.=
67 |
, Std.Dev.=
284.75080 |
| Fit:
.19842 |
| Model test: F[ 4,
67] =
5.39,
Prob value =
.00080 |
-516.5384 |
|
LogAmemiyaPrCrt.=
14.208 |
1.64003,
Rho =
.17998 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -237.1465136
199.35166
-1.190
.2384
AGE
-3.081814038
5.5147165
-.559
.5781 31.277778
OWNRENT
27.94090839
82.922324
.337
.7372 .37500000
INCOME
234.3470270
80.365950
2.916
.0048 3.4370833
INCOMESQ -14.99684418
7.4693370
-2.008
.0487 14.661565
*/
Calc
; LoglR = LogL ; c1 = log(e'e/n) ; Cnv=1 ; iter=0$
Matrix
; c = [c1/0/0] ; beta = b $
Namelist ; Z = One,Income,IncomeSq $
Create
; h=e*e/exp(c1) ; g = h-1
; Wts=1/Exp(Z'c) ; logfi=c1$
Matrix
; List ; LMTest=.5*g'Z*<Z'[h]Z> * Z'g $
/*
Matrix LMTEST
1
+-------------1| .1158990D+03
*/
? This is actually unnecessary, as the HREG command
? fits this model. We do it here for illustration.
?
Procedure for iteration for multiplicative model.
Matrix
; Beta = <X'[Wts]X> * X'[Wts]Exp
; delta = <Z'Z> * Z'g ; c=c+Delta $
Create
; E = Exp - X'Beta ; Wts=1/exp(Z'c)
; h = e*e *Wts ; g=h-1 ; logfi=Z'c$
Calc
; LoglU = -n/2*log(2*pi)-1/2*Sum(logfi)-1/2*sum(h)
; List ; Iter=Iter+1 ; Cnv = Delta'Delta $
EndProcedure
Calc
; Cnv = 1 $
Execute ; While Cnv > .0000001$
129
? Display estimation results. Then test hypothesis.

Matrix
; Vbeta =<X'[wts]X> ; Stat(beta,Vbeta)
; Vc
=2*<Z'Z>
; Stat(c,Vc)
; Alpha = Part(c,2,3) ; Valpha=Part(Vc,2,3,2,3)
; List ; WaldTest = Alpha' * <Valpha> * Alpha $
/*
Matrix statistical results: Coefficients=BETA
Variance=VBETA
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BETA _ 1 -58.43712249
62.096985
-.941
.3467
BETA _ 2 -.3760742920
.54998963
-.684
.4941
BETA _ 3 33.35787797
37.134647
.898
.3690
BETA _ 4 96.82345523
31.797520
3.045
.0023
BETA _ 5 -3.800828733
2.6247414
-1.448
.1476
Matrix statistical results: Coefficients=C
Variance=VC
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
C
_ 1 -.4195077885E-01 .80792180
-.052
.9586
C
_ 2 5.354716779
.37504465
14.278
.0000
C
_ 3 -.5631457830
.36122010E-01 -15.590
.0000
*/
Wald ; fn1 = sqr(exp(gamma1))
; start = c ; Var = VC ; Labels = gamma1,c2,c3 $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .9792430640
.39557591
2.475
.0133
1
+-------------1| .2514323D+03
*/
?
Calc
; List ; LogLR ; LogLU ; LRTest = -2*(LogLR - LogLU) $
/*
LOGLR
= -.50648876247340090D+03
LOGLU
= -.46598167495202830D+03
LRTEST = .81014175042745250D+02
*/
130
Chapter 13. Autocorrelation

/*===============================================================
*/===============================================================
Year
GNP
Invest
Price Interest
1963
596.7
90.9
0.7167
3.23
1964
637.7
97.4
0.7277
3.55
1965
691.1
113.5
0.7436
4.04
1966
756.0
125.7
0.7676
4.50
1967
799.6
122.8
0.7906
4.19
1968
873.4
133.3
0.8254
5.16
1969
944.0
149.3
0.8679
5.87
1970
992.7
144.2
0.9145
5.95
1971 1077.6
166.4
0.9601
4.88
1972 1185.9
195.0
1.0000
4.50
1973 1326.4
229.8
1.0575
6.44
1974 1434.2
228.7
1.1508
7.83
1975 1549.2
206.1
1.2579
6.25
1976 1718.0
257.9
1.3234
5.50
1977 1918.3
324.1
1.4005
5.46
1978 2163.9
386.6
1.5042
7.46
1979 2417.8
423.0
1.6342
10.28
1980 2631.7
401.9
1.7842
11.77
1981 2954.1
474.9
1.9514
13.42
1982 3073.0
414.5
2.0688
11.02
Create ; If(_Obsno > 1)DP = 100*(Price - Price[-1])/Price[-1] $
Create ; RealInt = Interest - DP
; RealGNP = GNP/Price
; RealNvst= Invest/Price $
Dates ; 1963 $
Period ; 1964 - 1982 $
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; PlotResiduals $
Residuals. Bar marks mean residual.
30
20
Residual
10
0
-10
-20
-30
-40
1963
1967
1971
1975
1979
1983
Year
131
/*======================================================================
Example 13.2. Autocorrelation Induced by Misspecification of the Model
/*======================================================================
Year
G
Pg
Y
Pnc
Puc
Ppt
Pd
Pn
Ps
Pop
1960 129.7
.925 6036 1.045
.836
.810
.444
.331
.302 180.7
1961 131.3
.914 6113 1.045
.869
.846
.448
.335
.307 183.7
1962 137.1
.919 6271 1.041
.948
.874
.457
.338
.314 186.5
1963 141.6
.918 6378 1.035
.960
.885
.463
.343
.320 189.2
1964 148.8
.914 6727 1.032 1.001
.901
.470
.347
.325 191.9
1965 155.9
.949 7027 1.009
.994
.919
.471
.353
.332 194.3
1966 164.9
.970 7280
.991
.970
.952
.475
.366
.342 196.6
1967 171.0 1.000 7513 1.000 1.000 1.000
.483
.375
.353 198.7
1968 183.4 1.014 7728 1.028 1.028 1.046
.501
.390
.368 200.7
1969 195.8 1.047 7891 1.044 1.031 1.127
.514
.409
.386 202.7
1970 207.4 1.056 8134 1.076 1.043 1.285
.527
.427
.407 205.1
1971 218.3 1.063 8322 1.120 1.102 1.377
.547
.442
.431 207.7
1972 226.8 1.076 8562 1.110 1.105 1.434
.555
.458
.451 209.9
1973 237.9 1.181 9042 1.111 1.176 1.448
.566
.497
.474 211.9
1974 225.8 1.599 8867 1.175 1.226 1.480
.604
.572
.513 213.9
1975 232.4 1.708 8944 1.276 1.464 1.586
.659
.615
.556 216.0
1976 241.7 1.779 9175 1.357 1.679 1.742
.695
.638
.598 218.0
1977 249.2 1.882 9381 1.429 1.828 1.824
.727
.671
.648 220.2
1978 261.3 1.963 9735 1.538 1.865 1.878
.769
.719
.698 222.6
1979 248.9 2.656 9829 1.660 2.010 2.003
.821
.800
.756 225.1
1980 226.8 3.691 9722 1.793 2.081 2.516
.892
.894
.839 227.7
1981 225.6 4.109 9769 1.902 2.569 3.120
.957
.969
.926 230.0
1982 228.8 3.894 9725 1.976 2.964 3.460 1.000 1.000 1.000 232.2
1983 239.6 3.764 9930 2.026 3.297 3.626 1.041 1.021 1.062 234.3
1984 244.7 3.707 10421 2.085 3.757 3.852 1.038 1.050 1.117 236.3
1985 245.8 3.738 10563 2.152 3.797 4.028 1.045 1.075 1.173 238.5
1986 269.4 2.921 10780 2.240 3.632 4.264 1.053 1.069 1.224 240.7
1987 276.8 3.038 10859 2.321 3.776 4.413 1.085 1.111 1.271 242.8
1988 279.9 3.065 11186 2.368 3.939 4.494 1.105 1.152 1.336 245.0
1989 284.1 3.353 11300 2.414 4.019 4.719 1.129 1.213 1.408 247.3
1990 282.0 3.834 11389 2.451 3.926 5.197 1.144 1.285 1.482 249.9
1991 271.8 3.766 11272 2.538 3.942 5.427 1.167 1.332 1.557 252.6
1992 280.2 3.751 11466 2.528 4.113 5.518 1.184 1.358 1.625 255.4
1993 286.7 3.713 11476 2.663 4.470 6.086 1.200 1.379 1.684 258.1
1994 290.2 3.732 11636 2.754 4.730 6.268 1.225 1.396 1.734 260.7
1995 297.8 3.789 11934 2.815 5.224 6.410 1.239 1.419 1.786 263.2
Create ; G=G/Pop
; lg=log(g) ; lpg=log(pg) ; ly=log(y) ; lpnc=log(pnc)
; lpuc=log(puc) ; lpd=log(pd) ; lpn=log(pn) ; lppt=log(ppt)
; lpd=log(pd)
; lps=log(ps) ; t=year - 1959 $
Date
; 1960 $
Period ; 1960-1995 $
Regress ; lhs = lg ; Rhs = One,lpg ; Plot $
Regress ; lhs = lg ; Rhs = One,lpg,ly ; Plot $
Regress ; lhs = lg ; Rhs = One,lpg,ly,lpnc,lpuc,lppt,lpn,lpd,lps,t ; Plot $
Create ; post=year > 1973
; p1=post*lpg ; p2=post*ly ; p3=post*lpnc ; p4=post*lpuc
; p5=post*lppt ; p6=post*lpn ; p7=post*lpd ;p8=post*lps ; p9=post*t $
Regress ; lhs = lg ; Rhs = One,lpg,ly,lpnc,lpuc,lppt,lpn,lpd,lps,t,
post,p1,p2,p3,p4,p5,p6,p7,p8,p9 ; PlotResiduals $
132
Residuals. Bars mark mean res. and +/- 2s(e)

.225

.100
.075
.150
.050
.075
Residual
Residual
.025
.000
.000
-.025
-.075
-.050
-.150
-.075
-.225
1959 1964 1969 1974 1979 1984 1989 1994 1999
-.100
1959 1964 1969 1974 1979 1984 1989 1994 1999
Year
Year

.03

.04
.03
.02
.02
.01
Residual
Residual
.01
.00
-.01
.00
-.01
-.02
-.02
-.03
-.04
1959 1964 1969 1974 1979 1984 1989 1994 1999
Year
-.03
1959 1964 1969 1974 1979 1984 1989 1994 1999
Year
133
/*===============================================================
Example 13.3. Autocorrelation Consistent Covariance Estimation
*/===============================================================
<... Data are in Example 13.1 ...>
Dates ; 1963 $
Period ; 1964 - 1982 $
?
? Uncorrected
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = REALNVST Mean=
192.4258285
, S.D.=
37.62753735
|
19, Parameters =
3, Deg.Fr.=
16 |
, Std.Dev.=
17.20942 |
| Fit:
.79082 |
| Model test: F[ 2,
16] =
35.03,
Prob value =
.00000 |
-95.3732 |
|
LogAmemiyaPrCrt.=
8.673 |
1.32151,
Rho =
.33924 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -12.53360059
24.915269
-.503
.6218
REALGNP
.1691364542
.20566451E-01
8.224
.0000 1217.5764
REALINT -1.001438013
2.3687491
-.423
.6781 .97572578
*/
?
? Newey-West with 4 periods
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ;Pds = 4 $
/*
+-----------------------------------------------------------------------+
| Autocorrelation consistent covariance matrix for lags of 4 periods
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -12.53360059
18.958298
-.661
.5179
REALGNP
.1691364542
.16750786E-01
10.097
.0000 1217.5764
REALINT -1.001438013
3.3423754
-.300
.7683 .97572578
*/
134
/*===============================================================
Example 13.4. Durbin-Watson Test
*/===============================================================
Dates ; 1963 $
Period ; 1964 - 1982 $
?
? Uncorrected
?
/*
+-----------------------------------------------------------------------+
| Ordinary
|
192.4258285
, S.D.=
37.62753735
|
19, Parameters =
3, Deg.Fr.=
16 |
, Std.Dev.=
17.20942 |
| Fit:
.79082 |
| Model test: F[ 2,
16] =
35.03,
Prob value =
.00000 |
-95.3732 |
|
LogAmemiyaPrCrt.=
8.673 |
1.32151,
Rho =
.33924 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -12.53360059
24.915269
-.503
.6218
REALGNP
.1691364542
.20566451E-01
8.224
.0000 1217.5764
REALINT -1.001438013
2.3687491
-.423
.6781 .97572578
*/
?
? This is from the earlier regression
?
/*
+-----------------------------------------------------------------------+
1.32151,
Rho =
.33924 |
+-----------------------------------------------------------------------+
*/
135
/*===============================================================
Example 13.5. Tests of Autocorrelation
*/===============================================================
Create ; RealInt = Interest - DP ; RealGNP = GNP/Price
Dates ; 1963 $
Period ; 1964 - 1982 $
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; Res = e $
Create ; e1=0 ; e2=0 ; e3=0 ; e4 = 0 $
Create ; If(Year > 1964) e1=e[-1] ; If(Year > 1965) e2=e[-2] $
Create ; If(Year > 1966) e3=e[-3] ; If(Year > 1967) e4=e[-4] $
Regress; Lhs = e ; Rhs = One,RealGNP,RealInt,e1,e2,e3,e4 $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = E
Mean=
.2692582999E-13, S.D.=
16.22519674
|
19, Parameters =
7, Deg.Fr.=
12 |
, Std.Dev.=
12.00150 |
| Fit:
.45287 |
| Model test: F[ 6,
12] =
3.48,
Prob value =
.03129 |
2.14283,
Rho =
-.07142 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -.9840129568
17.570750
-.056
.9563
REALGNP -.2737440451E-03 .14506081E-01
-.019
.9853 1217.5764
REALINT
4.781480338
2.0801228
2.299
.0403 .97572578
E1
-.3866480026
.30834110
-1.254
.2337 1.7543872
E2
-.2851881078
.32520577
-.877
.3977 1.5487491
E3
-.8375322739
.36154515
-2.317
.0390 2.0273388
E4
-.6398668666
.37206559
-1.720
.1111 .82848421
*/
Calc
; List ; LMG_G = n * Rsqrd ; Ctb(.95,5) ; Ctb(.99,4) $
/*
LMG_G
= .12069677290650900D+02
Result = .11070497756249990D+02
Result = .13276704137459990D+02
*/
Period
; 1964-1982 $
Identify ; Rhs = e ; Pds = 4 $
/*
Time series identification for E
Box-Pierce Statistic =
9.5330
Box-Ljung Statistic =
12.4321
Degrees of freedom
=
4
Degrees of freedom
=
4
Significance level
=
.0491
Significance level
=
.0144
* => |coefficient| > 2/sqrt(N) or > 95% significant.
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
Lag | Autocorrelation Function
|Box/Prc|
Partial Autocorrelations
X
1 | .222 |
|**
|
.94 | .222 |
|**
X
2 |-.239 |
***|
| 2.02 |-.457 |
***** |
X
3 |-.558*|
******|
| 7.93*|-.699*|
******** |
X
4 |-.291 |
***|
| 9.53*|-.386 |
**** |
X
*/
/*===============================================================
Example 13.6. Estimation of rho in the AR(1) Model
136
*/===============================================================
Dates ; 1963 $
Period ; 1964 - 1982 $
?
? Least Squares
?
/*
+-----------------------------------------------------------------------+
| Ordinary
|
192.4258285
, S.D.=
37.62753735
|
19, Parameters =
3, Deg.Fr.=
16 |
, Std.Dev.=
17.20942 |
| Fit:
.79082 |
| Model test: F[ 2,
16] =
35.03,
Prob value =
.00000 |
-95.3732 |
|
LogAmemiyaPrCrt.=
8.673 |
1.32151,
Rho =
.33924 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -12.53360059
24.915269
-.503
.6218
REALGNP
.1691364542
.20566451E-01
8.224
.0000 1217.5764
REALINT -1.001438013
2.3687491
-.423
.6781 .97572578
*/
?
? Prais-Winsten, no iteration
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; Ar1 ; Maxit=1 $
/*
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
| Initial value of rho
=
.33924 |
| Iter= 1, SS=
4430.888, Log-L= -78.814170 |
| Final value of Rho
=
.35272 |
| Durbin-Watson:
e(t) =
1.29456 |
| Std. Deviation: e(t) =
17.78423 |
| Std. Deviation: u(t) =
16.64123 |
| Durbin-Watson:
u(t) =
1.83010 |
| Autocorrelation: u(t) =
.08495 |
| N[0,1] used for significance levels
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -15.65512900
33.764549
-.464
.6429
REALGNP
.1707344360
.27905479E-01
6.118
.0000 1217.5764
REALINT -.7039317251
2.8157615
-.250
.8026 .97572578
RHO
.3527183077
.22055357
1.599
.1098
*/
137
?
? Prais-Winsten, iterated
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; Ar1 $
/*
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.33924 |
| Iter= 2, SS=
4434.763, Log-L= -78.827770 |
=
.33924 |
| Durbin-Watson:
e(t) =
1.29125 |
17.69029 |
16.64123 |
| Durbin-Watson:
u(t) =
1.84077 |
.07961 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -15.65512900
33.764549
-.464
.6429
REALGNP
.1707344360
.27905479E-01
6.118
.0000 1217.5764
REALINT -.7039317251
2.8157615
-.250
.8026 .97572578
RHO
.3392438009
.22172476
1.530
.1260
*/
?
? Cochrane-Orcutt, no iteration
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; Ar1 ; Alg = Corc ;
Maxit=1$
/*
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.33924 |
| Maximum iterations
=
1 |
| Iter= 1, SS=
4428.177, Log-L= -78.808355 |
=
.35592 |
| Durbin-Watson:
e(t) =
1.28816 |
18.38569 |
17.18173 |
| Durbin-Watson:
u(t) =
1.83080 |
.08460 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -18.35665003
44.832617
-.409
.6822
REALGNP
.1728550839
.36328913E-01
4.758
.0000 1217.5764
REALINT -.8077352213
3.1024426
-.260
.7946 .97572578
RHO
.3559204945
.22026759
1.616
.1061
*/
?
? Cochrane-Orcutt, iterated
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; Ar1 ; Alg = Corc $
/*
138
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.33924 |
| Iter= 2, SS=
4432.635, Log-L= -78.824507 |
=
.33924 |
| Durbin-Watson:
e(t) =
1.28251 |
18.26486 |
17.18173 |
| Durbin-Watson:
u(t) =
1.84420 |
.07790 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -18.35665003
44.832617
-.409
.6822
REALGNP
.1728550839
.36328913E-01
4.758
.0000 1217.5764
REALINT -.8077352213
3.1024426
-.260
.7946 .97572578
RHO
.3392438009
.22172476
1.530
.1260
*/
?
? Maximum Likelihood
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; Ar1 ; Alg=MLE $
/*
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.33924 |
| Iter= 3, SS=
4427.608, Log-L= -78.786810 |
=
.27957 |
| Durbin-Watson:
e(t) =
1.30606 |
17.32595 |
16.63507 |
| Durbin-Watson:
u(t) =
1.78681 |
.10659 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -14.49886226
31.556137
-.459
.6459
REALGNP
.1700598065
.26075834E-01
6.522
.0000 1217.5764
REALINT -.8242123000
2.7180836
-.303
.7617 .97572578
RHO
.2795732015
.22630349
1.235
.2167
*/
? Durbin's estimator. Uses r(Durbin) in Cochrane-Orcutt
? First step to estimate rho
?
Period ; 1965-1982 $
Regress; Lhs = RealNvst ; Rhs = RealNvst[-1],
One,RealGNP,RealInt,RealGNP[-1],RealInt[-1]$
Calc
; Durbin = b(1) $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
REAL[-1] .6385436366
.12796334
4.990
.0003 191.98517
Constant -32.34674009
13.765052
-2.350
.0367
REALGNP
.6924822569
.61735020E-01
11.217
.0000 1236.5350
REALINT -1.560727766
1.6372713
-.953
.3593 .91797790
REAL[-1] -.6242457613
.64077072E-01
-9.742
.0000 1202.6972
REAL[-1] 1.820487907
2.0286062
.897
.3872 .75194352
*/
? Second step
139
?
Period ; 1964-1982 $
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt ; Ar1 ; Rho=Durbin $
/*
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.63854 |
| Iter= 1, SS=
4727.374, Log-L= -79.630253 |
=
.63854 |
| Durbin-Watson:
e(t) =
1.08041 |
22.33536 |
17.18898 |
| Durbin-Watson:
u(t) =
1.93870 |
.03065 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -35.68666732
53.137278
-.672
.5018
REALGNP
.1843982111
.43910331E-01
4.199
.0000 1217.5764
REALINT
.4984430353
3.3725989
.148
.8825 .97572578
RHO
.6385436366
.18139307
3.520
.0004
*/
?
? Hildreth-Lu grid search
?
Regress; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt
; Ar1 ; Alg = Grid(.1,.9,.03) $$
/*
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.33924 |
=
20 |
| Method = Grid Search over interval
|
| Rho = .1000 to .9000 in steps of
.0300 |
| Iter= 27, SS=
4850.972, Log-L= -80.358033 |
| GLS with optimal rho
|
=
.31000 |
| Durbin-Watson:
e(t) =
.36931 |
17.49469 |
16.63284 |
| Durbin-Watson:
u(t) =
1.80940 |
.09530 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -15.03194914
32.628853
-.461
.6450
REALGNP
.1703660777
.26964694E-01
6.318
.0000 1217.5764
REALINT -.7678180718
2.7666129
-.278
.7814 .97572578
RHO
.3100000000
.22409076
1.383
.1666
*/
140
/*======================================================================
Example 13.7. Tests for common Factors
/*======================================================================
Create ; G=G/Pop
; lg=log(g) ; lpg=log(pg) ; ly=log(y) ; lpnc=log(pnc)
; lpuc=log(puc) ; lpd=log(pd) ; lpn=log(pn) ; lppt=log(ppt)
; lpd=log(pd)
; lps=log(ps) ; t=year - 1959 $
Date
; 1960 $
Period ; 1960-1995 $
Period ; 1961-1995 $
?
? Original Model generates starting values for least squares
?
Regress ; Lhs = lg ; Rhs = one,lpg,ly,lpnc,lpuc $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
.5660123001E-02, S.D.=
.1429479464
|
35, Parameters =
5, Deg.Fr.=
30 |
.03277 |
| Fit:
.94745 |
| Model test: F[ 4,
30] = 154.25,
Prob value =
.00000 |
18.9290 |
|
LogAmemiyaPrCrt.=
-3.867 |
.62880,
Rho =
.68560 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -12.59419663
.70019567
-17.987
.0000
LPG
-.5899395539E-01 .32220963E-01
-1.831
.0771 .69558165
LY
1.401655336
.78457513E-01
17.865
.0000 9.1225115
LPNC
-.1849482733
.13455582
-1.375
.1795 .45460339
LPUC
-.8964335606E-01 .84071091E-01
-1.066
.2948 .68769049
*/
?
? AR(1) model with nonlinear restrictions
? First create lagged values
Period ; 1960-1995 $
Create ; lg1=lg[-1]
; lpg1=lpg[-1] ; ly1=ly[-1]
; lpnc1=lpnc[-1] ; lpuc1=lpuc[-1] $
Period ; 1961-1995 $
Mini
; Fcn = (lg-(b1 + b2*(lpg-r*lpg1)
+ b3*(ly-r*ly1)
+ b4*(lpnc-r*lpnc1) + b5*(lpuc-r*lpuc1) + r*lg1))^2
; Labels=b1,b2,b3,b4,b5,r
; Start =b ; output=1 $maxit=500 $
/*
+---------------------------------------------+
|
|
Function
|
ONE
|
35
|
82
|
-.1058078E-01 |
+---------------------------------------------+
141
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
-.4615029339
1689.5382
.000
.9998
B2
-.2237281149
67.802613
-.003
.9974
B3
.8710401765
400.73680
.002
.9983
B4
.8423654168E-01 489.08698
.000
.9999
B5
-.4147907912E-01 136.72685
.000
.9998
R
.9402079240
196.82878
.005
.9962
*/
Calc
; list ; eer = logl $
/*
EER
= .10580776412476630D-01
*/
?
? Unrestricted model
?
Regress ; Lhs = lg ; Rhs=One,lpg,ly,lpnc,lpuc,lg1,lpg1,ly1,lpnc1,lpuc1 $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
.5660123001E-02, S.D.=
.1429479464
|
25 |
.01508 |
| Fit:
.98888 |
| Model test: F[ 9,
25] = 336.88,
Prob value =
.00000 |
18.9290 |
|
LogAmemiyaPrCrt.=
-5.317 |
2.46386,
Rho =
-.23193 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -2.767067048
1.1651346
-2.375
.0255
LPG
-.2571382493
.34841096E-01
-7.380
.0000 .69558165
LY
.6945043254
.24726979
2.809
.0095 9.1225115
LPNC
.5271610467E-01 .18304866
.288
.7757 .45460339
LPUC
.8722096439E-01 .76151454E-01
1.145
.2629 .68769049
LG1
.8290331665
.98450499E-01
8.421
.0000 -.73433635E-02
LPG1
.2054211804
.40347106E-01
5.091
.0000 .65529411
LY1
-.3836343685
.23222987
-1.652
.1110 9.1030357
LPNC1
-.1747114895
.16764160
-1.042
.3073 .42629066
LPUC1
-.4688845523E-01 .59265160E-01
-.791
.4363 .63533649
*/
Calc
; List ; eeu = sumsqdev
; F = ((eer-eeu)/5)/(eeu/25)
; Ftb(.95,4,25) $
/*
EEU
= .56819438592170710D-02
F
= .43108772936156550D+01
Result = .27587104697200010D+01
*/
?
? Repeat common factor study for investment data
?
Reset $
142
Create ; GNP1 = RealGNP[-1]
; Nvst1= RealNvst[-1]
; Int1 = RealInt[-1] $
Dates ; 1963 $
Period ; 1965 - 1982 $
?
? Original Model generates starting values for least squares
?
Regress ; Lhs = RealNvst ; Rhs = one,RealGNP,RealInt $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
195.6802431
, S.D.=
35.86147600
|
18, Parameters =
3, Deg.Fr.=
15 |
, Std.Dev.=
17.77373 |
| Fit:
.75436 |
| Model test: F[ 2,
15] =
27.10,
Prob value =
.00001 |
-89.4604 |
|
LogAmemiyaPrCrt.=
8.744 |
1.30185,
Rho =
.34908 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -12.69630855
29.180604
-.435
.6697
REALGNP
.1692659471
.23897949E-01
7.083
.0000 1236.5350
REALINT -1.009511692
2.5399256
-.397
.6966 .91797790
*/
Nlsq
; Lhs = RealNvst
; Fcn = b1 + b2*(RealGNP - r*GNP1) + b3*(RealInt - r*Int1)
+ r*Nvst1
; labels = b1,b2,b3,r
; Start = b,0 ; maxit=500 $
/*
+-----------------------------------------------------------------------+
|
| Nonlinear
|
|
195.6802431
, S.D.=
35.86147600
|
18, Parameters =
4, Deg.Fr.=
14 |
, Std.Dev.=
15.67781 |
| Fit:
.80888 |
|
| Model test: F[ 3,
14] =
18.39,
Prob value =
.00004 |
-89.4604 |
|
LogAmemiyaPrCrt.=
8.787 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
-11.82420047
27.501045
-.430
.6672
B2
.1719269810
.31414021E-01
5.473
.0000
B3
-.8627422066
2.7634259
-.312
.7549
R
.3038637095
.26668281
1.139
.2545
*/
Calc
; List ; eer = sumsqdev $
/*
EER
= .44242854020687100D+04
*/
Regress ; Lhs = RealNvst ; Rhs = One,RealGNP,RealInt,GNP1,Int1,Nvst1 $
143
/*
+-----------------------------------------------------------------------+
| Ordinary
|
195.6802431
, S.D.=
35.86147600
|
18, Parameters =
6, Deg.Fr.=
12 |
, Std.Dev.=
6.53912 |
| Fit:
.96675 |
| Model test: F[ 5,
12] =
99.86,
Prob value =
.00000 |
-89.4604 |
|
LogAmemiyaPrCrt.=
6.855 |
2.39017,
Rho =
-.19508 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -32.34674009
13.765052
-2.350
.0367
REALGNP
.6924822569
.61735020E-01
11.217
.0000 1236.5350
REALINT -1.560727766
1.6372713
-.953
.3593 .91797790
GNP1
-.6242457613
.64077072E-01
-9.742
.0000 1202.6972
INT1
1.820487907
2.0286062
.897
.3872 .75194352
NVST1
.6385436366
.12796334
4.990
.0003 191.98517
*/
Calc
; List ; eeu = sumsqdev
; F = ((eer - eeu)/2)/(eeu/12)
; Ftb(.95,2,12) $
/*
EEU
= .51312050469399730D+03
F
= .45733875706726950D+02
Result = .38852938346599990D+01
*/
144
Chapter 14. Models for Panel Data

/*======================================================================
Example 14.1. Cost Function for Airline Production
*/======================================================================
I
T
C
Q
PF
LF
1
1
1140640
.952757
106650
.534487
1
2
1215690
.986757
110307
.532328
1
3
1309570
1.091980
110574
.547736
1
4
1511530
1.175780
121974
.540846
1
5
1676730
1.160170
196606
.591167
1
6
1823740
1.173760
265609
.575417
1
7
2022890
1.290510
263451
.594495
1
8
2314760
1.390670
316411
.597409
1
9
2639160
1.612730
384110
.638522
1
10
3247620
1.825440
569251
.676287
1
11
3787750
1.546040
871636
.605735
1
12
3867750
1.527900
997239
.614360
1
13
3996020
1.660200
938002
.633366
1
14
4282880
1.822310
859572
.650117
1
15
4748320
1.936460
823411
.625603
2
1
569292
.520635
103795
.490851
2
2
640614
.534627
111477
.473449
2
3
777655
.655192
118664
.503013
2
4
999294
.791575
114797
.512501
2
5
1203970
.842945
215322
.566782
2
6
1358100
.852892
281704
.558133
2
7
1501350
.922843
304818
.558799
2
8
1709270
1.000000
348609
.572070
2
9
2025400
1.198450
374579
.624763
2
10
2548370
1.340670
544109
.628706
2
11
3137740
1.326240
853356
.589150
2
12
3557700
1.248520
1003200
.532612
2
13
3717740
1.254320
941977
.526652
2
14
3962370
1.371770
856533
.540163
2
15
4209390
1.389740
821361
.528775
3
1
286298
.262424
118788
.524334
3
2
309290
.266433
123798
.537185
3
3
342056
.306043
122882
.582119
3
4
374595
.325586
131274
.579489
3
5
450037
.345706
222037
.606592
3
6
510412
.367517
278721
.607270
3
7
575347
.409937
306564
.582425
3
8
669331
.448023
356073
.573972
3
9
783799
.539595
378311
.654256
3
10
913883
.539382
555267
.631055
3
11
1041520
.467967
850322
.569240
3
12
1125800
.450544
1015610
.589682
3
13
1096070
.468793
954508
.587953
3
14
1198930
.494397
886999
.565388
3
15
1170470
.493317
844079
.577078
4
1
145167
.086393
114987
.432066
4
2
170192
.096740
120501
.439669
4
3
247506
.141500
121908
.488932
4
4
309391
.169715
127220
.484181
4
5
354338
.173805
209405
.529925
4
6
373941
.164272
263148
.532723
4
7
420915
.170906
316724
.549067
4
8
474017
.177840
363598
.557140
4
9
532590
.192248
389436
.611377
4
10
676771
.242469
547376
.645319
145
4
11
880438
.256505
850418
.611734
4
12
1052020
.249657
1011170
.580884
4
13
1193680
.273923
951934
.572047
4
14
1303390
.371131
881323
.594570
4
15
1436970
.421411
831374
.585525
5
1
91361
.051028
118222
.442875
5
2
95428
.052646
116223
.462473
5
3
98187
.056348
115853
.519118
5
4
115967
.066953
129372
.529331
5
5
138382
.070308
243266
.557797
5
6
156228
.073961
277930
.556181
5
7
183169
.084946
317273
.569327
5
8
210212
.095474
358794
.583465
5
9
274024
.119814
397667
.631818
5
10
356915
.150046
566672
.604723
5
11
432344
.144014
848393
.587921
5
12
524294
.169300
1005740
.616159
5
13
530924
.172761
958231
.605868
5
14
581447
.186670
872924
.594688
5
15
610257
.213279
844622
.635545
6
1
68978
.037682
117112
.448539
6
2
74904
.039784
119420
.475889
6
3
83829
.044331
116087
.500562
6
4
98148
.050245
122997
.500344
6
5
118449
.055046
194309
.528897
6
6
133161
.052462
307923
.495361
6
7
145062
.056977
323595
.510342
6
8
170711
.061490
363081
.518296
6
9
199775
.069027
386422
.546723
6
10
276797
.092749
564867
.554276
6
11
381478
.112640
874818
.517766
6
12
506969
.154154
1013170
.580049
6
13
633388
.186461
930477
.556024
6
14
804388
.246847
851676
.537791
6
15
1009500
.304013
819476
.525775
?
? Data Setup
?
Create ; logc = Log(c) ; logq = log(q) ; logf = log(pf) $
?
? Initial Least Squares Regression
?
Regress ; Lhs = logc ; Rhs = One,logq,logf,lf ; Res = e $
Calc
; list ; eer = sumsqdev ; ssqrd$
146
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
90, Parameters =
4, Deg.Fr.=
86 |
, Std.Dev.=
.12461 |
| Fit:
.98788 |
| Model test: F[ 3,
86] = 2419.34,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-1.284 |
.38330,
Rho =
.80835 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.22924451
41.514
.0000
LOGQ
.8827385540
.13254516E-01
66.599
.0000 -1.1743092
LOGF
.4539770541
.20304180E-01
22.359
.0000 12.770359
LF
-1.627510341
.34530204
-4.713
.0000 .56046016
EER
= .13354421939811450D+01
SSQRD=.15528397604431940D01
*/
/*======================================================================
Example 14.2. Cost Equations with Firm and Period Effects
Uses same data as Example 14.1
*/======================================================================
?
Namelist ; X = logq,logf,lf $
?----------------------------------------------------------------------? 1. Least squares with no effects. Restricted sum of squares has all
?
constants constrained to be equal.
? ----------------------------------------------------------------------Regress ; Lhs = logc ; Rhs = one,X $
Calc
; list ; eer = sumsqdev ; ssqrd $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
90, Parameters =
4, Deg.Fr.=
86 |
, Std.Dev.=
.12461 |
| Fit:
.98788 |
| Model test: F[ 3,
86] = 2419.34,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-1.284 |
.38330,
Rho =
.80835 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.22924451
41.514
.0000
LOGQ
.8827385540
.13254516E-01
66.599
.0000 -1.1743092
LOGF
.4539770541
.20304180E-01
22.359
.0000 12.770359
LF
-1.627510341
.34530204
-4.713
.0000 .56046016
EER
= .13354421939811450D+01
SSQRD=.15528397604431940D01
*/
147
?----------------------------------------------------------------------? Group Means Regression

?-----------------------------------------------------------------------
Regress;Lhs=logc;Rhs=X;Str=i;Panel;Means$
Calc
; list ; ssqrd $
/*
+-----------------------------------------------------------------------+
| Group Means Regression
|
| Ordinary
|
| Dep. var. = YBAR(i.) Mean=
13.36560930
, S.D.=
.9978687061
|
6, Parameters =
4, Deg.Fr.=
2 |
.12585 |
| Fit:
.98410 |
| Model test: F[ 3,
2] = 104.12,
Prob value =
.00953 |
-7.9539 |
|
LogAmemiyaPrCrt.=
-1.073 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
56.481742
1.519
.1287
LOGQ
.7824496503
.10876395
7.194
.0000 .23051463E-11
LOGF
-5.524215185
4.4786958
-1.233
.2174 .18644311
LF
-1.751096777
2.7430775
-.638
.5232 .32540123
SSQRD
= .15837179973004820D-01
*/
?----------------------------------------------------------------------? Firm Effects, and test for firm effects
?-----------------------------------------------------------------------
Regress;Lhs=logc;Rhs=X;Str=i;Panel
;FixedEffects;Output=2$
Calc
; eeu = sumsqdev
; list ; ssqrd
; F = ((eer - eeu)/5)/(eeu/81)
; Ftb(.95,5,81) $
/*
+-----------------------------------------------------------------------+
| Least Squares with Group Dummy Variables
|
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
90, Parameters =
9, Deg.Fr.=
81 |
, Std.Dev.=
.06010 |
| Fit:
.99718 |
| Model test: F[ 8,
81] = 3935.92,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-2.691 |
| Estd. Autocorrelation of e(i,t)
.516200
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9192931104
.29889750E-01
30.756
.0000 -1.1743092
LOGF
.4174883826
.15198961E-01
27.468
.0000 12.770359
LF
-1.070404704
.20168647
-5.307
.0000 .56046016
148
+------------------------------------------------------------------------+
|
Test Statistics for the Classical Model
|
|
|
|
Model
Log-Likelihood
Sum of Squares
R-squared |
| (1) Constant term only
-138.35810
.1140408949D+03
.0000000 |
| (2) Group effects only
-90.48802
.3936107526D+02
.6548512 |
| (3) X - variables only
61.77016
.1335442193D+01
.9882898 |
| (4) X and group effects
130.08770
.2926127513D+00
.9974341 |
|
|
|
Hypothesis Tests
|
|
Likelihood Ratio Test
F Tests
|
|
Chi-squared
d.f. Prob.
F
num. denom. Prob value |
| (2) vs (1)
95.740
5
.00000
31.875
5
84
.00000 |
| (3) vs (1)
400.257
3
.00000 2419.341
3
86
.00000 |
| (4) vs (1)
536.892
8
.00000 3935.923
8
81
.00000 |
| (4) vs (2)
441.151
3
.00000 3604.930
3
81
.00000 |
| (4) vs (3)
136.635
5
.00000
57.734
5
81
.00000 |
+------------------------------------------------------------------------+
Estimated Fixed Effects
Group
Coefficient
Standard Error
t-ratio
1
9.70599
.19312
50.25843
2
9.66475
.19898
48.57160
3
9.49708
.22496
42.21756
4
9.89056
.24176
40.91056
5
9.73007
.26094
37.28867
6
9.79307
.26366
37.14294
SSQRD
= .36125031024485010D-02
F
= .57734452434158600D+02
Result = .23272689375300000D+01
*/
?----------------------------------------------------------------------?TimeEffects
?----------------------------------------------------------------------Regress ;
;
Calc
;
;
Lhs = logc ; Rhs = X ; Str=t ; Panel

Fixed Effects ; Output = 2 $
eeu = sumsqdev
list ; ssqrd
; F = ((eer - eeu)/14)/(eeu/72)
; Ftb(.95,14,72) $
/*
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
72 |
, Std.Dev.=
.12294 |
| Fit:
.98820 |
72] = 439.61,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-1.177 |
.000000
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.8677271602
.15408346E-01
56.315
.0000 -1.1743092
LOGF
-.4844720940
.36412133
-1.331
.1868 12.770359
LF
-1.954413839
.44237965
-4.418
.0000 .56046016
149

Group
Coefficient
Standard Error
t-ratio
1
20.49568
4.20968
4.86871
2
20.57791
4.22167
4.87435
3
20.65560
4.22433
4.88968
4
20.74063
4.24590
4.88486
5
21.19970
4.44049
4.77418
6
21.41148
4.53878
4.71745
7
21.50321
4.57156
4.70370
8
21.65389
4.62305
4.68390
9
21.82943
4.65707
4.68737
10
22.11366
4.79282
4.61392
11
22.46518
4.95008
4.53834
12
22.65119
5.00877
4.52231
13
22.61640
4.98632
4.53569
14
22.55208
4.95612
4.55035
15
22.53661
4.94071
4.56142
+------------------------------------------------------------------------+
|
|
|
|
|
Model
Log-Likelihood
Sum of Squares
R-squared |
-138.35810
.1140408949D+03
.0000000 |
-120.52864
.7673414457D+02
.3271348 |
61.77016
.1335442193D+01
.9882898 |
70.98337
.1088199385D+01
.9904578 |
|
|
|
Hypothesis Tests
|
|
F Tests
|
|
Chi-squared
d.f. Prob.
F
| (2) vs (1)
35.659
14
.00117
2.605
14
75
.00404 |
| (3) vs (1)
400.257
3
.00000 2419.341
3
86
.00000 |
| (4) vs (1)
418.683
17
.00000
439.614
17
72
.00000 |
| (4) vs (2)
383.024
3
.00000 1668.355
3
72
.00000 |
| (4) vs (3)
18.426
14
.18804
1.168
14
72
.31782 |
+------------------------------------------------------------------------+
SSQRD
= .15113880346050360D-01
F
= .11684756160023560D+01
Result = .18316069375600010D+01
*/
?----------------------------------------------------------------------? Firm and Time Effects
?----------------------------------------------------------------------Regress ; Lhs = logc ; Rhs = X ; Str=i ; Period = t
; Panel ; Fixed Effects ; Output = 2 $
Calc
; eeu = sumsqdev
; list ; ssqrd
; F = ((eer - eeu)/20)/(eeu/67)
; Ftb(.95,20,67) $
150
/*
+-----------------------------------------------------------------------+
| Least Squares with Group Dummy Variables and Period Effects
|
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
66 |
, Std.Dev.=
.05138 |
| Fit:
.99791 |
66] = 1847.57,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-2.876 |
.492487
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.8172488392
.31850925E-01
25.659
.0000 -1.1743092
LOGF
.1686107443
.16347803
1.031
.3052 12.770359
LF
-.8828121095
.26173699
-3.373
.0011 .56046016
2.0810682
6.087
.0000
Group
Coefficient
1
.12833
2
.06549
3
-.18947
4
.13425
5
-.09265
6
-.04595
Period
Coefficient
1
-.37402
2
-.31932
3
-.27669
4
-.22304
5
-.15393
6
-.10809
7
-.07686
8
-.02073
9
.04722
10
.09173
11
.20731
12
.28547
13
.30138
14
.30047
15
.31911
Standard Error
.05383
.04559
.01826
.02143
.04365
.04867
t-ratio
2.38395
1.43666
-10.37535
6.26538
-2.12273
-.94411
Standard Error
.22447
.21770
.21450
.20235
.10112
.05248
.03736
.02392
.03402
.09494
.17448
.20547
.19423
.17972
.17254
t-ratio
-1.66627
-1.46680
-1.28994
-1.10224
-1.52216
-2.05967
-2.05744
-.86653
1.38795
.96618
1.18815
1.38934
1.55162
1.67188
1.84946
151
+------------------------------------------------------------------------+
|
|
|
|
|
Model
Log-Likelihood
Sum of Squares
R-squared |
-138.35810
.1140408949D+03
.0000000 |
-90.48802
.3936107526D+02
.6548512 |
61.77016
.1335442193D+01
.9882898 |
130.08770
.2926127513D+00
.9974341 |
| (5) X ind.&time effects
152.74779
.1768483342D+00
.9984493 |
|
|
|
Hypothesis Tests
|
|
F Tests
|
|
Chi-squared
d.f. Prob.
F
| (2) vs (1)
95.740
5
.00000
31.875
5
84
.00000 |
| (3) vs (1)
400.257
3
.00000 2419.341
3
86
.00000 |
| (4) vs (1)
536.892
8
.00000 3935.923
8
81
.00000 |
| (4) vs (2)
441.151
3
.00000 3604.930
3
81
.00000 |
| (4) vs (3)
136.635
5
.00000
57.734
5
81
.00000 |
| (5) vs (4)
45.320
14
.00004
3.133
14
67
.00085 |
| (5) vs (3)
181.955
20
.00000
21.947
20
67
.00000 |
+------------------------------------------------------------------------+
SSQRD
= .36125031024485010D-02
F
= .11938914546569830D+02
Result = .17292065212300000D+01
*/
/*======================================================================
Example 14.3. Testing for Random Effects
*/======================================================================
?
? There is a built-in test for this, but it is also easy to compute
? from scratch.
?
Regress ; Lhs = logc ; Rhs = one,X ; Res = e $
Matrix
; ebar = Gxbr(e,i) $
Calc
; List
; Npd = Max(T)
; Ng = Max(i)
; LM = (Npd*Ng)/(2*(Npd-1)) * (Npd^2 * ebarebar/ee - 1)^2 $
/*
NPD
= .15000000000000000D+02
NG
= .60000000000000000D+01
LM
= .33485036222298630D+03
*/
152
/*======================================================================
Example 14.4. Random Effects Models
*/======================================================================
?----------------------------------------------------------------------? 1. Least squares with no effects. Restricted sum of squares has all
?
constants constrained to be equal.
? ----------------------------------------------------------------------Namelist ; X = logq,logf,lf $
Regress ; Lhs = logc ; Rhs = one,X $
Calc
; list ; ssqrd $
/*
+-----------------------------------------------------------------------+
| OLS Without Group Dummy Variables
|
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
90, Parameters =
4, Deg.Fr.=
86 |
, Std.Dev.=
.12461 |
| Fit:
.98788 |
| Model test: F[ 3,
86] = 2419.34,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-1.284 |
| Panel Data Analysis of LOGC
[ONE way]
|
|
Unconditional ANOVA (No regressors)
|
| Source
Variation
Deg. Free.
Mean Square
|
| Between
37.3068
14.
2.66477
|
| Residual
76.7341
75.
1.02312
|
| Total
114.041
89.
1.28136
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.22924451
41.514
.0000
LOGQ
.8827385540
.13254516E-01
66.599
.0000 -1.1743092
LOGF
.4539770541
.20304180E-01
22.359
.0000 12.770359
LF
-1.627510341
.34530204
-4.713
.0000 .56046016
SSQRD=.15528397604431940D01
*/
153
?----------------------------------------------------------------------? 2. Fixed Effects Models, with heteroscedasticity corrected

?
asymptotic covariance matrix.
?----------------------------------------------------------------------?
Regress ; Lhs = logc ; Rhs = X ; Str=i ; Panel ; Fixed Effects $
Calc
; List ; ssqrd $
Regress ; Lhs = logc ; Rhs = X ; Str=i ; Panel ; Fixed ; Het $
Regress ; Lhs = logc ; Rhs = X ; Str=i ; Panel ; Fixed ; Het = G $
/*
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
90, Parameters =
9, Deg.Fr.=
81 |
, Std.Dev.=
.06010 |
| Fit:
.99718 |
| Model test: F[ 8,
81] = 3935.92,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-2.691 |
.516200
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9192931104
.29889750E-01
30.756
.0000 -1.1743092
LOGF
.4174883826
.15198961E-01
27.468
.0000 12.770359
LF
-1.070404704
.20168647
-5.307
.0000 .56046016
SSQRD
= .36125031024485010D-02
+-----------------------------------------------------------------------+
| White/Hetero. (1) corrected covariance matrix used.
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9192931104
.19105811E-01
48.116
.0000 -1.1743092
LOGF
.4174883826
.13532691E-01
30.850
.0000 12.770359
LF
-1.070404704
.21662022
-4.941
.0000 .56046016
+-----------------------------------------------------------------------+
| White/Hetero. (2) corrected covariance matrix used.
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9192931104
.27977958E-01
32.858
.0000 -1.1743092
LOGF
.4174883826
.13801945E-01
30.249
.0000 12.770359
LF
-1.070404704
.20372501
-5.254
.0000 .56046016
*/
?----------------------------------------------------------------------? 3. Fixed Effects Models, with autocorrelation. Must be computed
?
after uncorrected fixed effects model estimates RHO.
?----------------------------------------------------------------------Regress ; Lhs = logc ; Rhs = X ; Str=i ; Panel ; Fixed Effects $
Regress ; Lhs = logc ; Rhs = X ; Str=i ; Panel
; Fixed Effects ; Ar1$
Calc
; List ; ssqrd ; ssqrd/(1-Rho^2) $
154
/*
+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = LOGC
Mean=
6.572684944
, S.D.=
.5296754547
|
84, Parameters =
9, Deg.Fr.=
75 |
, Std.Dev.=
.04435 |
| Fit:
.99299 |
| Model test: F[ 8,
75] = 1470.48,
Prob value =
.00000 |
-65.3066 |
|
LogAmemiyaPrCrt.=
-3.292 |
.516200
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9280379106
.33111566E-01
28.028
.0000 -.50121574
LOGF
.3919718815
.16910783E-01
23.179
.0000 6.2910182
LF
-1.219320549
.20262070
-6.018
.0000 .27768940
SSQRD
= .19669290544567400D-02
Result = .26814286944733110D-02
*/
?----------------------------------------------------------------------? 4. Random Effects Models, Firm Efects Only
?----------------------------------------------------------------------Regress ; Lhs = logc ; Rhs = X ; Str=i ; Panel $
Regress ; Lhs = logc ; Rhs = X ; Str=i ; Panel ; Ar1$
Calc
; List ; ssqrd ; ssqrd/(1-Rho^2) $
/*
+--------------------------------------------------+
| Random Effects Model: v(i,t) = e(i,t) + u(i)
|
| Estimates: Var[e]
=
.361250D-02 |
|
Var[u]
=
.155963D-01 |
|
Corr[v(i,t),v(i,s)] =
.811935
|
| Lagrange Multiplier Test vs. Model (3) = 334.85 |
| ( 1 df, prob value = .000000)
|
| (High values of LM favor FEM/REM over CR model.) |
| Fixed vs. Random Effects (Hausman)
=
3.26 |
| ( 3 df, prob value = .353428)
|
| (High (low) values of H favor FEM (REM).)
|
| Reestimated using GLS coefficients:
|
| Estimates: Var[e]
=
.362107D-02 |
|
Var[u]
=
.398286D-01 |
|
Sum of Squares
.149540D+01 |
|
R-squared
.988290D+00 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9066810293
.25587383E-01
35.435
.0000 -1.1743092
LOGF
.4227782698
.14004238E-01
30.189
.0000 12.770359
LF
-1.064498999
.19977739
-5.328
.0000 .56046016
.20985587
45.879
.0000
*/
155
?----------------------------------------------------------------------? 5. Random Effects Models, Firm Efects Only, Autocorrelation

?----------------------------------------------------------------------/*
+--------------------------------------------------+
| Random Effects Model: v(i,t) = e(i,t) + u(i)
|
| Estimates: Var[e]
=
.197555D-02 |
|
Var[u]
=
.555767D-02 |
|
.737755
|
| Lagrange Multiplier Test vs. Model (3) = 191.79 |
| ( 1 df, prob value = .000000)
|
| (High values of LM favor FEM/REM over CR model.) |
=
1.84 |
| ( 3 df, prob value = .605721)
|
|
|
| Estimates: Var[e]
=
.197863D-02 |
|
Var[u]
=
.104781D-01 |
|
Sum of Squares
.445741D+00 |
|
R-squared
.982825D+00 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9166101477
.29150377E-01
31.444
.0000 -.51042614
LOGF
.3967135048
.16037150E-01
24.737
.0000 6.3870666
LF
-1.210303730
.20081795
-6.027
.0000 .28191470
.25974962
38.772
.0000
*/
?----------------------------------------------------------------------? 6. Fixed Effects, Firm and Time Effects
?----------------------------------------------------------------------Regress ; Lhs = logc ; Rhs = X ; Str=i ; Period = t
; Panel ; Fixed Effects ; Output = 2 $
Calc
; list ; ssqrd $
/*
+-----------------------------------------------------------------------+
| Least Squares with Group Dummy Variables and Period Effects
|
| Ordinary
|
| Dep. var. = LOGC
Mean=
13.36560930
, S.D.=
1.131971011
|
66 |
, Std.Dev.=
.05138 |
| Fit:
.99791 |
66] = 1847.57,
Prob value =
.00000 |
-138.3581 |
|
LogAmemiyaPrCrt.=
-2.876 |
.492487
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.8172488392
.31850925E-01
25.659
.0000 -1.1743092
LOGF
.1686107443
.16347803
1.031
.3052 12.770359
LF
-.8828121095
.26173699
-3.373
.0011 .56046016
2.0810682
6.087
.0000
SSQRD
= .36125031024485010D-02
*/
156
?----------------------------------------------------------------------? 7. Random Effects, Firm and Time Effects

?----------------------------------------------------------------------Regress ; Lhs = logc ; Rhs = X ; Str=i ; Period = t ; Panel $
/*
+----------------------------------------------------------+
| Random Effects Model: v(i,t) = e(i,t) + u(i) + w(t)
|
| Estimates: Var[e]
=
.263953D-02
|
|
Var[u]
=
.156612D-01
|
|
.855769
|
|
Var[w]
=
.683176D-04
|
|
Corr[v(i,t),v(j,t)] =
.025230
|
| Lagrange Multiplier Test vs. Model (3) = 336.40
|
| ( 2 df, prob value = .000000)
|
| (High values of LM favor FEM/REM over CR model.)
|
=
15.20
|
| ( 3 df, prob value = .001651)
|
|
|
| Estimates: Var[e]
=
.295931D-02
|
|
Var[u]
=
.389897D-01
|
|
Var[w]
=
.960524D-03
|
|
Sum of Squares
.146941D+01
|
|
R-squared
.988290D+00
|
+----------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LOGQ
.9023731401
.23065973E-01
39.121
.0000 -1.1743092
LOGF
.4241784764
.12645906E-01
33.543
.0000 12.770359
LF
-1.053130145
.17797474
-5.917
.0000 .56046016
.19122296
50.196
.0000
*/
157
/*======================================================================
Example 14.5. Hausman Test
*/======================================================================
Regress ; Lhs = logc ; Rhs = X ; str=i ; panel ; FixedEffects $
Matrix
; bfe = b ; list ; Vfe = Varb $
Regress ; Lhs = logc ; Rhs = X ; str=i ; panel $
Matrix
; bre = b(1:3) ; list ; Vre = Part(varb,1,3,1,3) $
Matrix
; d = bfe-bre ; Vd = Vfe - Vre
; List ; Hausman = d<Vd>d $
Calc
; List ; Ctb(.95,3) $
/*
Matrix VFE
1
2
3
+-----------------------------------------1| .8933972D-03 -.3178122D-03 -.1884195D-02
2| -.3178122D-03 .2310084D-03 -.7685462D-03
3| -.1884195D-02 -.7685462D-03 .4067743D-01
Matrix VRE

1
2
3
+-----------------------------------------1| .6547142D-03 -.2269996D-03 -.1524203D-02
2| -.2269996D-03 .1961187D-03 -.8968263D-03
3| -.1524203D-02 -.8968263D-03 .3991100D-01
Matrix HAUSMAN has 1 rows and 1 columns.
1
+-------------1| .3258727D+01
Result
*/
.78147277654400000D+01
158
/*======================================================================
Example 14.6. Heteroscedasticity Consistent Estimation
*/======================================================================
Regress ; Lhs = logc ; Rhs = One,X ; Str=i ; Panel $
Calc
; List ; s2 = ssqrd ; Npd = Max(t) $
Regress ; Lhs = logc ; Rhs = One,X ; Res = e $
Matrix ; List
; ebari = Gxbr(e,i)
; si = Gsdv(e,i) ; vi = Dirp(si,si)
; vui = vi - s2 $
/*
S2
= .36210700500690940D-02
NPD
= .15000000000000000D+02
Matrix EBARI
1
+-------------1| .6886891D-01
2| -.1387804D-01
3| -.1942237D+00
4| .1527257D+00
5| -.2158348D-01
6| .8090588D-02
Matrix SI
1
+-------------1| .4023408D-01
2| .6688817D-01
3| .5161303D-01
4| .9523568D-01
5| .4816550D-01
6| .6305873D-01
Matrix VI
1
+-------------1| .1618782D-02
2| .4474028D-02
3| .2663905D-02
4| .9069834D-02
5| .2319915D-02
6| .3976403D-02
Matrix VUI
1
+-------------1| -.2002288D-02
2| .8529576D-03
3| -.9571652D-03
4| .5448764D-02
5| -.1301155D-02
6| .3553329D-03
*/
159
Chapter 15. Systems of Regression Equations

/*=================================================================
Example 15.1. Grunfeld's Investment Data
*/=================================================================
Year Firm
I
F
C
1935 1
317.60
3078.50
2.80
1936 1
391.80
4661.70
52.60
1937 1
410.60
5387.10
156.90
1938 1
257.70
2792.20
209.20
1939 1
330.80
4313.20
203.40
1940 1
461.20
4643.90
207.20
1941 1
512.00
4551.20
255.20
1942 1
448.00
3244.10
303.70
1943 1
499.60
4053.70
264.10
1944 1
547.50
4379.30
201.60
1945 1
561.20
4840.90
265.00
1946 1
688.10
4900.90
402.20
1947 1
568.90
3526.50
761.50
1948 1
529.20
3254.70
922.40
1949 1
555.10
3700.20
1020.10
1950 1
642.90
3755.60
1099.00
1951 1
755.90
4833.00
1207.70
1952 1
891.20
4924.90
1430.50
1953 1
1304.40
6241.70
1777.30
1954 1
1486.70
5593.60
2226.30
1935 2
40.29
417.50
10.50
1936 2
72.76
837.80
10.20
1937 2
66.26
883.90
34.70
1938 2
51.60
437.90
51.80
1939 2
52.41
679.70
64.30
1940 2
69.41
727.80
67.10
1941 2
68.35
643.60
75.20
1942 2
46.80
410.90
71.40
1943 2
47.40
588.40
67.10
1944 2
59.57
698.40
60.50
1945 2
88.78
846.40
54.60
1946 2
74.12
893.80
84.80
1947 2
62.68
579.00
96.80
1948 2
89.36
694.60
110.20
1949 2
78.98
590.30
147.40
1950 2
100.66
693.50
163.20
1951 2
160.62
809.00
203.50
1952 2
145.00
727.00
290.60
1953 2
174.93
1001.50
346.10
1954 2
172.49
703.20
414.90
1935 3
33.10
1170.60
97.80
1936 3
45.00
2015.80
104.40
1937 3
77.20
2803.30
118.00
1938 3
44.60
2039.70
156.20
1939 3
48.10
2256.20
172.60
1940 3
74.40
2132.20
186.60
1941 3
113.00
1834.10
220.90
1942 3
91.90
1588.00
287.80
1943 3
61.30
1749.40
319.90
1944 3
56.80
1687.20
321.30
1945 3
93.60
2007.70
319.60
1946 3
159.90
2208.30
346.00
1947 3
147.20
1656.70
456.40
1948 3
146.30
1604.40
543.40
1949 3
98.30
1431.80
618.30
160
1950
1951
1952
1953
1954
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
3
3
3
3
3
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
93.50
135.20
157.30
179.50
189.60
12.93
25.90
35.05
22.89
18.84
28.57
48.51
43.34
37.02
37.81
39.27
53.46
55.56
49.56
32.04
32.24
54.38
71.78
90.08
68.60
209.90
355.30
469.90
262.30
230.40
261.60
472.80
445.60
361.60
288.20
258.70
420.30
420.50
494.50
405.10
418.80
588.20
645.20
641.00
459.30
1610.50
1819.40
2079.70
2371.60
2759.90
191.50
516.00
729.00
560.40
519.90
628.50
537.10
561.20
617.20
626.70
737.20
760.50
581.40
662.30
583.80
635.20
723.80
864.10
1193.50
1188.90
1362.40
1807.10
2676.30
1801.90
1957.30
2202.90
2380.50
2168.60
1985.10
1813.90
1850.20
2067.70
1796.70
1625.80
1667.00
1677.40
2289.50
2159.40
2031.30
2115.50
647.40
671.30
726.10
800.30
888.90
1.80
.80
7.40
18.10
23.50
26.50
36.20
60.80
84.40
91.20
92.40
86.00
111.10
130.60
141.80
136.70
129.70
145.50
174.80
213.50
53.80
50.50
118.10
260.20
312.70
254.20
261.40
298.70
301.80
279.10
213.80
232.60
264.80
306.90
351.10
357.80
342.10
444.20
623.60
669.70
?
Namelist ; X = One,F,C $
161
/*=================================================================
Example 15.2. Classical Regression and Least Squares
*/=================================================================
?
? Simple least squares regression
?
Regress ; Lhs = I ; Rhs = X ; Res = e $
Calc
; List
; Nfirm = 5 ; Nperiod = 20
; s2hat = sumsqdev/(nfirm*nperiod) $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = I
Mean=
248.9570000
, S.D.=
267.8654462
|
100, Parameters =
3, Deg.Fr.=
97 |
, Std.Dev.=
127.25831 |
| Fit:
.77430 |
| Model test: F[ 2,
97] = 170.81,
Prob value =
.00000 |
-700.4398 |
|
LogAmemiyaPrCrt.=
12.560 |
.35995,
Rho =
.82002 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -48.02973763
21.480165
-2.236
.0276
F
.1050854108
.11377830E-01
9.236
.0000 1922.2230
C
.3053655452
.43507814E-01
7.019
.0000 311.06700
NFIRM
= .50000000000000000D+01
NPERIOD = .20000000000000000D+02
S2HAT
= .15708836868581870D+05
*/
162
/*=================================================================
Example 15.3. Testing and Estimation with Groupwise
Heteroscedasticity
*/=================================================================
?-----------------------------------------------------------------? Testing for groupwise heteroscedasticity
? First obtain OLS residuals. (Regression results in Example 15.2)
?-----------------------------------------------------------------Regress ; Lhs = I ; Rhs = X ; Res = e $
?-----------------------------------------------------------------? Lagrange multiplier statistic
?
Create ; esq = e*e $
Calc
; List ; s2 = ee/(Nfirm*Nperiod) $
/*
S2HAT
= .15708836868581870D+05
*/
? Group specific variances based on least squares coefficients
? Then compute statistic
?
Matrix ; s2i = Gxbr(esq,firm)
Calc
; vi = 1/s2 * s2i - 1
; LM = (Nperiod/2)* vivi
; List; Ctb(.95,4) $
/*
Matrix S2I
+-------------1| .9410908D+04
2| .7558508D+03
3| .3428849D+05
4| .6334237D+03
5| .3345551D+05
LM
= .46629783728753650D+02
Result = .94877290383399850D+01
*/
? Whites test
?
Create ; FF = F*F ; CC = C*C ; FC = F*C $
Regress ; Lhs = esq ; Rhs = X,FF,CC,FC $
Calc
; List ; Rsqrd ; White = Nfirm*Nperiod*Rsqrd ; Ctb(.95,5) $
/*
RSQRD
= .36853667086878680D+00
WHITE
= .36853667086878680D+02
Result = .11070497756249990D+02
*/
? Likelihood ratio statistic
? We would do this later, so at this point, we just compute it
?
Create ; D2=(Firm=2) ; D3 =(Firm=3) ; D4=(Firm=4) ; D5=(Firm=5) $
Regress; Lhs = i ; Rhs = X
Calc
; List ; LoglR = Logl $
/*
LOGLR
= -.62499278454313890D+03
*/
Hreg
; Lhs = i ; Rhs = X ; Rh2 = D1,D3,D4,D5 $
Calc
; List ; LoglU = LogL ; LR = -2*(LogLR - LogLU) $
/*
LOGLU
= -.56453548456485810D+03
LR
= .12091459995656170D+03
*/
?-----------------------------------------------------------------? Least squares with corrected covariance matrices
163
?-----------------------------------------------------------------Regress ; Lhs = i ; Rhs = X ; Res = e $

Regress ; Lhs = i ; Rhs = X ; Het $
Matrix ; List ; s2i = Gxbr(esq,firm) $
Create ; Wgt = s2i(firm) $
Matrix ; Beck = <XX> * X[Wgt]X * <XX>
Matrix ; Stat(b,Beck) $
/*
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -48.02973763
21.480165
-2.236
.0276
F
.1050854108
.11377830E-01
9.236
.0000 1922.2230
C
.3053655452
.43507814E-01
7.019
.0000 311.06700
+---------+--------------+----------------+--------+---------+----------+
| Results Corrected for heteroskedasticity White Estimator
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -48.02973763
15.016673
-3.198
.0019
F
.1050854108
.91463746E-02
11.489
.0000 1922.2230
C
.3053655452
.59105263E-01
5.166
.0000 311.06700
+---------+--------------+----------------+--------+---------+----------+
| Results Corrected for heteroskedasticity
|
+-----------------------------------------------------------------------+
Variance=BECK
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B
_ 1 -48.02973763
14.203666
-3.382
.0007
B
_ 2 .1050854108
.90625216E-02
11.596
.0000
B
_ 3 .3053655452
.40946815E-01
7.458
.0000
Matrix S2I
has 5 rows and

1
+-------------1| .9410908D+04
2| .7558508D+03
3| .3428849D+05
4| .6334237D+03
5| .3345551D+05
1 columns.
*/
164
?-----------------------------------------------------------------? Estimation with groupwise heteroscedasticity

? There is a built in routine that makes this trivial (we used it
? above). But, we will program this one from scratch, as it is
? quite simple. These three steps are assumed to be taken in order.
?-----------------------------------------------------------------? This routine does the GLS regression given the vector of group
? specific variances. It then recomputes and shows the variances.
? Input is the X matrix, y variable, Group indicator.
?
Proc = HetReg(X,y,v,group,newv) $
Create ; vari = v(group) ; wgti = 1/vari $
Matrix ; Vfgls = <X[wgti]X> ; bfgls = Vfgls * X[wgti]y $
Create ; e2fgls = (y - Xbfgls)^2 $
Matrix ; Stat(bfgls,Vfgls) ; List ; newv = Gxbr(e2fgls,group) $
EndProc
?
? Get FGLS estimates using s2i computed immediately above by OLS .
?
Exec
; Proc = HetReg(X,i,s2i,firm,news2i) $
/*
Matrix statistical results: Coefficients=BFGLS
Variance=VFGLS
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BFGLS_ 1 -36.25370338
6.1243634
-5.920
.0000
BFGLS_ 2 .9499051332E-01 .74089758E-02
12.821
.0000
BFGLS_ 3 .3378128507
.30225398E-01
11.176
.0000
Matrix NEWS2I has 5 rows and 1 columns.
+-------------1| .8612147D+04
2| .4091902D+03
3| .3656324D+05
4| .7779749D+03
5| .3290283D+05
*/
? Wald tests, standard and modified. The standard test uses OLS estimate
? of the common sigma-squared. Residuals e were computed earlier.
?
Calc
; s2 = ee/(Nfirm*Nperiod) $
Proc=WaldHR(X,y,group,s2i,s2)$
Matrix ; list ; vinv = s2 * Diri(s2i) - 1 $
Calc
; List ; Wald = Nperiod/2 * vinv'vinv $
Create ; ufgls
= e2fgls - s2i(group)
; ufgls2 = ufgls^2$
Matrix ; list ; Vi = {1/(Nperiod-1)}* Gxbr(ufgls2,firm)
; Vi = Diag(Vi)
; di = s2i-s2
; Mwald = di'<Vi>di $
EndProc
Exec ; proc = WaldHR(X,i,firm,news2i,s2)$
/*
WALD
= .17676251662853610D+05
Matrix MWALD
1
+-------------1| .1468135D+05
*/
?------------------------------------------------------------------
165
? To obtain maximum likelihood estimates, we can just iterate the

? procedure above, relying on Oberhover and Kmenta. The procedure
? must be modified to update the variance vector. We also add a
? display of the convergence check - when variances stop changing.
?-----------------------------------------------------------------Regress ; Lhs = i ; Rhs = X ; Res = e $
Calc
; List ; LogLR = LogL $
/*
LOGLR
= -.62499278454313890D+03
*/
Matrix ; s2i = Gxbr(esq,Firm) $
Proc=MLHetReg(X,y,v,group,newv) $
Label ; 20 $
Create ; vari = v(group) ; wgti = 1/vari $
Matrix ; Vfgls = <X'[wgti]X> ; bfgls = Vfgls * X'[wgti]y $
Create ; e2fgls = (y - X'bfgls)^2 $
Matrix ; newv = Gxbr(e2fgls,group) $
Calc
; list ; delta = v 'v + newv'newv - 2*v'newv $
Matrix ; v = newv $
GoTo
; 20 ; Delta > .00000001 $
EndProc
Calc ; delta=1 $
Exec ; proc = MLhetReg(X,i,s2i,firm,news2i) $
Matrix ; Stat(bfgls,Vfgls) ; List ; news2i $
Matrix ; logs2 = Loge(s2i) ; uno = Init(Nfirm,1,1) $
Calc
; List
; LogLU = -Nfirm*Nperiod/2*(1 + log(2*pi) + unologs2/nfirm) $
; LRTest = -2*(LogLR - LOGLU) $
/*
DELTA
= .62590200427875520D+07
DELTA
= .65511941265754700D+07
DELTA
= .20804502204418180D+07
DELTA
= .33717997443389890D+06
DELTA
= .33333884671211240D+05
DELTA
= .26472294273376470D+04
DELTA
= .19648467063903810D+03
DELTA
= .14483796119689940D+02
DELTA
= .10795631408691410D+01
DELTA
= .81503868103027340D-01
DELTA
= .62170028686523440D-02
DELTA
= .47779083251953130D-03
DELTA
= .37193298339843750D-04
DELTA
= .28610229492187500D-05
DELTA
= .95367431640625000D-06
DELTA
= .95367431640625000D-06
DELTA
= .00000000000000000D+00
Variance=VFGLS
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BFGLS_ 1 -23.25817462
4.8151728
-4.830
.0000
BFGLS_ 2 .9434995195E-01 .62834136E-02
15.016
.0000
BFGLS_ 3 .3337014665
.22038964E-01
15.141
.0000
LOGLU
= -.56453548787848950D+03
LRTEST = .12091459332929890D+03
*/
166
/*=================================================================
Example 15.4. Testing and Estimation with Groupwise
Heteroscedasticity and Cross Sectional Correlation
*/=================================================================
?
? There is a single built-in procedure that does all of this, the
? TSCS command. Well use it later. But, for this data set, it is
? also easy to program the computations directly. Well do this to
? illustrate the computations. First, correlations of residuals.
?
Calc
; Nfirm = Max(firm) ; Nperiod = Max(t) $
?
? This procedure takes a column vector of nT residuals and computes
? a correlation matrix from them, n by n.
Proc=Corr(ve,nf,nt) $
Matrix
; em=mvec( ve,nf,nt) ; em = em'
; ebar = 1/nt * em'1 ; ebar=ebar' ; uno = init(nt,1,1)
; ebar=kron(ebar,uno); em=em-ebar $ (deviations)
Matrix
; V = 1/Nperiod*em'em
; DV = Diag(V)
; List ; Rmat = Isqr(DV) * V * Isqr(DV) $
EndProc
?
? First for OLS
?
Regress
; Lhs = i ; Rhs = X ; Res =e$
Exec
; Proc=Corr(e,Nfirm,Nperiod)$
?
? Get GLS, then repeat
?
Create
; esq = e*e $
Matrix
; s2i = Gxbr(esq,firm) $
Create
; wgti = 1/s2i(firm) $
Matrix
; bfgls = <X'[wgti]X>*X'[wgti]i $
Create
; efgls = i - X'bfgls $
Exec
; proc=Corr(efgls,nfirm,nperiod) $
/*
+---------------------------------------------------------------------1| .1000000D+01 -.1852380D+00 -.2591969D+00 -.4688830D+00 -.1545814D01
2| -.1852380D+00 .1000000D+01 .1440353D+00 .1862341D+00 .
2217868D+00
3| -.2591969D+00 .1440353D+00 .1000000D+01 .8813588D+00
-.1215807D+00
4| -.4688830D+00 .1862341D+00 .8813588D+00 .1000000D+01
-.1186488D+00
5| -.1545814D-01 .2217868D+00 -.1215807D+00 -.1186488D+00 .
1000000D+01
Matrix RMAT
has
1
5 rows and
2
5 columns.
3
+---------------------------------------------------------------------1| .1000000D+01 -.3439365D+00 -.1817524D+00 -.3516182D+00

-.1208000D+00
2| -.3439365D+00 .1000000D+01 .2827749D+00 .3434752D+00 .
1673549D+00
3| -.1817524D+00 .2827749D+00 .1000000D+01 .8995338D+00
-.1508231D+00
4| -.3516182D+00 .3434752D+00 .8995338D+00 .1000000D+01 -.8536935D01
167
5| -.1208000D+00
1000000D+01
*/
.1673549D+00 -.1508231D+00 -.8536935D-01
168
?
? Testing for a diagonal Sigma.
? We need 3 sets of estimates for these tests: OLS, Groupwise
? heteroscedasticity, and ML with Full sigma. The following
? gets all 3 coefficients, logLs and residuals using the
? major programmed procedures. We will return to the matrix
? algebra approach later for GLS. We compute maximum likelihood
? estimates for all three specifications.
?
? 1. Linear regression, homoscedastic, no correlation
?
Regress; Lhs = i ; Rhs = X ; Res = eo $
Matrix ; bo = b $
Calc
; List ; loglo = logl $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = I
Mean=
248.9570000
, S.D.=
267.8654462
|
100, Parameters =
3, Deg.Fr.=
97 |
, Std.Dev.=
127.25831 |
| Fit:
.77430 |
| Model test: F[ 2,
97] = 170.81,
Prob value =
.00000 |
-700.4398 |
|
LogAmemiyaPrCrt.=
12.560 |
.35995,
Rho =
.82002 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -48.02973763
21.480165
-2.236
.0276
F
.1050854108
.11377830E-01
9.236
.0000 1922.2230
C
.3053655452
.43507814E-01
7.019
.0000 311.06700
LOGLO
= -.62499278454313890D+03
*/
? 2. Groupwise heteroscedastic
Create ; D2=firm=2 ; D3=firm=3 ; D4=firm=4 ; D5=Firm=5 $
Hreg
; Lhs = i ; Rhs = X ; Rh2 = D2,D3,D4,D5 ; Res = eh $
Matrix ; bh = b $
Calc
; List ; loglh = Logl $
/*
+---------------------------------------------+
| Multiplicative Heteroskedastic Regr. Model |
|
I
|
ONE
|
100
|
22
|
-564.5355
|
-624.9928
|
| Chi-squared
120.9146
|
4
|
.0000000
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Regression (mean) function
Constant -23.25855004
4.8151918
-4.830
.0000
F
.9434991252E-01 .62834189E-02
15.016
.0000 1922.2230
C
.3337022939
.22039121E-01
15.141
.0000 311.06700
Variance function (log-linear)
Sigma
93.04742539
14.712090
6.325
.0000
169
D2
-3.896931022
.44721360
-8.714
.0000 .20000000
D3
1.535678914
.44721360
3.434
.0006 .20000000
D4
-1.942561663
.44721360
-4.344
.0000 .20000000
D5
1.236884093
.44721360
2.766
.0057 .20000000
LOGLH
= -.56453548456485810D+03
*/
? 3. Groupwise heteroscedastic and cross grpoup correlated
?
Tscs
; Lhs = i ; Rhs = X ; Pds = Nperiod ; Res = et $
Matrix ; bt = b ; V = Part(Sigma,1,5,1,5)
; logdet=logd(V)$
Calc
; list
; loglt = -nfirm*nperiod/2*(1+log(2*pi)+logdet/nfirm) $
/*
+--------------------------------------------------+
| Groupwise Regression Models
|
| Estimator =
MLE by Iterated GLS |
| Groupwise Het. and Correlated
(S2)
|
| Nonautocorrelated disturbances
(R0)
|
| Test statistics against the correlation
|
| Deg.Fr. =
10 C*(.95) = 18.31 C*(.99) = 23.21 |
|
| Likelihood ratio
statistic
=
88.5256 |
| Log-likelihood function =
-520.272695 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
2.4699654
4.657
.0000
F
.5192085034E-01 .42739327E-02
12.148
.0000
C
.3190879957
.15723905E-01
20.293
.0000
Log-likelihood functions for estimated models
+--------------------+
: Log-L
Parameters :
S0 :
-624.993
4
: <--------- OLS
S1 :
-564.535
8
: <--------- Groupwise heteroscedastic
S2 :
-520.273
18
: <--------- Cross group correlation
+--------------------+
LOGLT
= -.52027269550976920D+03
?
? LR test for diagonal sigma, then for scalar sigma
?
Calc
; List ; LR = -2*(loglh - loglt)
; DF = Nfirm*(Nfirm-1)/2
; ctb(.95,DF)
; LR = -2*(loglo - loglt)
; DF = Nfirm*(Nfirm+1)/2 - 1
; ctb(.95,DF) $
/*
LR
= .88525578110177780D+02 <----- Groupwise heteroscedastic
DF
= .10000000000000000D+02
Result = .18307038055350020D+02
LR
= .20944017806673950D+03 <----- Scalar VC (OLS)
DF
= .14000000000000000D+02
Result = .23684791307170030D+02
*/
170
?
? LM test for diagonal sigma
?
Calc
; nt = nfirm * nperiod $
Matrix ; meh = Mvec(eh,nfirm,nperiod) ; meh=meh'
; ebar = 1/nperiod * meh'1 ; ebar=ebar' ; uno = init(nperiod,1,1)
; ebar=kron(ebar,uno); meh=meh-ebar $ (deviations)
Matrix ; V = 1/Nperiod*meh'meh
; DV = Diag(V)
; List ; Rmat = Isqr(DV) * V * Isqr(DV) $
Matrix ; Rmat2 = Dirp(Rmat,Rmat)
; Rmat2 = Rmat2 - Iden(Nfirm)
; uno
= Init(nfirm,1,.5)
; List ; LM = nperiod*uno'Rmat2*uno $
Matrix RMAT
1
2
3
4
5
+---------------------------------------------------------------------1| .1000000D+01 .8906432D+00 .8436773D+00 .8843980D+00 .
6305300D+00
2| .8906432D+00 .1000000D+01 .7850437D+00 .8199351D+00 .
7247403D+00
3| .8436773D+00 .7850437D+00 .1000000D+01 .9226896D+00 .
7643978D+00
4| .8843980D+00 .8199351D+00 .9226896D+00 .1000000D+01 .
8200157D+00
5| .6305300D+00 .7247403D+00 .7643978D+00 .8200157D+00 .
1000000D+01
Matrix LM
1
+-------------1| .6606686D+02
?
? Estimates of model with heteroscedasticity and correlation.
? We compute the FGLS estimates using matrix algebra, then let
? the built-in program compute the MLE.
? 1. Classical model
Regress ; Lhs = i ; Rhs = X ; Res = e $
/*
These results appear above
*/
? 2. FGLS for correlated disturbances
Matrix ; meh = Mvec(e,Nfirm,Nperiod); meh=meh'
; V = 1/Nperiod * meh'meh
; IT = Iden(Nperiod)
; V = Kron(V,IT)
; Vfgls = <X'<V>X> ; bfgls = Vfgls * X'<V>i
; Stat (bfgls,Vfgls) $
/*
Variance=VFGLS
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BFGLS_ 1 -38.36127721
5.3448709
-7.177
.0000
BFGLS_ 2 .9618944505E-01 .54751563E-02
17.568
.0000
BFGLS_ 3 .3095320622
.17985085E-01
17.210
.0000
*/
171
? 3.
Tscs
/*
Maximum likelihood for correlated disturbances

; Lhs = i ; Rhs = X ; Pds = 20 ; MLE ; Res = eml$
+--------------------------------------------------+
|
| Estimator =
MLE by Iterated GLS |
(S2)
|
(R0)
|
|
| Deg.Fr. =
10 C*(.95) = 18.31 C*(.99) = 23.21 |
|
| Likelihood ratio
statistic
=
88.5256 |
-520.272695 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
2.4699654
4.657
.0000
F
.5192085034E-01 .42739327E-02
12.148
.0000
C
.3190879957
.15723905E-01
20.293
.0000
*/
? Compute variances and correlations. Use more program tricks.
Matrix ; meh = Mvec(ef,Nfirm,Nperiod); meh=meh'
; List ; V = 1/Nperiod * meh'meh $
/*
Matrix V
1
2
3
4
5
+---------------------------------------------------------------------1| .4046439D+05 -.2087012D+03 -.2457998D+05 -.5691272D+04 .
3284091D+05
2| -.2087012D+03 .1656743D+03 -.5968510D+02 .1010513D+02 .
4834731D+03
3| -.2457998D+05 -.5968510D+02 .2149609D+05 .4955445D+04
-.2791468D+05
4| -.5691272D+04 .1010513D+02 .4955445D+04 .1220558D+04
-.5935385D+04
5| .3284091D+05 .4834731D+03 -.2791468D+05 -.5935385D+04 .
4860731D+05
*/
Create ; D1=0 $
Namelist; D = D1,D2,D3,D4,D5 $
Sample ; 1 - Nperiod $
Create ; D = Meh $
Matrix ; List ; Xcor(D) $
Sample ; 1 100 $
/*
Correlation Matrix for Listed Variables
D1
D2
D3
D4
D5
D1
1.00000
-.22518
-.28694
-.46691
-.01507
D2
-.22518
1.00000
.10488
.16610
.24530
D3
-.28694
.10488
1.00000
.88505
-.13902
D4
-.46691
.16610
.88505
1.00000
-.10059
D5
-.01507
.24530
-.13902
-.10059
1.00000
*/
172
/*=================================================================
Example 15.5. Models with Autocorrelation
*/=================================================================
?
? This extension produces a large amount of computation. We let
? LIMDEP do the work, as it is already programmed.
? These estimators are not iterated does not produce MLE because
? of the problem of the first observation.
Tscs ; Lhs = i ; Rhs = X ; Pds = Nperiod ; AR1 ; Res = ear1$
/*
+--------------------------------------------------+
| Homoskedastic Regression
(S0)
|
| Group specific autocorrelation
(R2)
|
| Autocorrelation coefficients:
|
| .478 -.251 .301 .578 .576
|
| Pooled OLS residual variance (SS/nT)
7376.1900 |
| Test statistics for homoscedasticity:
|
| Deg.Fr. =
4 C*(.95) =
9.49 C*(.99) = 13.28 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -40.14627721
17.134883
-2.343
.0191
F
.9454669966E-01 .10998587E-01
8.596
.0000
C
.3042601355
.42352462E-01
7.184
.0000
+--------------------------------------------------+
| Groupwise Het. Regression
(S1)
|
(R2)
|
|
| .478 -.251 .301 .578 .576
|
| Test statistics for homoscedasticity:
|
| Deg.Fr. =
4 C*(.95) =
9.49 C*(.99) = 13.28 |
| Wald
statistic
=
8718.6355 |
| Likelihood ratio
statistic
=
97.2177 |
|
| Lagrange multiplier statistic
=
42.6069 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -23.81058815
7.6937942
-3.095
.0020
F
.8605236132E-01 .95992823E-02
8.964
.0000
C
.3321471206
.35485083E-01
9.360
.0000
+--------------------------------------------------+
(S2)
|
(R2)
|
|
| .478 -.251 .301 .578 .576
|
|
| Deg.Fr. =
10 C*(.95) = 18.31 C*(.99) = 23.21 |
|
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -15.42434757
4.5952187
-3.357
.0008
F
.7522097616E-01 .57097182E-02
13.174
.0000
C
.3380684164
.14205476E-01
23.798
.0000
*/
Matrix ; List ; Sigma $
/*
173
Matrix Result
has
1
6 rows and
2
5 columns.
3
+---------------------------------------------------------------------1| .8453640D+04 .1577584D+03 -.6596486D+04 -.8727218D+03 .

2614212D+04
2| .1577584D+03 .2701503D+03 -.1173098D+04 -.5069697D+02 .
1312668D+04
3| -.6596486D+04 -.1173098D+04 .1607318D+05 .1893528D+04
-.7676288D+04
4| -.8727218D+03 -.5069697D+02 .1893528D+04 .3496791D+03
-.2006537D+03
5| .2614212D+04 .1312668D+04 -.7676288D+04 -.2006537D+03 .
1299417D+05
6| .4775506D+00 -.2511981D+00 .3005992D+00 .5782376D+00 .
5759444D+00
*/
Matrix ; V = Part(Sigma,1,5,1,5) ; V = Diag(V) ; H = Vecd(V)
; R = Part(Sigma,6,6,1,5) ; R = Init(1,5,1.0) - Dirp(R,R)
; R = Diag(R) ; V = R*V
; V = Vecd(V) ; R = Vecd(R) ; List ; V = V' ; H = H' $
/*
Matrix V
1
2
3
4
5
+---------------------------------------------------------------------1| .6525749D+04 .2531037D+03 .1462081D+05 .2327608D+03 .
8683846D+04
Matrix H
has
1
1 rows and
2
5 columns.
3
+---------------------------------------------------------------------1| .8453640D+04 .2701503D+03 .1607318D+05 .3496791D+03 .

1299417D+05
*/
?Getcorrelationsofresiduals
?
Matrix ;
Create ;
Namelist;
Sample ;
Create ;
Matrix ;
meh = Mvec(ear1,Nfirm,Nperiod); meh=meh' $

D1=0 $
DA = D1,D2,D3,D4,D5 $
1 - Nperiod $
DA = Meh $
List ; Xcor(DA) $

D1
D2
D3
D4
D5
D1
1.00000
-.34911
-.24792
-.35581
-.07157
D2
-.34911
1.00000
.15832
.24587
.24396
D3
-.24792
.15832
1.00000
.89470
-.17585
D4
-.35581
.24587
.89470
1.00000
-.03971
D5
-.07157
.24396
-.17585
-.03971
1.00000
*/
174
/*=================================================================
Example 15.6. A Random Coefficients Model for Investment
*/=================================================================
?
? Individual OLS results and the two weighted averages
?
Matrix ; bbar = Init(3,1,0.)
; btilde = Init(3,1,0.)
; Vtilde = Init(3,3,0.) $
Proc $
Include ; New ; firm = group $
Regress ; Lhs = i ; Rhs = X $
Matrix ; bbar = bbar + 1/nfirm * b
; Vtilde = Vtilde + <Varb>
; btilde = btilde + <Varb>*b $
Matrix ; bi = b' ; Vi = Diag(Varb) ; Vi = Sqrt(Vi)
; Vi = Vecd(Vi) ; Vi = Vi'
; List ; Result = [bi/vi] $
EndProc
Exec
; Group = 1,5 $
Matrix ; List ; bbar = bbar
; btilde = btilde * <Vtilde> $
Sample ; 1 100 $
/*
1
2
3
+-----------------------------------------1| -.1497825D+03 .1192808D+00 .3714448D+00
2| .1058421D+03 .2583417D-01 .3707282D-01
+-----------------------------------------1| -.6189961D+01 .7794782D-01 .3157182D+00
2| .1350648D+02 .1997330D-01 .2881317D-01
+-----------------------------------------1| -.9956306D+01 .2655119D-01 .1516939D+00
2| .3137425D+02 .1556610D-01 .2570408D-01
+-----------------------------------------1| -.5093902D+00 .5289413D-01 .9240649D-01
2| .8015289D+01 .1570650D-01 .5609897D-01
+-----------------------------------------1| -.3036853D+02 .1565708D+00 .4238657D+00
2| .1570477D+03 .7888567D-01 .1552162D+00
Matrix BBAR
+-----------------------------------------1| -.3936133D+02 .8664896D-01 .2710258D+00
Matrix BTILDE
+-----------------------------------------1| -.2057078D+01 .5357167D-01 .2113642D+00
*/
175
? FGLS RCM estimates

?
Regress ; Lhs = i ; Rhs = X ; Pds = Nperiod ; RCM ; All ; Output = 1 $
Tscs
; Lhs = i ; Rhs = X ; Pds = Nperiod ; Model=S2,R0$
/*
+------------------------------------------------+
| Random Coefficients Model
|
| Number of groups
=
5
|
| Full sample statistics based on GLS:
|
| Mean of dependent variable
= 248.9570
|
| Std. Dev. of dependent variable = 267.8654
|
| Residual standard deviation
= 136.6915
|
| R squared
=
.7449
|
| Chi-squared for homogeneity test =
603.99
|
=
12
|
| Probability value for chi-squared=
.000000
|
| X means below are var. weighted OLS slopes.
|
| Heterosc. e(i,t). s(i) based on b(i,ols)
|
+------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
CONSTANT -23.58361843
34.555476
-.682
.4949 -2.0570778
F
.8076463274E-01 .25082856E-01
3.220
.0013 .53571674E-01
C
.2839885202
.67789855E-01
4.189
.0000 .21136416
+--------------------------------------------------+
|
| Estimator =
2 Step GLS
|
(S2)
|
(R0)
|
|
| Deg.Fr. =
10 C*(.95) = 18.31 C*(.99) = 23.21 |
|
| Likelihood ratio
statistic
=
70.0274 |
-533.279300 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -28.24669393
4.8882380
-5.779
.0000
F
.8910090806E-01 .50722626E-02
17.566
.0000
C
.3340150281
.16712537E-01
19.986
.0000
*/
176
/*=================================================================
Example 15.7. Predictions for Random Coefficients Estimates
*/=================================================================
?
? No new commands needed. The predictions are part of the listed
? results generated by the Regress command above. The ;OUTPUT=1
? requests the predictions.
/*
++
| Group specific coefficient estimates
|
| Prediction for group 1
GROUP001
|
| Number of Observations =
20.0
|
| Group Mean of LHS
=
608.02000
|
| Group Std. Dev. of LHS =
309.57463
|
| Fit Measures for the Estimators
|
| (When not OLS, Rsqrd = 1-ee/yy may be < 0!)
|
| Estimator
Sum of Squares
R-squared
|
| OLS
143205.877411
.921354
|
| GLS
445431.561308
.755377
|
| Prediction
148462.926347
.918467
|
+------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -71.62930276
52.281631
-1.370
.1707
F
.1027848068
.51738412E-01
1.987
.0470 4333.8450
C
.3678493144
.14167590
2.596
.0094 648.43500
+------------------------------------------------+
|
GROUP002
|
20.0
|
| Group Mean of LHS
=
86.12350
|
42.72556
|
|
|
| Estimator
Sum of Squares
R-squared
|
| OLS
2997.444362
.913578
|
| GLS
10659.991388
.692654
|
| Prediction
3018.144717
.912982
|
+------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -9.819347284
62.695200
-.157
.8755
F
.8423601873E-01 .51146118E-01
1.647
.0996 693.21000
C
.3092166896
.14196989
2.178
.0294 121.24500
177
+------------------------------------------------+
|
GROUP003
|
20.0
|
| Group Mean of LHS
=
102.29000
|
48.58450
|
|
|
| Estimator
Sum of Squares
R-squared
|
| OLS
13216.587770
.705307
|
| GLS
464947.632192
-9.367045
|
| Prediction
13224.646228
.705127
|
+------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -12.03268753
60.771892
-.198
.8430
F
.2793844128E-01 .51576339E-01
.542
.5880 1941.3250
C
.1508282049
.14209069
1.061
.2885 400.16000
+------------------------------------------------+
|
GROUP004
|
20.0
|
| Group Mean of LHS
=
42.89150
|
19.11019
|
|
|
| Estimator
Sum of Squares
R-squared
|
| OLS
1773.233930
.744446
|
| GLS
10185.684206
-.467934
|
| Prediction
1853.481708
.732881
|
+------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
62.785770
.052
.9585
F
.4110890739E-01 .51698745E-01
.795
.4265 670.91000
C
.1407172262
.14073601
1.000
.3174 85.640000
+------------------------------------------------+
|
GROUP005
|
20.0
|
| Group Mean of LHS
=
405.46000
|
129.35190
|
|
|
| Estimator
Sum of Squares
R-squared
|
| OLS
177928.313637
.440312
|
| GLS
881176.782055
-1.771812
|
| Prediction
179173.969986
.436394
|
+------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -27.70627551
44.857219
-.618
.5368
F
.1477549895
.49187200E-01
3.004
.0027 1971.8250
C
.4513311661
.13119431
3.440
.0006 299.85500
*/
/*=================================================================
Example 15.8. Testing for Random Coefficients
*/=================================================================
178
Sample
Proc $
Matrix
Include
Regress
Matrix
; 1 100 $
;
;
;
;
;
chisq = [0] ; bt = btilde$

New ; firm = group $
Lhs = i ; Rhs = X $
di = b bt
chisq = chisq + di<Varb>di $
EndProc
Exec
; Group = 1,5 $
Matrix ; List ; Chisq
; DF = Col(X) * (Nfirm-1)
; Ctb(.95,DF) $
/*
CHISQ
= .11292634629447980D+03
DF
= .12000000000000000D+02
Result = .21026069819690030D+02
*/
/*=================================================================
Example 15.9. FGLS Estimates of a Seemingly Unrelated Regressions
Model
*/=================================================================
? First obtain pooled FGLS estimates using TSCS approach and cor? relations of FGLS residuals. GM by OLS, then switch over to
? SUR model.
?
Sample
; 1 - 100 $
TSCS
; Lhs = i ; Rhs = X ; Pds = Nperiod ; Model = S2,R0 ; Res = ef $
Matrix
; mef = Mvec(ef,nfirm,nperiod) ; mef = mef' $
Create
; d1=0;d2=0;d3=0;d4=0;d5=0 $
Sample
; 1-20 $
Namelist ; Dfgls = d1,d2,d3,d4,d5 $
Create
; Dfgls = Mef $
Matrix
; List ; Xcor(Dfgls) $
/*
+--------------------------------------------------+
|
| Estimator =
2 Step GLS
|
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -28.24669393
4.8882380
-5.779
.0000
F
.8910090806E-01 .50722626E-02
17.566
.0000
C
.3340150281
.16712537E-01
19.986
.0000
D1
D2
D3
D4
D5
D1 1.00000 -.34475 -.22325 -.37605 -.09240
D2 -.34475 1.00000
.22015
.29070
.20076
D3 -.22325
.22015 1.00000
.89731 -.15869
D4 -.37605
.29070
.89731 1.00000 -.07575
D5 -.09240
.20076 -.15869 -.07575 1.00000
*/
179
?
? GM by OLS
?
Sample ; 1 - 20 $
Regress ; Lhs = i ; Rhs = X $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = I
Mean=
608.0200000
, S.D.=
309.5746277
|
20, Parameters =
3, Deg.Fr.=
17 |
, Std.Dev.=
91.78167 |
| Fit:
.91210 |
| Model test: F[ 2,
17] =
99.58,
Prob value =
.00000 |
-142.5698 |
|
LogAmemiyaPrCrt.=
12.014 |
.93745,
Rho =
.53127 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -149.7824533
105.84212
-1.415
.1751
F
.1192808325
.25834169E-01
4.617
.0002 4333.8450
C
.3714448073
.37072824E-01
10.019
.0000 648.43500
*/
?
? Need to set up the data differently for the SUR model.
?
Sample
; 1 - 100 $
Create
; igm=0;ich=0;ige=0;iwe=0;ius=0
; fgm=0;fch=0;fge=0;fwe=0;fus=0
; cgm=0;cch=0;cge=0;cwe=0;cus=0 $
Matrix
; mi = Mvec(i,nfirm,nperiod) ; mi = mi' $
Matrix
; mf = Mvec(f,nfirm,nperiod) ; mf = mf' $
Matrix
; mc = Mvec(c,nfirm,nperiod) ; mc = mc' $
Namelist ; Ivars = igm,ich,ige,iwe,ius
; Fvars = fgm,fch,fge,fwe,fus
; Cvars = cgm,cch,cge,cwe,cus $
Sample
; 1 - 20 $
Create
; Ivars = mi $
Create
; Fvars = mf $
Create
; Cvars = mc $
Namelist ; XGM = One,fgm,cgm
; XCH = One,fch,cch
; XGE = One,fge,cge
; XWE = One,fwe,cwe
; XUS = One,fus,cus $
SURE
; Lhs = igm,ich,ige,ius,iwe
; Eq1=XGM ; Eq2=XCH ; Eq3=XGE ; Eq4=XUS ; Eq5=XWE
; Maxit = 1 $
Matrix
; List ; Sigma $
180
/*
Iteration
0, GLS
=
-463.5217
Iteration
1, GLS
=
-459.4397
+-----------------------------------------------------------------------+
| Estimates for equation: IGM
|
| Dep. var. = IGM
Mean=
608.0200000
, S.D.=
309.5746277
|
, Std.Dev.=
84.94730 |
| Fit:
.91142 |
|
| Model test: F[ 2,
17] =
98.74,
Prob value =
.00000 |
-142.5698 |
| Durbin-Watson Stat.=
.9365
Autocorrelation
=
.5318 |
| Log-determinant of W
31.7546
Log-likelihood
-459.4397 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -162.3641052
89.459232
-1.815
.0695
FGM
.1204930237
.21629128E-01
5.571
.0000 4333.8450
CGM
.3827461766
.32768033E-01
11.680
.0000 648.43500
+-----------------------------------------------------------------------+
| Estimates for equation: ICH
|
| Dep. var. = ICH
Mean=
86.12350000
, S.D.=
42.72555506
|
, Std.Dev.=
12.36322 |
| Fit:
.90149 |
|
| Model test: F[ 2,
17] =
87.94,
Prob value =
.00000 |
-102.9618 |
31.7546
Log-likelihood
-459.4397 |
1.9175
Autocorrelation
=
.0412 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
11.512829
.044
.9651
FCH
.6954561271E-01 .16897506E-01
4.116
.0000 693.21000
CCH
.3085445352
.25863550E-01
11.930
.0000 121.24500
+-----------------------------------------------------------------------+
| Estimates for equation: IGE
|
| Dep. var. = IGE
Mean=
102.2900000
, S.D.=
48.58449937
|
, Std.Dev.=
26.46612 |
| Fit:
.65089 |
|
| Model test: F[ 2,
17] =
18.71,
Prob value =
.00005 |
-105.5319 |
31.7546
Log-likelihood
-459.4397 |
.9628
Autocorrelation
=
.5186 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -22.43891319
25.518586
-.879
.3792
FGE
.3729143220E-01 .12263143E-01
3.041
.0024 1941.3250
CGE
.1307829957
.22049738E-01
5.931
.0000 400.16000
181
+-----------------------------------------------------------------------+
| Estimates for equation: IUS
|
| Dep. var. = IUS
Mean=
405.4600000
, S.D.=
129.3519043
|
, Std.Dev.=
95.85484 |
| Fit:
.35395 |
|
| Model test: F[ 2,
17] =
6.20,
Prob value =
.00948 |
-125.1166 |
31.7546
Log-likelihood
-459.4397 |
1.0180
Autocorrelation
=
.4910 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
111.87742
.764
.4451
FUS
.1014782341
.54783695E-01
1.852
.0640 1971.8250
CUS
.3999914170
.12779459
3.130
.0017 299.85500
+-----------------------------------------------------------------------+
| Estimates for equation: IWE
|
| Dep. var. = IWE
Mean=
42.89150000
, S.D.=
19.11018860
|
, Std.Dev.=
9.74230 |
| Fit:
.69424 |
|
| Model test: F[ 2,
17] =
22.57,
Prob value =
.00002 |
-86.8703 |
31.7546
Log-likelihood
-459.4397 |
1.2590
Autocorrelation
=
.3705 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
6.2588045
.174
.8619
FWE
.5700914748E-01 .11362252E-01
5.017
.0000 670.91000
CWE
.4150649070E-01 .41201609E-01
1.007
.3137 85.640000
Matrix SIGMA
has
1
5 rows and
2
5 columns.
3
+---------------------------------------------------------------------1| .7216044D+04 -.3137036D+03 .6053365D+03 -.2686517D+04 .

1298866D+03
2| -.3137036D+03 .1528492D+03 .2047368D+01 .4550895D+03 .
1666062D+02
3| .6053365D+03 .2047368D+01 .7004558D+03 .1224405D+04 .
2003163D+03
4| -.2686517D+04 .4550895D+03 .1224405D+04 .9188151D+04 .
6527164D+03
5| .1298866D+03 .1666062D+02 .2003163D+03 .6527164D+03 .
9491245D+02
*/
?
? F test for parameter heterogeneity
?
Matrix ; I3 = Iden(3) ; Z = Init(3,3,0.) ; MI3 = -1*Iden(3)
; R = [I3,MI3,Z,
Z, Z /
I3, Z,MI3, Z, Z /
I3, Z, Z,MI3, Z /
I3, Z, Z, Z,MI3 ]
; q = R*b ; Vq = R*Varb*R'
; List ; FStat = 1/12 * q'<Vq>q $
/*
Matrix FSTAT
182
+-------------1| .1291694D+03
*/
?
? Carry out test by sepcifying restricted regression
? Note: This carries out the test correctly, but does not actually
? compute the correct restricted least squares estimator.
?
SURE
; Maxit = 1
; cls:b(1)-b(4)=0,b(1)-b(7)=0,b(1)-b(10)=0,b(1)-b(13)=0,
b(2)-b(5)=0,b(2)-b(8)=0,b(2)-b(11)=0,b(2)-b(14)=0,
b(3)-b(6)=0,b(3)-b(9)=0,b(3)-b(12)=0,b(3)-b(15)=0$
/*
+-----------------------------------------------------------------------+
|
| Wald test: Chi-squared[12] =
1550.0328, Prob =
.0000
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -14.71208208
1.7747163
-8.290
.0000
FWE
.6367998108E-01 .34176648E-02
18.633
.0000 670.91000
CWE
.1812500076
.12304415E-01
14.730
.0000 85.640000
*/
/*=================================================================
Example 15.10. FGLS Versus SUR Residuals
*/=================================================================
?
Sample ; 1 - 20 $
Regress; Lhs = igm ; Rhs = Xgm ; res = egm $
Regress; Lhs = ich ; Rhs = Xch ; res = ech $
Regress; Lhs = ige ; Rhs = Xge ; res = ege $
Regress; Lhs = iwe ; Rhs = Xwe ; res = ewe $
Regress; Lhs = ius ; Rhs = Xus ; res = eus $
Matrix ; List ; ROLS = Xcor(egm,ech,ege,ewe,eus) $
CorrelationMatrixforListedVariables
EGM
ECH
EGE
EWE
EUS
1.00000 -.27295
.27929
.15836 -.27841
-.27295 1.00000 -.06792
.11544
.36207
.27929 -.06792 1.00000
.72896
.37323
.15836
.11544
.72896 1.00000
.61499
-.27841
.36207
.37323
.61499 1.00000
SURE
; Maxit = 1
Matrix;bf1=b(1:3);bf2=b(4:6);bf3=b(7:9);bf4=b(10:12);bf5=b(13:15)$
Create ; ef1=igm-Xgmbf1
; ef2=ich-Xchbf2
; ef3=ige-Xgebf3
; ef4=iwe-Xwebf4
; ef5=ius-Xusbf5 $
Matrix ; List ; RGLS = Xcor(ef1,ef2,ef3,ef4,ef5) $
EF1
EF2
EF3
EF4
EF5
EF1 1.00000 -.29870
.26925
.00814 -.26189
EF2 -.29870 1.00000
.00626
.01514
.26934
EF3
.26925
.00626 1.00000
.06778
.42705
EF4
.00814
.01514
.06778 1.00000 -.44053
EGM
ECH
EGE
EWE
EUS
183
EF5 -.26189
.26934
.42705 -.44053 1.00000
?
? Lagrange Multiplier Test based on OLS residuals. To sum the squares
? of the off diagonal elements, first put zeros on the diagonal. Then,
? trace of square gives sum of squares of all elements. Divide by 2 to
? take care of double counting.
?
Matrix ; MLM = ROLS - IDEN(5) ; MLM = MLM*MLM $
Calc
; List ; LM = Nperiod/2 * Trc(MLM)
; Ctb(.99,(nfirm*(nfirm-1)/2)) $
/*
LM
= .29060485555441890D+02
Result = .23209251160820010D+02
*/
/*=================================================================
Example 15.11. ML Estimates of a SUR Model
*/=================================================================
?
? ML estimates are obtained by allowing the procedure to iterate
? to convergence.
?
Sample
; 1 - 100 $
Create
; igm=0;ich=0;ige=0;iwe=0;ius=0
; fgm=0;fch=0;fge=0;fwe=0;fus=0
; cgm=0;cch=0;cge=0;cwe=0;cus=0 $
Matrix
; mi = Mvec(i,nfirm,nperiod) ; mi = mi' $
Matrix
; mf = Mvec(f,nfirm,nperiod) ; mf = mf' $
Matrix
; mc = Mvec(c,nfirm,nperiod) ; mc = mc' $
Namelist ; Ivars = igm,ich,ige,iwe,ius
; Fvars = fgm,fch,fge,fwe,fus
; Cvars = cgm,cch,cge,cwe,cus $
Sample
; 1 - 20 $
Create
; Ivars = mi $
Create
; Fvars = mf $
Create
; Cvars = mc $
Namelist ; XGM = One,fgm,cgm
; XCH = One,fch,cch
; XGE = One,fge,cge
; XWE = One,fwe,cwe
; XUS = One,fus,cus $
SURE
; Maxit = 1 $
Matrix
; List ; Sigma $
Iteration
Iteration
Iteration
Iteration
Iteration
Iteration
GLS
0,
1,
2,
3,
4,
5,
GLS
GLS
GLS
GLS
GLS
GLS
has converged.
=
=
=
=
=
=
-463.5217
-459.4397
-459.1357
-459.0997
-459.0936
-459.0925
184
+-----------------------------------------------------------------------+
|
.9383
Autocorrelation
=
.5309 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -173.2176797
84.298124
-2.055
.0399
FGM
.1220404351
.20248193E-01
6.027
.0000 4333.8450
CGM
.3891420883
.31853734E-01
12.217
.0000 648.43500
+-----------------------------------------------------------------------+
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
11.625129
.206
.8370
FCH
.6740919305E-01 .17092455E-01
3.944
.0001 693.21000
CCH
.3051975031
.26064536E-01
11.709
.0000 121.24500
+-----------------------------------------------------------------------+
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -16.66234504
24.960767
-.668
.5044
FGE
.3710283977E-01 .11772336E-01
3.152
.0016 1941.3250
CGE
.1172622817
.21732911E-01
5.396
.0000 400.16000
+-----------------------------------------------------------------------+
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
94.854504
1.444
.1487
FUS
.8864869952E-01 .45421534E-01
1.952
.0510 1971.8250
CUS
.3124556241
.11795591
2.649
.0081 299.85500
+-----------------------------------------------------------------------+
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
6.0182436
.727
.4674
FWE
.5397459707E-01 .10302642E-01
5.239
.0000 670.91000
CWE
.2693003954E-01 .37075900E-01
.726
.4676 85.640000
Matrix Result
1
2
3
4
5
+---------------------------------------------------------------------1| .7307269D+04 -.3305469D+03 .5502720D+03 -.2879089D+04 .
1188285D+03
2| -.3305469D+03 .1550764D+03 .1142935D+02 .4632117D+03 .
1873590D+02
3| .5502720D+03 .1142935D+02 .7412188D+03 .1408133D+04 .
2203347D+03
4| -.2879089D+04 .4632117D+03 .1408133D+04 .9671446D+04 .
7348291D+03
5| .1188285D+03 .1873590D+02 .2203347D+03 .7348291D+03 .
1031261D+03
185
/*=================================================================
Example 15.12. Investment Model
No computations.
*/=================================================================
/*=================================================================
Example 15.13. Likelihood Ratio Test in a SUR Model
*/=================================================================
?
? 1. GET MLE for full SURE model and recover log determinant
?
SURE
; Maxit = 100 $
Matrix
; List ; LogDet = Logd(Sigma) $
/*
Matrix LOGDET
1
+-------------1| .3171986D+02
*/
?
? 2. Restricted model is TSCS model with free corelations. Get MLE
?
Tscs
; Lhs = i ; Rhs = X ; Pds = Nperiod ; Model = S2,R0 ; MLE $
Matrix
; V = Part(Sigma,1,5,1,5) ; List ; LogDetR=Logd(V) $
/*
Matrix LOGDETR has 1 rows and 1 columns.
1
+-------------1| .3783788D+02
*/
? 3. Compute log likelihoods, LR statistic, and critical value.
?
Calc
; List ; LoglU = -Nfirm*Nperiod/2*(1+log(2*pi)+logDet/Nfirm)
; LoglR = -Nfirm*Nperiod/2*(1+log(2*pi)+logDetR/Nfirm)
; Chisq = -2*LogLR-LogLU)
; Ctb(.99,((Nfirm-1)*Col(X)))$
/*
LOGLU
= -.45909250041647690D+03
LOGLR
= -.52027269550976920D+03
CHISQ
= .12236039018658460D+03
Result = .26216967307500020D+02
*/
/*=================================================================
Example 15.14. An Application from Financial Econometrics The CAPM Model
No computations.
*/=================================================================
186
/*=================================================================
Example 15.15. Autocorrelation in a SUR Model
*/=================================================================
SURE
; Maxit = 1 ; Model = 1 $
+-----------------------------------------------------------------------+
|
1.4396
Autocorrelation
=
.2802 |
| RHO used for GLS
.5313
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -51.33436533
80.617258
-.637
.5243
FGM
.9403760635E-01 .17330927E-01
5.426
.0000 4333.8450
CGM
.4072352372
.42611024E-01
9.557
.0000 648.43500
+-----------------------------------------------------------------------+
|
1.9727
Autocorrelation
=
.0137 |
| RHO used for GLS
.0080
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -.4540053598
11.856027
-.038
.9695
FCH
.6847405793E-01 .17398774E-01
3.936
.0001 693.21000
CCH
.3204153362
.25785542E-01
12.426
.0000 121.24500
+-----------------------------------------------------------------------+
|
1.2140
Autocorrelation
=
.3930 |
| RHO used for GLS
.4640
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -24.91380819
25.670652
-.971
.3318
FGE
.4271594338E-01 .11335958E-01
3.768
.0002 1941.3250
CGE
.1095435439
.30121429E-01
3.637
.0003 400.16000
+-----------------------------------------------------------------------+
|
1.3528
Autocorrelation
=
.3236 |
| RHO used for GLS
.5455
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
96.488418
.145
.8845
FUS
.1641474407
.38641329E-01
4.248
.0000 1971.8250
CUS
.2005957422
.14276114
1.405
.1600 299.85500
+-----------------------------------------------------------------------+
|
1.3790
Autocorrelation
=
.3105 |
| RHO used for GLS
.2935
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
6.5097903
.723
.4695
FWE
.5091142623E-01 .10604759E-01
4.801
.0000 670.91000
CWE
.4284561336E-01 .41272782E-01
1.038
.2992 85.640000
187
Matrix
; List ; Sigma $
/*
Matrix Result
has 5 rows and
1
2
5 columns.
3
+---------------------------------------------------------------------1| .4794649D+04 -.2198746D+03 .3645674D+03 -.9812764D+03 .

7459508D+02
2| -.2198746D+03 .1519446D+03 .4359977D+02 .3411512D+03 .
1990966D+02
3| .3645674D+03 .4359977D+02 .5372603D+03 .1108630D+04 .
1644459D+03
4| -.9812764D+03 .3411512D+03 .1108630D+04 .6068581D+04 .
5685252D+03
5| .7459508D+02 .1990966D+02 .1644459D+03 .5685252D+03 .
8479526D+02
*/
? Now, compute covariance matrix for original disturbances
?
Matrix ; Ri = [.5313/.0080/.4640/.5455/.2935]
; RiRj = Init(5,5,1.0) - Ri*Ri'
; RiRj = Diri(RiRj)
; List ; Var = Dirp (Sigma,RiRj) $
/*
Matrix VAR
1
2
3
4
5
+---------------------------------------------------------------------1| .6680386D+04 -.2208132D+03 .4838469D+03 -.1381737D+04 .
8837616D+02
2| -.2208132D+03 .1519543D+03 .4376222D+02 .3426465D+03 .
1995652D+02
3| .4838469D+03 .4376222D+02 .6846662D+03 .1484332D+04 .
1903715D+03
4| -.1381737D+04 .3426465D+03 .1484332D+04 .8639413D+04 .
6768998D+03
5| .8837616D+02 .1995652D+02 .1903715D+03 .6768998D+03 .
9278825D+02
*/
/*=================================================================
Example 15.16. Stones Expenditure System
No computations
*/=================================================================
188
/*=================================================================
Example 15.17. Cobb-Douglas Cost Function
*/=================================================================
Firm
Cost Output Pk
Pl
Pf
Sk
Sl
Sf
1
.423
39
164
2.30
23.6 0.4137 0.1702 0.4161
2
1.130
130
176
1.82
38.9 0.2779 0.1712 0.6049
3
1.565
197
183
2.19
29.1 0.4151 0.0692 0.5157
4
2.382
338
163
1.85
24.6 0.4799 0.0616 0.4585
5
4.580
484
176
1.75
42.8 0.2828 0.1009 0.6162
6
5.535
719
174
1.70
26.9 0.4946 0.0703 0.4351
7
6.754
984
158
1.76
26.9 0.2435 0.1083 0.6482
8
7.743
1122
162
2.19
29.1 0.3744 0.0977 0.5279
9
8.488
1215
164
2.19
29.1 0.4390 0.0695 0.4915
10
11.320
2870
167
1.76
10.3 0.5822 0.1333 0.2845
11
10.879
1649
177
2.32
31.9 0.3991 0.0974 0.5035
12
12.905
2341
183
2.04
20.7 0.4165 0.0945 0.4890
13
15.437
2023
163
2.11
24.4 0.3989 0.0808 0.5203
14
19.035
3202
170
2.30
23.6 0.4974 0.0983 0.4043
15
21.988
5283
159
2.04
20.7 0.4491 0.0630 0.4879
16
29.845
4764
195
2.19
29.1 0.3530 0.1328 0.5142
17
33.354
7886
178
1.61
17.8 0.5835 0.0587 0.3578
18
40.594
7193
162
2.12
28.6 0.3550 0.0729 0.5721
19
67.120 11477
151
2.24
26.5 0.3458 0.0670 0.5872
20 119.939 16719
162
2.30
23.6 0.4340 0.0906 0.4754
?
? Data setup. Loglinear models
?
Create ; lq=log(output) ; lq2 = lq*lq
; lc=log(cost)
; lk=log(pk) ; ll=log(pl) ; lf=log(pf) $
?
? Least squares, not imposing restriction that bk+bl+bf=1
?
Regress; lhs=lc ; Rhs = one,lq,lk,ll,lf $
Regress; lhs=lc ; Rhs = one,lq,lq2,lk,ll,lf $
?
? ML SURE, imposes restriction
?
Create ; lc=lc-lf ; lk=lk-lf ; ll=ll-lf $
Sure
; Lhs = lc,sk,sl
; Rhs = one,lq,ll,lf
; Labels = b0,bq,bk,bl
; pattern = b0,bq,bk,bl,
bk,0,0,0,
bl,0,0,0 $
Wald
; fn1=1-bk-bl ; Start=b ; Var=Varb ; Labels=b0,bq,bk,bl $
Sure
; Lhs = lc,sk,sl
; Rhs = one,lq,lq2,ll,lf
; Labels = b0,bq,bq2,bk,bl
; pattern = b0,bq,bq2,bk,bl,
bk,0,0,0,0,
bl,0,0,0,0 $
Wald
; fn1=1-bk-bl ; Start=b ; Var=Varb ; Labels=b0,bq,bk,bl,bf $
189
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LC
Mean=
2.282543663
, S.D.=
1.398724766
|
20, Parameters =
5, Deg.Fr.=
15 |
, Std.Dev.=
.13602 |
| Fit:
.99054 |
| Model test: F[ 4,
15] = 498.56,
Prob value =
.00000 |
-34.5771 |
|
LogAmemiyaPrCrt.=
-.940 |
1.58555,
Rho =
.20722 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -4.175882556
2.6896858
-1.553
.1414
LQ
.9028154938
.21635888E-01
41.728
.0000 7.3096840
LK
-.3509099345
.51860696
-.677
.5089 5.1301261
LL
.3588604772
.27471845
1.306
.2111 .70587541
LF
.4344258321
.11747325
3.698
.0021 3.2365287
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LC
Mean=
2.282543663
, S.D.=
1.398724766
|
20, Parameters =
6, Deg.Fr.=
14 |
, Std.Dev.=
.13277 |
| Fit:
.99099 |
| Model test: F[ 5,
14] = 418.93,
Prob value =
.00000 |
-34.5771 |
|
LogAmemiyaPrCrt.=
-.957 |
1.64831,
Rho =
.17585 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -4.107356204
2.6260384
-1.564
.1401
LQ
.6986019036
.15615647
4.474
.0005 7.3096840
LQ2
.1511281290E-01 .11450167E-01
1.320
.2081 55.788906
LK
-.2370860301
.51352884
-.462
.6514 5.1301261
LL
.2358712078
.28389354
.831
.4200 .70587541
LF
.4603694543
.11634346
3.957
.0014 3.2365287
+-------------------------------------------------------------------------+
| Constrained MLE for Multivariate Regression Model
|
| First iteration: 0 F=
-9.9936 log|W|= -7.51427 gtinv(H)g=
1.7212 |
| Last iteration: 5 F=
74.4511 log|W|= -15.95874 gtinv(H)g=
.0001 |
| Number of observations used in estimation =
20
|
| Model:
ONE
LQ
LL
LF
|
| LC
B0
BQ
BK
BL
|
| SK
BK
|
| SL
BL
|
+-------------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B0
-6.969372925
.15682188
-44.441
.0000
BQ
.9245741247
.18215422E-01
50.758
.0000
BK
.4143856284
.19320827E-01
21.448
.0000
BL
.9472428129E-01 .72711459E-02
13.027
.0000
190
Matrix SIGMA

1
2
3
+-----------------------------------------1| .1923404D-01 .3960590D-02 .8273365D-03
2| .3960590D-02 .7789824D-02 -.8989518D-03
3| .8273365D-03 -.8989518D-03 .1073789D-02
+-----------------------------------------------+
|
|
| Wald Statistic
=
701.69632
|
.00000
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .4908900903
.18531461E-01
26.490
.0000
+-------------------------------------------------------------------------+
|
| First iteration: 0 F=
-9.9936 log|W|= -7.51427 gtinv(H)g=
1.7532 |
| Last iteration: 6 F=
75.1869 log|W|= -16.03232 gtinv(H)g=
.0001 |
20
|
| Model:
ONE
LQ
LQ2
LL
LF
|
| LC
B0
BQ
BQ2
BK
BL
|
| SK
BK
|
| SL
BL
|
+-------------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B0
-6.367355211
.44937811
-14.169
.0000
BQ
.7441834328
.13221618
5.629
.0000
BQ2
.1283330275E-01 .95383070E-02
1.345
.1785
BK
.4141143388
.19310400E-01
21.445
.0000
BL
.9470678052E-01 .72686792E-02
13.029
.0000
Matrix SIGMA

1
2
3
+-----------------------------------------1| .1724484D-01 .4033045D-02 .3793810D-03
2| .4033045D-02 .7788478D-02 -.8988068D-03
3| .3793810D-03 -.8988068D-03 .1073813D-02
+-----------------------------------------------+
|
|
| Wald Statistic
=
735.54112
|
.00000
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .5730523585
.21129578E-01
27.121
.0000
*/
/*=================================================================
Example 15.18. A Cost Function for U.S. Manufacturing
*/=================================================================
191

Year
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
Cost
182.373
183.161
186.533
221.710
255.945
264.699
291.160
274.457
308.908
328.286
338.633
323.318
358.435
366.251
366.162
390.668
412.188
433.768
474.969
521.291
540.941
585.447
630.450
623.466
658.235
K
0.05107
0.05817
0.04602
0.04991
0.05039
0.04916
0.04728
0.05635
0.05258
0.04604
0.05033
0.06015
0.06185
0.05788
0.05903
0.05578
0.05601
0.05452
0.05467
0.05460
0.05443
0.05758
0.05410
0.05255
0.04675
L
0.24727
0.27716
0.25911
0.24794
0.25487
0.26655
0.26832
0.27167
0.26465
0.26880
0.27184
0.27283
0.27303
0.27738
0.27839
0.28280
0.27968
0.28343
0.27996
0.28363
0.28646
0.28883
0.29031
0.29755
0.28905
E
0.04253
0.05127
0.05075
0.04606
0.04482
0.04460
0.04369
0.04787
0.04517
0.04576
0.04820
0.04836
0.04563
0.04585
0.04640
0.04530
0.04470
0.04392
0.04114
0.04014
0.04074
0.03971
0.03963
0.04348
0.04479
M
0.65913
0.61340
0.64411
0.65609
0.64992
0.63969
0.64071
0.62411
0.63760
0.63940
0.62962
0.61886
0.61948
0.61889
0.61617
0.61613
0.61962
0.61814
0.62423
0.62163
0.61837
0.61388
0.61597
0.60642
0.61940
Pk
1.00000
1.00270
0.74371
0.92497
1.04877
0.99744
1.00653
1.08757
1.10315
0.99606
1.06321
1.15619
1.30758
1.25413
1.26328
1.26525
1.32294
1.32798
1.40659
1.45100
1.38617
1.49901
1.44957
1.32464
1.20177
Pl
1.00000
1.15457
1.15584
1.23535
1.33784
1.37949
1.43458
1.45362
1.51120
1.58186
1.64641
1.67389
1.73430
1.78280
1.81977
1.88531
1.93379
2.00998
2.05539
2.13441
2.20616
2.33869
2.46412
2.60532
2.76025
Pe
1.00000
1.30258
1.19663
1.12442
1.25179
1.27919
1.27505
1.30356
1.34277
1.37154
1.38010
1.39338
1.36756
1.38025
1.37630
1.37689
1.34737
1.38969
1.38635
1.40102
1.39197
1.43388
1.46481
1.45907
1.64689
Pm
1.00000
1.05525
1.06625
1.12430
1.21694
1.19961
1.19044
1.20612
1.23835
1.29336
1.30703
1.32699
1.30774
1.33946
1.34319
1.34745
1.33143
1.35197
1.37542
1.41878
1.42428
1.43481
1.53356
1.54758
1.54978
?
? Initial Data Setup
?
Create ; lc=log(cost/pm) ; lk=log(pk/pm) ; ll=log(pl/pm) ; le=log(pe/pm)
; lkk=lk*lk/2 ; lll=ll*ll/2 ; lee=le*le/2
; lkl=ll*lk
; lke=lk*le
; lle=ll*le $
Create ; lpk=log(pk) ; lpl=log(pl) ; lpe=log(pe) ; lpm=log(pm) $
?
? SURE model, ML with all symmetry and adding up restrictions
?
Sure
; Lhs = k,l,e ; Rhs = One,lk,ll,le
; Labels = bk,bl,be,dkk,dkl,dke,dll,dle,dee
; Pattern = bk,dkk,dkl,dke, bl,dkl,dll,dle, be,dke,dle,dee $
?
? Estimate remaining parameters, then gather in matrices for elasticities
?
Wald
; Start = b ; Var = Varb ; Labels = bk,bl,be,dkk,dkl,dke,dll,dle,dee
; fn1 = 1-bk-bl-be
? This is betam
; fn2 = -dkk-dkl-dke
? delta km
; fn3 = -dkl-dll-dle
? delta lm
; fn4 = -dke-dle-dee
? delta em
; fn5 = -fn2-fn3-fn4 $
? delta mm
Calc
; bm=waldfns(1) ; dkm=waldfns(2) ; dlm=waldfns(3)
; dem=waldfns(4) ; dmm=waldfns(5)
; bk=b(1) ; bl=b(2) ; be=b(3)
; dkk=b(4) ; dkl=b(5) ; dke=b(6) ; dll=b(7) ; dle=b(8) ; dee=b(9) $
Matrix ; beta = [bk/bl/be/bm]
; delta= [dkk,dkl,dke,dkm /
dkl,dll,dle,dlm /
dke,dle,dee,dem /
dkm,dlm,dem,dmm] $
192
? This routine will compute the elasticities of substitution and own

? price elasticities. Its general, and can be executed for any observation.
?
Namelist ; X = lpk,lpl,lpe,lpm $
Proc=Elasts(obs) $
Sample ; obs $
Matrix ; z = X'
; Shares = beta + delta*z
; SiSj = Shares * Shares'
; SiSj = Diri(SiSj)
; Si = diag(Shares)
; Elasts = Init(4,4,1.0) + Dirp(SiSj,Delta) - <si>
; Pelasts = Vecd(Elasts) ; Pelasts = Dirp(Shares,Pelasts)
; List ; Shares ; Elasts ; Pelasts $
EndProc $
Exec
; Proc = Elasts(13) $
/*
+-------------------------------------------------------------------------+
|
| First iteration: 0 F= 199.9798 log|W|= -24.51202 gtinv(H)g=
2.4797 |
| Last iteration: 3 F= 344.4674 log|W|= -36.07102 gtinv(H)g=
.0000 |
25
|
| Model:
ONE
LK
LL
LE
|
| K
BK
DKK
DKL
DKE
|
| L
BL
DKL
DLL
DLE
|
| E
BE
DKE
DLE
DEE
|
+-------------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BK
.5689625149E-01 .13452571E-02
42.294
.0000
BL
.2534395714
.20945554E-02 120.999
.0000
BE
.4441073799E-01 .85316762E-03
52.054
.0000
DKK
.2950563471E-01 .57952610E-02
5.091
.0000
DKL
-.5493798306E-04 .38472636E-02
-.014
.9886
DKE
-.1065550208E-01 .33878411E-02
-3.145
.0017
DLL
.7542454010E-01 .67573065E-02
11.162
.0000
DLE
-.4756895831E-02 .23433561E-02
-2.030
.0424
DEE
.1837902663E-01 .49857764E-02
3.686
.0002
193
Matrix SIGMA

1
2
3
+-----------------------------------------1| .1005912D-04 .8520210D-05 .4647237D-05
2| .8520210D-05 .2912037D-04 .4182779D-05
3| .4647237D-05 .4182779D-05 .3130335D-05
+-----------------------------------------------+
|
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .6452534391
.32994003E-02 195.567
.0000
Fncn( 2) -.1879519464E-01 .97098906E-02
-1.936
.0529
Fncn( 3) -.7061270629E-01 .10594548E-01
-6.665
.0000
Fncn( 4) -.2966628719E-02 .79953601E-02
-.371
.7106
Fncn( 5) .9237452965E-01 .22468890E-01
4.111
.0000
Fitted Shares
Matrix Result

1
+-------------1| .5640054D-01
2| .2745194D+00
3| .4389120D-01
4| .6251888D+00
Elasticities of Substitution
Matrix Result
1
2
3
4
+-------------------------------------------------------1| -.7454803D+01 .9964517D+00 -.3304406D+01 .4669691D+00
2| .9964517D+00 -.1641885D+01 .6052037D+00 .5885675D+00
3| -.3304406D+01 .6052037D+00 -.1224319D+02 .8918879D+00
4| .4669691D+00 .5885675D+00 .8918879D+00 -.3631808D+00
Demand elasticities
Matrix Result
1
+-------------1| -.4204549D+00
2| -.4507294D+00
3| -.5373683D+00
4| -.2270566D+00
194
Chapter 16. Simultaneous Equations Models

/*=================================================================
Example 16.1. Supply Equation for Agriculture Goods
*/=================================================================
Year
Q
P
L
NptCost CPI
Income
1960
72
51
24
46
88.7
6036
1961
70
52
25
46
89.6
6113
1962
71
54
26
47
90.6
6271
1963
74
55
27
47
91.7
6378
1964
72
55
29
47
92.9
6727
1965
76
53
31
48
94.5
7027
1966
73
55
33
50
97.2
7280
1967
77
52
35
50
100.0
7513
1968
79
52
38
50
104.2
7728
1969
80
50
40
52
109.8
7891
1970
77
52
42
54
116.3
8134
1971
86
56
43
57
121.3
8322
1972
87
60
47
61
125.3
8562
1973
92
91
53
73
133.1
9042
1974
84
117
66
83
147.7
8867
1975
93
105
75
91
161.2
8944
1976
92
102
86
97
170.5
9175
1977
100
100
100
100
181.5
9381
1978
102
105
109
108
195.4
9735
1979
113
116
125
125
217.4
9829
1980
101
125
145
138
246.8
9722
1981
117
134
158
148
272.4
9769
1982
117
121
157
150
289.1
9725
1983
88
128
148
153
298.4
9930
1984
111
139
146
155
311.1
10421
1985
117
120
128
151
322.2
10563
1986
108
106
112
146
328.4
10780
?
? Ordinary Least Squares
?
Regress ; Lhs = Q ; Rhs = One,P $
?
? Instrumental Variables
?
2sls
; Lhs = Q ; Rhs = One,P ; Inst = One,Income $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
4.5260001
11.960
.0000
P
.4195301608
.49591310E-01
8.460
.0000 85.407407
+-----------------------------------------------------------------------+
| Two stage
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
5.1954400
9.034
.0000
P
.5037976926
.57792782E-01
8.717
.0000 85.407407
*/
195
/*=================================================================
Example 16.2. A Small Macroeconomic Model
No computations
*/=================================================================
/*=================================================================
Example 16.3. Kleins Model I
No Computations
*/=================================================================
/*=================================================================
Example 16.4. Cobweb Model
No computations
*/=================================================================
/*=================================================================
Example 16.5. Structure and Reduced Form
No computations
*/=================================================================
/*=================================================================
Example 16.6. Observational Equivalence
No computations
*/=================================================================
/*=================================================================
Example 16.7. Identification
No computations
*/=================================================================
/*=================================================================
Example 16.8. An Identified Model
No computations
*/=================================================================
/*=================================================================
Example 16.9. Rank and Order Conditions
No computations
*/=================================================================
/*=================================================================
Example 16.10. Identification of Kleins Model I
No computations
*/=================================================================
/*=================================================================
Example 16.11. Identification with Linear Restrictions
No computations
*/=================================================================
/*=================================================================
Example 16.12. The Fully Recursive Model
No computations
*/=================================================================
/*=================================================================
Example 16.13. A Model of Industry Structure
No computations
*/=================================================================
/*=================================================================
Example 16.14. Regression Function
196
No computations
*/=================================================================
/*=================================================================
Example 16.15. Limited Information Estimation of Kleins
Consumption Function
*/=================================================================
Year C
P
Wp
I
Klag
X
Wg
G
T
1920 39.8 12.7 28.8 2.7 180.1 44.9 2.2 2.4 3.4
1921 41.9 12.4 25.5 -0.2 182.8 45.6 2.7 3.9 7.7
1922 45.0 16.9 29.3 1.9 182.6 50.1 2.9 3.2 3.9
1923 49.2 18.4 34.1 5.2 184.5 57.2 2.9 2.8 4.7
1924 50.6 19.4 33.9 3.0 189.7 57.1 3.1 3.5 3.8
1925 52.6 20.1 35.4 5.1 192.7 61.0 3.2 3.3 5.5
1926 55.1 19.6 37.4 5.6 197.8 64.0 3.3 3.3 7.0
1927 56.2 19.8 37.9 4.2 203.4 64.4 3.6 4.0 6.7
1928 57.3 21.1 39.2 3.0 207.6 64.5 3.7 4.2 4.2
1929 57.8 21.7 41.3 5.1 210.6 67.0 4.0 4.1 4.0
1930 55.0 15.6 37.9 1.0 215.7 61.2 4.2 5.2 7.7
1931 50.9 11.4 34.5 -3.4 216.7 53.4 4.8 5.9 7.5
1932 45.6 7.0 29.0 -6.2 213.3 44.3 5.3 4.9 8.3
1933 46.5 11.2 28.5 -5.1 207.1 45.1 5.6 3.7 5.4
1934 48.7 12.3 30.6 -3.0 202.0 49.7 6.0 4.0 6.8
1935 51.3 14.0 33.2 -1.3 199.0 54.4 6.1 4.4 7.2
1936 57.7 17.6 36.8 2.1 197.7 62.7 7.4 2.9 8.3
1937 58.7 17.3 41.0 2.0 199.8 65.0 6.7 4.3 6.7
1938 57.5 15.3 38.2 -1.9 201.8 60.9 7.7 5.3 7.4
1939 61.6 19.0 41.6 1.3 199.9 69.5 7.8 6.6 8.9
1940 65.0 21.1 45.0 3.3 201.2 75.7 8.0 7.4 9.6
1941 69.7 23.5 53.3 4.9 204.5 88.4 8.5 13.8 11.6
?
? Data preparation for examples
?
Create ; If(_Obsno > 1) Plag = P[-1] $
Create ; If(_Obsno > 1) Xlag = X[-1] $
Create ; W = Wp + Wg $
Create ; A = Year - 1931 $
Date
; 1920 $
Period ; 1921 - 1941 $
Namelist ; ZC = One,P,Plag,W
; ZI = One,P,Plag,Klag
; ZWp = One,X,Xlag,A
; Xc = One,Plag
; allX= One,G,T,A,Wg,Plag,Klag,Xlag
; Yc = C,P,W
; Yic = P,W $
?
197

?
Regress ; lhs=c;rhs=zc $
?
? Two Stage Least Squares
?
2SLS
; lhs=c;rhs=zc;inst=allx $
?
? GMM in two passes. First improves 2SLS starting values. 2SLS
? will be used to compute W matrix.
?
Minimize ; fcn=(c-c1*p-c2*w-b1-b2*plag) ;labels=b1,b2,c1,c2
; start=b;inst=allx ;pds=0 $ (Requests White estimator.)
?
? Starting values now are results of previous. (Can be iterated.)
?
; start=b;inst=allx ;pds=0 $
?
? LIML, using matrix algebra. Note, CXRT obtains roots for
? a nonsymmetric matrix.
?
Matrix
; w0=rcpm(xc,yc)
; w1=rcpm(allx,yc)
; w1iw0=<w1>*w0$
Matrix
; roots=cxrt(w1iw0) $
Calc
; List ; lc=roots(3,1) $ LC = lambda_1
Matrix
; w0c=part(w0,2,3,2,3)- lc*part(w1,2,3,2,3)
; dc =part(w0,2,3,1,1)- lc*part(w1,2,3,1,1)$
Matrix
; gammac=<w0c>*dc$
Matrix
; betac=<Xc'Xc>*Xc'c - <Xc'Xc>*Xc'Yic*Gammac $
Matrix
; deltac=[gammac/betac] $
Create
; ec=c-zc'deltac $
Calc
; scc = 1/n * ec'ec $
?
? Construct partitioned VC matrix. There are other ways.
Matrix
; vv=yic'yic-yic'allx * <allx'allx> * allx'yic
; q11=yic'yic - lc*vv
; q21=xc'yic
; q22=xc'xc
; Q=[q11/q21,q22]
; AsyVC = {scc=1/n*ec'ec} * <Q> $
Matrix
; Stat(deltac,asyvc)$
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = C
Mean=
53.99523810
, S.D.=
6.860865557
|
21, Parameters =
4, Deg.Fr.=
17 |
, Std.Dev.=
1.02554 |
| Fit:
.97766 |
| Model test: F[ 3,
17] = 292.71,
Prob value =
.00000 |
-69.7279 |
|
LogAmemiyaPrCrt.=
3.058 |
1.36747,
Rho =
.31626 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
1.3026983
12.464
.0000
P
.1929343813
.91210168E-01
2.115
.0495 16.890476
PLAG
.8988489781E-01 .90647938E-01
.992
.3353 16.376190
W
.7962187497
.39943920E-01
19.933
.0000 41.480952
+-----------------------------------------------------------------------+
198
| Two stage
|
| Dep. var. = C
Mean=
53.99523810
, S.D.=
6.860865557
|
21, Parameters =
4, Deg.Fr.=
17 |
, Std.Dev.=
1.02179 |
| Fit:
.97260 |
|
| Model test: F[ 3,
17] = 237.65,
Prob value =
.00000 |
-69.7279 |
|
LogAmemiyaPrCrt.=
3.051 |
1.48507,
Rho =
.25746 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
1.3207924
12.534
.0000
P
.1730221194E-01 .11804941
.147
.8835 16.890476
PLAG
.2162340404
.10726796
2.016
.0438 16.376190
W
.8101826976
.40249714E-01
20.129
.0000 41.480952
+---------------------------------------------+
|
| GMM Estimator - Lags
= 0 Periods
|
| Value of the GMM criterion:
|
| e(b)tZ inv(ZtWZ) Zte(b)
=
4.835800
|
| Sum of functions f(x,b)
=
.6479525
|
| Sample size is
21 observations.
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
14.74432887
1.1596099
12.715
.0000
C1
.7579169049E-01 .93571242E-01
.810
.4179
B2
.1662685044
.82477615E-01
2.016
.0438
C2
.8493652466
.35606173E-01
23.854
.0000
+---------------------------------------------+
|
= 0 Periods
|
|
=
3.742084
|
| Sum of functions f(x,b)
=
-1.337299
|
| Sample size is
21 observations.
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
14.31901808
.89660570
15.970
.0000
C1
.9024320093E-01 .61598126E-01
1.465
.1429
B2
.1433282337
.65493259E-01
2.188
.0286
C2
.8639300042
.29249909E-01
29.536
.0000
LC
= .14987455068361610D+01
Matrix statistical results: Coefficients=DELTAC
Variance=ASYVC
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DELTA_ 1 -.2225130663
.20174780
-1.103
.2701
DELTA_ 2 .8225586646
.55378199E-01
14.853
.0000
DELTA_ 3 17.14765463
1.8402953
9.318
.0000
DELTA_ 4 .3960272891
.17359775
2.281
.0225
199
/*=================================================================
Example 16.16. Nonlinear Two Stage Least Squares
No computations
*/=================================================================
/*=================================================================
Example 16.17. Estimates of Kleins Model I
These are the entries in Table 16.5. Note, LIMDEP does not
contain a FIML estimator for linear simultaneous equations models.
The values in the text are from Julian Silks 1998 survey in the
Journal of Applied Econometrics.
*/=================================================================
?-----------------------------------------------------------------? Limited Information Estimates of the Consumption Function
?-----------------------------------------------------------------Namelist ; ZC = P,W,One,Plag
; Xc = One,Plag
; Yc = C,P,W
; Yic = P,W $
?
?
Regress
; lhs=c;rhs=zc $
?
?
2SLS
?
? GMM (Heteroscedastic 2SLS) in two steps
?
?
? Limited Information Maximum Likelihood
?
Matrix
; w0=rcpm(xc,yc) ; w1=rcpm(allx,yc) ; w1iw0=<w1>*w0$
Matrix
Calc
; List ; lc=roots(3,1) $ LC = lambda_1
Matrix
; w0c=part(w0,2,3,2,3)- lc*part(w1,2,3,2,3)
; dc =part(w0,2,3,1,1)- lc*part(w1,2,3,1,1)$
Matrix
; gammac=<w0c>*dc$
Matrix
Matrix
Create
; ec=c-zc'deltac $
Calc
; scc = 1/n * ec'ec $
Matrix
; vv=yic'yic-yic'allx * <allx'allx> * allx'yic
; q11=yic'yic - lc*vv ; q21=xc'yic ; q22=xc'xc
; Q=[q11/q21,q22]
; AsyVC = scc * <Q> $
Matrix
; Stat(deltac,asyvc)$
200
/*
+-----------------------------------------------------------------------+
| Ordinary
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
1.3026983
12.464
.0000
P
.1929343813
.91210168E-01
2.115
.0495 16.890476
PLAG
.8988489781E-01 .90647938E-01
.992
.3353 16.376190
W
.7962187497
.39943920E-01
19.933
.0000 41.480952
+-----------------------------------------------------------------------+
| Two stage
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
1.3207924
12.534
.0000
P
.1730221194E-01 .11804941
.147
.8835 16.890476
PLAG
.2162340404
.10726796
2.016
.0438 16.376190
W
.8101826976
.40249714E-01
20.129
.0000 41.480952
+---------------------------------------------+
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
14.74432887
1.1596099
12.715
.0000
C1
.7579169049E-01 .93571242E-01
.810
.4179
B2
.1662685044
.82477615E-01
2.016
.0438
C2
.8493652466
.35606173E-01
23.854
.0000
+---------------------------------------------+
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
14.31901808
.89660570
15.970
.0000
C1
.9024320093E-01 .61598126E-01
1.465
.1429
B2
.1433282337
.65493259E-01
2.188
.0286
C2
.8639300042
.29249909E-01
29.536
.0000
+---------------------------------------------+
| Limited Information Maximum Likelihood
|
+---------------------------------------------+
LC
= .14987455068361610D+01
Matrix statistical results: Coefficients=DELTAC
Variance=ASYVC
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DELTA_ 1 -.2225130663
.20174780
-1.103
.2701
DELTA_ 2 .8225586646
.55378199E-01
14.853
.0000
DELTA_ 3 17.14765463
1.8402953
9.318
.0000
DELTA_ 4 .3960272891
.17359775
2.281
.0225
*/
201
?-----------------------------------------------------------------? Limited Information Estimates of the Investment Function

?-----------------------------------------------------------------Namelist ; Zi = P,One,Plag,Klag
; Xi = One,Plag,Klag
; Yi = I,P
; Yii = P $
?
?
Regress ; lhs=i;rhs=zi $
?
?
2SLS
; lhs=i;rhs=zi;inst=allx $
?
?
Minimize ; fcn=(i-c1*p-b1-b2*plag-b3*klag) ;labels=c1,b1,b2,b3
?
?
Matrix
; w0=rcpm(xi,yi) ; w1=rcpm(allx,yi) ; w1iw0=<w1>*w0$
Matrix
Calc
; List ; li=roots(2,1) $ LI = lambda_i
Matrix
; w0i=part(w0,2,2,2,2)- li*part(w1,2,2,2,2)
; di =part(w0,2,2,1,1)- li*part(w1,2,2,1,1)$
Matrix
; gammai=<w0i>*di$
Matrix
; betai=<Xi'Xi>*Xi'i - <Xi'Xi>*Xi'Yii*Gammai $
Matrix
; deltai=[gammai/betai] $
Create
; ei=i-zi'deltai $
Calc
; sii = 1/n * ei'ei $
Matrix
; vv=yii'yii-yii'allx * <allx'allx> * allx'yii
; q11=yii'yii - li*vv ; q21=xi'yii ; q22=xi'xi
; Q=[q11/q21,q22]
; AsyVi = scc * <Q> $
Matrix
; Stat(deltai,asyvi)$
/*
+-----------------------------------------------------------------------+
| Ordinary
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
.4796356446
.97114565E-01
4.939
.0001 16.890476
5.4655465
1.853
.0814
PLAG
.3330387135
.10085923
3.302
.0042 16.376190
KLAG
-.1117946837
.26727563E-01
-4.183
.0006 200.49524
+-----------------------------------------------------------------------+
| Two stage
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
.1502218238
.17322929
.867
.3858 16.890476
7.5427059
2.688
.0072
PLAG
.6159435775
.16278539
3.784
.0002 16.376190
KLAG
-.1577876366
.36126239E-01
-4.368
.0000 200.49524
+---------------------------------------------+
|
+---------------------------------------------+
202
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
C1
.1858604203
.12989159
1.431
.1525
B1
21.40696309
6.3295608
3.382
.0007
B2
.5513081166
.12529953
4.400
.0000
B3
-.1605617059
.30488292E-01
-5.266
.0000
+---------------------------------------------+
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
C1
.1456261147
.12918005
1.127
.2596
B1
23.45972356
6.3989474
3.666
.0002
B2
.5905688424
.12021221
4.913
.0000
B3
-.1705127999
.30659198E-01
-5.562
.0000
+---------------------------------------------+
|
+---------------------------------------------+
LI
= .10859528454002810D+01
Matrix statistical results: Coefficients=DELTAI
Variance=ASYVI
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DELTA_ 1 .7518475798E-01 .21852742
.344
.7308
DELTA_ 2 22.59082544
9.2367486
2.446
.0145
DELTA_ 3 .6803863833
.20338880
3.345
.0008
DELTA_ 4 -.1682643562
.44096598E-01
-3.816
.0001
*/
203
?-----------------------------------------------------------------? Limited Information Estimates of the Private Wage Function

?-----------------------------------------------------------------Namelist ; Zw = X,One,Xlag,A
; Xw = One,Xlag,A
; Yw = Wp,X
; Yww =
X $
?
?
Regress ; lhs=Wp;rhs=zw $
?
?
2SLS
; lhs=Wp;rhs=zw;inst=allx $
?
?
Minimize ; fcn=(wp-c1*x-b1-b2*xlag-b3*a) ;labels=c1,b1,b2,b3
?
?
Matrix
; w0=rcpm(xw,yw) ; w1=rcpm(allx,yw) ; w1iw0=<w1>*w0$
Matrix
Calc
; List ; lw=roots(2,1) $ Lw = lambda_i
Matrix
; w0w=part(w0,2,2,2,2)- lw*part(w1,2,2,2,2)
; dw =part(w0,2,2,1,1)- lw*part(w1,2,2,1,1)$
Matrix
; gammaw=<w0w>*dw$
Matrix
; betaw=<Xw'Xw>*Xw'Wp - <Xw'Xw>*Xw'Yww*Gammaw $
Matrix
; deltaw=[gammaw/betaw] $
Create
; ew=w-zw'deltaw $
Calc
; sww = 1/n * ew'ew $
Matrix
; vv=yww'yww-yww'allx * <allx'allx> * allx'yww
; q11=yww'yww - lw*vv ; q21=xw'yww ; q22=xw'xw
; Q=[q11/q21,q22]
; AsyVw = scc * <Q> $
Matrix
; Stat(deltaw,asyvw)$
+-----------------------------------------------------------------------+
| Ordinary
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
X
.4394769672
.32407585E-01
13.561
.0000 60.057143
1.2700320
1.179
.2547
XLAG
.1460899468
.37423132E-01
3.904
.0011 57.985714
A
.1302452303
.31910308E-01
4.082
.0008 .00000000
+-----------------------------------------------------------------------+
| Two stage
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
X
.4388590651
.35631917E-01
12.316
.0000 60.057143
1.1477802
1.307
.1912
XLAG
.1466738215
.38836133E-01
3.777
.0002 57.985714
A
.1303956872
.29140980E-01
4.475
.0000 .00000000
204
+---------------------------------------------+
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
C1
.4558023506
.29975507E-01
15.206
.0000
B1
2.674614797
.79150468
3.379
.0007
B2
.1107652011
.32325545E-01
3.427
.0006
B3
.1306003395
.23711758E-01
5.508
.0000
+---------------------------------------------+
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
C1
.4549711244
.27742069E-01
16.400
.0000
B1
3.056885791
.64409650
4.746
.0000
B2
.1058094977
.29645884E-01
3.569
.0004
B3
.1304310746
.21732485E-01
6.002
.0000
+---------------------------------------------+
|
+---------------------------------------------+
LW
= .24685825448762760D+01
Matrix statistical results: Coefficients=DELTAW
Variance=ASYVW
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DELTA_ 1 .4339413998
.13721657
3.162
.0016
DELTA_ 2 1.526186685
2.4003056
.636
.5249
DELTA_ 3 .1513206752
.13543451
1.117
.2639
DELTA_ 4 .1315931213
.65413164E-01
2.012
.0442
205
?-----------------------------------------------------------------? Full Information Estimates of the Entire System

?-----------------------------------------------------------------Namelist ; Zc = P,One,Plag,W
; Zi = P,One,Plag,Klag
; Zw = X,One,Xlag,A
; allX= One,G,T,A,Wg,Plag,Klag,Xlag $
?
? Three Stage Least Squares
?
3sls
; Lhs = C,I,Wp
; Eq1 = Zc ; Eq2 = Zi ; Eq3 = Zw ; Inst = allX
; Maxit=1 $
? Iterated Three Stage Least Squares
?
3sls
; Lhs = C,I,Wp
; Eq1 = Zc ; Eq2 = Zi ; Eq3 = Zw ; Inst = allX ; Maxit = 200 $
?
? GMM (Heteroscedasticity corrected - 3SLS)
2SLS
Matrix
; b0c = b $
2SLS
; lhs=i;rhs=zi;inst=allx $
Matrix
; b0i=b $
2SLS
; lhs=Wp;rhs=zw;inst=allx $
Matrix
; b0w=b $
Nlsur
; Lhs = c,i
; Fn1 = c1c*p+c2c*w+b1c+b2c*plag
; Fn2 = c1i*p+b1i+b2i*plag+b3i*klag
; labels=b1c,b2c,c1c,c2c,c1i,b1i,b2i,b3i
; inst=allx ; Pds = 0 ; start = b0c,b0i $
Nlsur
; Lhs = c,i
; Fn2 = c1i*p+b1i+b2i*plag+b3i*klag
; labels=b1c,b2c,c1c,c2c,c1i,b1i,b2i,b3i
; inst=allx ; Pds = 0 ; start = b$
Nlsur
; Lhs = c,wp
; Fn2 = c1w*x+b1w+b2w*xlag+b3w*a
; labels=b1c,b2c,c1c,c2c,c1w,b1w,b2w,b3w
; inst=allx ; Pds = 0 ; start = b0c,b0w $
Nlsur
; Lhs = c,wp
; Fn2 = c1w*x+b1w+b2w*xlag+b3w*a
; labels=b1c,b2c,c1c,c2c,c1w,b1w,b2w,b3w
; inst=allx ; Pds = 0 ; start = b$
/*
Iteration
Iteration
0, 3SLS
1, 3SLS
=
=
1.000000
6.218180
206
+-----------------------------------------------------------------------+
| Estimates for equation: C
|
| InstVar/GLS least squares regression
|
| Dep. var. = C
Mean=
53.99523810
, S.D.=
6.860865557
|
21, Parameters =
4, Deg.Fr.=
17 |
, Std.Dev.=
.94433 |
| Fit:
.97660 |
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
.1248904748
.10812905
1.155
.2481 16.890476
1.3045488
12.603
.0000
PLAG
.1631440928
.10043819
1.624
.1043 16.376190
W
.7900809364
.37937905E-01
20.826
.0000 41.480952
+-----------------------------------------------------------------------+
| Estimates for equation: I
|
|
| Dep. var. = I
Mean=
1.266666667
, S.D.=
3.551947822
|
21, Parameters =
4, Deg.Fr.=
17 |
, Std.Dev.=
1.44674 |
| Fit:
.79507 |
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
-.1307918242E-01 .16189624
-.081
.9356 16.890476
6.7937702
4.148
.0000
PLAG
.7557239621
.15293313
4.942
.0000 16.376190
KLAG
-.1948482493
.32530695E-01
-5.990
.0000 200.49524
+-----------------------------------------------------------------------+
| Estimates for equation: WP
|
|
| Dep. var. = WP
Mean=
36.36190476
, S.D.=
6.304401335
|
21, Parameters =
4, Deg.Fr.=
17 |
, Std.Dev.=
.72113 |
| Fit:
.98384 |
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
X
.4004918798
.31813414E-01
12.589
.0000 60.057143
1.1158550
1.611
.1073
XLAG
.1812910150
.34158776E-01
5.307
.0000 57.985714
A
.1496741151
.27935236E-01
5.358
.0000 .00000000
207
Iteration
0, 3SLS
=
1.000000
Iteration
1, 3SLS
=
6.218180
Iteration
2, 3SLS
=
10.48822
Iteration
3, 3SLS
=
.5763712
Iteration
4, 3SLS
=
.2171606
Iteration
5, 3SLS
=
.1027887
Iteration
6, 3SLS
=
.5286157E-01
Iteration
7, 3SLS
=
.2829082E-01
Iteration
8, 3SLS
=
.1549538E-01
Iteration
9, 3SLS
=
.8618531E-02
Iteration
10, 3SLS
=
.4845825E-02
Iteration
11, 3SLS
=
.2745297E-02
Iteration
12, 3SLS
=
.1563106E-02
Iteration
13, 3SLS
=
.8927143E-03
Iteration
14, 3SLS
=
.5106840E-03
Iteration
15, 3SLS
=
.2923557E-03
Iteration
16, 3SLS
=
.1674028E-03
Iteration
17, 3SLS
=
.9585057E-04
Iteration
18, 3SLS
=
.5487439E-04
Iteration
19, 3SLS
=
.3141145E-04
Iteration
20, 3SLS
=
.1797896E-04
Iteration
21, 3SLS
=
.1029008E-04
Iteration
22, 3SLS
=
.5889308E-05
3SLS
has converged.
+-----------------------------------------------------------------------+
| Estimates for equation: C
|
| Dep. var. = C
Mean=
53.99523810
, S.D.=
6.860865557
|
, Std.Dev.=
.95651 |
| Fit:
.97599 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
.1645094601
.96197848E-01
1.710
.0872 16.890476
1.2244009
13.524
.0000
PLAG
.1765639840
.90100112E-01
1.960
.0500 16.376190
W
.7658012598
.34759924E-01
22.031
.0000 41.480952
+-----------------------------------------------------------------------+
| Estimates for equation: I
|
| Dep. var. = I
Mean=
1.266666667
, S.D.=
3.551947822
|
, Std.Dev.=
2.13432 |
| Fit:
.55398 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
P
-.3565294667
.26015597
-1.370
.1705 16.890476
10.593827
4.049
.0001
PLAG
1.011297438
.24877372
4.065
.0000 16.376190
KLAG
-.2601995125
.50869239E-01
-5.115
.0000 200.49524
+-----------------------------------------------------------------------+
| Estimates for equation: WP
|
| Dep. var. = WP
Mean=
36.36190476
, S.D.=
6.304401335
|
, Std.Dev.=
.77823 |
| Fit:
.98118 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
X
.3747792799
.31102726E-01
12.050
.0000 60.057143
1.1955595
2.195
.0281
XLAG
.1936506079
.32401819E-01
5.977
.0000 57.985714
A
.1679261514
.28929060E-01
5.805
.0000 .00000000
208
+---------------------------------------------+
| Instrumental Variables (NLGMM)
|
= 0 Periods
|
|
=
7.606920
|
| Criterion is computed with 2 moments.
|
| Sample size is
21 observations.
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1C
14.30534796
.79434267
18.009
.0000
B2C
.1433584920
.58608748E-01
2.446
.0144
C1C
.8602401610E-01 .56340585E-01
1.527
.1268
C2C
.8653025338
.27820114E-01
31.103
.0000
C1I
.1351102595
.94264741E-01
1.433
.1518
B1I
25.34841841
5.6448443
4.491
.0000
B2I
.5927664696
.93616894E-01
6.332
.0000
B3I
-.1796698395
.27689550E-01
-6.489
.0000
+----------------------------------------------------------------------+
| __ Equation
Mean of LHS
S.D. of LHS
R-squared
Sum of squares |
| 1 C
53.995238
6.860866
.976663 .2197005865D+02 |
| 2 I
1.266667
3.551948
.874902 .3156545749D+02 |
| Note, R-squared can be negative if not using unconstrained OLS.
|
+----------------------------------------------------------------------+
+---------------------------------------------+
|
= 0 Periods
|
|
=
8.071095
|
|
| Sample size is
21 observations.
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1C
14.12059142
.78436693
18.003
.0000
B2C
.1334184814
.53436985E-01
2.497
.0125
C1C
.8955986166E-01 .51408927E-01
1.742
.0815
C2C
.8718406315
.27353986E-01
31.873
.0000
C1I
.1172631998
.10486278
1.118
.2635
B1I
27.30187323
6.0641470
4.502
.0000
B2I
.6015143664
.10075260
5.970
.0000
B3I
-.1886236665
.29346365E-01
-6.427
.0000
+----------------------------------------------------------------------+
| __ Equation
Mean of LHS
S.D. of LHS
R-squared
Sum of squares |
| 1 C
53.995238
6.860866
.976123 .2247893030D+02 |
| 2 I
1.266667
3.551948
.866117 .3378217615D+02 |
|
+----------------------------------------------------------------------+
209
+---------------------------------------------+
|
= 0 Periods
|
|
=
7.971118
|
|
| Sample size is
21 observations.
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1C
13.99930343
.76149035
18.384
.0000
B2C
.1423333720
.52555043E-01
2.708
.0068
C1C
.7337067766E-01 .52604141E-01
1.395
.1631
C2C
.8761416931
.23485747E-01
37.305
.0000
C1W
.4422673046
.14333438E-01
30.856
.0000
B1W
2.923427871
.46922831
6.230
.0000
B2W
.1215364067
.17476163E-01
6.954
.0000
B3W
.1147426472
.17274603E-01
6.642
.0000
+----------------------------------------------------------------------+
| __ Equation
Mean of LHS
S.D. of LHS
R-squared
Sum of squares |
| 1 C
53.995238
6.860866
.975305 .2324854015D+02 |
| 2 WP
36.361905
6.304401
.985064 .1187286539D+02 |
|
+----------------------------------------------------------------------+
+---------------------------------------------+
|
= 0 Periods
|
|
=
8.013053
|
|
| Sample size is
21 observations.
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1C
13.51841390
.67388799
20.060
.0000
B2C
.1318749567
.46910978E-01
2.811
.0049
C1C
.7646941379E-01 .42668300E-01
1.792
.0731
C2C
.8904279576
.20572940E-01
43.282
.0000
C1W
.4374349195
.15241824E-01
28.700
.0000
B1W
3.063836038
.36507811
8.392
.0000
B2W
.1242708219
.16776962E-01
7.407
.0000
B3W
.1057929779
.18491324E-01
5.721
.0000
+----------------------------------------------------------------------+
| __ Equation
Mean of LHS
S.D. of LHS
R-squared
Sum of squares |
| 1 C
53.995238
6.860866
.973504 .2494418734D+02 |
| 2 WP
36.361905
6.304401
.984094 .1264344970D+02 |
|
+----------------------------------------------------------------------+
*/
210
/*=================================================================
Example 16.18. Testing Overidentifying Restrictions
*/=================================================================
? Critical Values from the chi-squared tables
?
Calc
; List ; Ctb(.95,2) ; Ctb(.95,3) ; Ctb(.95,8)
; Ctb(.99,2) ; Ctb(.99,3) ; Ctb(.99,8) $
Result = .59914645483899940D+01 Result = .78147277654400000D+01
Result = .15507313057789990D+02
Result = .92103403732599900D+01 Result = .11344866676609990D+02
Result = .20090235031410010D+02
?
? Consumption Function
?
Namelist ; ZC = P,W,One,Plag ; Xc = One,Plag
; Yc = C,P,W
; Yic = P,W $
Matrix
; w0=rcpm(xc,yc) ; w1=rcpm(allx,yc) ; w1iw0=<w1>*w0$
Matrix
Calc
; List ; lc=roots(3,1)
; LRC = n*(lc-1) $ LC = lambda_1
Matrix
; w0c=part(w0,2,3,2,3)- lc*part(w1,2,3,2,3)
; dc =part(w0,2,3,1,1)- lc*part(w1,2,3,1,1)$
Matrix
; gammac=<w0c>*dc$
Matrix
Matrix
Create
; ec=c-zc'deltac $
Calc
; List ; TRsqML = n * Rsq(allX,ec) $
2sls
; Lhs = c ; Rhs = Zc ; Inst = allX $
Calc
; List ; TRsq2S = n * Rsq(allX,ec) $
/*
LC
= .14987455068361610D+01
LRC
= .10473655643559380D+02
TRSQML = .69882815854773230D+01
TRSQ2S = .87715071877722210D+01
*/
? Investment Equation
?
Namelist ; Zi = P,One,Plag,Klag ; Xi = One,Plag,Klag
; Yi = I,P
; Yii = P $
Matrix
; w0=rcpm(xi,yi) ; w1=rcpm(allx,yi) ; w1iw0=<w1>*w0$
Matrix
Calc
; List ; li=roots(2,1)
; LRI = n*(li-1) $ LC = lambda_1
Matrix
; w0i=part(w0,2,2,2,2)- li*part(w1,2,2,2,2)
; di =part(w0,2,2,1,1)- li*part(w1,2,2,1,1)$
Matrix
; gammai=<w0i>*di$
Matrix
; betai=<Xi'Xi>*Xi'i - <Xi'Xi>*Xi'Yii*Gammai $
Matrix
; deltai=[gammai/betai] $
Create
; ei=i-zi'deltai $
Calc
; List ; TRsqML = n * Rsq(allX,ei) $
2sls
; Lhs = i ; Rhs = Zi ; Inst = allX ; res=ei $
Calc
; List ; TRsq2S = n * Rsq(allX,ei) $
/*
LI
= .10859528454002810D+01
LRI
= .18050097534059040D+01
TRSQML = .16621437671853260D+01
TRSQ2S = .18149654746484310D+01
*/
Namelist ; Zw = X,One,Xlag,A
; Xw = One,Xlag,A
211
Matrix
Matrix
Calc
Matrix
Matrix
Matrix
Matrix
Create
Calc
2sls
Calc
/*
LW
LRW
TRSQML
TRSQ2S
*/
;
;
;
;
;
;
;
;
;
;
;
;
;
;
;
allX= One,G,T,A,Wg,Plag,Klag,Xlag
Yw = Wp,X
Yww =
X $
w0=rcpm(xw,yw) ; w1=rcpm(allx,yw) ; w1iw0=<w1>*w0$
roots=cxrt(w1iw0) $
List ; lw=roots(2,1)
; LRW = n*(lw-1) $ Lw = lambda_i
w0w=part(w0,2,2,2,2)- lw*part(w1,2,2,2,2)
dw =part(w0,2,2,1,1)- lw*part(w1,2,2,1,1)$
gammaw=<w0w>*dw$
betaw=<Xw'Xw>*Xw'Wp - <Xw'Xw>*Xw'Yww*Gammaw $
deltaw=[gammaw/betaw] $
ew=w-zw'deltaw $
List ; TRsqML = n * Rsq(allX,ew) $
Lhs = wp ; Rhs = Zi ; Inst = allX ; res=ew $
List ; TRsq2S = n * Rsq(allX,ew) $
=
=
=
=
.24685825448762760D+01
.30840233442401800D+02
.19967143547399120D+02
.12495220104086450D+02
/*=================================================================
Example 16.19. Exogeneity Text
*/=================================================================
Namelist ; Zc = P,One,Plag,W ; allX= One,G,T,A,Wg,Plag,Klag,Xlag $
2sls
; Lhs = wp ; Rhs = Zw ; Inst = allX $
Matrix
; b2sls = b ; v2sls = varb $
2sls
; Lhs = wp ; Rhs = Zw ; Inst = One,G,T,A,Wg,Plag,Klag $
Matrix
; biv
= b ; viv
= varb $
Matrix
; d = b2sls - biv ; vd = viv - v2sls ; list ; d<vd>d $
/*
+-----------------------------------------------------------------------+
| Two stage
+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
X
.4388590651
.35631917E-01
12.316
.0000 60.057143
1.1477802
1.307
.1912
XLAG
.1466738215
.38836133E-01
3.777
.0002 57.985714
A
.1303956872
.29140980E-01
4.475
.0000 .00000000
+-----------------------------------------------------------------------+
| Two stage
+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
X
.4227689087
.38241699E-01
11.055
.0000 60.057143
1.1761293
1.065
.2869
XLAG
.1676141104
.42685758E-01
3.927
.0001 57.985714
A
.1306215540
.29428573E-01
4.439
.0000 .00000000
Matrix Result
1
+-------------1| .1397709D+01
*/
212
/*=================================================================
Example 16.20. Dynamic Model
*/=================================================================
Namelist ; Zc = P,One,Plag,W
; Zi = P,One,Plag,Klag
; Zw = X,One,Xlag,A
; allX= One,G,T,A,Wg,Plag,Klag,Xlag $
?
? Two stage least squares
?
2sls
; Lhs = C ; Rhs = Zc ; Inst = allX $
Matrix
; deltac = -b $
2sls
; Lhs = I ; Rhs = Zi ; Inst = allX $
Matrix
; deltai = -b $
2sls
; Lhs = Wp; Rhs = Zw ; Inst = allX $
Matrix
; deltaw = -b $
?
Matrix
; List
; Gamma=[ 1,0,0,-1,0,0 /
0,1,0,-1,0,-1 /
deltac(4) ,0,1,0,1,0 /
0,0,deltaw(1) ,1,-1,0 /
deltac(1) ,deltai(1) ,0,0,1,0 /
0,0,0,0,0,1 ]
; Beta =[deltac(2),deltai(2),deltaw(2),0,0,0 /
deltac(4),0,0,0,0,0 /
0,0,0,0,1,0 /
0,0,0,-1,0,0 /
0,0,deltaw(4),0,0,0 ]
; Phi = [0,0,0,0,0,0 /
0,0,0,0,0,0 /
0,0,0,0,0,0 /
0,0,deltaw(3),0,0,0 /
deltac(3),deltai(3),0,0,0,0 /
0,deltai(4),0,0,0,-1]
; Pie = -Beta * <Gamma>
; Delta = -Phi * <Gamma> $
Matrix
; Impact = Pie
; ID = Iden(6)-Delta
; Final = Pie * <ID>
; List ; Impact ; Final $
213
Gamma
C
I
Wp
X
P
K
C
1
0
-0.810183
0
-0.0173022
0
I
0
1
0
0
-0.150222
0
X
-1
-1
0
1
0
0
P
0
0
1
-1
1
0
K
0
-1
0
0
0
1
Beta
1
Wg
T
G
A
-16.5548
-0.810183
0
0
0
-20.2782
-1.5003
0
0
0
0
0
0
0
-0.130396
0
0
0
-1
0
0
0
1
0
0
0
0
0
0
0
Phi
Clag
Ilag
Wplag
Xlag
Plag
Klag
0
0
0
0
0
0
0
0
-0.216234
-0.615944
0
0.157788
0
0
0
-0.146674
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-1
25.8412
0.124073
-0.175877
0.153142
-0.00675496
31.6355
0.645949
-0.133565
0.797289
0.197208
68.6672
1.47188
-0.304346
1.81673
0.152242
37.0317
25.8412
0.825934 0.124073
-1.17078 -0.175877
1.01944
0.153142
-0.0449665 .
0
0
0
0.178845
0.768457
-0.104706
0
0
0
-0.00759822
0.743385
-0.181952
0
0
0
0.221827
0.663486
-0.125802
0
0
0
0.171247
1.51184
-0.286658
0
0
0
0
0
0
-0.05058 -0.00759822
0.848357 0.743385
-0.160855 0.818048
Impact
1
42.826
Wg
1.34781
T
-0.128469
G
0.663588
A
0.158997
-0.00675496
25.8412
0.124073
-0.175877
0.153142
-0.00675496
31.6355
0.645949
-0.133565
0.797289
0.197208
68.6672
1.47188
-0.304346
1.81673
0.152242
37.0317
0.825934
-1.17078
1.01944
-0.0449665
25.8412
0.124073
-0.175877
0.153142
Final
1
Wg
T
G
A
*/
-3.55271e-015 25.2864
-9.71445e-017 1.10627
1.66533e-016 -0.318884
-1.11022e-016 1.36546
7.80626e-018 0.233067
40.623
1.88934
-0.544604
2.33199
0.175347
15.3366
0.783068
-1.22572
0.966533
-0.0577199
202.985
3.80233
-5.9517
4.69317
-0.280269
Pie
1
42.826
Wg
1.34781
T
-0.128469
G
0.663588
A
0.158997
00675496
Delta
Clag
Ilag
Wplag
Xlag
Plag
Klag
40.623
1.88934
-0.544604
1.33199
0.175347
Wp
0
0
1
-0.438859
0
0
214
/*=================================================================
Example 16.21. Dynamic Multipliers
This example uses the results of the previous example.
*/=================================================================
Matrix
; TGMults = Init(21,2,0)
; Mults
= Init(5,6,0)
; Power
= Iden(6) $
Proc
Matrix
; Mults = Pie * Power
; Power = Power * Delta
; policy = Part(Mults,3,4,4,4) ; policy = policy'
; TGMults(pd,*) = Policy $
EndProc
Exec
; pd=1,21 $
Matrix
; Lag = [0,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20]
; Taxes = Part(TGMults,1,21,1,1)
; Spending = Part(TGMults,1,21,2,2) $
?
? Note, multipliers for T and G are in rows 3 and 4.
? X equation is 4th column.
?
Mplot
; Lhs = Lag ; Rhs = Taxes,Spending
; Yaxis=ImplsRsp
; Title=Policy Multipliers
; Fill ; Limits=-2,2 ; Endpoints=0,20 ; Bars = 0 $
/*
POLICY MULTIPLIERS
2.0
TAXES
SPENDING
IMPLSRSP
1.2
.4
-.4
-1.2
-2.0
12
16
20
LAG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
-0.304346
-1.77174
-1.44891
-0.648659
0.131132
0.693882
0.983324
1.02081
0.869783
0.609822
0.317264
0.0525235
-0.146023
-0.262493
-0.299883
-0.274167
-0.207813
1.81673
1.80845
1.19185
0.454813
-0.177949
-0.607156
-0.810247
-0.81446
-0.675201
-0.457538
-0.221828
-0.0144296
0.136441
0.220487
0.242033
0.215105
0.158215
215
18
19
20
21
*/
-0.123998
-0.0423556
0.023451
0.0664187
0.0898461
0.0252261
-0.025408
-0.057181
/*=================================================================
Example 16.22. Model Stability
*/=================================================================
Matrix ; Delta1 = Part(Delta,4,6,4,6) ; List ; Cxrt(Delta1) $
/*
+---------------------------1| .7701737D+00 -.3494454D+00
2| .7701737D+00 .3494454D+00
3| .2973049D+00 .0000000D+00
*/
216
/*=================================================================
Example 16.23. Adjustment of Kleins Model I
*/=================================================================
Matrix ; Sim = Init(32,6,0) $
Matrix ; y0=[69.7,4.9,53.3,88.4,23.5,209.4] $
Matrix ; ye=[70.5, 0,52.2,84.3,20.5,227.7] $
Matrix ; dy = y0-ye $
Matrix ; id = iden(6)$
Proc
Matrix ; dev=dy*id ; id=id*delta ; Sim(pd,*)=dev $
EndProc
Exec
; pd=1,60$
Matrix ; Date =[1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,
18,19,20,21,22,23,24,25,26,27,28,29,30,31,32]
;date=date+1940 $
Matrix ; DevC=Part(Sim,1,32,1,1)
; DevK=Part(sim,1,32,6,6)$
Mplot ; Lhs=date
; Rhs=Devc,Devk
; Fill ; bars=0$
.8
Variable (x10^01)
DEVC
DEVK
.3
-.3
-.8
-1.4
-1.9
1940 1945
1950
1955
1960 1965 1970 1975
DATE
217
Chapter 17. Regressions with Lagged Variables

/*=================================================================
Example 17.1. A Model of the Demand for Gasoline
No Computations
*/=================================================================
/*=================================================================
Example 17.2. Polynomial Distributed Lag Model for Gasoline Demand
*/=================================================================
Year, G,
Pg, Y,
Pnc,
Puc, Ppt,
Pd,
Pn,
Ps,
Pop $
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
129.7
131.3
137.1
141.6
148.8
155.9
164.9
171.0
183.4
195.8
207.4
218.3
226.8
237.9
225.8
232.4
241.7
249.2
261.3
248.9
226.8
225.6
228.8
239.6
244.7
245.8
269.4
276.8
279.9
284.1
282.0
271.8
280.2
286.7
290.2
297.8
Create ;
;
;
;
;
;
;
Create ;
;
;
.925
.914
.919
.918
.914
.949
.970
1.000
1.014
1.047
1.056
1.063
1.076
1.181
1.599
1.708
1.779
1.882
1.963
2.656
3.691
4.109
3.894
3.764
3.707
3.738
2.921
3.038
3.065
3.353
3.834
3.766
3.751
3.713
3.732
3.789
6036
6113
6271
6378
6727
7027
7280
7513
7728
7891
8134
8322
8562
9042
8867
8944
9175
9381
9735
9829
9722
9769
9725
9930
10421
10563
10780
10859
11186
11300
11389
11272
11466
11476
11636
11934
1.045
1.045
1.041
1.035
1.032
1.009
.991
1.000
1.028
1.044
1.076
1.120
1.110
1.111
1.175
1.276
1.357
1.429
1.538
1.660
1.793
1.902
1.976
2.026
2.085
2.152
2.240
2.321
2.368
2.414
2.451
2.538
2.528
2.663
2.754
2.815
.836
.869
.948
.960
1.001
.994
.970
1.000
1.028
1.031
1.043
1.102
1.105
1.176
1.226
1.464
1.679
1.828
1.865
2.010
2.081
2.569
2.964
3.297
3.757
3.797
3.632
3.776
3.939
4.019
3.926
3.942
4.113
4.470
4.730
5.224
.810
.846
.874
.885
.901
.919
.952
1.000
1.046
1.127
1.285
1.377
1.434
1.448
1.480
1.586
1.742
1.824
1.878
2.003
2.516
3.120
3.460
3.626
3.852
4.028
4.264
4.413
4.494
4.719
5.197
5.427
5.518
6.086
6.268
6.410
.444
.448
.457
.463
.470
.471
.475
.483
.501
.514
.527
.547
.555
.566
.604
.659
.695
.727
.769
.821
.892
.957
1.000
1.041
1.038
1.045
1.053
1.085
1.105
1.129
1.144
1.167
1.184
1.200
1.225
1.239
.331
.335
.338
.343
.347
.353
.366
.375
.390
.409
.427
.442
.458
.497
.572
.615
.638
.671
.719
.800
.894
.969
1.000
1.021
1.050
1.075
1.069
1.111
1.152
1.213
1.285
1.332
1.358
1.379
1.396
1.419
.302
.307
.314
.320
.325
.332
.342
.353
.368
.386
.407
.431
.451
.474
.513
.556
.598
.648
.698
.756
.839
.926
1.000
1.062
1.117
1.173
1.224
1.271
1.336
1.408
1.482
1.557
1.625
1.684
1.734
1.786
180.7
183.7
186.5
189.2
191.9
194.3
196.6
198.7
200.7
202.7
205.1
207.7
209.9
211.9
213.9
216.0
218.0
220.2
222.6
225.1
227.7
230.0
232.2
234.3
236.3
238.5
240.7
242.8
245.0
247.3
249.9
252.6
255.4
258.1
260.7
263.2
lg = Log(100*G/Pop)
ly = Log(Y)
lpg= Log(Pg)
lpnc = Log(Pnc)
lpuc = log(Puc)
lppt = log(Ppt)
t=trn(1,1) $
lg1=lg[-1]
ly1=ly[-1] ; ly2=ly[-2] ; ly3=ly[-3] ; ly4=ly[-4] ; ly5=ly[-5]
lp1=lpg[-1] ; lp2=lpg[-2] ; lp3=lpg[-3] ; lp4=lpg[-4] ; lp5=lpg[-5] $
218
?
? Models are fit to 31 observations, using 5 lagged values
?
Sample ; 6 - 36 $
?
? Unrestricted Least Squares
?
Regress ; Lhs = lg ; Rhs = one,lpnc,lpuc,lppt,t,
lpg,lp1,lp2,lp3,lp4,lp5,ly$
Calc
; List ; eeols = sumsqdev
; dfols = degfrdm $
?
? 2nd order polynomial, without then with AR1 correction
?
Sample ; 1 - 36 $
Create ; lpg=pdl(5,2) $
Sample ; 6 - 36 $
Regress ; Lhs= lg ; Rhs = one,lpnc,lpuc,lppt,t,lpgpdl,ly$
Calc
; List ; eepdl2=sumsqdev
; dfpdl2=degfrdm$
Regress ; Lhs= lg ; Rhs = one,lpnc,lpuc,lppt,t,lpgpdl,ly;AR1$
?
? 3rd order polynomial
?
Sample ; 1 - 36 $
Create ; lpg=pdl(5,3) $
Sample ; 6 - 36 $
Regress ; Lhs= lg ; Rhs = one,lpnc,lpuc,lppt,t,lpgpdl,ly$
Calc
; List ; eepdl3=sumsqdev
; dfpdl3=degfrdm$
?
? F tests, second vs. third order polynomial, then 3rd order
? as a restriction on 2nd order.
?
Calc
; List ; F23 = ((eepdl2-eepdl3)/1)/(eepdl3/dfpdl3)
; Ftb(.95,1,dfpdl3) $
Calc
; List ; Fpdl = ((eepdl3-eeols)/2)/(eeols/dfols)
; Ftb(.95,2,dfols) $
219
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.649873861
, S.D.=
.9622470146E-01 |
19 |
.02090 |
| Fit:
.95280 |
19] =
56.06,
Prob value =
.00000 |
29.0943 |
|
LogAmemiyaPrCrt.=
-4.613 |
1.74444,
Rho =
.12778 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -17.08775284
1.5611540
-10.946
.0000
LPNC
.2198037154
.17335206
1.268
.2201 .50841999
LPUC
-.9241180560E-03 .99053319E-01
-.009
.9927 .78396138
LPPT
.2640625178E-01 .93288799E-01
.283
.7802 .92045241
T
-.2770071860E-01 .90740536E-02
-3.053
.0065 21.000000
LPG
-.1737208060
.48044800E-01
-3.616
.0018 .79662045
LP1
-.3687630289E-01 .76569919E-01
-.482
.6356 .75074862
LP2
.8680206340E-01 .74127029E-01
1.171
.2561 .70550661
LP3
-.3733949993E-02 .70820378E-01
-.053
.9585 .66046438
LP4
-.8936895355E-01 .69289926E-01
-1.290
.2126 .61491769
LP5
-.6328003655E-01 .50299863E-01
-1.258
.2236 .56962818
LY
2.440977433
.18013091
13.551
.0000 9.1694046
EEOLS
= .83032077708087690D-02
DFOLS
= .19000000000000000D+02
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.649873861
, S.D.=
.9622470146E-01 |
31, Parameters =
9, Deg.Fr.=
22 |
.02092 |
| Fit:
.95272 |
| Model test: F[ 8,
22] =
76.56,
Prob value =
.00000 |
29.0943 |
|
LogAmemiyaPrCrt.=
-4.658 |
1.74520,
Rho =
.12740 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -16.91150020
1.5575025
-10.858
.0000
LPNC
.2262608275
.17344777
1.304
.2055 .50841999
LPUC
.3549823408E-01 .95933337E-01
.370
.7149 .78396138
LPPT
.9240455060E-01 .80601607E-01
1.146
.2639 .92045241
T
-.3138697432E-01 .86656653E-02
-3.622
.0015 21.000000
LPG000
-.1543160936
.29511864E-01
-5.229
.0000 4.0978859
LPG001
.1323144319
.30976075E-01
4.272
.0003 9.4509666
LPG002
-.2535430454E-01 .60348694E-02
-4.201
.0004 33.596342
LY
2.423959361
.17986157
13.477
.0000 9.1694046
EEPDL2
DFPDL2
=
=
.96319764618999180D-02
.22000000000000000D+02
220
Polynomial Distributed Lag for LPG

Lag
Weights
Std. Err. t-ratio Prob. Distribution of Weights (about 0.0)
-----------------------------------------+----------------+----------------+
0 -.1543
.2951E-01
-5.23
.0000|****************|
|
1 -.4736E-01 .1680E-01
-2.82
.0100|
****|
|
2 .8896E-02 .2133E-01
.42
.6807|
|*
|
3 .1444E-01 .2173E-01
.66
.5133|
|*
|
4 -.3073E-01 .1705E-01
-1.80
.0853|
**|
|
5 -.1266
.2724E-01
-4.65
.0001|
******|
|
+----------------+----------------+
Lag
Sum Wts
Std. Err. t-ratio Prob. Distribution of Sum Wts (about 0.0)
-----------------------------------------+----------------+----------------+
0 -.1543
.2951E-01
-5.23
.0000|
*******|
|
1 -.2017
.4101E-01
-4.92
.0001|
**********|
|
2 -.1928
.5076E-01
-3.80
.0010|
*********|
|
3 -.1783
.6538E-01
-2.73
.0123|
*********|
|
4 -.2091
.8041E-01
-2.60
.0163|
**********|
|
5 -.3357
.9556E-01
-3.51
.0020|****************|
|
+----------------+----------------+
+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.12740 |
| Iter= 12, SS=
.009, Log-L= 81.665496 |
=
.29580 |
| Durbin-Watson:
e(t) =
1.40133 |
.02155 |
.02058 |
| Durbin-Watson:
u(t) =
1.82015 |
.08992 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -15.35236510
1.8055644
-8.503
.0000
LPNC
.2244016538
.19555679
1.148
.2512 .50841999
LPUC
-.1668084047E-01 .10109839
-.165
.8689 .78396138
LPPT
.6004852097E-01 .90518314E-01
.663
.5071 .92045241
T
-.2559959111E-01 .93482833E-02
-2.738
.0062 21.000000
LPG000
-.1439744257
.31293522E-01
-4.601
.0000 4.0978859
LPG001
.1299018707
.32730356E-01
3.969
.0001 9.4509666
LPG002
-.2493123446E-01 .63769665E-02
-3.910
.0001 33.596342
LY
2.244778785
.20791786
10.796
.0000 9.1694046
RHO
.2958001545
.17440396
1.696
.0899
Lag
Weights
-----------------------------------------+----------------+----------------+
0 -.1440
.3129E-01
-4.60
.0000|****************|
|
1 -.3900E-01 .1835E-01
-2.13
.0336|
***|
|
2 .1610E-01 .2302E-01
.70
.4843|
|*
|
3 .2135E-01 .2331E-01
.92
.3596|
|**
|
4 -.2327E-01 .1833E-01
-1.27
.2043|
**|
|
5 -.1177
.2907E-01
-4.05
.0001|
*******|
|
+----------------+----------------+
221

Lag
Sum Wts
-----------------------------------------+----------------+----------------+
0 -.1440
.3129E-01
-4.60
.0000|
********|
|
1 -.1830
.4397E-01
-4.16
.0000|
**********|
|
2 -.1669
.5490E-01
-3.04
.0024|
*********|
|
3 -.1455
.7043E-01
-2.07
.0388|
********|
|
4 -.1688
.8571E-01
-1.97
.0489|
*********|
|
5 -.2865
.1003
-2.86
.0043|****************|
|
+----------------+----------------+
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.649873861
, S.D.=
.9622470146E-01 |
21 |
.02019 |
| Fit:
.95598 |
| Model test: F[ 9,
21] =
73.39,
Prob value =
.00000 |
29.0943 |
|
LogAmemiyaPrCrt.=
-4.712 |
1.83377,
Rho =
.08311 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -17.08364725
1.5064705
-11.340
.0000
LPNC
.2204503494
.16738649
1.317
.2020 .50841999
LPUC
-.2838362129E-02 .95527401E-01
-.030
.9766 .78396138
LPPT
.1998453763E-01 .89664082E-01
.223
.8258 .92045241
T
-.2723837429E-01 .87430957E-02
-3.115
.0052 21.000000
LPG000
-.1948932683
.37896102E-01
-5.143
.0000 4.0978859
LPG001
.3148722857
.11640863
2.705
.0133 9.4509666
LPG002
-.1215476937
.59567283E-01
-2.041
.0541 33.596342
LPG003
.1267840792E-01 .78134438E-02
1.623
.1196 134.78559
LY
2.440155167
.17382323
14.038
.0000 9.1694046
EEPDL3
DFPDL3
=
=
.85588726828253890D-02
.21000000000000000D+02

Lag
Weights
-----------------------------------------+----------------+----------------+
0 -.1949
.3790E-01
-5.14
.0000|****************|
|
1 .1111E-01 .3951E-01
.28
.7813|
|*
|
2 .5009E-01 .3268E-01
1.53
.1403|
|****
|
3 -.1889E-02 .2325E-01
-.08
.9360|
*|
|
4 -.6875E-01 .2863E-01
-2.40
.0257|
*****|
|
5 -.7442E-01 .4153E-01
-1.79
.0876|
****|
|
+----------------+----------------+
Lag
Sum Wts
-----------------------------------------+----------------+----------------+
0 -.1949
.3790E-01
-5.14
.0000|
***********|
|
1 -.1838
.4107E-01
-4.47
.0002|
***********|
|
2 -.1337
.6103E-01
-2.19
.0399|
********|
|
3 -.1356
.6836E-01
-1.98
.0605|
********|
|
4 -.2043
.7764E-01
-2.63
.0156|
************|
|
5 -.2788
.9864E-01
-2.83
.0101|****************|
|
+----------------+----------------+
F23
= .26329611615540450D+01
Result = .43247937183399980D+01
FPDL
= .29251546284277880D+00
Result = .35218932605800020D+01
/*=================================================================
Example 17.2A. Polynomial Distributed Lag Models. From earlier
222
editions of the text. This is Almons analysis.

*/=================================================================
QTR
Y
X
1953.1
1953.2
1953.3
1953.4
1954.1
1954.2
1954.3
1954.4
1955.1
1955.2
1955.3
1955.4
1956.1
1956.2
1956.3
1956.4
1957.1
1957.2
1957.3
1957.4
1958.1
1958.2
1958.3
1958.4
1959.1
1959.2
1959.3
1959.4
1960.1
1960.2
1960.3
1960.4
1961.1
1961.2
1961.3
1961.4
1962.1
1962.2
1962.3
1962.4
1963.1
1963.2
1963.3
1963.4
1964.1
1964.2
1964.3
1964.4
1965.1
1965.2
1965.3
1965.4
1966.1
1966.2
1966.3
1966.4
1967.1
1967.2
1967.3
1967.4
2072.0
2077.0
2078.0
2043.0
2062.0
2067.0
1964.0
1981.0
1914.0
1991.0
2129.0
2309.0
2614.0
2896.0
3058.0
3309.0
3446.0
3466.0
3435.0
3183.0
2697.0
2338.0
2140.0
2012.0
2071.0
2192.0
2240.0
2421.0
2639.0
2733.0
2721.0
2640.0
2513.0
2448.0
2429.0
2516.0
2534.0
2494.0
2596.0
2572.0
2601.0
2648.0
2840.0
2937.0
3136.0
3299.0
3514.0
3815.0
4093.0
4262.0
4531.0
4825.0
5160.0
5319.0
5574.0
5749.0
5715.0
5637.0
5383.0
5467.0
1660.0
1926.0
2181.0
1897.0
1695.0
1705.0
1731.0
2151.0
2556.0
3152.0
3763.0
3903.0
3912.0
3571.0
3199.0
3262.0
3476.0
2993.0
2262.0
2011.0
1511.0
1631.0
1990.0
1993.0
2520.0
2804.0
2919.0
3024.0
2725.0
2321.0
2131.0
2552.0
2234.0
2282.0
2533.0
2517.0
2772.0
2380.0
2568.0
2944.0
2629.0
3133.0
3449.0
3764.0
3983.0
4381.0
4786.0
4094.0
4870.0
5344.0
5433.0
5911.0
6109.0
6542.0
5785.0
5707.0
5412.0
5465.0
5550.0
5465.0
?
? Data Setup. Create lagged variables
?
Create ; q1=dmy(4,1) ; q2=dmy(4,2)
; q3=dmy(4,3) ; q4=dmy(4,4) $
Create ; x1=x[-1] ; x2=x[-2] ; x3=x[-3] ; x4=x[-4]
; x5=x[-5] ; x6=x[-6] ; x7=x[-7] ; x0=x $
223
?
? Data set includes some extra observations. Results use only Almons
? Original data set, 1953 to 1961.
?
Sample ; 8-36 $
?----------------------------------------------------------------------? Unrestricted, by OLS, quarterly dummies sum to 0.
? Wald command displays 4 th quarter dummy coefficient
?----------------------------------------------------------------------Regress; Lhs = Y ; Rhs = q1,q2,q3,q4,x0,x1,x2,x3,x4,x5,x6,x7
; cls: b(1)+b(2)+b(3)+b(4) = 0 ; Res = u $
Calc
; List ; EE0=Sumsqdev ; DF0=Degfrdm $
Create ; du = u-u[-1] $
Create ; If(_Obsno = 1)du=0 $
Calc
; List ; DW = du'du/u'u $
Wald
; Fn1 = b0+b1+b2+b3+b4+b5+b6+b7
; Start = b ; var=Varb ; Labels=c1,c2,c3,c4,b0,b1,b2,b3,b4,b5,b6,b7 $
?----------------------------------------------------------------------? Unrestricted, by MLE for AR(1) model, quarterly dummies sum to 0.
?----------------------------------------------------------------------Create ; dq1=q1-q4;dq2=q2-q4;dq3=q3-q4 $
Regress; Lhs = Y
; Rhs = dq1,dq2,dq3,x0,x1,x2,x3,x4,x5,x6,x7
; AR1 ; Alg=MLE $
Wald
; Fn1 = b0+b1+b2+b3+b4+b5+b6+b7
; Fn2 = -c1-c2-c3
; Start = b ; var=Varb ; Labels=c1,c2,c3,b0,b1,b2,b3,b4,b5,b6,b7 $
?----------------------------------------------------------------------? 7 lags, 4th order PDL, OLS dummies sum to zero. Wald shows 4th
? quarterly dummy, F test tests restrictions of the PDL
? Also displays number of restrictions and critical value for test
?----------------------------------------------------------------------Sample ; 1 - 36 $
Create ; X=PDL(7,4) $
Sample ; 8-36 $
Regress; Lhs=Y ; Rhs = dq1,dq2,dq3,xpdl ; Res=updl $
Wald
; Fn1 = -c1-c2-c3
; Start = b ; var=Varb ; Labels=c1,c2,c3,b0,b1,b2,b3,b4$
Calc
; List ; EEPDL=Sumsqdev ; DFPDL=Degfrdm
; Ftest = ((eepdl-ee0)/(dfpdl-df0))/(ee0/df0) $
Calc
; List ; rstpdl=dfpdl-df0
; ftb(.95,rstpdl,df0)$
/*
224
?----------------------------------------------------------------------? PDL, MLE, dummies sum to zero. Repeats previous, using MLE for AR(1)
?----------------------------------------------------------------------Regress; Lhs=Y ; Rhs = dq1,dq2,dq3,xpdl ;AR1;ALG=MLE $
Wald
; Fn1 = -c1-c2-c3
?----------------------------------------------------------------------? PDL OLS with endpoint constraints. Adds two restrictions to previous.
? Computes Durbin Watson statistic on the side.
? F test is for endpoint restrictions+PDL, vs. unrestricted
?----------------------------------------------------------------------Regress; Lhs=Y ; Rhs = dq1,dq2,dq3,xpdl ;
; cls:b(4)- b(5)+ b(6)b(7)+
b(8)=0,
b(4)+8b(5)+64b(6)+512b(7)+4096b(8)=0 ; res=ue $
Create ; due = ue-ue[-1] $
Create ; If(_Obsno = 1)due=0 $
Calc
; List ; DW = due'due/ue'ue
; eeend=sumsqdev ; dfend= degfrdm $
; Ftest = ((eeend-ee0)/(dfend-df0))/(ee0/df0) $
; rstend=dfend-df0
; ftb(.95,rstend,df0)$
?----------------------------------------------------------------------? ML, force dummies to sum to 0 and endpoint constraints. Same as
? previous model. Not actually the full maximum, as it takes the
? unrestricted MLE and does the constrained LS manipulation. Not quite
? the same answer that would be obtained by maximizing the log
? likelihood subject to the constraints.
?----------------------------------------------------------------------Regress ; Lhs=y ; Rhs=dq1,dq2,dq3,xpdl
; Cls:b(4)- b(5)+ b(6)b(7)+
b(8)=0,
b(4)+8b(5)+64b(6)+512b(7)+4096b(8)=0
; Alg=mle;ar1$
Wald
; Fn1 = -c1-c2-c3
225
?----------------------------------------------------------------------? Unrestricted, by OLS, quarterly dummies sum to 0.

? Wald command displays 4th quarter dummy coefficient
?----------------------------------------------------------------------+-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = Y
Mean=
2568.310345
, S.D.=
468.6928711
|
18 |
, Std.Dev.=
166.42029 |
| Fit:
.87392 |
|
18] =
20.41,
Prob value =
.00000 |
-218.9889 |
|
LogAmemiyaPrCrt.=
13.349 |
| F[ 1,
4.4898, Prob =
.0491
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Q1
-2.965392153
56.717708
-.052
.9589 .24137931
Q2
-5.435907920
56.773149
-.096
.9248 .24137931
Q3
-23.31070641
56.927696
-.409
.6873 .24137931
Q4
31.71200649
54.884224
.578
.5710 .27586207
X0
.4012336982E-01 .11117932
.361
.7226 2686.1379
X1
.1096529722
.20276310
.541
.5957 2659.0345
X2
.1893346118
.21283934
.890
.3861 2630.4828
X3
.2226823056
.20741952
1.074
.2980 2610.2414
X4
.7031432835E-01 .21903168
.321
.7521 2598.6207
X5
.6417406351E-01 .23791115
.270
.7906 2585.8276
X6
.1392670483
.22834652
.610
.5500 2578.7586
X7
.1461447708
.11821781
1.236
.2332 2555.9655
DW
EE0
DF0
=
=
=
.40639566470201790D+00
.49852283195910020D+06
.18000000000000000D+02
+-----------------------------------------------+
|for nonlinear functions
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .9816934704
.11812112E-01
83.109
.0000
226
?----------------------------------------------------------------------? Unrestricted, by MLE for AR(1) model, quarterly dummies sum to 0.

?----------------------------------------------------------------------+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.79680 |
=
20 |
| Iter= 3, SS= 178316.179, Log-L=-168.223705 |
=
.82721 |
| Durbin-Watson:
e(t) =
.34525 |
177.13626 |
99.53117 |
| Durbin-Watson:
u(t) =
.97358 |
.51321 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DQ1
1.007468597
24.134698
.042
.9667 -.34482759E-01
DQ2
-.5115678532
24.057482
-.021
.9830 -.34482759E-01
DQ3
-14.80867032
24.344053
-.608
.5430 -.34482759E-01
X0
.6488055853E-01 .64217541E-01
1.010
.3123 2686.1379
X1
.9048646927E-01 .80716466E-01
1.121
.2623 2659.0345
X2
.1989209731
.80926132E-01
2.458
.0140 2630.4828
X3
.2182815558
.81557099E-01
2.676
.0074 2610.2414
X4
.9179705519E-01 .87822985E-01
1.045
.2959 2598.6207
X5
.7356818583E-01 .92089866E-01
.799
.4244 2585.8276
X6
.1399610544
.91125348E-01
1.536
.1246 2578.7586
X7
.1133579483
.68466184E-01
1.656
.0978 2555.9655
RHO
.8272116490
.10618732
7.790
.0000
+-----------------------------------------------+
|
|
| Wald Statistic
=
787.80988
|
.00000
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .9912538005
.35397162E-01
28.004
.0000
Fncn( 2) 14.31276958
24.150911
.593
.5534
227
?----------------------------------------------------------------------? 7 lags, 4th order PDL, OLS dummies sum to zero. Wald shows 4th
? quarterly dummy, F test tests restrictions of the PDL
? Also displays number of restrictions and critical value for test
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = Y
Mean=
2568.310345
, S.D.=
468.6928711
|
29, Parameters =
8, Deg.Fr.=
21 |
, Std.Dev.=
155.23827 |
| Fit:
.89030 |
-218.9889 |
.44507,
Rho =
.77747 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DQ1
-6.982987739
50.756514
-.138
.8919 -.34482759E-01
DQ2
-8.758911609
51.630040
-.170
.8669 -.34482759E-01
DQ3
-15.70362673
50.940622
-.308
.7609 -.34482759E-01
X000
.2653100214E-01 .84772538E-01
.313
.7574 20905.069
X001
.1656054044
.36738667
.451
.6568 72438.655
X002
-.5138057795E-01 .25260637
-.203
.8408 360974.38
X003
.3495534355E-02 .56925288E-01
.061
.9516 2017427.6
X004
.1251824118E-03 .40451237E-02
.031
.9756 12016510.
Polynomial Distributed Lag for X
Lag
Weights
-----------------------------------------+----------------+----------------+
0 .2653E-01 .8477E-01
.31
.7574|
|**
|
1 .1444
.9287E-01
1.55
.1350|
|*************
|
2 .1822
.4856E-01
3.75
.0012|
|********
|
3 .1654
.5711E-01
2.90
.0086|
|*****
|
4 .1226
.5829E-01
2.10
.0476|
|***
|
5 .8522E-01 .4648E-01
1.83
.0809|
|**
|
6 .8773E-01 .9065E-01
.97
.3441|
|**
|
7 .1677
.8214E-01
2.04
.0540|
|***
|
Lag
Sum Wts
-----------------------------------------+----------------+----------------+
0 .2653E-01 .8477E-01
.31
.7574|
|*
|
1 .1709
.4924E-01
3.47
.0023|
|***
|
2 .3531
.6340E-01
5.57
.0000|
|******
|
3 .5185
.4131E-01
12.55
.0000|
|********
|
4 .6412
.6237E-01
10.28
.0000|
|**********
|
5 .7264
.4995E-01
14.54
.0000|
|************
|
6 .8141
.8127E-01
10.02
.0000|
|*************
|
7 .9818
.1100E-01
89.26
.0000|
|****************|
+-----------------------------------------------+
| for nonlinear functions
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) 31.44552608
50.203278
.626
.5311
FTEST
= .10449316411388680D+00
EEPDL= .50607734960866870D+06
DFPDL = .21000000000000000D+02
FTEST
= .90922828387383210D-01
RSTPDL = .30000000000000040D+01
Result = .31599075898100000D+01
228
?----------------------------------------------------------------------? PDL, MLE, dummies sum to zero. Repeats previous, using MLE for AR(1)
?----------------------------------------------------------------------+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.77747 |
=
20 |
| Iter= 3, SS= 195356.806, Log-L=-169.488160 |
=
.80296 |
| Durbin-Watson:
e(t) =
.38316 |
161.82063 |
96.45053 |
| Durbin-Watson:
u(t) =
1.18194 |
.40903 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DQ1
-5.948621996
22.594018
-.263
.7923 -.34482759E-01
DQ2
-3.002142403
23.089429
-.130
.8965 -.34482759E-01
DQ3
-6.406661309
22.679601
-.282
.7776 -.34482759E-01
X000
.5876761171E-01 .57750452E-01
1.018
.3089 20905.069
X001
.8394877499E-01 .19870950
.422
.6727 72438.655
X002
-.8972580989E-02 .13356822
-.067
.9464 360974.38
X003
-.3720177038E-02 .30081841E-01
-.124
.9016 2017427.6
X004
.5007799951E-03 .21487163E-02
.233
.8157 12016510.
RHO
.8029595037
.11263976
7.129
.0000
Lag
Weights
-----------------------------------------+----------------+----------------+
0 .5877E-01 .5775E-01
1.02
.3089|
|******
|
1 .1305
.5073E-01
2.57
.0101|
|***********
|
2 .1690
.3207E-01
5.27
.0000|
|********
|
3 .1700
.3470E-01
4.90
.0000|
|*****
|
4 .1411
.3371E-01
4.19
.0000|
|***
|
5 .1022
.3218E-01
3.17
.0015|
|**
|
6 .8490E-01 .5087E-01
1.67
.0952|
|**
|
7 .1331
.6008E-01
2.22
.0267|
|**
|
+----------------+----------------+
Lag
Sum Wts
-----------------------------------------+----------------+----------------+
0 .5877E-01 .5775E-01
1.02
.3089|
|*
|
1 .1893
.5000E-01
3.79
.0002|
|***
|
2 .3583
.5247E-01
6.83
.0000|
|******
|
3 .5283
.4638E-01
11.39
.0000|
|*********
|
4 .6694
.5268E-01
12.71
.0000|
|***********
|
5 .7716
.5127E-01
15.05
.0000|
|************
|
6 .8565
.6339E-01
13.51
.0000|
|************** |
7 .9896
.3072E-01
32.21
.0000|
|****************|
+----------------+----------------+
+-----------------------------------------------+
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) 15.35742571
23.325011
.658
.5103
?----------------------------------------------------------------------? PDL OLS with endpoint constraints. Adds two restrictions to previous.
229
? Computes Durbin Watson statistic on the side.

? F test is for endpoint restrictions+PDL, vs. unrestricted
?-----------------------------------------------------------------------+
|
| Ordinary
|
| Dep. var. = Y
Mean=
2568.310345
, S.D.=
468.6928711
|
29, Parameters =
6, Deg.Fr.=
23 |
, Std.Dev.=
154.94464 |
| Fit:
.89071 |
|
| Model test: F[ 5,
23] =
46.64,
Prob value =
.00000 |
-218.9889 |
|
LogAmemiyaPrCrt.=
13.106 |
| F[ 2,
.9565, Prob =
.4003
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DQ1
-13.30190003
50.453240
-.264
.7946 -.34482759E-01
DQ2
-7.017022701
50.455268
-.139
.8907 -.34482759E-01
DQ3
-7.627468222
50.449535
-.151
.8813 -.34482759E-01
X000
.8681153894E-01 .20857921E-01
4.162
.0004 20905.069
X001
.5665643950E-01 .51311122E-02
11.042
.0000 72438.655
X002
-.2487724124E-01 .14309839E-01
-1.738
.0968 360974.38
X003
.4919745568E-02 .39636114E-02
1.241
.2282 2017427.6
X004
-.3581126334E-03 .28237345E-03
-1.268
.2186 12016510.
Lag
Weights
-----------------------------------------+----------------+----------------+
0 .8681E-01 .2086E-01
4.16
.0004|
|**********
|
1 .1232
.1438E-01
8.56
.0000|
|*********
|
2 .1342
.1155E-01
11.62
.0000|
|******
|
3 .1367
.2044E-01
6.69
.0000|
|*****
|
4 .1386
.2045E-01
6.78
.0000|
|****
|
5 .1393
.1165E-01
11.96
.0000|
|***
|
6 .1297
.1458E-01
8.90
.0000|
|**
|
7 .9207E-01 .2097E-01
4.39
.0003|
|**
|
+----------------+----------------+
Lag
Sum Wts
-----------------------------------------+----------------+----------------+
0 .8681E-01 .2086E-01
4.16
.0004|
|*
|
1 .2100
.3450E-01
6.09
.0000|
|***
|
2 .3442
.3446E-01
9.99
.0000|
|******
|
3 .4809
.3082E-01
15.60
.0000|
|********
|
4 .6195
.3430E-01
18.06
.0000|
|**********
|
5 .7588
.3451E-01
21.99
.0000|
|************
|
6 .8885
.2203E-01
40.33
.0000|
|************** |
7 .9806
.1091E-01
89.85
.0000|
|****************|
+----------------+----------------+
DW
= .43219363097339080D+00
EEEND
= .55218036222191830D+06
DFEND
= .23000000000000000D+02
FTEST
= .38747896096761420D+00
RSTEND = .50000000000000000D+01
Result = .27728531530000010D+01
230
?----------------------------------------------------------------------? ML, force dummies to sum to 0 and endpoint constraints. Same as

? previous model. Not actually the full maximum, as it takes the
? unrestricted MLE and does the constrained LS manipulation. Not quite
? the same answer that would be obtained by maximizing the log
? likelihood subject to the constraints.
?----------------------------------------------------------------------+---------------------------------------------+
| AR(1) Model:
e(t) = rho * e(t-1) + u(t) |
=
.77747 |
=
20 |
| Iter= 3, SS= 195356.806, Log-L=-169.488160 |
=
.80296 |
| Durbin-Watson:
e(t) =
.38316 |
161.82063 |
96.45053 |
| Durbin-Watson:
u(t) =
1.18194 |
.40903 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DQ1
-5.948621996
22.594018
-.263
.7923 -.34482759E-01
DQ2
-3.002142403
23.089429
-.130
.8965 -.34482759E-01
DQ3
-6.406661309
22.679601
-.282
.7776 -.34482759E-01
X000
.5876761171E-01 .57750452E-01
1.018
.3089 20905.069
X001
.8394877499E-01 .19870950
.422
.6727 72438.655
X002
-.8972580989E-02 .13356822
-.067
.9464 360974.38
X003
-.3720177038E-02 .30081841E-01
-.124
.9016 2017427.6
X004
.5007799951E-03 .21487163E-02
.233
.8157 12016510.
RHO
.8029595037
.11263976
7.129
.0000
Lag
Weights
-----------------------------------------+----------------+----------------+
0 .5877E-01 .5775E-01
1.02
.3089|
|******
|
1 .1305
.5073E-01
2.57
.0101|
|***********
|
2 .1690
.3207E-01
5.27
.0000|
|********
|
3 .1700
.3470E-01
4.90
.0000|
|*****
|
4 .1411
.3371E-01
4.19
.0000|
|***
|
5 .1022
.3218E-01
3.17
.0015|
|**
|
6 .8490E-01 .5087E-01
1.67
.0952|
|**
|
7 .1331
.6008E-01
2.22
.0267|
|**
|
+----------------+----------------+
Lag
Sum Wts
-----------------------------------------+----------------+----------------+
0 .5877E-01 .5775E-01
1.02
.3089|
|*
|
1 .1893
.5000E-01
3.79
.0002|
|***
|
2 .3583
.5247E-01
6.83
.0000|
|******
|
3 .5283
.4638E-01
11.39
.0000|
|*********
|
4 .6694
.5268E-01
12.71
.0000|
|***********
|
5 .7716
.5127E-01
15.05
.0000|
|************
|
6 .8565
.6339E-01
13.51
.0000|
|************** |
7 .9896
.3072E-01
32.21
.0000|
|****************|
+----------------+----------------+
231
+-----------------------------------------------------------------------+
|
| Generalized least squares regression
|
| Dep. var. = Y
Mean=
2568.310345
, S.D.=
468.6928711
|
29, Parameters =
6, Deg.Fr.=
23 |
, Std.Dev.=
161.56829 |
| Fit:
.88117 |
|
| Model test: F[ 5,
23] =
42.53,
Prob value =
.00000 |
-218.9889 |
|
LogAmemiyaPrCrt.=
13.190 |
| F[ 2,
.6857, Prob =
.5146
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
DQ1
-7.957061800
22.513739
-.353
.7273 -.34482759E-01
DQ2
-3.353494482
22.455568
-.149
.8827 -.34482759E-01
DQ3
-4.152770819
22.500234
-.185
.8553 -.34482759E-01
X000
.9021824328E-01 .23341667E-01
3.865
.0009 20905.069
X001
.6242829710E-01 .73869286E-02
8.451
.0000 72438.655
X002
-.2364934860E-01 .15137359E-01
-1.562
.1332 360974.38
X003
.3881033284E-02 .41058500E-02
.945
.3553 2017427.6
X004
-.2595642947E-03 .29168922E-03
-.890
.3836 12016510.
Lag
Weights
-----------------------------------------+----------------+----------------+
0 .9022E-01 .2334E-01
3.87
.0009|
|**********
|
1 .1326
.1858E-01
7.14
.0000|
|**********
|
2 .1474
.1464E-01
10.06
.0000|
|******
|
3 .1484
.2130E-01
6.97
.0000|
|*****
|
4 .1435
.2133E-01
6.73
.0000|
|***
|
5 .1340
.1479E-01
9.06
.0000|
|***
|
6 .1153
.1874E-01
6.16
.0000|
|**
|
7 .7638E-01 .2342E-01
3.26
.0037|
|*
|
+----------------+----------------+
Lag
Sum Wts
-----------------------------------------+----------------+----------------+
0 .9022E-01 .2334E-01
3.87
.0009|
|*
|
1 .2228
.4095E-01
5.44
.0000|
|****
|
2 .3702
.4584E-01
8.08
.0000|
|******
|
3 .5186
.4553E-01
11.39
.0000|
|********
|
4 .6621
.4703E-01
14.08
.0000|
|***********
|
5 .7961
.4459E-01
17.86
.0000|
|*************
|
6 .9115
.3420E-01
26.65
.0000|
|*************** |
7 .9878
.3065E-01
32.22
.0000|
|****************|
+----------------+----------------+
+-----------------------------------------------+
|
|
| Wald Statistic
=
.47824
|
.48922
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) 15.46332710
22.360467
.692
.4892
232
/*=================================================================
Example 17.3. Price and Income Elasticities of Demand for Gasoline
*/=================================================================
?
? Data setup is in Example 17.2.
?
?--------------------------------------------------------------------------? Unrestricted model
?--------------------------------------------------------------------------Sample ; 6 - 36 $
Regress ; Lhs = lg
; Rhs = One,lpnc,lpuc,lppt,t,
lpg,lp1,lp2,lp3,lp4,lp5,ly,ly1,ly2,ly3,ly4,ly5 $
Calc
; List ; N ; Sumsqdev $
Wald
; Fn1=b6+b7+b8+b9+b10+b11
; Fn2=b12+b13+b14+b15+b16+b17;
; Start=b ; Var=Varb ; Labels=17_b$
?--------------------------------------------------------------------------?NonlinearLeastSquaresEstimationforExpectationsModel.
?--------------------------------------------------------------------------Sample;136$
Namelist;Xdl=one,LPnc,LPuc,LPpt,t$
Matrix;EE=0.0[99,1];LL=EE$
Calc;J=0;Smallee=1000000$
Procedure
Create;If(_obsno=1)|ztp=lpg/(1lambda);zty=ly/(1lambda)
;dtp=ztp/(1lambda);dty=zty/(1lambda)$
Create;If(_obsno>1)|ztp=lpg+lambda*ztp[1]
;zty=ly+lambda*zty[1]
;dtp=ztp[1]+lambda*dtp[1]
;dty=zty[1]+lambda*dty[1]$
Calc;Sume2=Ess(XDL,ZtP,ZtY,LG);j=j+1
;If(Sume2<Smallee)|Smallee=sume2;Best=lambda$
Matrix;EE(j)=Sume2;LL(j)=Lambda$
Endproc
Execute;Lambda=.01,.99,.01$
Mplot;Lhs=LL;Rhs=EE;Fill;Grid;Endpoints=0,1$
Calc;j=1;List;N;Smallee$
Execute;Lambda=Best$
Namelist;X=Xdl,ztp,zty$
Matrix;Beta=<XX>*XLg$
Create;dt=Beta(6)*dtp+Beta(7)*dty$
Namelist;X0=X,dt$
Matrix;Beta=[Beta/Lambda];V=ssqrd*<X0X0>;Stat(Beta,V)$
Wald;Start=Beta;Var=V;Labels=b1,b2,b3,b4,b5,b6,b7,Lm
;Fn1=b6/(1Lm);Fn2=b7/(1Lm)$
?--------------------------------------------------------------------------? Partial Adjustment Model
?--------------------------------------------------------------------------Sample ; 2 - 36 $
Regress ; Lhs = Lg ; Rhs = One,lpnc,lpuc,lppt,t,lpg,ly,lg1 $
Calc
; List ; N ; Sumsqdev $
Wald
; Fn1 = b6/(1-b8) ; fn2=b7/(1-b8)
; Start = b ; Var = Varb ; Labels = 8_b $
/*
233
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.649873861
, S.D.=
.9622470146E-01 |
14 |
.01085 |
| Fit:
.98728 |
14] = 146.47,
Prob value =
.00000 |
29.0943 |
|
LogAmemiyaPrCrt.=
-5.907 |
1.41757,
Rho =
.29121 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -18.16520769
.94287398
-19.266
.0000
LPNC
.1869545562
.93945297E-01
1.990
.0665 .50841999
LPUC
.8002558141E-01 .78781503E-01
1.016
.3270 .78396138
LPPT
-.7537782793E-01 .74139645E-01
-1.017
.3265 .92045241
T
-.3359358417E-01 .64073728E-02
-5.243
.0001 21.000000
LPG
-.2086637792
.30323252E-01
-6.881
.0000 .79662045
LP1
-.1325136220
.55849246E-01
-2.373
.0325 .75074862
LP2
.8196540286E-01 .48010410E-01
1.707
.1098 .70550661
LP3
.2578197557E-02 .49143648E-01
.052
.9589 .66046438
LP4
-.5847635591E-01 .45473147E-01
-1.286
.2193 .61491769
LP5
.4547743059E-01 .51710643E-01
.879
.3940 .56962818
LY
.7851237820
.25909796
3.030
.0090 9.1694046
LY1
-.1384356575E-01 .28699331
-.048
.9622 9.1509123
LY2
.6963302390
.25887627
2.690
.0176 9.1315171
LY3
.8757028834E-01 .29113384
.301
.7680 9.1120229
LY4
.2586348681
.24466791
1.057
.3084 9.0917336
LY5
.7791365084
.20573492
3.787
.0020 9.0715858
SampleN=.31000000000000000D+02
SUMSQDEV=.16495084603249600D02
++
|WALDprocedure.Estimatesandstandarderrors|
|fornonlinearfunctions|
++
+++++++
+++++++
Fncn(1).2696327261.89234076E013.022.0025
Fncn(2)2.592952120.1089407323.801.0000
234

Variance=V
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BETA _ 1 -18.08046378
.79502160
-22.742
.0000
BETA _ 2 -.5918967014E-01 .52728654E-01
-1.123
.2616
BETA _ 3 .3704753603
.39918390E-01
9.281
.0000
BETA _ 4 .1156824825
.37962917E-01
3.047
.0023
BETA _ 5 -.3986080333E-01 .34334562E-02 -11.610
.0000
BETA _ 6 -.1707701991
.11935034E-01 -14.308
.0000
BETA _ 7 .8770521469
.43784364E-01
20.031
.0000
BETA _ 8 .6600000000
.13903179E-01
47.471
.0000
SampleN=.36000000000000000D+02
SMALLEE=.98409285675415960D02
++
|WALDprocedure.Estimatesandstandarderrors|
|fornonlinearfunctions|
++
+++++++
+++++++
Fncn(1).5022652916.44594609E0111.263.0000
Fncn(2)2.579565138.92256903E0127.961.0000
.050
.045
.040
.035
EE
.030
.025
.020
.015
.010
.005
.0
.2
.4
.6
.8
1.0
LL
235
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.610830309
, S.D.=
.1429479464
|
35, Parameters =
8, Deg.Fr.=
27 |
.02152 |
| Fit:
.97734 |
| Model test: F[ 7,
27] = 210.45,
Prob value =
.00000 |
18.9290 |
|
LogAmemiyaPrCrt.=
-4.642 |
1.63910,
Rho =
.18045 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -5.133074868
1.9252433
-2.666
.0128
LPNC
-.1385850117
.13860763
-1.000
.3263 .45460339
LPUC
.1262311395
.73788044E-01
1.711
.0986 .68769049
LPPT
.5086530758E-01 .64897450E-01
.784
.4400 .80016275
T
-.1056855906E-01 .54108460E-02
-1.953
.0612 19.000000
LPG
-.1181728771
.25249203E-01
-4.680
.0001 .69558165
LY
.7717496814
.26878032
2.871
.0079 9.1225115
LG1
.6355402720
.12455748
5.102
.0000 4.5978268
Sample N= .35000000000000000D+02
SUMSQDEV= .12504339955516810D-01
+-----------------------------------------------+
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) -.3242412481
.13403797
-2.419
.0156
Fncn( 2) 2.117517032
.41434438
5.111
.0000
*/
236
/*=================================================================
Example 17.4. Lag Weights in a Rational Lag Model
*/=================================================================
Quarter
C
Y
1953.1
1953.2
1953.3
1953.4
1954.1
1954.2
1954.3
1954.4
1955.1
1955.2
1955.3
1955.4
1956.1
1956.2
1956.3
1956.4
1957.1
1957.2
1957.3
1957.4
1958.1
1958.2
1958.3
1958.4
1959.1
1959.2
1959.3
1959.4
1960.1
1960.2
1960.3
1960.4
1961.1
1961.2
1961.3
1961.4
1962.1
1962.2
1962.3
1962.4
1963.1
1963.2
1963.3
1963.4
1964.1
1964.2
1964.3
1964.4
1965.1
1965.2
1965.3
1965.4
1966.1
1966.2
1966.3
1966.4
1967.1
1967.2
1967.3
1967.4
1968.1
1968.2
1968.3
1968.4
1969.1
1969.2
1969.3
362.8
364.6
363.6
362.6
363.5
366.2
371.8
378.6
385.2
392.2
396.4
402.6
403.2
403.9
405.1
409.3
411.7
412.4
415.2
416.0
411.0
414.7
420.9
425.2
424.1
439.7
443.3
444.6
448.1
454.1
452.7
453.2
454.0
459.9
461.4
470.3
474.5
479.8
483.7
490.0
493.1
497.4
503.9
507.5
516.6
525.6
534.3
535.3
546.0
550.7
559.2
573.9
581.2
582.3
588.6
590.5
594.8
602.4
605.2
608.2
620.7
629.9
642.3
644.7
651.9
656.2
659.6
395.5
401.0
399.7
400.2
399.7
397.3
403.8
411.8
414.7
423.8
430.8
437.6
441.2
444.7
446.6
452.7
452.6
455.4
457.9
456.0
452.1
455.1
464.6
471.3
474.5
482.2
479.0
483.1
487.8
490.7
491.0
488.8
493.4
500.7
505.5
514.8
519.5
523.9
526.7
529.0
533.3
538.9
544.4
552.5
563.6
579.4
586.4
593.0
599.7
607.8
623.6
634.6
639.7
642.0
649.2
700.7
665.0
671.3
676.5
682.0
690.4
701.9
703.6
708.7
710.4
717.0
730.1
237
1969.4
1970.1
1970.2
1970.3
1970.4
1971.1
1971.2
1971.3
1971.4
1972.1
1972.2
1972.3
1972.4
1973.1
1973.2
1973.3
1973.4
1974.1
1974.2
1974.3
1974.4
1975.1
1975.2
1975.3
1975.4
1976.1
1976.2
1976.3
1976.4
1977.1
1977.2
1977.3
1977.4
1978.1
1978.2
1978.3
1978.4
1979.1
1979.2
1979.3
1979.4
1980.1
1980.2
1980.3
1980.4
1981.1
1981.2
1981.3
1981.4
1982.1
1982.2
1982.3
1982.4
1983.1
1983.2
1983.3
1983.4
1984.1
1984.2
1984.3
1984.4
663.9
667.4
670.5
676.5
673.9
687.0
693.3
698.2
708.6
718.6
731.1
741.3
757.1
768.8
766.3
769.7
766.7
761.2
764.1
769.4
756.5
763.3
775.6
785.4
793.3
809.9
817.1
826.5
838.9
851.7
858.0
867.3
880.4
883.8
901.1
908.6
919.2
921.2
919.5
930.9
938.6
938.3
919.6
929.4
940.0
950.2
949.1
955.7
946.8
953.7
958.9
964.2
976.3
982.5
1006.2
1015.6
1032.4
1044.1
1064.2
1065.9
1075.4
733.2
737.1
752.6
759.7
756.1
771.3
779.7
781.0
785.5
791.7
798.5
842.2
838.1
855.0
862.1
868.0
873.4
859.9
859.7
859.7
851.1
845.1
891.3
878.4
884.9
899.3
904.1
908.8
914.9
919.6
934.1
951.9
965.9
973.5
982.6
994.2
1005.0
1011.1
1011.8
1019.7
1020.2
1025.9
1011.8
1019.3
1030.2
1044.0
1041.0
1058.4
1056.0
1052.8
1054.7
1057.7
1067.5
1073.3
1082.2
1102.1
1124.4
1147.8
1165.3
1176.7
1186.9
Create ; lc = log(c) ; ly = log(y) $

Create ; lc1=lc[-1] ; lc2 = lc[-2] ; lc3 = lc[-3]
; ly1=ly[-1] ; ly2 = ly[-2] ; ly3 = ly[-3] $
Create ; q1=Dmy(4,1) ; q2=Dmy(4,2) ; q3=Dmy(4,3) ; q4=Dmy(4,4) $
?
? Autoregressive - Distributed Lag Model
?
Sample ; 4 - 128 $
Regress; Lhs = lc ; Rhs = lc1,lc2,lc3,ly,ly1,ly2,ly3,one $
238
Calc
Calc
;
;
;
;
;
;
;
;
;
;
;
;
;
g1=b(1);g2=b(2);g3=b(3);b0=b(4);b1=b(5);b2=b(6);b3=b(7) $
List
a0 = b0
a1 = b1 + a0*g1
a2 = b2 + a0*g2+a1*g1
a3 = b3 + a0*g3+a1*g2+a2*g1
a4 =
a1*g3+a2*g2+a3*g1
a5 =
a2*g3+a3*g2+a4*g1
a6 =
a3*g3+a4*g2+a5*g1
a7 =
a4*g3+a5*g2+a6*g1
a8 =
a5*g3+a6*g2+a7*g1
a9 =
a6*g3+a7*g2+a8*g1
a10=
a7*g3+a8*g2+a9*g1 $
?
? Long Run Effect
?
Wald
; fn1= (bb0+bb1+bb2+bb3)/(1-gg1-gg2-gg3)
; Start=b ; Var=Varb
; labels=gg1,gg2,gg3,bb0,bb1,bb2,bb3,bq1,bq2,bq3,bq4$
?
? Unrestricted Lag Model with 10 Lagged Values
?
Sample ; 1 - 128$
Create ; ly4=ly[-4];ly5=ly[-5];ly6=ly[-6]
; ly7=ly[-7];ly8=ly[-8];ly9=ly[-9];ly10=ly[-10]$
Sample ; 11 - 128$
Regress; Lhs = lc ; Rhs = ly,ly1,ly2,ly3,ly4,ly5,ly6,ly7,ly8,ly9,ly10,
q1,q2,q3,q4 $
?
? Long Run Effect = Sum of coefficients
?
Wald ; fn1=v1+v2+v3+v4+v5+v6+v7+v8+v9+v10+v11
; start=b;var=varb;labels=11_v,4_dq$
?
? Plot two sets of coefficients
?
Matrix ; Ardl=[a0,a1,a2,a3,a4,a5,a6,a7,a8,a9,a10]
; Unres=b(1:11)
; Lag=[0,1,2,3,4,5,6,7,8,9,10]$
Mplot ; Lhs=Lag
; Rhs=ARDL,Unres
; Grid ; Fill ; Limits=-.2,1 ; EndPoints=0,10
; Yaxis=LagWt ;Title=Lag Coefficients $
239
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LC
Mean=
6.451850235
, S.D.=
.3238111975
|
114 |
.00739 |
| Fit:
.99948 |
114] =23794.90,
Prob value =
.00000 |
-35.9160 |
|
LogAmemiyaPrCrt.=
-6.893 |
2.01407,
Rho =
-.00704 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LC1
.8706164426
.99055652E-01
8.789
.0000 6.4431751
LC2
.1180990706
.12992494
.909
.3653 6.4345929
LC3
-.8196778907E-01 .97162656E-01
-.844
.4007 6.4259839
LY
.3153826638
.58936010E-01
5.351
.0000 6.5487101
LY1
-.8363017659E-01 .72458917E-01
-1.154
.2508 6.5400030
LY2
-.7655210459E-01 .71692616E-01
-1.068
.2879 6.5313909
LY3
-.6359220813E-01 .63878287E-01
-.996
.3216 6.5227463
Q1
.5888645232E-02 .13556439E-01
.434
.6648 .24800000
Q2
.6364672141E-02 .13580857E-01
.469
.6402 .24800000
Q3
.5623633510E-02 .13607036E-01
.413
.6802 .24800000
Q4
.4165480627E-02 .13588045E-01
.307
.7597 .25600000
A0
= .31538266381914500D+00
A1
= .19094715625389090D+00
A2
= .12693602880702680D+00
A3
= .43619847737177700D-01
A4
= .37315667469401120D-01
A5
= .27234431511063550D-01
A6
= .24542267048675820D-01
A7
= .21524579522454650D-01
A8
= .19405725644981920D-01
A9
= .17425301296226190D-01
A10
= .15698229795711810D-01
+-----------------------------------------------+
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .9823693171
.22348398E-01
43.957
.0000
240
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LC
Mean=
6.483124146
, S.D.=
.3057207536
|
103 |
.01368 |
| Fit:
.99800 |
103] = 4163.88,
Prob value =
.00000 |
-27.0928 |
|
LogAmemiyaPrCrt.=
-5.627 |
.43365,
Rho =
.78317 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LY
.6364230984
.10177907
6.253
.0000 6.5807044
LY1
.2549160948
.12888180
1.978
.0506 6.5719769
LY2
.1209456989
.13074491
.925
.3571 6.5631387
LY3
-.8010460464E-02 .13120238
-.061
.9514 6.5543235
LY4
-.9682191104E-01 .13159448
-.736
.4635 6.5454702
LY5
-.9079748315E-01 .13106868
-.693
.4900 6.5366540
LY6
-.2510685562E-01 .12898456
-.195
.8461 6.5280586
LY7
.2004806151
.10285053
1.949
.0540 6.5196282
LY8
.3016335323E-05 .19765066E-04
.153
.8790 -2.0056133
LY9
-.6383869148E-05 .19776192E-04
-.323
.7475 -10.530809
LY10
-.7089693017E-05 .14165550E-04
-.500
.6178 -19.055926
Q1
-.3741004273E-01 .28823082E-01
-1.298
.1972 .24576271
Q2
-.3725119811E-01 .28783890E-01
-1.294
.1985 .24576271
Q3
-.3762376347E-01 .28834623E-01
-1.305
.1949 .25423729
Q4
-.3837521624E-01 .28930243E-01
-1.326
.1876 .25423729
+-----------------------------------------------+
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .9920183396
.43015547E-02 230.619
.0000
*/
LAG COEFFICIENTS
1.0
ARDL
UNRES
LAGWT
.8
.5
.3
.0
-.2
10
LAG
241
/*=================================================================
Example 17.5. Characteristic Roots of a Dynamic Equation
*/=================================================================
?
? We form the matrix C (name C is in use, we use CC), then get
? the possibly complex roots.
?
Matrix ; CC=[g1,g2,g3/1,0,0/0,1,0] ; List ; CXRT(CC) $
/*
Matrix Result
1
2
+---------------------------1| .9006979D+00 .0000000D+00
2| -.3170854D+00 .0000000D+00
3| .2870039D+00 .0000000D+00
*/
/*=================================================================
Example 17.6. An Error Correction Model for Consumption
*/=================================================================
Sample ; 1 - 128 $
Create ; dc = lc - lc1
; dy = ly - ly1 $
Sample ; 2 - 128 $
Nlsq
; Lhs = dc
; Fcn = mu + beta0*dy + (gamma1-1) *(lc1 - theta*ly1)
; Labels = mu,beta0,gamma1,theta
; start = 0,0,0,0 $
/*
+-----------------------------------------------------------------------+
|
| Nonlinear
|
|
| Dep. var. = DC
Mean=
.8555875954E-02, S.D.=
.8163655587E-02 |
127, Parameters =
4, Deg.Fr.=
123 |
.00735 |
| Fit:
.18935 |
|
| Model test: F[ 3,
123] =
9.18,
Prob value =
.00002 |
430.9208 |
|
LogAmemiyaPrCrt.=
-6.925 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
242

+---------+--------------+----------------+--------+---------+----------+
MU
.2887294758E-02 .13071043E-01
.221
.8252
BETA0
.2998159397
.56289608E-01
5.326
.0000
GAMMA1
.8786699763
.52218492E-01
16.827
.0000
THETA
.9890689168
.16279146E-01
60.757
.0000
*/
Create ; eqerror = (b(3)-1)*(lc1-b(4)*ly1) $
Date
; 1953.1 $
Period ; 1953.2-1984.4 $
Plot
; Rhs = lc,ly $
Plot
; Rhs = eqerror $
243
7.4
LC
LY
Variable
7.1
6.7
6.3
6.0
5.6
1953 1957 1961 1965 1969 1973 1977 1981 1985
Quarter
244
.015
EQERROR
.010
.005
.000
-.005
1953 1957 1961 1965 1969 1973 1977 1981 1985
Quarter
245
/*=================================================================
Example 17.7. Testing Common Factor Restrictions
*/=================================================================
Period ; 1953.4 - 1984.4 $
Regress; lhs = lc ; rhs = One,lc1,lc2,ly,ly1,ly2 $
Calc
; List ; ee0 = sumsqdev $
Nlsq
; lhs = lc
; fcn = mu + (tau1+lambda2)*lc1 - tau2*lambda2*lc2
+ beta0*ly - beta0*(tau1+tau2)*ly1 + beta0*tau1*tau2*ly2
; labels=mu,beta0,tau1,tau2,lambda2
; start=0,0,0,0,0 ;maxit=200$
Calc
; List ; ee0 ; ee1 = sumsqdev $
Nlsq
; lhs = lc
; fcn = mu + rho1*lc1+rho2*lc2
+ beta0*(ly-rho1*ly1-rho2*ly2)
; labels=mu,beta0,rho1,rho2
; start=0,0,0,0 ;maxit=200$
Calc
; list ; ee2 = sumsqdev $
Calc
; List ; ee0 ; ee1
; F1 = ((ee1-ee0)/1)/(ee0/(125-6)) $
Calc
; List ; ee0 ; ee2
; F2 = ((ee2-ee0)/2)/(ee0/(125-6)) $
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LC
Mean=
6.451850235
, S.D.=
.3238111975
|
125, Parameters =
6, Deg.Fr.=
119 |
.00738 |
| Fit:
.99948 |
| Model test: F[ 5,
119] =47720.63,
Prob value =
.00000 |
-35.9160 |
|
LogAmemiyaPrCrt.=
-6.933 |
2.07158,
Rho =
-.03579 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant .6494191539E-02 .13486126E-01
.482
.6310
LC1
.9086046159
.96581645E-01
9.408
.0000 6.4431751
LC2
-.2141138412E-02 .96494561E-01
-.022
.9823 6.4345929
LY
.3062449314
.58235276E-01
5.259
.0000 6.5487101
LY1
-.9229841847E-01 .69572743E-01
-1.327
.1872 6.5400030
LY2
-.1220325919
.61915213E-01
-1.971
.0510 6.5313909
EE0
= .64812637328700630D-02
246
+-----------------------------------------------------------------------+
|
| Nonlinear
|
|
| Dep. var. = LC
Mean=
6.451850235
, S.D.=
.3238111975
|
125, Parameters =
5, Deg.Fr.=
120 |
.00735 |
| Fit:
.99949 |
|
| Model test: F[ 4,
120] =57794.58,
Prob value =
.00000 |
-35.9160 |
|
LogAmemiyaPrCrt.=
-6.909 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
MU
.5747716575E-02 .13419787E-01
.428
.6684
BETA0
.2805761717
.56794666E-01
4.940
.0000
TAU1
.8325132707E-01 .10932414
.762
.4464
TAU2
.4887174624
.21755638
2.246
.0247
LAMBDA2
.8543857917
.64348149E-01
13.278
.0000
EE1
= .67455008270948710D-02
+-----------------------------------------------------------------------+
|
| Nonlinear
|
|
| Dep. var. = LC
Mean=
6.451850235
, S.D.=
.3238111975
|
125, Parameters =
4, Deg.Fr.=
121 |
.00751 |
| Fit:
.99946 |
|
| Model test: F[ 3,
121] =74440.78,
Prob value =
.00000 |
-35.9160 |
|
LogAmemiyaPrCrt.=
-6.882 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
MU
.1268356673E-01 .13407493E-01
.946
.3441
BETA0
.2523008876
.55727737E-01
4.527
.0000
RHO1
.9661681816
.93871583E-01
10.292
.0000
RHO2
.3258077655E-01 .93831625E-01
.347
.7284
EE2
= .70408216561875250D-02
F1
F2
*/
=
=
.48515560404186640D+01
.51369143132593640D+01
247
Chapter 18. Time Series Models

/*=================================================================
Example 18.1. ACF and PACF for a Series of Bond Yields
*/=================================================================
Read ; Nobs = 60 ; Nvar = 2 ; Names = Date,Y$
1990.01
8.99
1990.02
9.72
1990.03
9.37
1990.04
9.46
1990.05
9.47
1990.06
9.26
1990.07
9.24
1990.08
9.41
1990.09
9.56
1990.10
9.53
1990.11
9.30
1990.12
9.05
1991.01
9.04
1991.02
8.83
1991.03
8.93
1991.04
8.86
1991.05
8.86
1991.06
9.01
1991.07
9.00
1991.08
8.75
1991.09
8.61
1991.10
8.55
1991.11
8.48
1991.12
8.31
1992.01
8.20
1992.02
8.29
1992.03
8.35
1992.04
8.33
1992.05
8.28
1992.06
8.22
1992.07
8.07
1992.08
7.95
1992.09
7.92
1992.10
7.99
1992.11
8.10
1992.12
7.98
1993.01
7.91
1993.02
7.71
1993.03
7.58
1993.04
7.46
1993.05
7.43
1993.06
7.33
1993.07
7.17
1993.08
6.85
1993.09
6.66
1993.10
6.67
1993.11
6.93
1993.12
6.93
1994.01
6.92
1994.02
7.08
1994.03
7.48
1994.04
7.88
1994.05
7.99
1994.06
7.97
1994.07
8.11
1994.08
8.07
1994.09
8.34
1994.10
8.57
1994.11
8.68
1994.12
8.46
Date
Period
Plot
Identify
;
;
;
;
1990.01
1990.01
Rhs = Y
Rhs = y
$
- 1994.12 $
$
; Pds = 15 $
248
Period
; 1990.03 - 1994.12 $
Regress ; Lhs = y ; Rhs = One,y[-1],y[-2] ; Res = u $
Identify ; Rhs = u ; Pds = 15 $
1.0
Y (x10^01)
.9
.9
.9
.8
.8
.7
.6
1989
1990
1991
1992
1993
1994
1995
Month
/*
-----------------------------------------------------------------------------Time series identification for Y
321.9940
360.5745
Degrees of freedom
=
15
Degrees of freedom
=
15
Significance level
=
.0000
Significance level
=
.0000
|Box/Prc|
X
1 | .967*|
|*********** | 56.05*| .967*|
|***********X
2 | .909*|
|********** |105.63*|-.381*|
**** |
X
3 | .853*|
|*********
|149.27*| .138 |
|**
X
4 | .795*|
|*********
|187.17*|-.156 |
** |
X
5 | .736*|
|********
|219.64*| .012 |
|*
X
6 | .674*|
|*******
|246.92*|-.101 |
* |
X
7 | .606*|
|*******
|268.94*|-.144 |
** |
X
249
8 | .530*|
|******
|285.83*|-.093 |
* |
X
9 | .451*|
|*****
|298.04*|-.102 |
* |
X
10 | .379*|
|****
|306.67*| .123 |
|*
X
11 | .318*|
|***
|312.73*| .009 |
|*
X
12 | .260*|
|***
|316.77*|-.056 |
* |
X
13 | .209 |
|**
|319.39*| .115 |
|*
X
14 | .165 |
|**
|321.03*|-.037 |
* |
X
15 | .127 |
|*
|321.99*| .071 |
|*
X
250
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = Y
Mean=
8.254137931
, S.D.=
.7940392727
|
58, Parameters =
3, Deg.Fr.=
55 |
, Std.Dev.=
.15551 |
| Fit:
.96164 |
| Model test: F[ 2,
55] = 715.53,
Prob value =
.00000 |
-68.4180 |
|
LogAmemiyaPrCrt.=
-.834 |
1.41841,
Rho =
.29079 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.21073101
1.930
.0587
Y
[-1] 1.156647985
.11066012
10.452
.0000 8.2758621
Y
[-2] -.2082934278
.11016139
-1.891
.0639 8.2812069
-----------------------------------------------------------------------------All observations in current sample
-----------------------------------------------------------------------------Time series identification for U
7.9816
9.5540
Degrees of freedom
=
14
Degrees of freedom
=
14
Significance level
=
.8903
Significance level
=
.7940
|Box/Prc|
X
1 | .213 |
|**
| 2.64 | .213 |
|**
X
2 |-.007 |
*|
| 2.64 |-.063 |
* |
X
3 |-.022 |
*|
| 2.67 |-.016 |
* |
X
4 | .108 |
|*
| 3.35 | .126 |
|*
X
5 | .079 |
|*
| 3.71 | .043 |
|*
X
6 | .045 |
|*
| 3.83 | .027 |
|*
X
7 |-.062 |
*|
| 4.05 |-.086 |
* |
X
8 | .032 |
|*
| 4.11 | .073 |
|*
X
9 |-.065 |
*|
| 4.36 |-.153 |
** |
X
10 |-.069 |
*|
| 4.63 |-.068 |
* |
X
11 | .038 |
|*
| 4.72 | .120 |
|*
X
12 |-.134 |
*|
| 5.75 |-.249 |
*** |
X
13 |-.141 |
**|
| 6.91 |-.117 |
* |
X
14 |-.136 |
*|
| 7.98 |-.183 |
** |
X
*/
251
/*=================================================================
Example 18.2. ARMAX and Distributed Lag Models for Gasoline Sales
*/=================================================================
Year, G,
Pg, Y,
Pnc,
Puc, Ppt,
Pd,
Pn,
Ps,
Pop $
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
129.7
131.3
137.1
141.6
148.8
155.9
164.9
171.0
183.4
195.8
207.4
218.3
226.8
237.9
225.8
232.4
241.7
249.2
261.3
248.9
226.8
225.6
228.8
239.6
244.7
245.8
269.4
276.8
279.9
284.1
282.0
271.8
280.2
286.7
290.2
297.8
.925
.914
.919
.918
.914
.949
.970
1.000
1.014
1.047
1.056
1.063
1.076
1.181
1.599
1.708
1.779
1.882
1.963
2.656
3.691
4.109
3.894
3.764
3.707
3.738
2.921
3.038
3.065
3.353
3.834
3.766
3.751
3.713
3.732
3.789
6036
6113
6271
6378
6727
7027
7280
7513
7728
7891
8134
8322
8562
9042
8867
8944
9175
9381
9735
9829
9722
9769
9725
9930
10421
10563
10780
10859
11186
11300
11389
11272
11466
11476
11636
11934
1.045
1.045
1.041
1.035
1.032
1.009
.991
1.000
1.028
1.044
1.076
1.120
1.110
1.111
1.175
1.276
1.357
1.429
1.538
1.660
1.793
1.902
1.976
2.026
2.085
2.152
2.240
2.321
2.368
2.414
2.451
2.538
2.528
2.663
2.754
2.815
.836
.869
.948
.960
1.001
.994
.970
1.000
1.028
1.031
1.043
1.102
1.105
1.176
1.226
1.464
1.679
1.828
1.865
2.010
2.081
2.569
2.964
3.297
3.757
3.797
3.632
3.776
3.939
4.019
3.926
3.942
4.113
4.470
4.730
5.224
.810
.846
.874
.885
.901
.919
.952
1.000
1.046
1.127
1.285
1.377
1.434
1.448
1.480
1.586
1.742
1.824
1.878
2.003
2.516
3.120
3.460
3.626
3.852
4.028
4.264
4.413
4.494
4.719
5.197
5.427
5.518
6.086
6.268
6.410
.444
.448
.457
.463
.470
.471
.475
.483
.501
.514
.527
.547
.555
.566
.604
.659
.695
.727
.769
.821
.892
.957
1.000
1.041
1.038
1.045
1.053
1.085
1.105
1.129
1.144
1.167
1.184
1.200
1.225
1.239
.331
.335
.338
.343
.347
.353
.366
.375
.390
.409
.427
.442
.458
.497
.572
.615
.638
.671
.719
.800
.894
.969
1.000
1.021
1.050
1.075
1.069
1.111
1.152
1.213
1.285
1.332
1.358
1.379
1.396
1.419
.302
.307
.314
.320
.325
.332
.342
.353
.368
.386
.407
.431
.451
.474
.513
.556
.598
.648
.698
.756
.839
.926
1.000
1.062
1.117
1.173
1.224
1.271
1.336
1.408
1.482
1.557
1.625
1.684
1.734
1.786
180.7
183.7
186.5
189.2
191.9
194.3
196.6
198.7
200.7
202.7
205.1
207.7
209.9
211.9
213.9
216.0
218.0
220.2
222.6
225.1
227.7
230.0
232.2
234.3
236.3
238.5
240.7
242.8
245.0
247.3
249.9
252.6
255.4
258.1
260.7
263.2
252
?
? Data Setup
?
; ly = Log(Y)
; lpg= Log(Pg)
; lpnc = Log(Pnc)
; lpuc = log(Puc)
; lppt = log(Ppt)
; t=trn(1,1) $
Create ; lg1=lg[-1]
; ly1=ly[-1] ; ly2=ly[-2]
; lp1=lpg[-1] ; lp2=lpg[-2] $
Sample ; 3 - 36 $
?
? Unrestricted distributed lag model
?
Regress; Lhs = lg ; Rhs = One,lpnc,lpuc,lppt,t,lpg,lp1,lp2,ly,ly1,ly2 $
Calc
; List ; eeu=sumsqdev
; LRPrice = b(6)+b(7)+b(8)
; LRIncome=b(9)+b(10)+b(11) $
?
? Autoregressive distributed lag model. Adds lagged dependent variable.
?
Regress; Lhs = lg ; Rhs = One,lpnc,lpuc,lppt,t,lpg,lp1,lp2,ly,ly1,ly2,lg1 $
Calc
; List ; eeardl=sumsqdev
; LRPrice = (b(6)+b(7)+b(8))/(1-b(12))
; LRIncome= (b(9)+b(10)+b(11))/(1-b(12)) $
?
? ARMAX 1,1 model. Same as previous + MA term in disturbance
?
Armax;Lhs=lg;Rhs = One,lpnc,lpuc,lppt,t,lpg,lp1,lp2,ly,ly1,ly2
; Model = 1,0,1 $
Calc
; List ; ee101l=sumsqdev
; LRPrice = (b(7)+b(8)+b(9))/(1-b(1))
; LRIncome= (b(10)+b(11)+b(12))/(1-b(1)) $
?
? ARMAX 1,2 model
?
Armax;Lhs=lg;Rhs = One,lpnc,lpuc,lppt,t,lpg,lp1,lp2,ly,ly1,ly2
; Model = 1,0,2 $
Calc
; List ; ee101=sumsqdev
; LRPrice = (b(7)+b(8)+b(9))/(1-b(1))
; LRIncome= (b(10)+b(11)+b(12))/(1-b(1)) $
?
? Likelihood ratio tests for MA disturbance terms
?
Calc
; List ; LRtest = n*log(eeardl/ee101)$
Calc
; List ; LRtest = n*log(eeardl/ee102)$
253
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.620873819
, S.D.=
.1319690203
|
23 |
.02341 |
| Fit:
.96852 |
23] = 102.53,
Prob value =
.00000 |
21.1200 |
|
LogAmemiyaPrCrt.=
-4.415 |
.99232,
Rho =
.50384 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -14.29662165
1.5073767
-9.484
.0000
LPNC
.5882663457E-01 .15788778
.373
.7129 .46667946
LPUC
.2428456789E-01 .10955418
.222
.8265 .71204645
LPPT
-.1468164915
.80724704E-01
-1.819
.0820 .82861565
T
-.1724148643E-01 .68946034E-02
-2.501
.0200 19.500000
LPG
-.1423360612
.60999130E-01
-2.333
.0287 .71868477
LP1
-.1355717985
.92045537E-01
-1.473
.1543 .67686045
LP2
.1527629660
.65706547E-01
2.325
.0293 .63583381
LY
1.066226960
.36456200
2.925
.0076 9.1344038
LY1
-.2646159004
.43702942
-.605
.5508 9.1147281
LY2
1.330349791
.35703039
3.726
.0011 9.0954233
EEU
= .12609846858095140D-01
LRPRICE = -.12514489369519600D+00
LRINCOME= .21319608506567860D+01
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = LG
Mean=
4.620873819
, S.D.=
.1319690203
|
22 |
.01363 |
| Fit:
.98933 |
22] = 279.19,
Prob value =
.00000 |
21.1200 |
|
LogAmemiyaPrCrt.=
-5.482 |
2.23098,
Rho =
-.11549 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -4.627715460
1.6758475
-2.761
.0114
LPNC
-.6487625126E-01 .93714005E-01
-.692
.4960 .46667946
LPUC
.4561854245E-01 .63856274E-01
.714
.4825 .71204645
LPPT
-.7486180042E-01 .48181135E-01
-1.554
.1345 .82861565
T
-.3644937438E-02 .44879063E-02
-.812
.4254 19.500000
LPG
-.2245579505
.37529595E-01
-5.983
.0000 .71868477
LP1
.8694928014E-01 .62857352E-01
1.383
.1805 .67686045
LP2
.9215605606E-01 .39284923E-01
2.346
.0284 .63583381
LY
.5782447449
.22413330
2.580
.0171 9.1344038
LY1
-.5417725200
.25769338
-2.102
.0472 9.1147281
LY2
.6317025598
.23204386
2.722
.0124 9.0954233
LG1
.7236274196
.10685159
6.772
.0000 4.6073642
EEARDL = .40878566872995180D-02
LRPRICE = -.16446137389191410D+00
LRINCOME= .24176594644651640D+01
+---------------------------------------------------------+
| Model:y(t) = mu + bx + phi(1)y(t-1)...phi(p)y(t-p))
|
254
|
+ e(t) + tau(1)e(t-1)...tau(q)e(t-q))
|
|
y(t) = [(1-L)^d]Y(t) (differences))
|
LG
|
| Raw data were differenced d = 0 times.
|
| Sum of squares at best estimates:
.003794 |
| Estimated standard deviation of e(t):
.010723 |
| For diagnostic checking, use IDENTIFY with residuals.
|
| Number of iterations completed
10 |
| Number of observations in the sample
34 |
+---------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Phi( 1)
.7567895407
.10933025
6.922
.0000
Mu
-4.241262015
1.6260814
-2.608
.0091
LPNC
-.7103594420E-01 .84364675E-01
-.842
.3998 .46667946
LPUC
.4294366513E-01 .56172547E-01
.764
.4446 .71204645
LPPT
-.7406407555E-01 .44872033E-01
-1.651
.0988 .82861565
T
-.2817177434E-02 .41662590E-02
-.676
.4989 19.500000
LPG
-.2301678388
.29763433E-01
-7.733
.0000 .71868477
LP1
.1032765894
.49429729E-01
2.089
.0367 .67686045
LP2
.8746080080E-01 .30851084E-01
2.835
.0046 .63583381
LY
.5711896035
.18242745
3.131
.0017 9.1344038
LY1
-.5551523610
.20507375
-2.707
.0068 9.1147281
LY2
.5911142674
.18871370
3.132
.0017 9.0954233
Tau( 1) -.2012147439
.21103910
-.953
.3404
EE101
= .37941383576883920D-02
LRPRICE = -.16212480626093280D+00
LRINCOME= .24964037797167360D+01
255
+---------------------------------------------------------+
| Model:y(t) = mu + bx + phi(1)y(t-1)...phi(p)y(t-p))
|
|
+ e(t) + tau(1)e(t-1)...tau(q)e(t-q))
|
|
y(t) = [(1-L)^d]Y(t) (differences))
|
LG
|
| Raw data were differenced d = 0 times.
|
| Sum of squares at best estimates:
.002348 |
| Estimated standard deviation of e(t):
.008567 |
| For diagnostic checking, use IDENTIFY with residuals.
|
| Number of iterations completed
46 |
| Number of observations in the sample
34 |
+---------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Phi( 1)
.6782460416
.10639955
6.375
.0000
Mu
-5.376139750
1.6339620
-3.290
.0010
LPNC
-.6700029245E-01 .80836954E-01
-.829
.4072 .46667946
LPUC
.1198396402E-01 .51321503E-01
.234
.8154 .71204645
LPPT
-.9170603295E-01 .38558900E-01
-2.378
.0174 .82861565
T
-.2740882117E-02 .44658357E-02
-.614
.5394 19.500000
LPG
-.2079645837
.23028449E-01
-9.031
.0000 .71868477
LP1
.8194823327E-01 .39585361E-01
2.070
.0384 .67686045
LP2
.1018543456
.20421712E-01
4.988
.0000 .63583381
LY
.8158187084
.16005178
5.097
.0000 9.1344038
LY1
-.6739998128
.16094847
-4.188
.0000 9.1147281
LY2
.6314479677
.14170962
4.456
.0000 9.0954233
Tau( 1) -.3513342541
.18326241
-1.917
.0552
Tau( 2) -.5215635178
.15679811
-3.326
.0009
EE102
= .23484984739687290D-02
LRPRICE = -.75094661971386960D-01
LRINCOME= .24032862471922000D+01
LRTEST
LRTEST
=.25351575386092380D+01
= .18844317034750870D+02
256
/*=================================================================
Example 18.3. Spectral Density for an AR(1) Process
No computations
*/=================================================================
/*=================================================================
Example 18.4. Spectral Analysis of the Growth Rate of GNP
*/=================================================================
Read ; Nobs = 136 ; Nvar = 4 ; Names = Qtr,GNP,M1,Price$
1950.1
1950.2
1950.3
1950.4
1951.1
1951.2
1951.3
1951.4
1952.1
1952.2
1952.3
1952.4
1953.1
1953.2
1953.3
1953.4
1954.1
1954.2
1954.3
1954.4
1955.1
1955.2
1955.3
1955.4
1956.1
1956.2
1956.3
1956.4
1957.1
1957.2
1957.3
1957.4
1958.1
1958.2
1958.3
1958.4
1959.1
1959.2
1959.3
1959.4
1960.1
1960.2
1960.3
1960.4
1961.1
1961.2
1961.3
1961.4
1962.1
1962.2
1962.3
1962.4
1963.1
1963.2
1963.3
1963.4
1964.1
1964.2
1964.3
1964.4
1965.1
1965.2
267.6
277.1
294.8
306.3
320.4
328.3
335.0
339.2
341.9
342.1
347.8
360.0
366.1
369.4
368.4
363.1
362.5
362.3
366.7
375.6
388.2
396.2
404.8
411.0
412.8
418.4
423.5
432.1
440.2
442.3
449.4
444.0
436.8
440.7
453.9
467.0
477.0
490.6
489.0
495.0
506.9
506.3
508.0
504.8
508.2
519.2
528.2
542.6
554.2
562.7
568.9
574.3
582.0
590.7
601.8
612.4
625.3
634.0
642.8
648.8
668.8
681.7
110.20
111.75
112.95
113.93
115.08
116.19
117.76
119.89
121.31
122.37
123.64
124.72
125.33
126.05
126.22
126.37
126.54
127.18
128.38
129.72
131.07
131.88
132.40
132.64
133.11
133.38
133.48
134.09
134.29
134.36
134.26
133.48
133.72
135.22
136.64
138.48
140.35
141.75
142.23
141.20
140.83
140.83
142.00
141.98
142.85
143.88
144.90
146.18
147.18
147.95
147.90
148.93
150.45
151.93
153.38
154.80
155.85
157.20
159.75
161.63
162.90
163.90
56.04
56.21
56.41
56.67
56.77
57.01
56.99
57.58
57.58
57.57
57.92
58.58
58.76
58.80
59.00
58.74
59.38
59.58
59.45
59.77
60.27
60.65
61.03
61.40
61.91
62.43
63.13
63.69
64.40
64.65
65.28
65.37
65.63
65.79
66.17
66.47
67.04
67.55
67.81
68.00
68.44
68.56
68.86
68.96
68.88
69.22
69.54
69.65
70.23
70.48
70.62
71.08
71.41
71.46
71.66
72.17
72.36
72.57
72.97
73.16
73.77
74.13
257
1965.3
1965.4
1966.1
1966.2
1966.3
1966.4
1967.1
1967.2
1967.3
1967.4
1968.1
1968.2
1968.3
1968.4
1969.1
1969.2
1969.3
1969.4
1970.1
1970.2
1970.3
1970.4
1971.1
1971.2
1971.3
1971.4
1972.1
1972.2
1972.3
1972.4
1973.1
1973.2
1973.3
1973.4
1974.1
1974.2
1974.3
1974.4
1975.1
1975.2
1975.3
1975.4
1976.1
1976.2
1976.3
1976.4
1977.1
1977.2
1977.3
1977.4
1978.1
1978.2
1978.3
1978.4
1979.1
1979.2
1979.3
1979.4
1980.1
1980.2
1980.3
1980.4
1981.1
1981.2
1981.3
1981.4
1982.1
1982.2
1982.3
1982.4
1983.1
1983.2
696.4
717.2
738.5
750.0
760.6
774.9
780.7
788.6
805.7
823.3
841.2
867.2
884.9
900.3
921.2
937.4
955.3
962.0
972.0
986.3
1003.6
1009.0
1049.3
1068.9
1086.6
1105.8
1142.4
1171.7
1196.1
1233.5
1283.5
1307.6
1337.7
1376.7
1387.7
1423.8
1451.6
1473.8
1479.8
1516.7
1578.5
1621.8
1672.0
1698.6
1729.0
1772.5
1834.8
1895.1
1954.4
1988.9
2031.7
2139.5
2202.5
2281.6
2335.5
2377.9
2454.8
2502.9
2572.9
2578.8
2639.1
2736.0
2875.8
2918.0
3009.3
3027.9
3026.0
3061.2
3080.1
3109.6
3173.8
3267.0
166.05
169.10
171.95
172.98
172.80
173.33
175.25
178.10
181.93
184.73
187.15
190.63
194.30
198.55
201.73
203.18
204.18
206.10
207.90
209.78
212.78
216.08
220.28
225.25
228.45
230.70
235.60
239.38
244.55
250.70
254.80
258.40
261.03
264.68
268.77
271.23
273.73
276.73
278.75
283.80
288.13
290.88
295.18
299.53
303.35
309.35
316.55
321.80
327.60
334.80
341.13
348.70
335.45
361.38
367.08
376.10
384.58
388.38
394.30
390.00
405.50
416.10
420.90
429.30
432.60
437.50
448.80
451.30
458.20
475.70
490.90
505.20
74.56
74.96
75.71
76.58
76.99
77.75
78.27
78.53
79.28
80.13
81.15
82.14
82.84
83.99
84.97
86.10
87.49
88.62
89.89
91.07
91.79
93.03
94.40
95.70
96.52
97.39
98.72
99.42
100.25
101.54
102.95
104.75
106.53
108.74
110.72
113.48
116.42
119.79
122.88
124.44
126.68
128.99
130.12
131.30
132.89
134.99
136.80
139.01
141.03
143.24
145.12
148.89
152.02
155.38
158.60
161.85
165.12
168.05
171.94
176.46
180.24
185.13
190.01
193.03
197.70
201.69
203.98
206.77
208.53
210.27
212.87
214.25
258
1983.3
1983.4
Create
Create
Create
Sample
Create
Date
Period
Create
Plot
;
;
;
;
;
;
;
;
;
3346.6
3431.7
517.20
523.40
215.89
218.21
z=log(gnp/price) $
dz=100*(z-z[-1])$ (Just change to DZ=Z to analyze REAL GNP.)
y=dz[+1]$
Move data back to rows 1-135
1 - 135 $
yd = y - xbr(y) $ Data in deviation form
1950.2$
1950.2-1983.4$
gnpgrwth=yd$
(Just labels the graph)
Rhs=gnpgrwth$
GNPGRWTH
4
2
0
-2
-4
1950 1955
1960
1965
1970
1975
1980
1985
Quarter
259
260
/*=====================================================================
Spectral Analysis of a variable. LIMDEP is not good at this. The
following is a brute force computation. Better to use RATS or GAUSS
*/=====================================================================
?
? The following analyzes the growth rate for GNP
?
?
Compute column of sample autocovariances
?
Move into c0 and vector of 134 covariances
Matrix ; Auto=init(135,1,0)$
Procedure
Calc
; i=j+1;mj=-j$
Sample ; 1-135$
Create ; lagyd=yd[mj]$
Sample ; i-135$
Matrix ; {cj=yd'lagyd/135} ; auto(i)=cj$
Endproc
Execute ; j=0,134$
Calc
; c0=auto(1)$
Matrix ; ck=auto(2:135)$
? 3: Sample periodogram (spectral density function)
Sample ; 1-135$
Create ; wj = Trn(1,1) ; Freq=2*pi*wj/135$ Frequencies in 2pi interval
Matrix ; W = wj ; omegas=freq ; Spectrum = 0.0 [135,1] $
? Procedure computes spectral density at each frequency
Procedure
Calc
; omegaj=omegas(i)$
Particular frequency
Create ; coswj=cos((wj*omegaj))$
Column of k*omega
Matrix ; cosines=coswj ; cosines=cosines(1:134)$ Subvector
Calc
; hy=1/(2*pi)*(c0+2*ck'cosines)$
Spectrum
Matrix ; Spectrum(i)=hy$
Move spectrum to vector
Endproc
Execute ; i=1,135$
Compute for all 135 frequencies
? 4. Plot periodogram
Matrix ; spectrum=spectrum(1:67); w=w(1:67) $ Only useful for 67
Mplot
; lhs=W;rhs=spectrum;fill;endpoints=0,70;limits=0,1.5$
261
1.5
SPECTRUM
1.2
.9
.6
.3
.0
14
28
42
56
70
Date
Period
Create
Create
Create
Plot
;
;
;
;
;
;
1950.1 $
1950.1-1983.4 $
z=log(gnp/price) $
yd = z - xbr(z) $ Data in deviation form
realgnp=yd$
(Just labels the graph)
Rhs=realgnp$
262
.6
R EALGN P
.4
.2
.0
-.2
-.4
-.6
-.8
1949
1954
1959
1964
1969
1974
1979
1984
Quarter
263
?
? The following analyzes the original series of real GNP
?
Matrix ; Auto=init(136,1,0)$
Procedure
Calc
; i=j+1;mj=-j$
Sample ; 1-136$
Create ; lagyd=yd[mj]$
Sample ; i-136$
Matrix ; {cj=yd'lagyd/135} ; auto(i)=cj$
Endproc
Execute ; j=0,135$
Calc
; c0=auto(1)$
Matrix ; ck=auto(2:136)$
? 3: Sample periodogram (spectral density function)
Sample ; 1-136$
Create ; wj = Trn(1,1) ; Freq=2*pi*wj/136$ Frequencies in 2pi interval
Matrix ; W = wj ; omegas=freq ; Spectrum = 0.0 [135,1] $
? Procedure computes spectral density at each frequency
Procedure
Calc
; omegaj=omegas(i)$
Particular frequency
Create ; coswj=cos((wj*omegaj))$
Column of k*omega
Matrix ; cosines=coswj ; cosines=cosines(1:135)$ Subvector
Calc
; hy=1/(2*pi)*(c0+2*ck'cosines)$
Spectrum
Matrix ; Spectrum(i)=hy$
Move spectrum to vector
Endproc
Execute ; i=1,136$
Compute for all 136 frequencies
? 4. Plot periodogram
Matrix ; spectrum=spectrum(1:68); w=w(1:68) $ Only useful for 68
Mplot
; lhs=W;rhs=spectrum;fill;endpoints=0,70;limits=0,1.5$
.9
S P E C TR U M
.7
.5
.3
.1
-.1
14
28
42
56
70
264
265
/*=================================================================
Example 18.5. A Nonstationary Series
*/=================================================================
Date
; 1950.1 $
Period ; 1950.1 - 1983.4 $
Create ; LogPrice = log(price) $
Create ; dlogP = logprice - logprice[-1] $
Create ; d2logP = dlogp - dlogp[-1] $
Period ; 1950.3 - 1983.4 $
Plot
; Rhs = LogPrice $
Plot
; Rhs = dlogP $
Plot
; Rhs = d2logP $
Identify ; Rhs = LogPrice ; Pds = 10 $
5.50
5.25
LOGPRICE
5.00
4.75
4.50
4.25
4.00
3.75
1950 1955 1960 1965 1970 1975 1980 1985
Quarter
266
All observations in current sample

-----------------------------------------------------------------------------Time series identification for LOGPRICE
Box-Pierce Statistic = 1015.5567
Box-Ljung Statistic = 1071.4523
Degrees of freedom
=
10
Degrees of freedom
=
10
Significance level
=
.0000
Significance level
=
.0000
|Box/Prc|
X
1 | .977*|
|*********** |127.94*| .977*|
|***********X
2 | .954*|
|********** |249.86*|-.045 |
* |
X
3 | .930*|
|********** |365.80*|-.048 |
* |
X
4 | .906*|
|********** |475.78*|-.042 |
* |
X
5 | .881*|
|********** |579.87*|-.048 |
* |
X
6 | .857*|
|*********
|678.17*|-.024 |
* |
X
7 | .831*|
|*********
|770.76*|-.044 |
* |
X
8 | .806*|
|*********
|857.74*|-.042 |
* |
X
9 | .780*|
|*********
|939.26*|-.027 |
* |
X
10 | .755*|
|********
|*******|-.017 |
* |
X
.03
DLOGP
.02
.01
.00
-.01
1950 1955 1960 1965 1970 1975 1980 1985
Quarter
267
.020
.015
D2LOGP
.010
.005
.000
-.005
-.010
-.015
1950 1955 1960 1965 1970 1975 1980 1985
Quarter
268
269
/*=================================================================
Example 18.6. Test for a Unit Root
*/=================================================================
?
? Data are read in Example 18.4.
? Variables read are qtr,GNP,M1,Price
?
Create
; yt=log(GNP/Price)
; yt1=yt[-1] ; yt2=yt[-2] ; t = trn(1,1) $
Create
; dy1 = yt - yt1
; dy2 = yt1 - yt2 $
Sample
; 3 - 136 $
Regress ; Lhs = dy1 ; Rhs = One,yt1 $
Regress ; Lhs = dy1 ; Rhs = One,t,yt1,dy2 $
Calc
; List ; Rsqa = Rsqrd $
Regress ; Lhs = dy1 ; Rhs = One,dy2 $
Calc
; List ; Rsq = Rsqrd $
Calc
; List ; Ftest = ((Rsqa - Rsq)/2)/((1-rsqa)/(n-4))
; Ftb(.95,2,(n-4)) $
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = DY1
Mean=
.8657234086E-02, S.D.=
.1193419965E-01 |
134, Parameters =
2, Deg.Fr.=
132 |
.01172 |
| Fit:
.03488 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant .2557909796E-01 .70952420E-02
3.605
.0004
YT1
-.7505859933E-02 .31149356E-02
-2.410
.0173 2.2544870
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = DY1
Mean=
.8657234086E-02, S.D.=
.1193419965E-01 |
134, Parameters =
4, Deg.Fr.=
130 |
.00997 |
| Fit:
.30219 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.39096783E-01
3.632
.0004
T
.6550410295E-03 .19676684E-03
3.329
.0011 69.500000
YT1
-.8125692526E-01 .23363228E-01
-3.478
.0007 2.2544870
DY2
.4926268437
.73297048E-01
6.721
.0000 .87873400E-02
RSQA
= .31793211367952040D+00
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = DY1
Mean=
.8657234086E-02, S.D.=
.1193419965E-01 |
134, Parameters =
2, Deg.Fr.=
132 |
.01039 |
| Fit:
.24259 |
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant .4335601869E-02 .11105839E-02
3.904
.0002
DY2
.4918020950
.74482005E-01
6.603
.0000 .87873400E-02
RSQ
= .24828793663054320D+00
FTEST
= .66369808621315140D+01
Result = .30658390938300010D+01
/*=================================================================
Example 18.7. Long Term Memory in the Growth of Real GNP
270
No computations
*/=================================================================
/*=================================================================
Example 18.8. Long Term Memory in Foreign Exchange Markets
No Computations
*/=================================================================
/*=================================================================
Example 18.9. Cointegrated Series
No computations
*/=================================================================
/*=================================================================
Example 18.10. Multiple Cointegrating Vectors
No computations
*/=================================================================
271
/*=================================================================
Example 18.11. An ARCH Model for Inflation
*/=================================================================
?
? The data are read in Example 18.4.
? Variables are Qtr,GNP,M1,Price. To do this set of computations,
? the program should be reset, and the data set read in fresh.
? Data setup
Create ; logp=log(price)
; logm1=log(m1)
; logy=log(gnp/price)$
Create ; dlogp=100*(logp-logp[-1]) ; dlogm1=100*(logm1-logm1[-1])$
Create ; dlogy=100*(logy-logy[-1]) ; xsdm1=dlogm1-dlogy$
Create ; lagxsdm1=xsdm1[-1]
; lagdlogp=dlogp[-1]$
?
? Set sample to observations 3-136 then run step 1 regression
?
Calc
; t0 = 1 ; t1=3 ; tt=136 ; t2=4 ; ttminus1=135$
Sample ; t1-tt$
Regress; lhs=dlogp;rhs=one,lagxsdm1,lagdlogp;res=et$
?
? Compute squared residuals, then set sample for step 2 regression
Matrix ; beta=b$
Create ; ee=et*et$
Create ; ee1=ee[-1]$
Sample ; t2-tt$
Regress; lhs=ee;rhs=one,ee1$
Matrix ; a=b$
?
? LM test for ARCH effects
?
Calc
; a0=a(1);a1=a(2);list;lmtest=nreg*rsqrd$
?
? Set sample for step 3 regression, then update alpha. Report results.
?
Sample ; t1-tt$
Create ; ht=a0+a1*ee1 ;gt=ee/ht-1 ;zt1=1/ht ; zt2=ee1/ht$
Names ; z=zt1,zt2 ; x=one,lagxsdm1,lagdlogp $
Sample ; t2-tt$
Matrix ; da=<Z'Z>*Z'gt;alpha=a+da;valpha=2*<Z'Z>
; stat(alpha,valpha)$
?
? Compute weighted least squares to update beta, step 4
?
Calc
; alpha0=alpha(1);alpha1=alpha(2)$
Create ; ht=alpha0+alpha1*ee1$
Create ; htplus1=ht[1] ; eeplus1=ee[1]$
Create ; rt=sqr((1/ht)+2*(alpha1*et/htplus1)^2)
; st=1/ht - (alpha1/htplus1)*(eeplus1/htplus1-1)
; etst = et*st$
Sample ; t2-ttminus1$
Matrix ; ww=bhhh(X,rt) ; Vbeta=<WW> ; db=vbeta*X'[etst]et
; beta=beta+db ; Stat(beta,vbeta)$
272
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = DLOGP
Mean=
1.012211362
, S.D.=
.7100138982
|
134, Parameters =
3, Deg.Fr.=
131 |
, Std.Dev.=
.43661 |
| Fit:
.62186 |
| Model test: F[ 2,
131] = 110.36,
Prob value =
.00000 |
-143.7448 |
|
LogAmemiyaPrCrt.=
1.203 |
2.55356,
Rho =
-.27678 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.67062129E-01
3.619
.0004
LAGXSDM1 .4069687470E-01 .28237757E-01
1.441
.1519 .27509641
LAGDLOGP .7533929131
.57618919E-01
13.075
.0000 1.0064950
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = EE
Mean=
.1877485342
, S.D.=
.2704841669
|
133, Parameters =
2, Deg.Fr.=
131 |
, Std.Dev.=
.26933 |
| Fit:
.00855 |
| Model test: F[ 1,
131] =
2.14,
Prob value =
.14607 |
-14.3139 |
|
LogAmemiyaPrCrt.=
.229 |
2.03347,
Rho =
-.01674 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.28437769E-01
5.768
.0000
EE1
.1266244001
.86596535E-01
1.462
.1461 .18738830
Matrix statistical results: Coefficients=ALPHA
Variance=VALPHA
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
ALPHA_ 1 .1705917119
.26902111E-01
6.341
.0000
ALPHA_ 2 .8660076551E-01 .11804850
.734
.4632
Variance=VBETA
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
BETA _ 1 .3985526844
.67435646E-01
5.910
.0000
BETA _ 2 .6569283509E-01 .27693141E-01
2.372
.0177
BETA _ 3 .7737730896
.58064792E-01
13.326
.0000
*/
/*=================================================================
Example 18.12. GARCH Model for Inflation
No computations
*/=================================================================
273
Chapter 19. Models with Discrete Dependent

Variables
/*=================================================================
Example 19.1. Probability Models
*/=================================================================
Read ; Nobs = 32 ; nvar = 5 ; Names = 1 $
OBS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
GPA
2.66
2.89
3.28
2.92
4.00
2.86
2.76
2.87
3.03
3.92
2.63
3.32
3.57
3.26
3.53
2.74
2.75
2.83
3.12
3.16
2.06
3.62
2.89
3.51
3.54
2.83
3.39
2.67
3.65
4.00
3.10
2.39
?
Namelist
Matrix
Regress
Calc
Matrix
Probit
Calc
Matrix
Logit
Calc
Matrix
Create
Maximize
Calc
Matrix
;
;
;
;
;
;
;
;
;
;
;
;
;
;
;
;
;
TUCE
20
22
24
12
21
17
17
21
25
29
20
23
23
25
26
19
25
19
23
25
22
28
14
26
24
27
17
24
21
23
21
19
PSI
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1
1
1
1
1
1
1
GRADE
0
0
0
0
1
0
0
0
0
1
0
0
0
1
0
0
0
0
0
1
0
1
0
0
1
1
1
0
1
1
0
1
X = One,GPA,TUCE,PSI $
xbar = mean(x) $
Lhs = Grade ; Rhs = X $
List ; Scale = 1.0 $
List ; ME = Scale * b $
Lhs = Grade ; Rhs = X ; Marginal Effects $
List ; Scale = N01(bxbar) $
Lhs = Grade ; Rhs = X ; marginal Effects $
List ; Scale = LGD(bxbar) $
d0 = 1-Grade ; d1 = Grade $
Fcn = -d0*exp(b1x) + d1*log(1-exp(-exp(b1x)))
Labels = b1,b2,b3,b4
Start = b $
List ; Scale = exp(-exp(bxbar))*exp(bxbar) $
274
/*
+-----------------------------------------------------------------------+
| Ordinary
|
| Dep. var. = GRADE
Mean=
.3437500000
, S.D.=
.4825587044
|
32, Parameters =
4, Deg.Fr.=
28 |
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -1.498017120
.52388862
-2.859
.0079
GPA
.4638516793
.16195635
2.864
.0078 3.1171875
TUCE
.1049512224E-01 .19482854E-01
.539
.5944 21.937500
PSI
.3785547879
.13917274
2.720
.0111 .43750000
SCALE
= .10000000000000000D+01
Matrix ME
+-------------1| -.1498017D+01
2| .4638517D+00
3| .1049512D-01
4| .3785548D+00
+---------------------------------------------+
| Binomial Probit Model
|
32
|
6
|
-12.81880
|
-20.59173
|
| Chi-squared
15.54585
|
3
|
.1404896E-02 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Index function for probability
Constant -7.452319647
2.5424723
-2.931
.0034
GPA
1.625810039
.69388249
2.343
.0191 3.1171875
TUCE
.5172894549E-01 .83890261E-01
.617
.5375 21.937500
PSI
1.426332342
.59503790
2.397
.0165 .43750000
+-------------------------------------------+
| Partial derivatives of E[y] = F[*]
with |
| respect to the vector of characteristics. |
| They are computed at the means of the Xs. |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Index function for probability
Constant -2.444733653
.75885194
-3.222
.0013
GPA
.5333470255
.23246407
2.294
.0218 3.1171875
TUCE
.1696968191E-01 .27119788E-01
.626
.5315 21.937500
PSI
.4679083617
.18764238
2.494
.0126 .43750000
SCALE
= .32805002591068580D+00
Matrix ME
+-------------1| -.2444734D+01
2| .5333470D+00
3| .1696968D-01
4| .4679084D+00
275
+---------------------------------------------+
| Multinomial Logit Model
|
GRADE
|
32
|
6
|
-12.88963
|
-20.59173
|
| Chi-squared
15.40419
|
3
|
.1501878E-02 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Characteristics in numerator of Prob[Y = 1]
Constant -13.02134648
4.9313241
-2.641
.0083
GPA
2.826112525
1.2629411
2.238
.0252 3.1171875
TUCE
.9515765670E-01 .14155420
.672
.5014 21.937500
PSI
2.378687596
1.0645642
2.234
.0255 .43750000
+-------------------------------------------+
| Partial derivatives of probabilities with |
| Observations used for means are All Obs. |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Marginal effects on Prob[Y = 1]
Constant -2.459760743
.81771031
-3.008
.0026
GPA
.5338588183
.23703797
2.252
.0243 3.1171875
TUCE
.1797548884E-01 .26236909E-01
.685
.4933 21.937500
PSI
.4493392735
.19676264
2.284
.0224 .43750000
SCALE
= .18890218048721940D+00
Matrix ME
+-------------1| -.2459761D+01
2| .5338588D+00
3| .1797549D-01
4| .4493393D+00
+---------------------------------------------+
|
32
|
10
|
-13.00800
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
B1
-10.03142629
3.4448183
-2.912
.0036
B2
2.293553481
.99127580
2.314
.0207
B3
.4115615961E-01 .12327466
.334
.7385
B4
1.562276316
.85886363
1.819
.0689
SCALE
= .20817920176287030D+00
Matrix ME
+-------------1| -.2088334D+01
2| .4774701D+00
3| .8567856D-02
4| .3252334D+00
/*=================================================================
276
Example 19.2. Plotting Marginal Effects

*/=================================================================
Probit ; Lhs = Grade ; Rhs = X $
Sample ; 1 - 100 $
?
? Computes points to plot
?
Create ; GPAi = Trn(2,.02)
; YesPSI = PHI(b(1) + b(2)*GPAi
+ b(3)*xbr(Tuce) + b(4))
; NOPSI
= PHI(b(1) + b(2)*GPAi
+ b(3)*xbr(Tuce)
) $
?
? Values of probability at means
?
Calc
; MeanYes = PHI(b(1) + b(2)*xbr(GPA) + b(3)*xbr(Tuce) + b(4))
; MeanNo = PHI(b(1) + b(2)*xbr(GPA) + b(3)*xbr(Tuce)
)
; MeanGPA = Xbr(GPA) $
?
? Plot figure
?
Plot
; Lhs = GPAi
; Rhs = YESPSI, NOPSI
; Bars= MEANYes,MEANNo
; Spikes = MeanGPA
; Limits = 0,1 ; EndPoints = 2,4 ; Fill ; Yaxis=P[Grd=1]
; Title=Effect of PSI on Probabilities $
?
? Restore sample before subsequent examples.
?
Sample ; 1 - 32 $
Effect of PSI on Probabilities

1.0
YESPSI
NOPSI
P[Grd=1]
.8
.6
.4
.2
.0
2.0
2.4
2.8
3.2
3.6
4.0
GPAI
277
278
/*=================================================================
Example 19.3. Structural Equations for Probit Model
No computations
*/=================================================================
/*=================================================================
Example 19.4. Estimates of Logit and Probit Models
*/=================================================================
?
? First pass, use preprogrammed routine for marginal effects.
? These results all appear in Example 19.2. Compute some results.
?
Matrix ; xbar = Mean(X) $
Calc
; K = Col(X) $
Probit ; Lhs = Grade ; Rhs = X ; Marginal Effects $
Matrix ; bp = b ; Vp = Varb $
Calc
; bxp = bpxbar ; Pp = Phi(bxp) ; fp = N01(bxp) $
Logit ; Lhs = Grade ; Rhs = X ; Marginal Effects $
Matrix ; bl = b ; Vl = Varb $
Calc
; bxl = blxbar ; Pl = Lgp(bxl) ; fl = Lgd(bxl) $
Calc
; ql = 1-2*Pl $
?
? Compute marginal effects at the means using the formal results
? For the moment, ignore the fact that the 4th variable in X is a
? dummy variable.
? Probit
Matrix ; gamma = fp*bp ; G = Iden(K) - bxp*bp*xbar ; G = fp*G
; Vgamma= G * Vp * G ; Stat(gamma,Vgamma) $
? Logit
Matrix ; gamma = fl*bl ; G = Iden(K) + ql*bl*xbar ; G = fl*G
; Vgamma= G * Vl * G ; Stat(gamma,Vgamma) $
?
? Marginal effect for a binary variable. We do this directly,
? then use the WALD comand. Note that direct computation with
? analytic derivatives is almost exactly the same as the WALD
? result with numerical derivatives, and both are extremely close
? to the naive approach above which ignores the fact the the
? variable is binary.
? Probit
Matrix ; xbar0 = xbar ; xbar0(4)=0 $
Matrix ; xbar1 = xbar ; xbar1(4)=1 $
Calc
; MEp = Phi(bpxbar1) - Phi(bpxbar0)
; f1
=N01(bpxbar1) ; f0=-N01(bpxbar0) $
Matrix ; g1=f1*xbar1 ; g0=f0*xbar0
; g10=[g1/g0]
; I2=Iden(2) ; V=Kron(I2,Vp) ; VME = g10V*g10 $
Calc
; List ; MEp ; Sqr(VME) $
Wald
; Fn1=Phi(b1xbar1) - Phi(b1xbar0)
; Start = bp ; Var = Vp ; Labels=b1,b2,b3,b4 $
? Logit
Calc
; MEl = Lgp(bl'xbar1) - Lgp(bl'xbar0)
; f1
=Lgd(bl'xbar1) ; f0=-Lgd(bl'xbar0) $
Matrix ; g1=f1*xbar1 ; g0=f0*xbar0
; g10=[g1/g0]
; I2=Iden(2) ; V=Kron(I2,Vl) ; VME = g10'V*g10 $
Calc
; List ; MEl ; Sqr(VME) $
Wald
; Fn1=Lgp(b1'xbar1) - Lgp(b1'xbar0)
; Start = bl ; Var = Vl ; Labels=b1,b2,b3,b4 $
/*
Probit marginal effects produced by the PROBIT command

+---------+--------------+----------------+--------+---------+----------+
279

+---------+--------------+----------------+--------+---------+----------+
Constant -2.444733653
.75885194
-3.222
.0013
GPA
.5333470255
.23246407
2.294
.0218 3.1171875
TUCE
.1696968191E-01 .27119788E-01
.626
.5315 21.937500
PSI
.4679083617
.18764238
2.494
.0126 .43750000
Variance=VGAMMA
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
GAMMA_ 1 -2.444733653
.75885194
-3.222
.0013
GAMMA_ 2 .5333470255
.23246407
2.294
.0218
GAMMA_ 3 .1696968191E-01 .27119788E-01
.626
.5315
GAMMA_ 4 .4679083617
.18764238
2.494
.0126
MEP
= .46442598470126690D+00
Result = .17015293171558110D+00
+-----------------------------------------------+
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .4644259847
.17028073
2.727
.0064
Logit marginal effects produced by the LOGIT command
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -2.459760743
.81771031
-3.008
.0026
GPA
.5338588183
.23703797
2.252
.0243 3.1171875
TUCE
.1797548884E-01 .26236909E-01
.685
.4933 21.937500
PSI
.4493392735
.19676264
2.284
.0224 .43750000
Variance=VGAMMA
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
GAMMA_ 1 -2.459760743
.81771031
-3.008
.0026
GAMMA_ 2 .5338588183
.23703797
2.252
.0243
GAMMA_ 3 .1797548884E-01 .26236909E-01
.685
.4933
GAMMA_ 4 .4493392735
.19676264
2.284
.0224
MEL
= .45649839991675790D+00
Result = .18188153855068880D+00
+-----------------------------------------------+
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .4564983999
.18105372
2.521
.0117
*/
280
/*=================================================================
Example 19.5. Wald Test for a Subset of Coefficients
No computations
*/=================================================================
/*=================================================================
Example 19.6. Restricted Log Likelihoods and a Chow-type
Test for Probit Models
*/=================================================================
?
? Test whether PSI=1 and 0 divides the sample into different probit
? models.
?
Sample ; 1 - 32 $
Probit ; Lhs = Grade ; Rhs = One,GPA,TUCE $
Calc
; L10 = Logl $
Include; New ; PSI = 1 $
Calc
; L1 = Logl $
Include; New ; PSI = 0 $
Calc
; L0 = Logl $
Calc
; List ; L10 ; L1 ; L0
; LRTest = 2*(L1+L0-L10)
; Ctb(.95,3) $
/*
|=== Pooled ============================================================|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -6.034326531
2.1210343
-2.845
.0044
GPA
1.409575141
.63546771
2.218
.0265 3.1171875
TUCE
.5266746003E-01 .75552974E-01
.697
.4857 21.937500
|=== PSI = 1============================================================|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -3.870035107
2.8617290
-1.352
.1763
GPA
1.102961296
.78464845
1.406
.1598 3.1378571
TUCE
.2761610433E-01 .98490512E-01
.280
.7792 22.428571
|===PSI = 0=============================================================|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -14.90758306
9.8569123
-1.512
.1304
GPA
3.092024736
1.8135908
1.705
.0882 3.1011111
TUCE
.1535285643
.27087829
.567
.5709 21.555556
L10
= -.16152157328431760D+02
L1
= -.82172423029537920D+01
L0
= -.36612276368288500D+01
LRTEST = .85473747772982410D+01
Result = .78147277654400000D+01
*/
281
/*=================================================================
Example 19.7. Probit Model with Groupwise Heteroscedasticity
*/=================================================================
? No need to program; we just use the built-in procedure
Sample ; 1 - 32 $
? Restricted Model, homoscedastic
Probit ; Lhs = Grade ; Rhs = X ; Marginal Effects$
Calc
; Lr = Logl $
?
? LM test. Compute full model at restricted values. No iterations.
?
Probit ; Lhs = Grade ; Rhs = X ; Rh2 = Psi ; Het ; Start=b,0 ; Maxit=0 $
Calc
; List ; LMTest = LMSTAT $
Probit ; Lhs = Grade ; Rhs = X ; Rh2 = Psi ; Het ; Par ; MarginalEffects $
Calc
; Lu = Logl $
Calc
; List ; LRTest = 2*(Lu - Lr) $
Calc
; List ; WaldTest = (b(5))^2/varb(5,5) $
/*
+---------------------------------------------+
|
-20.59173
|
-12.81880
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -7.452319647
2.5424723
-2.931
.0034
GPA
1.625810039
.69388249
2.343
.0191 3.1171875
TUCE
.5172894549E-01 .83890261E-01
.617
.5375 21.937500
PSI
1.426332342
.59503790
2.397
.0165 .43750000
Partial derivatives of E[y] = F[*]
GPA
.5333470255
.23246407
2.294
.0218 3.1171875
TUCE
.1696968191E-01 .27119788E-01
.626
.5315 21.937500
PSI
.4679083617
.18764238
2.494
.0126 .43750000
+---------------------------------------------+
1
|
| LM Stat. at start values
4.086181
|
| LM statistic kept as scalar
LMSTAT
|
+---------------------------------------------+
| Binomial Probit Model, heteroscedastic
|
-11.89585
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -14.28904915
17.015554
-.840
.4010
GPA
3.121550555
3.2140951
.971
.3314 3.1171875
TUCE
.1237516165
.35386813
.350
.7266 21.937500
PSI
2.343220859
2.3421153
1.000
.3171 .43750000
Variance function
PSI
1.093371488
1.3540594
.807
.4194 .43750000
Partial derivatives of E[y] = F
GPA
.6786282685
.43618572
1.556
.1197 3.1171875
TUCE
.2690372741E-01 .57651589E-01
.467
.6407 21.937500
PSI
.7040071459
.37163541
1.894
.0582 .43750000
LRTEST =
WALDTEST=
*/
.18459040507145450D+01
.65201873686420550D+00
282
/*=================================================================
Example 19.8. Prediction with a Probit Model
No computations
*/=================================================================
/*=================================================================
Example 19.9. Fixed Effects in a Logit Model
No computations
*/=================================================================
/*=================================================================
Example 19.10. The Maximum Score Estimator
*/=================================================================
Probit ; Lhs = Grade ; Rhs = X $
MScore ; Lhs = Grade ; Rhs = X $
/*
+---------------------------------------------+
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -7.452319647
2.5424723
-2.931
.0034
GPA
1.625810039
.69388249
2.343
.0191 3.1171875
TUCE
.5172894549E-01 .83890261E-01
.617
.5375 21.937500
PSI
1.426332342
.59503790
2.397
.0165 .43750000
Predicted
Actual
0
1 | Total
0
18
3 |
21
1
3
8 |
11
Total
21
11 |
32
+----------------------------------------------------------------------+
| Maximum Score Estimates of Linear Quantile
|
| Regression Model from Binary Response Data
|
| Quantile
.500
Number of Parameters =
4
|
| Observations input
=
32
Maximum Iterations
=
500
|
| End Game Iterations =
100
Bootstrap Estimates =
20
|
| Normal exit after 100 iterations.
|
| Score functions:
Naive
At theta(0)
Maximum
|
|
Raw
.31250
.31250
.62500
|
|
Normalized
.65625
.65625
.81250
|
| Estimated MSEs from 20 bootstrap samples
|
+----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -.8928565107
.68287204
-1.308
.1910
GPA
.1050498370
.45235084
.232
.8164 3.1171875
TUCE
.5995779004E-02 .80781967E-01
.074
.9408 21.937500
PSI
.4378765050
.30807068
1.421
.1552 .43750000
Frequencies of actual & predicted outcomes
Predicted
Actual
0
1 | Total
0
19
2 |
21
1
4
7 |
11
Total
23
9 |
32
*/
/*=================================================================
Example 19.11. Nonparametric Regression
283
*/=================================================================
Sample ; 1 - 32 $
Mscore ; Lhs = Grade ; Rhs = X $
Npreg ; Lhs = Grade ; Rhs = X ; Pts = 32 ; Smooth = 1 $
Create ; Xb=NPREGXB ; F1 = NPREGYF $
Npreg ; Lhs = Grade ; Rhs = X ; Pts = 32 ; Smooth = .3 $
Create ; Fpt3 = NPREGYF $
Npreg ; Lhs = Grade ; Rhs = X ; Pts = 32 ; Smooth = .5 $
Create ; Fpt5 = NPREGYF $
Plot
; lhs=xb ; rhs=f10,fpt3,fpt5 ;fill
; Yaxis=NonPFhat
; Title=Nonparametric Regression Function$
++
|NonparametricRegression|
|Basedon32observationsand4parameters|
|Smoothingparameter=1.0000|
|Smoothingparameter=.50000|
|Smoothingparameter=.30000|
|Descriptivestatisticsforxb:|
|Mean=.24229Standarddev.=.22992|
|Min.=.51416Max.=.10312|
|Variablescreated:NPREGXB=x(i)b|
|(Obs.132)NPREGYF=FittedY|
|SetSAMPLEbeforeanalyzing.UseLISTtoshow|
|orPlot;Lhs=NPREGXB;Rhs=NPREGYF$|
++
Nonparametric Regression Function

.8
NonPFhat
.6
F10
FPT3
FPT5
.5
.3
.2
.0
-.6
-.5
-.4
-.3
-.2
-.1
.0
.1
.2
XB
284
/*=================================================================
Example 19.12. A Comparison of Binary Choice Estimators
No Computations
*/=================================================================
/*=================================================================
Example 19.13. Gender Economics Course in Liberal Arts Colleges
No Computations. (Data not publicly available)
*/=================================================================
/*=================================================================
Example 19.14. Attributes and Characteristics
No Computations
*/=================================================================
/*=================================================================
Example 19.15. Multinomial Logit Model for Occupational Choice
No Computations
*/=================================================================
/*=================================================================
Example 19.16. Conditional Logit Model for Travel Mode Choice
No Computations
*/=================================================================
/*=================================================================
Example 19.17. The Independence of Irrelevant Alternatives
No Computations
*/=================================================================
/*=================================================================
Example 19.18. Nested Logit Model
*/=================================================================
?
? Examples 19.18, 19.19, and 19.30 are based on the CLOGIT data set
? which is listed in full on the next five pages. The listing is
? in three columns, and as such is not suitable directly as input to
? LIMDEP. The accompanying program file, Ex19_18.lim, contains the
? full data set, prepared for input.
?
/*=================================================================
Example 19.19. A Heteroscedastic Extreme Value Model
*/=================================================================
?
/*=================================================================
Example 19.20. Multinomial Choice Models Based on the Normal
Distribution
*/=================================================================
285
Read ; Nobs=840 ; Nvar

; Names=2 $
Mode TTME Invc Invt GC
0 69
59 100
70
0 34
31 372
71
0 35
25 417
70
1
0
10 180
30
0 64
58
68
68
0 44
31 354
84
0 53
25 399
85
1
0
11 255
50
0 69 115 125 129
0 34
98 892 195
0 35
53 882 149
1
0
23 720 101
0 64
49
68
59
0 44
26 354
79
0 53
21 399
81
1
0
5 180
32
0 64
60 144
82
0 44
32 404
93
0 53
26 449
94
1
0
8 600
99
0 69
59 100
70
1 40
20 345
57
0 35
13 417
58
0
0
12 284
43
1 45 148 115 160
0 34 111 945 213
0 35
66 935 167
0
0
36 821 125
0 69 121 152 137
0 34
52 889 149
0 35
50 879 146
1
0
50 780 135
0 69
59 100
70
0 34
31 372
71
0 35
25 417
70
1
0
17 210
40
0 69
58
68
65
0 34
31 357
69
0 35
25 402
68
1
0
7 210
30
0 64
58
68
68
0 44
16 357
70
0 53
13 402
73
1
0
4 210
36
0 64
62 108
79
0 44
34 370
90
0 53
28 415
91
1
0
6 250
44
0 64
45 114
63
0 44
24 378
81
0 53
19 423
83
1
0
5 240
41
0 64
58
94
72
0 44
31 360
85
0 53
25 405
86
1
0
15 285
58
0 64
83 169 109
0 44
70 948 214
0 53
47 938 189
1
0
17 1200 199
0 69
60 127
73
1 20
19 325
55
0 35
25 435
72
0
0
14 350
52
0 69
61
74
69
1 15
38 255
66
0 35
26 389
68
0
0
13 315
47
0 69
67
86
76
= 7
Hinc Psize
35 1
35 1
35 1
35 1
30 2
30 2
30 2
30 2
40 1
40 1
40 1
40 1
70 3
70 3
70 3
70 3
45 2
45 2
45 2
45 2
20 1
20 1
20 1
20 1
45 1
45 1
45 1
45 1
12 1
12 1
12 1
12 1
40 1
40 1
40 1
40 1
70 2
70 2
70 2
70 2
15 2
15 2
15 2
15 2
35 2
35 2
35 2
35 2
50 4
50 4
50 4
50 4
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49
105
208
183
121
79
78
77
38
139
234
187
128
120
84
85
55
72
109
110
69
81
85
84
42
77
71
70
54
65
69
45
48
149
168
143
135
161
193
147
127
80
72
71
55
90
68
72
51
138
193
147
134
115
191
145
157
119
186
183
153
123
197
111
35
40
40
40
40
60
60
60
60
40
40
40
40
70
70
70
70
70
70
70
70
30
30
30
30
35
35
35
35
60
60
60
60
45
45
45
45
45
45
45
45
6
6
6
6
36
36
36
36
20
20
20
20
20
20
20
20
26
26
26
26
29
29
29
29
8
8
8
8
32
32
32
1
4
4
4
4
2
2
2
2
4
4
4
4
1
1
1
1
2
2
2
2
2
2
2
2
2
2
2
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
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1
1
1
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2
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1
1
1
1
1
1
2
2
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0
0
0
1
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0
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69
34
35
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64
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0
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64
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53
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69
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0
69
34
45
0
64
44
53
0
69
30
35
0
69
30
35
0
64
99
53
39 900
103 170
88 889
35 770
18 905
86 167
75 972
44 962
13 870
108 139
90 862
36 780
18 875
59 106
31 372
25 417
13 300
58 124
35 380
13 427
8 364
107 153
89 880
44 870
2 660
86 143
74 880
43 870
16 660
108 196
91 967
35 935
38 903
103 149
45 892
25 730
37 882
103 160
89 987
44 977
34 660
114 161
60 1031
58 1021
19 720
107 150
91 914
46 904
36 750
118 137
96 904
65 850
64 859
102 101
87 870
35 800
35 825
85 101
73 870
42 860
12 600
107 158
61 780
45 901
54 853
113 244
67 845
49 893
47 868
84 215
37 885
46 966
137
129
222
152
155
112
222
190
145
129
220
154
151
71
71
70
46
77
92
78
63
131
222
176
102
108
207
175
116
129
196
136
136
119
142
104
133
127
239
192
134
138
217
213
128
123
190
144
117
132
194
157
157
113
182
122
125
101
205
173
103
125
146
143
147
140
158
146
141
117
171
193
32
45
45
45
45
45
45
45
45
26
26
26
26
60
60
60
60
10
10
10
10
45
45
45
45
60
60
60
60
60
60
60
60
8
8
8
8
60
60
60
60
12
12
12
12
45
45
45
45
50
50
50
50
26
26
26
26
35
35
35
35
12
12
12
12
15
15
15
15
12
12
12
1
2
2
2
2
3
3
3
3
2
2
2
2
1
1
1
1
2
2
2
2
2
2
2
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3
3
3
3
1
1
1
1
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1
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1
1
1
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1
1
3
3
3
3
1
1
1
1
1
1
1
1
4
4
4
289
0
0
1
0
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0
0
0
1
0
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0
1
0
0
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0
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0
64
25
53
0
69
15
35
0
69
45
35
0
69
30
35
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64
10
53
0
64
10
53
0
45
34
35
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45
34
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0
60
34
35
0
60
44
53
0
60
34
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0
60
44
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0
45
44
53
0
75
44
53
0
30
34
35
0
90
44
53
0
45
44
53
0
60
34
35
10 921
94 163
68 755
47 895
16 879
112 161
21 797
45 876
47 852
103 166
20 820
43 836
35 886
107 152
33 755
44 882
48 845
103 164
41 730
43 925
19 898
143 166
83 825
70 896
50 911
94 270
91 916
46 906
49 872
138 115
60 880
58 870
47 888
102 250
112 997
67 952
43 971
151 255
91 941
46 931
21 959
111 205
97 888
52 878
49 855
70
95
31 360
25 405
7 335
74
70
26 361
21 406
4 315
165 180
98 967
53 922
26 947
93 175
96 1030
51 1020
54 967
71 115
31 385
25 430
7 332
75
75
33 418
28 463
5 291
81
70
32 341
26 386
150
119
183
183
149
129
108
140
140
121
109
134
131
124
115
140
140
128
152
183
155
168
208
206
188
123
190
144
144
150
156
153
143
129
220
170
148
190
234
187
166
133
193
147
142
93
85
86
58
85
81
82
52
192
245
193
170
112
208
162
159
89
89
90
57
96
96
98
49
89
69
68
12
35
35
35
35
26
26
26
26
6
6
6
6
4
4
4
4
40
40
40
40
40
40
40
40
60
60
60
60
4
4
4
4
50
50
50
50
60
60
60
60
70
70
70
70
40
40
40
40
35
35
35
35
60
60
60
60
60
60
60
60
50
50
50
50
40
40
40
40
60
60
60
4
3
3
3
3
1
1
1
1
1
1
1
1
1
1
1
1
2
2
2
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
2
2
2
1
1
1
1
2
2
2
2
3
3
3
3
2
2
2
2
1
1
1
1
2
2
2
2
3
3
3
3
1
1
1
0
1
0
0
0
0
0
0
1
0
0
0
1
0
0
0
1
0
0
0
1
0
0
0
1
0
0
0
1
0
0
0
1
0
0
0
1
0
0
0
1
0
0
1
0
0
0
1
0
0
0
1
0
0
0
0
1
0
0
1
0
0
0
1
0
0
0
1
0
1
0
0
0
75
34
35
0
64
44
53
0
64
44
53
0
64
44
53
0
69
34
35
0
64
44
53
0
64
44
53
0
69
34
35
0
64
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53
0
64
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69
34
50
0
69
34
15
0
64
44
15
0
69
34
35
0
69
34
30
0
69
34
15
0
69
34
15
0
90
44
53
13 307
94
95
33 367
27 412
14 314
70 158
61 778
34 772
11 470
65 145
54 674
33 668
8 560
71 133
59 625
32 619
8 510
81 139
71 698
32 692
33 600
65 154
53 621
32 615
9 535
58 148
48 646
32 640
5 470
81
95
70 610
31 604
30 440
71 145
59 658
32 652
10 590
82 159
71 765
32 759
13 490
61
73
33 350
26 227
14 314
60 133
31 397
21 240
14 351
81 129
35 677
31 565
12 588
59 117
32 397
26 442
17 180
111 276
93 1047
35 860
42 1008
59
88
30 361
21 295
13 299
59 114
31 389
21 243
13 334
55 115
72 602
33 596
46
104
73
72
48
93
179
151
82
87
156
135
93
91
153
126
85
96
147
107
98
89
147
125
90
80
145
129
76
91
136
96
78
93
159
131
100
106
187
147
87
69
71
51
48
74
74
47
52
101
138
117
101
72
75
74
37
141
207
128
151
68
70
53
45
71
73
47
49
72
163
123
60
20
20
20
20
50
50
50
50
70
70
70
70
50
50
50
50
26
26
26
26
45
45
45
45
45
45
45
45
30
30
30
30
40
40
40
40
50
50
50
50
35
35
35
35
34
34
34
34
8
8
8
8
30
30
30
30
32
32
32
32
26
26
26
26
42
42
42
42
50
50
50
1
1
1
1
1
3
3
3
3
4
4
4
4
3
3
3
3
1
1
1
1
4
4
4
4
6
6
6
6
1
1
1
1
3
3
3
3
2
2
2
2
1
1
1
1
1
1
1
1
2
2
2
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
290
0
1
0
0
0
0
0
0
1
0
0
0
1
0
1
0
0
0
1
0
0
0
1
0
0
0
0
1
0
1
0
0
0
1
0
0
0
0
0
0
1
0
0
0
1
0
0
0
1
1
0
0
0
1
0
0
0
0
0
1
0
0
1
0
15
44
53
0
69
34
35
0
69
34
35
0
64
20
53
0
64
50
53
0
64
30
53
0
64
44
15
0
15
34
35
0
10
44
53
0
69
34
35
0
69
34
35
0
69
34
35
0
30
34
35
0
20
34
35
0
64
44
30
0
64
10
24
87
31
25
7
62
39
33
12
59
31
25
14
51
61
22
6
64
41
15
9
58
21
24
7
71
58
35
11
50
15
12
13
61
24
19
4
59
31
25
13
58
31
25
18
62
19
16
18
93
33
27
13
76
33
27
13
100
49
48
14
48
21
589
110
348
393
320
76
377
422
300
121
386
431
270
90
350
405
327
215
420
385
321
74
295
389
315
119
617
615
586
75
361
406
315
80
350
395
314
100
372
417
210
73
324
334
240
184
454
464
225
85
365
410
308
95
344
389
315
190
678
430
629
63
255
113
104
84
85
56
71
80
79
45
72
73
72
43
64
114
83
56
97
104
73
58
69
66
83
55
89
152
128
100
58
55
56
47
73
77
79
52
70
71
70
36
66
66
61
44
82
68
66
42
102
72
71
46
86
70
69
47
129
152
113
109
58
60
50
70
70
70
70
30
30
30
30
26
26
26
26
26
26
26
26
18
18
18
18
35
35
35
35
50
50
50
50
4
4
4
4
30
30
30
30
45
45
45
45
60
60
60
60
4
4
4
4
30
30
30
30
60
60
60
60
4
4
4
4
18
18
1
2
2
2
2
1
1
1
1
1
1
1
1
3
3
3
3
2
2
2
2
2
2
2
2
3
3
3
3
1
1
1
1
4
4
4
4
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
2
2
2
3
3
0
0
0
1
0
0
0
0
0
1
1
0
0
0
1
0
0
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
1
0
0
0
1
0
0
0
1
0
0
0
0
1
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
1
53
0
64
10
53
0
69
34
35
0
30
34
35
0
5
44
53
0
5
44
53
0
64
44
16
0
69
34
35
0
69
34
5
0
69
34
10
0
69
34
30
0
69
34
35
0
45
34
35
0
69
34
50
0
69
34
35
0
64
44
53
0
13
4
58
30
13
6
59
30
24
10
111
71
32
27
64
30
24
7
60
24
19
3
97
76
38
15
91
77
38
29
59
16
14
17
60
34
37
13
107
89
35
37
81
69
30
30
126
70
31
32
59
15
29
13
81
35
31
27
66
54
33
12
397
324
93
315
346
316
94
361
406
270
105
596
590
577
80
348
393
291
85
379
424
337
188
825
810
803
117
630
624
540
114
378
370
335
66
352
250
307
144
879
775
868
124
605
599
720
135
596
590
577
86
360
265
300
124
605
599
510
140
670
664
540
73
53
72
78
65
54
69
70
68
39
122
136
96
90
76
83
84
51
73
81
83
54
125
201
161
137
104
145
106
88
72
57
54
53
67
72
64
46
123
184
119
131
94
135
95
108
141
135
95
95
68
54
57
46
94
100
96
82
87
156
134
94
18
18
15
15
15
15
26
26
26
26
40
40
40
40
70
70
70
70
45
45
45
45
26
26
26
26
35
35
35
35
4
4
4
4
20
20
20
20
45
45
45
45
40
40
40
40
40
40
40
40
2
2
2
2
20
20
20
20
70
70
70
70
3
3
2
2
2
2
1
1
1
1
1
1
1
1
2
2
2
2
4
4
4
4
3
3
3
3
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
4
4
4
4
291
/*=================================================================
Example 19.18. Nested Logit Model
*/=================================================================
Read ; Nobs=840 ; Nvar = 7
; Names=2 $
Mode TTME Invc Invt GC Hinc Psize
0 69
59 100
70
35 1
0 34
31 372
71
35 1
0 35
25 417
70
35 1
1
0
10 180
30
35 1
... total 840 observations in 210 groups of 4 ...
?---------------------------------------------------------------Create ; AASC=Dmy(4,1)
; TASC=Dmy(4,2)
; BASC=Dmy(4,3)
; CASC=Dmy(4,4) $
Create ; HincAir = Hinc*AASC $
?---------------------------------------------------------------? Unconditional
?---------------------------------------------------------------Nlogit ; Lhs = Mode ; Choices=Air,Train,Bus,Car
; Rhs = AASC,TASC,BASC,GC,TTME,HincAir $
Calc
; List ; L0 = LogL $
?---------------------------------------------------------------? FIML
; Tree= Fly(Air),Ground(Train,Bus,Car)
; Model:
U(Air,Train,Bus,Car)=at*TASC+ab*BASC+bg*GC+bt*TTME /
U(Fly,Ground)=aa*AASC + g*HincAir
; ShowTree ; Describe ; Effects:GC(*) $
Calc
; List ; LFIML = LogL $
Calc
; List ; LRTest = 2*(LFIML - L0) $
Matrix ; List ; tau = b(7:8) ; Vtau = Part(Varb,7,8,7,8) $
Wald
; Fn1=tauF-1 ; Fn2=tauG-1
; Start = Tau ; Var = Vtau ; Labels = tauF,tauG $
?---------------------------------------------------------------? LIML
; IVB=IncVlu ; Conditional
; Model:
U(Fly,Ground)=aa*AASC + g*HincAir $
Create ; IVAir = AASC*IncVlu
; IVGround = (1-AASC) * IncVlu $
Nlogit ; Lhs = Mode ; Choices=Air,Train,Bus,Car
; Sequential ; Maxit=400
; Model:
U(Fly,Ground)=aa*AASC + g*HincAir + tauA*IVAir + tauG*IvGround $
/*
292
?---------------------------------------------------------------?---------------------------------------------------------------? Unconditional
?---------------------------------------------------------------?---------------------------------------------------------------+---------------------------------------------+
| Discrete choice (multinomial logit) model
|
|
Choice
|
ONE
|
210
|
6
|
-199.1284
|
| Log-L for Choice
model =
-199.1284
|
| R2=1-LogL/LogL* Log-L fncn R-sqrd RsqAdj |
| No coefficients
-291.1218 .31600 .30942 |
| Constants only
-283.7588 .29825 .29150 |
| Response data are given as ind. choice.
|
| Number of obs.=
210, skipped
0 bad obs. |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
5.207443299
.77905514
6.684
.0000
TASC
3.869042702
.44312685
8.731
.0000
BASC
3.163194212
.45026593
7.025
.0000
GC
-.1550152532E-01 .44079931E-02
-3.517
.0004
TTME
-.9612479610E-01 .10439847E-01
-9.207
.0000
HINCAIR
.1328702625E-01 .10262407E-01
1.295
.1954
L0
= -.19912836871598160D+03
?---------------------------------------------------------------?---------------------------------------------------------------? FIML
?---------------------------------------------------------------?---------------------------------------------------------------Tree Structure Specified for the Nested Logit Model
Sample proportions are marginal, not conditional.
Choices marked with * are excluded for the IIA test.
----------------+----------------+----------------+----------------+------+--Trunk
(prop.)|Limb
(prop.)|Branch
(prop.)|Choice
(prop.)|Weight|IIA
----------------+----------------+----------------+----------------+------+--Trunk{1} 1.00000|Lmb[1|1] 1.00000|FLY
.27619|AIR
.27619| 1.000|
|
|GROUND
.72381|TRAIN
.30000| 1.000|
|
|
|BUS
.14286| 1.000|
|
|
|CAR
.28095| 1.000|
----------------+----------------+----------------+----------------+------+---
293
+---------------------------------------------+
| Start values obtained using non-nested mode |
|
Choice
|
ONE
|
210
|
5
|
-378.5920
|
| Log-L for Choice
model =
-260.1975
|
| No coefficients
-312.5500 .16750 .16218 |
| Constants only
-283.7588 .08303 .07717 |
| Log-L for Branch
model =
-118.3945
|
|
| Number of obs.=
210, skipped
0 bad obs. |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Model for Choice Among Alternatives
AT
.7777869968
.20792992
3.741
.0002
AB
-.1307604798
.22872416
-.572
.5675
BG
-.1773795033E-01 .40547008E-02
-4.375
.0000
BT
-.1340138348E-01 .31790445E-02
-4.216
.0000
Model for Choice Among Branches
AA
-1.922542151
.35420335
-5.428
.0000
G
.2612090765E-01 .81743148E-02
3.195
.0014
+---------------------------------------------+
| FIML: Nested Multinomial Logit Model
|
MODE
|
840
|
27
|
-193.6561
|
-312.5500
|
| Chi-squared
237.7877
|
8
|
.0000000
|
| No coefficients
-312.5500 .38040 .37243 |
| Constants only
-283.7588 .31753 .30875 |
| At start values
-287.6816 .32684 .31818 |
|
| Number of obs.=
210, skipped
0 bad obs. |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Attributes in the Utility Functions (beta)
AT
5.064602771
.66202159
7.650
.0000
AB
4.096314801
.61515554
6.659
.0000
BG
-.3158748258E-01 .81563642E-02
-3.873
.0001
BT
-.1126174878
.14129116E-01
-7.971
.0000
Attributes of Branch Choice Equations (alpha)
AA
3.540865214
1.2081272
2.931
.0034
G
.1533131683E-01 .93813382E-02
1.634
.1022
IV parameters, tau(j|i,l),sigma(i|l),phi(l)
FLY
.5860093848
.14062118
4.167
.0000
GROUND
.3889619203
.12366583
3.145
.0017
LRTEST = .10944440274998270D+02
294
Matrix TAU
+-------------1| .5860094D+00
2| .3889619D+00
Matrix VTAU
+---------------------------1| .1977432D-01 .9621190D-02
2| .9621190D-02 .1529324D-01
+-----------------------------------------------+
|
|
| Wald Statistic
=
24.47765
|
.00000
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) -.4139906152
.14062118
-2.944
.0032
Fncn( 2) -.6110380797
.12366583
-4.941
.0000
+-------------------------------------------------------------------------+
:
Descriptive Statistics for Alternative AIR
:
|
Utility Function
|
|
58.0 observs. |
|
Coefficient
| All
210.0 obs.|that chose AIR
|
| Name
Value Variable : Mean
Std. Dev.|Mean
Std. Dev. |
| ------------------- -------- | -------------------+------------------- |
| AT
5.0646 TASC
|
.000
.000|
.000
.000 |
| AB
4.0963 BASC
|
.000
.000|
.000
.000 |
| BG
-.0316 GC
| 102.648
30.575| 113.552
33.198 |
| BT
-.1126 TTME
|
61.010
15.719|
46.534
24.389 |
:
Descriptive Statistics for Alternative TRAIN
:
|
Utility Function
|
|
63.0 observs. |
|
Coefficient
| All
210.0 obs.|that chose TRAIN
|
| Name
Std. Dev.|Mean
Std. Dev. |
| ------------------- -------- | -------------------+------------------- |
| AT
5.0646 TASC
|
1.000
.000|
1.000
.000 |
| AB
4.0963 BASC
|
.000
.000|
.000
.000 |
| BG
-.0316 GC
| 130.200
58.235| 106.619
49.601 |
| BT
-.1126 TTME
|
35.690
12.279|
28.524
19.354 |
:
Descriptive Statistics for Alternative BUS
:
|
Utility Function
|
|
30.0 observs. |
|
Coefficient
| All
210.0 obs.|that chose BUS
|
| Name
Std. Dev.|Mean
Std. Dev. |
| ------------------- -------- | -------------------+------------------- |
| AT
5.0646 TASC
|
.000
.000|
.000
.000 |
| AB
4.0963 BASC
|
1.000
.000|
1.000
.000 |
| BG
-.0316 GC
| 115.257
44.934| 108.133
43.244 |
| BT
-.1126 TTME
|
41.657
12.077|
25.200
14.919 |
:
Descriptive Statistics for Alternative CAR
:
|
Utility Function
|
|
59.0 observs. |
|
Coefficient
| All
210.0 obs.|that chose CAR
|
| Name
Std. Dev.|Mean
Std. Dev. |
| ------------------- -------- | -------------------+------------------- |
| AT
5.0646 TASC
|
.000
.000|
.000
.000 |
| AB
4.0963 BASC
|
.000
.000|
.000
.000 |
| BG
-.0316 GC
|
95.414
46.827|
89.085
49.833 |
| BT
-.1126 TTME
|
.000
.000|
.000
.000 |
+-------------------------------------------------------------------------+
295
+-----------------------------------------------------------+
| Partial effects = average over observations
|
|
|
| dlnP[alt=k,br=j,lmb=i,tr=l]
|
| ---------------------------- = D(m:K,J,I,L) = delta(m)*F |
| dx(m):alt=K,br=J,lmb=I,tr=L]
|
|
|
| delta(m) = coefficient on x(m) in U(K:J,I,L)
|
| F = (l=L) (i=I) (j=J) [(k=K)-P(K:JIL)]
|
| + (l=L) (i=I) [(j=J)-P(J:IL)] P(K:JIL)t(J:IL)
|
| + (l=L) [(i=I)-P(I:L)] P(J:IL) P(K:JIL)t(J:IL)s(I:L)
|
| + [(l=L)-P(L)] P(I:L) P(J:IL) P(K:JIL)t(J:IL)s(I:L)f(L) |
|
|
| P(K|JIL)=Prob[choice=K |branch=J,limb=I,trunk=L]
|
| P(J|IL), P(IL), P(L) defined likewise.
|
| (n=N) = 1 if n=N, 0 else, for n=k,j,i,l and N=K,J,I,L.
|
| Elasticity = x(l) * D(l:K,J,I)
|
| Marginal effect = P(KJIL)*D = P(K:JIL)P(J:IL)P(I:L)P(L)D |
| F is decomposed into the 4 parts in the tables.
|
+-----------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
Averaged over observations.
|
| Attribute is GC
in choice AIR
|
| Effects on probabilities of all choices in the model:
|
| * indicates direct Elasticity effect of the attribute.
|
|
Decomposition of Effect
Total |
|
Trunk
Limb
Branch
Choice
Effect|
| Trunk=Trunk{1}
|
| Limb=Lmb[1|1]
|
|
Branch=FLY
|
| *
Choice=AIR
.000
.000 -1.377
.000
-1.377 |
|
Branch=GROUND
|
|
Choice=TRAIN
.000
.000
.523
.000
.523 |
|
Choice=BUS
.000
.000
.523
.000
.523 |
|
Choice=CAR
.000
.000
.523
.000
.523 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice TRAIN
|
|
|
|
Total |
|
Trunk
Limb
Branch
Choice
Effect|
| Trunk=Trunk{1}
|
| Limb=Lmb[1|1]
|
|
Branch=FLY
|
|
Choice=AIR
.000
.000
.377
.000
.377 |
|
Branch=GROUND
|
| *
Choice=TRAIN
.000
.000
-.125 -2.820
-2.945 |
|
Choice=BUS
.000
.000
-.125
1.293
1.167 |
|
Choice=CAR
.000
.000
-.125
1.293
1.167 |
+-----------------------------------------------------------------+
296
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice BUS
|
|
|
|
Total |
|
Trunk
Limb
Branch
Choice
Effect|
| Trunk=Trunk{1}
|
| Limb=Lmb[1|1]
|
|
Branch=FLY
|
|
Choice=AIR
.000
.000
.196
.000
.196 |
|
Branch=GROUND
|
|
Choice=TRAIN
.000
.000
-.064
.668
.604 |
| *
Choice=BUS
.000
.000
-.064 -2.973
-3.037 |
|
Choice=CAR
.000
.000
-.064
.668
.604 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice CAR
|
|
|
|
Total |
|
Trunk
Limb
Branch
Choice
Effect|
| Trunk=Trunk{1}
|
| Limb=Lmb[1|1]
|
|
Branch=FLY
|
|
Choice=AIR
.000
.000
.337
.000
.337 |
|
Branch=GROUND
|
|
Choice=TRAIN
.000
.000
-.175
1.318
1.142 |
|
Choice=BUS
.000
.000
-.175
1.318
1.142 |
| *
Choice=CAR
.000
.000
-.175 -1.696
-1.872 |
+-----------------------------------------------------------------+
?---------------------------------------------------------------?---------------------------------------------------------------? First step of sequential
?---------------------------------------------------------------?---------------------------------------------------------------+---------------------------------------------+
| Conditional logit model for choices only
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AT
4.463667918
.64053383
6.969
.0000
AB
3.104743906
.60901921
5.098
.0000
BG
-.6368191629E-01 .10042373E-01
-6.341
.0000
BT
-.6987782750E-01 .14880300E-01
-4.696
.0000
297
?---------------------------------------------------------------?---------------------------------------------------------------? Second step of sequential

?---------------------------------------------------------------?---------------------------------------------------------------+---------------------------------------------+
| Second step estimates of nested logit model |
|
Choice
|
ONE
|
210
|
401
|
-406.4572
|
| Log-L for Choice
model =
-291.1218
|
| No coefficients
-312.5500 .06856 .06261 |
| Constants only
-283.7588 -.02595 -.03250 |
| Log-L for Branch
model =
-115.3354
|
|
| Number of obs.=
210, skipped
0 bad obs. |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AT
4.463667918
.64053383
6.969
.0000
AB
3.104743906
.60901921
5.098
.0000
BG
-.6368191629E-01 .10042373E-01
-6.341
.0000
BT
-.6987782750E-01 .14880300E-01
-4.696
.0000
Model for Choice Among Branches
AA
-.6470323005E-01 .98495183
-.066
.9476
G
.2078766440E-01 .85219716E-02
2.439
.0147
TAUA
.2266245484
.10104018
2.243
.0249
TAUG
.1587210160
.71831401E-01
2.210
.0271
*/
/*=================================================================
Example 19.19. A Heteroscedastic Extreme Value Model
*/=================================================================
? Unconditional
; Rhs = AASC,TASC,BASC,GC,TTME,HincAir
; Effects:GC(*) $
? Heteroscedastic Extreme Value
; HET ; Effects:GC(*) $
? Heteroscedastic Extreme Value with Restrictions
; HET ; IVSet:(Train,BUS)=[1]$
? Nested Logit
; Model:
U(Fly,Ground)=aa*AASC + g*HincAir
; Effects:GC(*) $
/*
298
+---------------------------------------------+
| Heteroskedastic Extreme Value Model
|
840
|
49
|
-195.6605
|
-291.1218
|
9
|
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
7.832613245
10.950710
.715
.4744
TASC
7.171796833
9.1351209
.785
.4324
BASC
6.865474896
8.8290904
.778
.4368
GC
-.5155873099E-01 .69439362E-01
-.743
.4578
TTME
-.1968357725
.28826209
-.683
.4947
HINCAIR
.4023973693E-01 .60667280E-01
.663
.5071
Scale Parameters of Extreme Value Distns.
s_AIR
.2485151009
.36917696
.673
.5008
s_TRAIN
.2594728814
.41877591
.620
.5355
s_BUS
.6065447951
1.0399765
.583
.5597
s_CAR
1.000000000
s_AIR
5.160852582
7.6666081
.673
.5008
s_TRAIN
4.942904989
7.9775949
.620
.5355
s_BUS
2.114517857
3.6255342
.583
.5597
s_CAR
1.282549800
+---------------------------------------------+
| Heteroskedastic Extreme Value Model
|
-200.3791
|
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
2.972882222
.99511560
2.987
.0028
TASC
4.049855081
.49357307
8.205
.0000
BASC
3.041937384
.42851620
7.099
.0000
GC
-.2840881580E-01 .57954841E-02
-4.902
.0000
TTME
-.8279350315E-01 .57583453E-02 -14.378
.0000
HINCAIR
.2831068885E-01 .18590319E-01
1.523
.1278
Scale Parameters of Extreme Value Distns.
s_AIR
.4958593162
.12406770
3.997
.0001
s_TRAIN
1.000000000
s_BUS
1.000000000
s_CAR
1.000000000
s_AIR
s_TRAIN
s_BUS
s_CAR
2.586519519
1.282549800
1.282549800
1.282549800
.64716650
3.997
.0001
299
Tree Structure Specified for the Nested Logit Model

Sample proportions are marginal, not conditional.
Choices marked with * are excluded for the IIA test.
----------------+----------------+----------------+----------------+------+--Trunk
(prop.)|Limb
(prop.)|Branch
(prop.)|Choice
(prop.)|Weight|IIA
----------------+----------------+----------------+----------------+------+--Trunk{1} 1.00000|Lmb[1|1] 1.00000|FLY
.27619|AIR
.27619| 1.000|
|
|GROUND
.72381|TRAIN
.30000| 1.000|
|
|
|BUS
.14286| 1.000|
|
|
|CAR
.28095| 1.000|
----------------+----------------+----------------+----------------+------+--+---------------------------------------------+
| FIML: Nested Multinomial Logit Model
|
|
MODE
|
ONE
|
840
|
27
|
-193.6561
|
-312.5500
|
| Chi-squared
237.7877
|
8
|
.0000000
|
| No coefficients
-312.5500 .38040 .37243 |
| Constants only
-283.7588 .31753 .30875 |
| At start values
-287.6816 .32684 .31818 |
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AT
5.064602771
.66202159
7.650
.0000
AB
4.096314801
.61515554
6.659
.0000
BG
-.3158748258E-01 .81563642E-02
-3.873
.0001
BT
-.1126174878
.14129116E-01
-7.971
.0000
Attributes of Branch Choice Equations (alpha)
AA
3.540865214
1.2081272
2.931
.0034
G
.1533131683E-01 .93813382E-02
1.634
.1022
IV parameters, tau(j|i,l),sigma(i|l),phi(l)
FLY
.5860093848
.14062118
4.167
.0000
GROUND
.3889619203
.12366583
3.145
.0017
300
Comparison of Elasticities
==========================
Multinomial Logit
==========================
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice AIR
|
| *
Choice=AIR
.000
.000
.000 -1.136
-1.136 |
|
Choice=TRAIN
.000
.000
.000
.456
.456 |
|
Choice=BUS
.000
.000
.000
.456
.456 |
|
Choice=CAR
.000
.000
.000
.456
.456 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice TRAIN
|
|
Choice=AIR
.000
.000
.000
.498
.498 |
| *
Choice=TRAIN
.000
.000
.000 -1.520
-1.520 |
|
Choice=BUS
.000
.000
.000
.498
.498 |
|
Choice=CAR
.000
.000
.000
.498
.498 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice BUS
|
|
Choice=AIR
.000
.000
.000
.238
.238 |
|
Choice=TRAIN
.000
.000
.000
.238
.238 |
| *
Choice=BUS
.000
.000
.000 -1.549
-1.549 |
|
Choice=CAR
.000
.000
.000
.238
.238 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice CAR
|
|
Choice=AIR
.000
.000
.000
.418
.418 |
|
Choice=TRAIN
.000
.000
.000
.418
.418 |
|
Choice=BUS
.000
.000
.000
.418
.418 |
| *
Choice=CAR
.000
.000
.000 -1.061
-1.061 |
+-----------------------------------------------------------------+
301
==========================
Nested Logit
==========================
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice AIR
|
|
Branch=FLY
|
| *
Choice=AIR
.000
.000 -1.377
.000
-1.377 |
|
Branch=GROUND
|
|
Choice=TRAIN
.000
.000
.523
.000
.523 |
|
Choice=BUS
.000
.000
.523
.000
.523 |
|
Choice=CAR
.000
.000
.523
.000
.523 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice TRAIN
|
|
Branch=FLY
|
|
Choice=AIR
.000
.000
.377
.000
.377 |
|
Branch=GROUND
|
| *
Choice=TRAIN
.000
.000
-.125 -2.820
-2.945 |
|
Choice=BUS
.000
.000
-.125
1.293
1.167 |
|
Choice=CAR
.000
.000
-.125
1.293
1.167 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice BUS
|
|
Branch=FLY
|
|
Choice=AIR
.000
.000
.196
.000
.196 |
|
Branch=GROUND
|
|
Choice=TRAIN
.000
.000
-.064
.668
.604 |
| *
Choice=BUS
.000
.000
-.064 -2.973
-3.037 |
|
Choice=CAR
.000
.000
-.064
.668
.604 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice CAR
|
|
Branch=FLY
|
|
Choice=AIR
.000
.000
.337
.000
.337 |
|
Branch=GROUND
|
|
Choice=TRAIN
.000
.000
-.175
1.318
1.142 |
|
Choice=BUS
.000
.000
-.175
1.318
1.142 |
| *
Choice=CAR
.000
.000
-.175 -1.696
-1.872 |
+-----------------------------------------------------------------+
302
=============================
Heteroscedastic Extreme Value
=============================
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice AIR
|
| *
Choice=AIR
.000
.000
.000 -1.040
-1.040 |
|
Choice=TRAIN
.000
.000
.000
.277
.277 |
|
Choice=BUS
.000
.000
.000
.688
.688 |
|
Choice=CAR
.000
.000
.000
.690
.690 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice TRAIN
|
|
Choice=AIR
.000
.000
.000
.367
.367 |
| *
Choice=TRAIN
.000
.000
.000 -1.495
-1.495 |
|
Choice=BUS
.000
.000
.000
.858
.858 |
|
Choice=CAR
.000
.000
.000
.930
.930 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice BUS
|
|
Choice=AIR
.000
.000
.000
.221
.221 |
|
Choice=TRAIN
.000
.000
.000
.250
.250 |
| *
Choice=BUS
.000
.000
.000 -6.562
-6.562 |
|
Choice=CAR
.000
.000
.000
1.254
1.254 |
+-----------------------------------------------------------------+
+-----------------------------------------------------------------+
| Elasticity
|
| Attribute is GC
in choice CAR
|
|
Choice=AIR
.000
.000
.000
.441
.441 |
|
Choice=TRAIN
.000
.000
.000
.553
.553 |
|
Choice=BUS
.000
.000
.000
3.384
3.384 |
| *
Choice=CAR
.000
.000
.000 -2.717
-2.717 |
+-----------------------------------------------------------------+
*/
303
/*=================================================================
Example 19.20. Multinomial Choice Models Based on the Normal
Distribution
*/=================================================================
? Note: Estimated Models are based on simulations and large
? samples of random draws by the random number generators. As
? such, models will differ slightly from one estimation to the
? next. Also, for purposes of our illustrations, we restricted
? the simulations to only 10 draws, rather than the more common
? 100, 500, etc. Thus, there will be correspondingly greater
? variation across estimations with our specifications.
?
? Random Parameters Logit Model
? =================================================
? 1. Full correlation across all parameters
Calc
; Ran(12345) $
; RPL ; Pts=10 ; Cor
; Fcn=AASC(n),TASC(n),BASC(n),GC(n),TTME(n),HincAir(n) $
?
? 2. Variation only in constants
Calc
; Ran(12345) $
; RPL ; Pts=10 ; Cor
; Fcn=AASC(n),TASC(n),BASC(n) $
?
? 3. Variation only in constants, no correlation
Calc
; Ran(12345) $
; RPL ; Pts=10
; Fcn=AASC(n),TASC(n),BASC(n) $
?
? Multinomial Probit Model
? =================================================
? 1. Full correlation across all parameters
Calc
; Ran(12345) $
; MNP ; Pts=10 ; Maxit=20 $
?
? 2. Variation only in constants
?
Calc
; Ran(12345) $
; MNP ; Cor = 0 ; Pts=10 ; Maxit=20 $
?
? 3. Variation only in constants, no correlation
Calc
; Ran(12345) $
; MNP ; Cor = 0 ; Sdv = 1 ; Pts=10 ; Maxit=20 $
/*
304
?-----------------------------------------------------------------------? 1. Full Correlation Across All Parameters

?-----------------------------------------------------------------------+---------------------------------------------+
| Random Parameters Logit Model
|
-197.9334
|
-291.1218
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Random parameters in utility functions
AASC
5.210610839
.78241485
6.660
.0000
TASC
3.895497875
.45155332
8.627
.0000
BASC
3.193247950
.44313075
7.206
.0000
GC
-.1577132538E-01 .41136706E-02
-3.834
.0001
TTME
-.9673312450E-01 .82787952E-02 -11.684
.0000
HINCAIR
.1397298084E-01 .12312150E-01
1.135
.2564
Standard deviations of parameter distributions
sdAASC
.1678260955
.83029443
.202
.8398
sdTASC
.1066964583
.42817760
.249
.8032
sdBASC
.1833593466
.41112141
.446
.6556
sdGC
.2142443244E-02 .40277618E-02
.532
.5948
sdTTME
.4639897606E-02 .56932490E-02
.815
.4151
sdHINCAI .8370196663E-02 .96359410E-02
.869
.3850
Correlation matrix for parameter distribution
AASC
TASC
BASC
GC
TTME
HINCAIR
AASC
1
TASC
-0.870886
1
BASC
-0.579687
0.130959
1
GC
0.503925 -0.708258 -0.0603856
1
TTME
0.192478
0.12705
-0.402587
-0.590564
1
HINCAIR -0.576742
0.255188
0.698427
0.0267751
-0.788595
1
?-----------------------------------------------------------------------? 2. Variation only in constants
?-----------------------------------------------------------------------+---------------------------------------------+
-198.7000
|
-291.1218
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
5.233930537
.77010781
6.796
.0000
TASC
3.884530736
.44541793
8.721
.0000
BASC
3.178206546
.44003568
7.223
.0000
Nonrandom parameters in utility functions
GC
-.1563941393E-01 .40592047E-02
-3.853
.0001
TTME
-.9650546973E-01 .81527479E-02 -11.837
.0000
HINCAIR
.1321950760E-01 .12024222E-01
1.099
.2716
Standard deviations of parameter distributions
sdAASC
.5211407146E-01 .21748990
.240
.8106
sdTASC
.1714587904
.21969891
.780
.4351
sdBASC
.6557712583E-01 .30155423
.217
.8278
Correlation Matrix for Random Parameters
AASC
TASC
BASC
AASC
| .1000000D+01 -.5678506D+00 -.7194674D+00
TASC
| -.5678506D+00 .1000000D+01 .3474249D+00
BASC
| -.7194674D+00 .3474249D+00 .1000000D+01
305
?-----------------------------------------------------------------------? 3. Variation only in constants, no correlation

?-----------------------------------------------------------------------+---------------------------------------------+
-198.8125
|
-291.1218
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
5.225968684
.76908720
6.795
.0000
TASC
3.876949903
.44470640
8.718
.0000
BASC
3.172163898
.43872419
7.230
.0000
Nonrandom parameters in utility functions
GC
-.1560515982E-01 .40564896E-02
-3.847
.0001
TTME
-.9638637425E-01 .81209276E-02 -11.869
.0000
HINCAIR
.1321839675E-01 .12027976E-01
1.099
.2718
Derived standard deviations of parameter distributions
sAASC
.1556649341E-01 .19840352
.078
.9375
sTASC
.1421779588
.21024893
.676
.4989
sBASC
.4505564992E-01 .31097125
.145
.8848
306
?-----------------------------------------------------------------------? 1. Full Correlation Across Utilities

?-----------------------------------------------------------------------+---------------------------------------------+
| Multinomial Probit Model
|
-197.9501
|
-291.1218
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
2.392879948
450968.66
.000 1.0000
TASC
2.946165064
555242.25
.000 1.0000
BASC
2.477439448
466905.03
.000 1.0000
GC
-.2298928711E-01 4332.6248
.000 1.0000
TTME
-.6181985221E-01 11650.737
.000 1.0000
HINCAIR
.1493573312E-01 2814.8288
.000 1.0000
Std. Devs. of the Normal Distribution.
s[AIR]
2.448501692
538421.98
.000 1.0000
s[TRAIN] .9021138036
378927.52
.000 1.0000
s[BUS]
.1813388761
1073461.0
.000 1.0000
s[CAR]
1.000000000
Correlations in the Normal Distribution
rAIR,TRA .6310147286E-01 154048.33
.000 1.0000
rAIR,BUS -.8505614608
5750372.3
.000 1.0000
rTRA,BUS -.8960409889
7646989.0
.000 1.0000
rAIR,CAR .0000000000
rTRA,CAR .0000000000
rBUS,CAR .0000000000
?-----------------------------------------------------------------------? 2. Heteroscedasticity Across Utilities
?-----------------------------------------------------------------------+---------------------------------------------+
-197.2509
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
1.794017985
1.0954530
1.638
.1015
TASC
3.072820243
.98985704
3.104
.0019
BASC
2.617159162
.84530764
3.096
.0020
GC
-.2565426732E-01 .82572136E-02
-3.107
.0019
TTME
-.6191745807E-01 .22755956E-01
-2.721
.0065
HINCAIR
.3138903239E-01 .21621825E-01
1.452
.1466
s[AIR]
2.863986386
1.2450290
2.300
.0214
s[TRAIN] 1.020614943
.51751047
1.972
.0486
s[BUS]
.3066857069
.55260505
.555
.5789
s[CAR]
1.000000000
307
?-----------------------------------------------------------------------? 3. Homoscedastic and Uncorrelated Across Utilities

?-----------------------------------------------------------------------+---------------------------------------------+
| Multinomial Probit Model
|
-207.2862
|
-291.1218
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
2.979533160
.44323694
6.722
.0000
TASC
2.393819674
.27058346
8.847
.0000
BASC
1.813333670
.25526258
7.104
.0000
GC
-.1136554682E-01 .27043424E-02
-4.203
.0000
TTME
-.5625903347E-01 .40844136E-02 -13.774
.0000
HINCAIR
.1276769130E-01 .77850428E-02
1.640
.1010
s[AIR]
1.000000000
s[TRAIN] 1.000000000
s[BUS]
1.000000000
s[CAR]
1.000000000
Correlations in the Normal Distribution
rAIR,TRA .0000000000
rAIR,BUS .0000000000
rTRA,BUS .0000000000
rAIR,CAR .0000000000
rTRA,CAR .0000000000
rBUS,CAR .0000000000
This is the same model based on the extreme value distribution rather
than the normal distribution
+---------------------------------------------+
|
-199.1284
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
AASC
5.207443299
.77905514
6.684
.0000
TASC
3.869042702
.44312685
8.731
.0000
BASC
3.163194212
.45026593
7.025
.0000
GC
-.1550152532E-01 .44079931E-02
-3.517
.0004
TTME
-.9612479610E-01 .10439847E-01
-9.207
.0000
HINCAIR
.1328702625E-01 .10262407E-01
1.295
.1954
*/
308
/*=================================================================
Example 19.21. Rating Assignments
No computations
*/=================================================================
/*=================================================================
Example 19.22. Poisson Regression Model
*/=================================================================
?
Read ; Nobs=40 ; Nvar=14 ; Names = 1 $
Type TA TB TC TD TE T6064 T6569 T7074 T7579 O6074 O7579
1
1 0 0 0 0
1
0
0
0
1
0
1
1 0 0 0 0
1
0
0
0
0
1
1
1 0 0 0 0
0
1
0
0
1
0
1
1 0 0 0 0
0
1
0
0
0
1
1
1 0 0 0 0
0
0
1
0
1
0
1
1 0 0 0 0
0
0
1
0
0
1
1
1 0 0 0 0
0
0
0
1
1
0
1
1 0 0 0 0
0
0
0
1
0
1
2
0 1 0 0 0
1
0
0
0
1
0
2
0 1 0 0 0
1
0
0
0
0
1
2
0 1 0 0 0
0
1
0
0
1
0
2
0 1 0 0 0
0
1
0
0
0
1
2
0 1 0 0 0
0
0
1
0
1
0
2
0 1 0 0 0
0
0
1
0
0
1
2
0 1 0 0 0
0
0
0
1
1
0
2
0 1 0 0 0
0
0
0
1
0
1
3
0 0 1 0 0
1
0
0
0
1
0
3
0 0 1 0 0
1
0
0
0
0
1
3
0 0 1 0 0
0
1
0
0
1
0
3
0 0 1 0 0
0
1
0
0
0
1
3
0 0 1 0 0
0
0
1
0
1
0
3
0 0 1 0 0
0
0
1
0
0
1
3
0 0 1 0 0
0
0
0
1
1
0
3
0 0 1 0 0
0
0
0
1
0
1
4
0 0 0 1 0
1
0
0
0
1
0
4
0 0 0 1 0
1
0
0
0
0
1
4
0 0 0 1 0
0
1
0
0
1
0
4
0 0 0 1 0
0
1
0
0
0
1
4
0 0 0 1 0
0
0
1
0
1
0
4
0 0 0 1 0
0
0
1
0
0
1
4
0 0 0 1 0
0
0
0
1
1
0
4
0 0 0 1 0
0
0
0
1
0
1
5
0 0 0 0 1
0
0
0
1
0
1
5
0 0 0 0 1
1
0
0
0
0
1
5
0 0 0 0 1
0
1
0
0
1
0
5
0 0 0 0 1
0
1
0
0
0
1
5
0 0 0 0 1
0
0
1
0
1
0
5
0 0 0 0 1
0
0
1
0
0
1
5
0 0 0 0 1
0
0
0
1
1
0
5
0 0 0 0 1
0
0
0
1
0
1
?
Reject
Create
Months
127
63
1095
1095
1512
3353
.
2244
44882
17176
28609
20370
7064
13099
.
7117
1179
552
781
676
783
1948
.
274
251
105
288
192
349
1208
.
2051
45
.
789
437
1157
2161
.
542
Acc
0
0
3
4
6
18
.
11
39
29
58
53
12
44
.
18
1
1
0
1
6
2
.
1
0
0
0
0
2
11
.
4
0
.
7
7
5
12
.
1
; Acc = -999 $
; LogM = Log(Months) $
309
?
? Full model with period and ship effects. Use RST to force coefficient
? on logMonths to equal 1.
?
Poisson ; Lhs = Acc
; Rhs = One,TB,TC,TD,TE,T6569,T7074,T7579,O7579,LogM
; Rst = B1,B2,B3,B4,B5,
B6, B7,
B8,
B9, 1.0 $
Calc
; List ; Lfull = LogL $
/*
+---------------------------------------------+
|
-68.41456
|
| Chi- squared =
42.44145 RsqP=
.9456
|
| G - squared =
38.96262 RsqD=
.9366
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -6.402877189
.21752283
-29.435
.0000
TB
-.5447114535
.17761347
-3.067
.0022 .20588235
TC
-.6887644611
.32903575
-2.093
.0363 .20588235
TD
-.7430913936E-01 .29055779
-.256
.7981 .20588235
TE
.3205288062
.23575203
1.360
.1740 .17647059
T6569
.6958454875
.14965625
4.650
.0000 .29411765
T7074
.8174553971
.16983764
4.813
.0000 .29411765
T7579
.4449706379
.23323916
1.908
.0564 .17647059
O7579
.3838591307
.11826046
3.246
.0012 .58823529
LOGM
1.000000000
........(Fixed Parameter)........ 7.0492545
LFULL
= -.68414555743851670D+02
*/
? Force ship effect coefficients to equal zero.
?
Poisson ; Lhs = Acc
; Rst = B1, 0, 0, 0, 0,
B6, B7,
B8,
B9, 1.0 $
Calc
; List ; Lnoship = LogL $
/*
+---------------------------------------------+
-80.20123
|
| Chi- squared =
82.83708 RsqP=
.8938
|
| G - squared =
62.53596 RsqD=
.8982
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -6.946953167
.12694255
-54.725
.0000
TB
.0000000000
........(Fixed Parameter)........ .20588235
TC
.0000000000
........(Fixed Parameter)........ .20588235
TD
.0000000000
........(Fixed Parameter)........ .20588235
TE
.0000000000
........(Fixed Parameter)........ .17647059
T6569
.7536172371
.14876631
5.066
.0000 .29411765
T7074
1.050336097
.15756211
6.666
.0000 .29411765
T7579
.6998988259
.22030227
3.177
.0015 .17647059
O7579
.3872453960
.11810212
3.279
.0010 .58823529
LOGM
1.000000000
........(Fixed Parameter)........ 7.0492545
LNOSHIP = -.80201227220281030D+02
*/
310
?
? Force period effects to equal zero
?
Poisson ; Lhs = Acc
; Rst = B1,B2,B3,B4,B5,
0,
0,
0,
B9, 1.0 $
Calc
; List ; Lnopd = LogL $
/*
+---------------------------------------------+
-84.11515
|
| Chi- squared =
78.04910 RsqP=
.9000
|
| G - squared =
70.36380 RsqD=
.8855
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -5.799973547
.17841956
-32.507
.0000
TB
-.7437270799
.16914752
-4.397
.0000 .20588235
TC
-.7548677304
.32763934
-2.304
.0212 .20588235
TD
-.1843231891
.28755268
-.641
.5215 .20588235
TE
.3841930549
.23479004
1.636
.1018 .17647059
T6569
.0000000000
........(Fixed Parameter)........ .29411765
T7074
.0000000000
........(Fixed Parameter)........ .29411765
T7579
.0000000000
........(Fixed Parameter)........ .17647059
O7579
.5000989766
.11156453
4.483
.0000 .58823529
LOGM
1.000000000
........(Fixed Parameter)........ 7.0492545
LNOPD
= -.84115146686612620D+02
*/
?
? Likelihood ratio tests of restrictions
?
Calc
; List ; LRpd = 2*(Lfull - Lnopd)
; Ctb(.95,3)
; LRship = 2*(Lfull - Lnoship)
; Ctb(.95,4) $
/*
LRPD
= .31401181885521910D+02
Result = .78147277654400000D+01
LRSHIP = .23573342952858720D+02
Result = .94877290383399850D+01
*/
311
/*=================================================================
Example 19.23. A Regression-Based Test for Overdispersion in
the Poisson Model
*/=================================================================
Poisson ; Lhs = Acc
; Rst = B1,B2,B3,B4,B5,
B6, B7,
B8,
B9, 1.0
; Keep = Lambdai $
Create ; zi = ((Acc-Lambdai)^2 - Acc) / (sqr(2)*Lambdai) $
Regress ; Lhs = zi ; Rhs = One $
Regress ; Lhs = zi ; Rhs = lambdai $
/*
+---------------------------------------------+
|
|
+---------------------------------------------+
Results appear in previous examples
+-----------------------------------------------------------------------+
| Ordinary
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.24061138
.934
.3569
+-----------------------------------------------------------------------+
| Ordinary
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
LAMBDAI -.7910265460E-02 .12906232E-01
-.613
.5441 10.470588
*/
/*=================================================================
Example 19.24. A Conditional Moment Test for Overdispersion
*/=================================================================
Poisson ; Lhs = Acc
; Rst = B1,B2,B3,B4,B5,
B6, B7,
B8,
B9, 1.0
; Keep = Lambdai $
Create ; ei = Acc - Lambdai ; ei2 = ei*ei$
Create ; vi = ei^2 - Lambdai ; vi2 = vi*vi ; eivi = ei*vi $
Namelist; Z = TB,TC,TD,TE,T6569,T7074,T7579,O7579,LogM
; X = One,Z $
Matrix ; MM = Z'[vi2]Z ; DD = X'[ei2]X ; MD = Z'[eivi]X
; Q = MM - MD*<DD>*MD'
; r = Z'vi
; List ; CM = r'<Q>r $
Calc
; List ; Ctb(.95,8) $
/*
Regression Results appear in earlier examples
Matrix CM
1
+-------------1| .2655515D+02
Result = .15507313057789990D+02
*/
312
/*=================================================================
Example 19.25. A Lagrange Multiplier Test for Overdispersion
*/=================================================================
Poisson ; Lhs = Acc
; Rst = B1,B2,B3,B4,B5,
B6, B7,
B8,
B9, 1.0
; Keep = Lambdai ; Res = ei $
Calc
; List ; LM = (ei'ei - n*xbr(Acc))^2/(2*Lambdai'Lambdai) $
/*
Regression results appear in earlier examples.
LM
= .75044204556764770D+00
*/
/*==================================================================
Example 19.26 A Split Population Model for Major Derogatory Reports
*/==================================================================
?
?
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7
0
3
0
1
0
1
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1
1
1
1
0
0
1
1
1
1
0
1
0
1
0
1
1
1
1
0
1
0
1
1
1
0
1
1
1
0
1
1
1
1
1
1
1
1
0
1
0
38 4.52
33 2.42
34 4.50
31 2.54
32 9.79
23 2.50
28 3.96
29 2.37
37 3.80
28 3.20
31 3.95
42 1.98
30 1.73
29 2.45
35 1.91
41 3.20
40 4.00
30 3.00
40 10.00
46 3.40
35 2.35
25 1.88
34 2.00
36 4.00
43 5.14
30 4.51
22 3.84
22 1.50
34 2.50
40 5.50
22 2.03
29 3.20
25 3.15
21 2.47
24 3.00
43 3.54
43 2.28
37 5.70
27 3.50
28 4.60
26 3.00
23 2.59
30 1.51
30 1.85
38 2.60
28 1.80
36 2.00
38 3.26
124.98
9.85
15.00
137.87
546.50
92.00
40.83
150.79
777.82
52.58
256.66
0.00
0.00
78.87
42.62
335.43
248.72
0.00
548.03
0.00
43.34
0.00
218.52
170.64
37.58
502.20
0.00
73.18
0.00
1532.77
42.69
417.83
0.00
552.72
222.54
541.30
0.00
568.77
344.47
405.35
310.94
53.65
63.92
165.85
9.58
0.00
319.49
0.00
1
0
1
0
1
0
0
1
1
0
1
1
1
1
1
1
1
1
1
0
1
0
1
0
1
0
0
0
1
1
0
0
1
1
0
1
0
1
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
313
0
0
0
0
0
0
0
1
0
0
0
0
2
0
0
0
3
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
3
0
0
0
0
1
2
0
0
4
2
0
1
1
0
0
1
1
0
1
1
1
1
1
1
1
0
1
1
1
1
1
0
0
1
1
0
1
1
1
1
1
1
0
1
1
1
1
0
1
1
1
0
1
0
0
0
0
0
0
1
0
0
1
1
1
1
1
26
28
50
24
21
24
26
33
34
33
45
21
25
27
26
22
27
26
41
42
22
25
31
27
33
37
27
24
24
25
36
33
33
55
20
29
40
41
41
35
24
54
34
45
43
35
36
22
33
25
26
46
2.35
7.00
3.60
2.00
1.70
2.80
2.40
3.00
4.80
3.18
1.80
1.50
3.00
2.28
2.80
2.70
4.90
2.50
6.00
3.90
5.10
3.07
2.46
2.00
3.25
2.72
2.20
4.10
3.75
2.88
3.05
2.55
4.00
2.64
1.65
2.40
3.71
7.24
4.39
3.30
2.30
4.18
2.49
2.81
2.40
1.50
8.40
1.56
6.00
3.60
5.00
5.50
83.08
644.83
0.00
93.20
105.04
34.13
41.19
169.89
1898.03
810.39
0.00
32.78
95.80
27.78
215.07
79.51
0.00
0.00
306.03
104.54
0.00
642.47
308.05
186.35
56.15
129.37
93.11
0.00
292.66
98.46
258.55
101.68
0.00
65.25
108.61
49.56
0.00
235.57
0.00
0.00
0.00
0.00
0.00
0.00
68.38
0.00
0.00
0.00
474.15
234.05
451.20
251.52
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
1
0
0
0
1
1
1
0
0
0
1
0
0
0
0
1
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
?
?Variablesinmodelparts.Y=Derogs,forconvenience
?
Namelist ;
;
Create
;
Histogram;
?
X =
Z =
y =
Rhs
One,Age,Income,Exp
One,Age,Income,OwnRent $
Derogs $
= Derogs $
314
? Basic Poisson Model

?
Poisson ; Lhs = y ; Rhs = X $
Create
; q = y > 0 $
?
? Population splitting model
?
Logit
; Lhs = q ; Rhs = Z $
?
? FIML estimation of splitting and Poisson Models.
?
Poisson ; Lhs = y ; Rhs = X ; Rh2 = Z ; ZIP $
/*
Histogram for DEROGS
NOBS=
100, Too low:
0, Too high:
0
Bin Lower limit
Upper limit
Frequency
Cumulative Frequency
========================================================================
0
.000
1.000
82 ( .8200)
82( .8200)
1
1.000
2.000
10 ( .1000)
92( .9200)
2
2.000
3.000
3 ( .0300)
95( .9500)
3
3.000
4.000
3 ( .0300)
98( .9800)
4
4.000
5.000
1 ( .0100)
99( .9900)
5
5.000
6.000
0 ( .0000)
99( .9900)
6
6.000
7.000
0 ( .0000)
99( .9900)
7
7.000
8.000
1 ( .0100)
100(1.0000)
92
Histogram for Variable DEROGS
Frequency
69
46
23
3
4
DEROGS
315
+---------------------------------------------+
|
-79.70528
|
-91.93738
|
| Chi- squared =
208.89386 RsqP=
.2557
|
| G - squared =
115.52058 RsqD=
.1748
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -1.548100204
.71359684
-2.169
.0300
AGE
.1202353857E-01 .19632020E-01
.612
.5402 32.080000
INCOME
.2211135873
.10113784
2.186
.0288 3.3693000
EXP
-.6640641019E-02 .19205129E-02
-3.458
.0005 189.02310
+---------------------------------------------+
|
-45.31587
|
-47.13935
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Constant -3.180366866
1.1781296
-2.700
.0069
AGE
.4167728346E-01 .34188956E-01
1.219
.2228 32.080000
INCOME
.1681214063
.16468011
1.021
.3073 3.3693000
OWNRENT -.8770336915
.64392165
-1.362
.1732 .36000000
+----------------------------------------------------------------------+
| Zero Altered Poisson
Regression Model
|
| Logistic distribution used for splitting model.
|
| ZAP term in probability is F[tau x Z(i)
]
|
| Comparison of estimated models
|
|
Pr[0|means]
Number of zeros
Log-likelihood |
| Poisson
.82882
Act.=
82 Prd.=
82.9
-79.70528 |
| Z.I.Poisson
.83497
Act.=
82 Prd.=
83.5
-64.68706 |
| Note, the ZIP log-likelihood is not directly comparable.
|
| ZIP model with nonzero Q does not encompass the others.
|
| Vuong statistic for testing ZIP vs. unaltered model is
6.1102
|
| Distributed as standard normal. A value greater than
|
| +1.96 favors the zero altered Z.I.Poisson model.
|
| A value less than -1.96 rejects the ZIP model.
|
+----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Poisson/Negbin regression model
1.0535528
1.276
.2018
AGE
-.1048765464E-01 .32483456E-01
-.323
.7468 32.080000
INCOME
-.6937899516E-01 .20630881
-.336
.7367 3.3693000
EXP
-.5837869726E-02 .20820489E-02
-2.804
.0050 189.02310
Zero inflation model
1.7639127
2.414
.0158
AGE
-.3831975891E-01 .39309689E-01
-.975
.3297 32.080000
INCOME
-.7299972822
.39815656
-1.833
.0667 3.3693000
OWNRENT
.4918209292
.78944268
.623
.5333 .36000000
316
Chapter 20. Limited Dependent Variable and

Duration
Models
/*=================================================================
Example 20.1. A Truncated Distribution
No computations
*/=================================================================
/*=================================================================
Example 20.2. Truncated Uniform Distribution
No computations
*/=================================================================
/*=================================================================
Example 20.3. Moments of the Truncated Uniform Distribution
No computations
*/=================================================================
/*=================================================================
Example 20.4. Moments of a Truncated Lognormal Distribution
No computations
*/=================================================================
/*=================================================================
Example 20.5. Marginal Effects in a Truncated Regression
No computations
*/=================================================================
/*=================================================================
Example 20.6. Reparameterized Log-Likelihood
No computations
*/=================================================================
/*=================================================================
Example 20.7. Estimates of a Truncated Regression
No computations
*/=================================================================
/*=================================================================
Example 20.8. Censored Random Variable
No computations
*/=================================================================
/*=================================================================
Example 20.9. Censored Distribution
No computations
*/=================================================================
/*=================================================================
Example 20.10. Estimated Tobit Equations for Hours Worked
No computations
*/=================================================================
/*=================================================================
Example 20.11. Multiplicative Heteroscedasticity in the Tobit Model
No computations
*/=================================================================
317
/*=================================================================
Example 20.12. Censoring in the Tobit and Poisson Regression Models
*/=================================================================
Read ; Nobs = 601 ; Nvar = 9;
Names=Y,Z1,Z2,Z3,Z4,Z5,Z6,Z7,Z8$
(Data are in Example 19.20)
/*=================================================================
Example 20.12. Censoring in the Tobit and Poisson Regression Models
*/=================================================================
? (continued)
Dstat
; Rhs=*
Histogram;rhs=y$
All results based on nonmissing observations.
==============================================================================
=
Variable
Mean
Std.Dev.
Minimum
Maximum
Cases
==============================================================================
=
Y
1.45590682
3.29875773
.000000000
12.0000000
601
Z1
.475873544
.499833583
.000000000
1.00000000
601
Z2
32.4875208
9.28876170
17.5000000
57.0000000
601
Z3
8.17769551
5.57130315
.125000000
15.0000000
601
Z4
.715474210
.451564115
.000000000
1.00000000
601
Z5
3.11647255
1.16750940
1.00000000
5.00000000
601
Z6
16.1663894
2.40255457
9.00000000
20.0000000
601
Z7
4.19467554
1.81944266
1.00000000
7.00000000
601
Z8
3.93178037
1.10317949
1.00000000
5.00000000
601
Histogram for Y
NOBS=
601, Too low:
0, Too high:
0
Bin Lower limit
Upper limit
Frequency
========================================================================
0
.000
1.000
451 ( .7504)
451( .7504)
1
1.000
2.000
34 ( .0566)
485( .8070)
2
2.000
3.000
17 ( .0283)
502( .8353)
3
3.000
4.000
19 ( .0316)
521( .8669)
4
4.000
5.000
0 ( .0000)
521( .8669)
5
5.000
6.000
0 ( .0000)
521( .8669)
6
6.000
7.000
0 ( .0000)
521( .8669)
7
7.000
8.000
42 ( .0699)
563( .9368)
8
8.000
9.000
0 ( .0000)
563( .9368)
9
9.000
10.000
0 ( .0000)
563( .9368)
10
10.000
11.000
0 ( .0000)
563( .9368)
11
11.000
12.000
0 ( .0000)
563( .9368)
12
12.000
13.000
38 ( .0632)
601(1.0000)
318
500
Histogram for Variable Y
Freq ue n cy
375
250
125
6
Y
10 11 12
319
?
? Specification analysis for the tobit model
?
Create
;q=y>0$
Namelist ; X = one,z1,z2,z3,z4,z5,z6,z7,z8 $
Namelist ; Xr= one,
z2,z3,
z5,
z7,z8 $
?
? Tobit specification tests for three variables
? Wald
?
Tobit
; Lhs = y ; Rhs = X ; Wald:b(2)=0,b(5)=0,b(7)=0$
Calc
; LogLU=Logl $
Tobit
; Lhs = y ; Rhs = XR$
?
? Likelihood Ratio
?
Calc
; List ; LogLR=Logl ; LRTest = -2*(LogLR - LogLu) $
?
? lagrange Multiplier
?
Tobit
; Lhs = y ; Rhs = X ; Maxit = 0
; Start=b(1),0,b(2),b(3),0,b(4),0,b(5),b(6),s$
+---------------------------------------------+
| Limited Dependent Variable Model - CENSORED |
-704.7311
|
| Threshold values for the model:
|
| Lower=
.0000
Upper=+infinity
|
| Wald test of 3 linear restrictions
|
| Chi-squared =
1.66, Sig. level = .64546 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
3.9059870
1.948
.0514
Z1
.9457873252
1.0628656
.890
.3735 .47587354
Z2
-.1926982765
.80968360E-01
-2.380
.0173 32.487521
Z3
.5331896065
.14660745
3.637
.0003 8.1776955
Z4
1.019181783
1.2795746
.797
.4257 .71547421
Z5
-1.698999723
.40548331
-4.190
.0000 3.1164725
Z6
.2536077921E-01 .22766679
.111
.9113 16.166389
Z7
.2129825522
.32115700
.663
.5072 4.1946755
Z8
-2.273284428
.41540687
-5.472
.0000 3.9317804
Disturbance standard deviation
Sigma
8.258432069
.55458061
14.891
.0000
320
+---------------------------------------------+
-705.5762
|
|
| Lower=
.0000
Upper=+infinity
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
2.7414456
2.982
.0029
Z2
-.1793325837
.79093240E-01
-2.267
.0234 32.487521
Z3
.5541418128
.13451794
4.119
.0000 8.1776955
Z5
-1.686220493
.40375155
-4.176
.0000 3.1164725
Z7
.3260532488
.25442475
1.282
.2000 4.1946755
Z8
-2.284972720
.40782792
-5.603
.0000 3.9317804
Sigma
8.247080326
.55336401
14.904
.0000
LRTEST
.16903037971408140D+01
Maximum iterations reached. Exit iterations with status=1.

Maxit = 0. Computing LM statistic at starting values.
No iterations computed and no parameter update done.
+---------------------------------------------+
1
|
| LM Stat. at start values
1.681409
|
| LM statistic kept as scalar
LMSTAT
|
-705.5762
|
|
| Lower=
.0000
Upper=+infinity
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
3.8998101
2.096
.0361
Z1
.0000000000
1.0537723
.000 1.0000 .47587354
Z2
-.1793325837
.80623305E-01
-2.224
.0261 32.487521
Z3
.5541418128
.14686554
3.773
.0002 8.1776955
Z4
.0000000000
1.2675769
.000 1.0000 .71547421
Z5
-1.686220493
.40440804
-4.170
.0000 3.1164725
Z6
.0000000000
.22719456
.000 1.0000 16.166389
Z7
.3260532488
.31951084
1.020
.3075 4.1946755
Z8
-2.284972720
.41462602
-5.511
.0000 3.9317804
Sigma
8.247080326
.55345418
14.901
.0000
321
/*
? Get main results, and MLEs. OLS is part of output
?
Tobit
; Lhs = y ; Rhs = XR ; MarginalEffects ; Par ; OLS $
Calc
; List ; Ltobit=Logl $
?
? Scaled tobit estimates and standard errors
?
Wald
; Start=B ; Var=varb ; labels=b1,b2,b3,b4,b5,b6,sg
; fn1=b1/sg ; fn2=b2/sg ; fn3=b3/sg
; fn4=b4/sg ; fn5=b5/sg ; fn6=b6/sg$
?
? Cragg/Greene consistency test for probability
?
Create
; q = y>0 $
Probit
; Lhs=q ; Rhs=xr ; Marginals$
Calc
; Lprobit=Logl $
Trunc
; Lhs=y ; Rhs=Xr ; Marginals $
Calc
; LTrunc=Logl $
Calc
; List ; Cragg = -2*(Ltobit - Lprobit - Ltrunc) $
/*
+-----------------------------------------------------------------------+
| Limited Dependent Variable Model - CENSORED
Regression
|
| Ordinary
|
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.79659947
7.040
.0000
Z2
-.5034734786E-01 .22105810E-01
-2.278
.0228 32.487521
Z3
.1618520786
.36896903E-01
4.387
.0000 8.1776955
Z5
-.4763238840
.11130785
-4.279
.0000 3.1164725
Z7
.1060059379
.71100666E-01
1.491
.1360 4.1946755
Z8
-.7122423539
.11828889
-6.021
.0000 3.9317804
+---------------------------------------------+
-705.5762
|
|
| Lower=
.0000
Upper=+infinity
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
2.7414456
2.982
.0029
Z2
-.1793325837
.79093240E-01
-2.267
.0234 32.487521
Z3
.5541418128
.13451794
4.119
.0000 8.1776955
Z5
-1.686220493
.40375155
-4.176
.0000 3.1164725
Z7
.3260532488
.25442475
1.282
.2000 4.1946755
Z8
-2.284972720
.40782792
-5.603
.0000 3.9317804
Sigma
8.247080326
.55336401
14.904
.0000
322
+-------------------------------------------+
| Partial derivatives of expected val. with |
| Conditional Mean at Sample Point
1.1263 |
| Scale Factor for Marginal Effects
.2338 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.65758415
2.906
.0037
Z2
-.4192088958E-01 .18444435E-01
-2.273
.0230 32.487521
Z3
.1295365141
.31167559E-01
4.156
.0000 8.1776955
Z5
-.3941718881
.93379144E-01
-4.221
.0000 3.1164725
Z7
.7621839800E-01 .59471640E-01
1.282
.2000 4.1946755
Z8
-.5341365586
.94896126E-01
-5.629
.0000 3.9317804
LTOBIT
= -.70557621764203170D+03
+-----------------------------------------------+
|
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
Fncn( 1) .9911625827
.33652215
2.945
.0032
Fncn( 2) -.2174497842E-01 .95484533E-02
-2.277
.0228
Fncn( 3) .6719248399E-01 .16136495E-01
4.164
.0000
Fncn( 4) -.2044627222
.48371582E-01
-4.227
.0000
Fncn( 5) .3953559755E-01 .30825623E-01
1.283
.1996
Fncn( 6) -.2770644434
.48258618E-01
-5.741
.0000
+---------------------------------------------+
|
-307.2955
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.36104809
2.705
.0068
Z2
-.2202376072E-01 .10177371E-01
-2.164
.0305 32.487521
Z3
.5990084920E-01 .17086004E-01
3.506
.0005 8.1776955
Z5
-.1836462412
.51493239E-01
-3.566
.0004 3.1164725
Z7
.3751312008E-01 .32844576E-01
1.142
.2534 4.1946755
Z8
-.2729824396
.52473295E-01
-5.202
.0000 3.9317804
+-------------------------------------------+
| Partial derivatives of E[y] = F[*]
with |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.11108860
2.673
.0075
Z2
-.6695300413E-02 .30909282E-02
-2.166
.0303 32.487521
Z3
.1821006800E-01 .51704684E-02
3.522
.0004 8.1776955
Z5
-.5582910069E-01 .15568275E-01
-3.586
.0003 3.1164725
Z7
.1140411992E-01 .99845393E-02
1.142
.2534 4.1946755
Z8
-.8298761795E-01 .15933104E-01
-5.209
.0000 3.9317804
323
+---------------------------------------------+
| Limited Dependent Variable Model - TRUNCATE |
-392.7103
|
|
| Lower=
.0000
Upper=+infinity
|
| Observations after truncation
150
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
3.9597250
2.102
.0356
Z2
-.8414425459E-01 .11941653
-.705
.4810 33.410000
Z3
.5597703506
.21897633
2.556
.0106 9.5319467
Z5
-1.502400347
.61728675
-2.434
.0149 2.8533333
Z7
.1891403416
.37677181
.502
.6157 4.3133333
Z8
-1.349377201
.56454613
-2.390
.0168 3.4466667
Sigma
5.529829399
.65959601
8.384
.0000
+-------------------------------------------+
5.5614 |
.4843 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
1.9175029
2.102
.0356
Z2
-.4074698319E-01 .57827634E-01
-.705
.4810 33.410000
Z3
.2710696431
.10603962
2.556
.0106 9.5319467
Z5
-.7275396519
.29892205
-2.434
.0149 2.8533333
Z7
.9159149792E-01 .18245232
.502
.6157 4.3133333
Z8
-.6534379609
.27338232
-2.390
.0168 3.4466667
CRAGG =
.11140859667898440D+02
? Moment
Tobit
Matrix
Create
based tests for normality

; Lhs = y ; Rhs = XR ; Par$
; Beta=b(1:6)$
; bx=beta'xr ; eps=y-bx ; lambda=n01(bx/s)/phi(-bx/s)
; bi= .5*q*(((eps/s)^2-1)/s^2)+.5*(1-q)*bx*lambda/s^3
; ei=(q*eps-(1-q)*s*lambda)/s^2
; a1=ei ;a2=ei*z2 ;a3=ei*z3 ;a4=ei*z5 ;a5=ei*z7
; a6=ei*z8 ;a7=bi ;a8=ei^3 ;a9=ei^4-3*ei^2 $
Namelist ; A=a1,a2,a3,a4,a5,a6,a7,a8,a9$
Matrix
; List ; Chesher=1'a*<a'a>*a'1$
Create
; m1=-(1-q)*(s^3*lambda*(bx/s+2)^2) + q*eps^3
; m2= (1-q)*(s^4*lambda*bx/s*((bx/s)^2+3))
+ q *(eps^4 - 3*s^4)$
Namelist ; G=a1,a2,a3,a4,a5,a6,a7 ; M=m1,m2$
Matrix
; Pagan=m'm-m'g*<g'g>*g'm
; List ; Pagan=1'm*<pagan>*m'1$
CHESHER+
1|.5622181D+03
PAGAN+
1|.2031353D+02
324
?
? Doubly censored (at 0 and 4) tobit model. Compared to standard case
?
Tobit ; Lhs = y ; Rhs = XR ; Mar $
Tobit ; Lhs = y ; Rhs = XR ; Mar ; Limits=0,4 $
?
+---------------------------------------------+
|
| Lower=
.0000
Upper=+infinity
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
2.7414456
2.982
.0029
Z2
-.1793325837
.79093240E-01
-2.267
.0234 32.487521
Z3
.5541418128
.13451794
4.119
.0000 8.1776955
Z5
-1.686220493
.40375155
-4.176
.0000 3.1164725
Z7
.3260532488
.25442475
1.282
.2000 4.1946755
Z8
-2.284972720
.40782792
-5.603
.0000 3.9317804
Sigma
8.247080326
.55336401
14.904
.0000
+---------------------------------------------+
|
| Lower=
.0000
Upper=
4.0000
|
+---------------------------------------------+
2.8038548
2.818
.0048
Z2
-.1775982087
.79906293E-01
-2.223
.0262 32.487521
Z3
.5323021100
.14116841
3.771
.0002 8.1776955
Z5
-1.616335655
.42439672
-3.809
.0001 3.1164725
Z7
.3241864581
.25387778
1.277
.2016 4.1946755
Z8
-2.207007447
.44983190
-4.906
.0000 3.9317804
Sigma
7.943219445
.87690019
9.058
.0000
+-------------------------------------------+
1.1263 |
.2338 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.65758415
2.906
.0037
Z2
-.4192088958E-01 .18444435E-01
-2.273
.0230 32.487521
Z3
.1295365141
.31167559E-01
4.156
.0000 8.1776955
Z5
-.3941718881
.93379144E-01
-4.221
.0000 3.1164725
Z7
.7621839800E-01 .59471640E-01
1.282
.2000 4.1946755
Z8
-.5341365586
.94896126E-01
-5.629
.0000 3.9317804
+-------------------------------------------+
| Lower=
.0000
Upper=
4.0000
|
.2257 |
.1229 |
+-------------------------------------------+
.34346628
2.828
.0047
Z2
-.2183257619E-01 .95804001E-02
-2.279
.0227 32.487521
Z3
.6543718236E-01 .16101450E-01
4.064
.0000 8.1776955
Z5
-.1987000409
.48288948E-01
-4.115
.0000 3.1164725
Z7
.3985302327E-01 .31004563E-01
1.285
.1987 4.1946755
Z8
-.2713127490
.48803373E-01
-5.559
.0000 3.9317804
? Poisson and Negative Binomial Regressions. Uncensored
?
Poisson ; Lhs=y ; rhs = Xr ; MarginalEffects $
325
Negbin
; Lhs=y ; rhs = Xr ; MarginalEffects $
?
? Censored Poisson and Negative Binomial Models, censored at 4
?
Create
; yc=y
; If(yc>=4)yc=4 $
Poisson ; Lhs=yc ; Rhs = Xr ; Limit=4 ; MarginalEffects$
?
? Create predictions from least restrictive model. Convert
? conditional means to integers, then censor.
?
Negbin
; Lhs=yc ; Rhs = Xr ; Limit=4 ; Margin ; keep=yfnb$
Create
; Iyfnb=int(yfnb) ; If(iyfnb>4)iyfnb=4$
+---------------------------------------------+
|
-1427.037
|
-1709.723
|
| Chi- squared = 4125.90994 RsqP=
.0800
|
| G - squared = 2360.08448 RsqD=
.1933
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.19692367
12.867
.0000
Z2
-.3225529750E-01 .58514053E-02
-5.512
.0000 32.487521
Z3
.1156984318
.99084864E-02
11.677
.0000 8.1776955
Z5
-.3540371394
.30892099E-01 -11.460
.0000 3.1164725
Z7
.7982824190E-01 .19448856E-01
4.105
.0000 4.1946755
Z8
-.4094427239
.27381245E-01 -14.953
.0000 3.9317804
+-------------------------------------------+
1.4559 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.39117889
9.431
.0000
Z2
-.4696070767E-01 .11623520E-01
-4.040
.0001 32.487521
Z3
.1684461361
.19682706E-01
8.558
.0000 8.1776955
Z5
-.5154450866
.61365588E-01
-8.400
.0000 3.1164725
Z7
.1162224820
.38634166E-01
3.008
.0026 4.1946755
Z8
-.5961104549
.54391454E-01 -10.960
.0000 3.9317804
326
+---------------------------------------------+
-728.2441
|
-1427.037
|
| Chi-squared
1397.586
|
1
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.85899305
2.549
.0108
Z2
-.2623881896E-02 .17955428E-01
-.146
.8838 32.487521
Z3
.8481865225E-01 .40012554E-01
2.120
.0340 8.1776955
Z5
-.4222270934
.17050728
-2.476
.0133 3.1164725
Z7
.6044301285E-01 .90859681E-01
.665
.5059 4.1946755
Z8
-.4313313504
.16739868
-2.577
.0100 3.9317804
Overdispersion parameter for negative binomial model
Alpha
7.014805680
.94459163
7.426
.0000
+-------------------------------------------+
1.4984 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
1.8007047
1.822
.0685
Z2
-.3931524815E-02 .37639913E-01
-.104
.9168 32.487521
Z3
.1270890418
.83878204E-01
1.515
.1297 8.1776955
Z5
-.6326490143
.35743393
-1.770
.0767 3.1164725
Z7
.9056551106E-01 .19046889
.475
.6344 4.1946755
Z8
-.6462904866
.35091738
-1.842
.0655 3.9317804
+---------------------------------------------+
|
-747.7541
|
| RIGHT Censored Data: Threshold = 4.
|
| Chi- squared = 1520.43723 RsqP=
.0799
|
| G - squared = 1077.99336 RsqD=
.1877
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.28256837
6.724
.0000
Z2
-.3284957645E-01 .83771861E-02
-3.921
.0001 32.487521
Z3
.1053474148
.14041819E-01
7.502
.0000 8.1776955
Z5
-.3233479425
.43740859E-01
-7.392
.0000 3.1164725
Z7
.7984038573E-01 .27533200E-01
2.900
.0037 4.1946755
Z8
-.3896778919
.39122373E-01
-9.960
.0000 3.9317804
+-------------------------------------------+
.7663 |
.7166 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.28978016
4.698
.0000
Z2
-.2353906474E-01 .75918324E-02
-3.101
.0019 32.487521
Z3
.7548893733E-01 .14750440E-01
5.118
.0000 8.1776955
Z5
-.2317018658
.45888605E-01
-5.049
.0000 3.1164725
327
Z7
Z8
.5721133153E-01
-.2792320060
.24384424E-01
.45043450E-01
2.346
-6.199
.0190
.0000
4.1946755
3.9317804
+---------------------------------------------+
| Negative Binomial Regression
|
-482.0505
|
-747.7541
|
| Chi-squared
531.4072
|
1
|
| RIGHT Censored Data: Threshold = 4.
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
1.1636038
4.119
.0000
Z2
-.1659616715E-01 .24963901E-01
-.665
.5062 32.487521
Z3
.1744625408
.56779368E-01
3.073
.0021 8.1776955
Z5
-.7229290289
.19807844
-3.650
.0003 3.1164725
Z7
.8998362814E-01 .11558144
.779
.4363 4.1946755
Z8
-.8544311272
.21634356
-3.949
.0001 3.9317804
Overdispersion parameter for negative binomial model
Alpha
9.395956878
1.3533645
6.943
.0000
+-------------------------------------------+
.7170 |
.2577 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.79158359
1.560
.1187
Z2
-.4277167262E-02 .71500734E-02
-.598
.5497 32.487521
Z3
.4496251822E-01 .30220047E-01
1.488
.1368 8.1776955
Z5
-.1863134028
.11685569
-1.594
.1108 3.1164725
Z7
.2319059725E-01 .33257461E-01
.697
.4856 4.1946755
Z8
-.2202041478
.13847023
-1.590
.1118 3.9317804
Histogram; Rhs=yc$
(Actual data)
Histogram; Rhs=iyfnb$(Predictions)
Histogram for YC
NOBS=
601, Too low:
0, Too high:
0
Bin Lower limit
Upper limit
Frequency
========================================================================
0
.000
1.000
451 ( .7504)
451( .7504)
1
1.000
2.000
34 ( .0566)
485( .8070)
2
2.000
3.000
17 ( .0283)
502( .8353)
3
3.000
4.000
19 ( .0316)
521( .8669)
4
4.000
5.000
80 ( .1331)
601(1.0000)
Histogram for IYFNB
NOBS=
601, Too low:
0, Too high:
0
Bin Lower limit
Upper limit
Frequency
========================================================================
0
.000
1.000
251 ( .4176)
251( .4176)
1
1.000
2.000
96 ( .1597)
347( .5774)
2
2.000
3.000
50 ( .0832)
397( .6606)
3
3.000
4.000
34 ( .0566)
431( .7171)
4
4.000
5.000
170 ( .2829)
601(1.0000)
328
280
Histogram for Variable IYFNB
500
375
Frequency
Frequency
210
140
70
Histogram for Variable YC
250
125
2
IYFNB
2
YC
? Zero inflated (split population) Poisson model+ Tobit(0,4)

?
Poisson ; Lhs=yc ; Rhs = XR
; ZIP; Rh2=Xr;par; keep=yfpz ; Mar $
Matrix
; Beta = B(1:6) ; Gamma = B(7:12)$
Create
; Lambda=exp(Beta'xr);qi=lgp(gamma'xr)
; Ey=(1-qi)*lambda ; Iey=int(ey)$
Histogram; Rhs=Iey$
Tobit
; Lhs=yc ; Rhs = XR ; Alg=BFGS ;Mar $
Tobit
; Lhs=yc ; Rhs = XR ; Limits = 0,4 ; Alg=BFGS ;Mar $
/*
HistogramforIEYNOBS=601,Toolow:0,Toohigh:0
BinLowerlimitUpperlimitFrequencyCumulativeFrequency
========================================================================
0.0001.000448(.7454)448(.7454)
11.0002.000134(.2230)582(.9684)
22.0003.00017(.0283)599(.9967)
33.0004.0002(.0033)601(1.0000)
329
496
Histogram for Variable IEY
Frequency
372
248
124
IEY
330
++
|ZeroAlteredPoissonRegressionModel|
|Logisticdistributionusedforsplittingmodel.|
|ZAPterminprobabilityisF[tauxZ(i)]|
|Comparisonofestimatedmodels|
|Pr[0|means]NumberofzerosLoglikelihood|
|Poisson.55783Act.=451Prd.=335.3771.44432|
|Z.I.Poisson.77364Act.=451Prd.=465.0551.72760|
|Note,theZIPloglikelihoodisnotdirectlycomparable.|
|ZIPmodelwithnonzeroQdoesnotencompasstheothers.|
|VuongstatisticfortestingZIPvs.unalteredmodelis21.6436|
|Distributedasstandardnormal.Avaluegreaterthan|
|+1.96favorsthezeroalteredZ.I.Poissonmodel.|
|Avaluelessthan1.96rejectstheZIPmodel.|
++
+++++++
+++++++
Poisson/Negbinregressionmodel
Constant1.274187369.439409712.900.0037
Z2.4219823370E02.12229828E01.345.730132.487521
Z3.3312258287E01.23127736E011.432.15218.1776955
Z5.9085096098E01.72054203E011.261.20743.1164725
Z7.2052418829E01.44126404E01.465.64184.1946755
Z8.8166127920E01.66574722E011.227.22003.9317804
Zeroinflationmodel
Constant1.848860263.664366212.783.0054
Z2.3970949740E01.19046738E012.085.037132.487521
Z3.9814600629E01.31795289E013.087.00208.1776955
Z5.3062225236.95089852E013.220.00133.1164725
Z7.6770594854E01.60739793E011.115.26504.1946755
Z8.4577650236.94870568E014.825.00003.9317804
ZIP
+-------------------------------------------+
.0063 |
| Scale Factor for Marginal Effects -.3438 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.57896387
5.009
.0000
Z2
-.2523628400E-01 .12985077E-01
-1.943
.0520 32.487521
Z3
.9869128559E-01 .26718883E-01
3.694
.0002 8.1776955
Z5
-.2879288809
.85416029E-01
-3.371
.0007 3.1164725
Z7
.6436057742E-01 .46300314E-01
1.390
.1645 4.1946755
Z8
-.3437579550
.79602625E-01
-4.318
.0000 3.9317804
331
Tobit(0)
+-------------------------------------------+
1.1263 |
.2338 |
+-------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.65758415
2.906
.0037
Z2
-.4192088954E-01 .18444435E-01
-2.273
.0230 32.487521
Z3
.1295365140
.31167559E-01
4.156
.0000 8.1776955
Z5
-.3941718875
.93379144E-01
-4.221
.0000 3.1164725
Z7
.7621839725E-01 .59471639E-01
1.282
.2000 4.1946755
Z8
-.5341365577
.94896126E-01
-5.629
.0000 3.9317804
Tobit(0,4)
++
|Partialderivativesofexpectedval.with|
|respecttothevectorofcharacteristics.|
|TheyarecomputedatthemeansoftheXs.|
|ObservationsusedformeansareAllObs.|
|ConditionalMeanatSamplePoint.2257|
|ScaleFactorforMarginalEffects.1229|
++
+++++++
+++++++
Constant.9712865866.343466282.828.0047
Z2.2183257607E01.95804001E022.279.022732.487521
Z3.6543718214E01.16101450E014.064.00008.1776955
Z5.1987000414.48288948E014.115.00003.1164725
Z7.3985302304E01.31004563E011.285.19874.1946755
Z8.2713127494.48803373E015.559.00003.9317804
332
/*=================================================================
Example 20.13. Incidental Truncation
No computations
*/=================================================================
/*=================================================================
Example 20.14. A Model of Labor Supply
No computations
*/=================================================================
/*=================================================================
Example 20.15. A Migration Model
No computations
*/=================================================================
/*=================================================================
Example 20.16. The Migration Model (Continued)
No computations
*/=================================================================
/*=================================================================
Example 20.17. Log-Linear Survival Models for Strike Duration
*/=================================================================
Read ; Nobs = 62 ; Nvar = 2 ; Names = T,Prod $
T
7.00000
14.0000
52.0000
37.0000
52.0000
17.0000
72.0000
114.000
216.000
98.0000
85.0000
1.00000
3.00000
8.00000
23.0000
33.0000
43.0000
5.00000
12.0000
21.0000
42.0000
Prod
.0113800
.0113800
.0113800
.0229900
.0229900
-.0395700
-.0395700
-.0395700
-.0395700
-.0546700
.0053500
.0645000
.0645000
.0645000
.0645000
.0645000
.0645000
-.104430
-.0070000
-.0070000
-.0070000
9.00000
26.0000
130.000
41.0000
119.000
19.0000
99.0000
152.000
15.0000
2.00000
3.00000
2.00000
3.00000
11.0000
27.0000
35.0000
44.0000
49.0000
12.0000
27.0000
117.000
.0113800
.0113800
.0113800
.0229900
.0229900
-.0395700
-.0395700
-.0395700
-.0546700
.0053500
.0742700
.0645000
.0645000
.0645000
.0645000
.0645000
.0645000
-.104430
-.0070000
-.0070000
-.0070000
13.0000
29.0000
9.00000
49.0000
3.00000
28.0000
104.000
153.000
61.0000
25.0000
10.0000
3.00000
4.00000
22.0000
32.0000
43.0000
100.000
2.00000
21.0000
38.0000
.0113800
.0113800
.0229900
.0229900
-.0395700
-.0395700
-.0395700
-.0395700
-.0546700
.0053500
.0742700
.0645000
.0645000
.0645000
.0645000
.0645000
.0645000
-.0070000
-.0070000
-.0070000
?
? Four survival models for duration
?
Create;logT=Log(T)$
Surv;Lhs=logT;Rhs=One;Model=Exponential;Plot$
Surv;Lhs=logT;Rhs=One;Model=Weibull;Plot$
Surv;Lhs=logT;Rhs=One;Model=Logistic;Plot$
Surv;Lhs=logT;Rhs=One;Model=Normal;Plot$
333
+---------------------------------------------+
| Loglinear survival model: WEIBULL
|
-101.9264
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.14454149
25.710
.0000
Sigma
1.081447686
.13079440
8.268
.0000
+----------------------------------------------------------------+
| Parameters of underlying density at data means:
|
| Parameter
Estimate
Std. Error
Confidence Interval
|
| -----------------------------------------------------------|
| Lambda
.02433
.00352
.0174 to
.0312
|
| P
.92469
.11184
.7055 to
1.1439
|
| Median
27.65587
3.99742
19.8209 to
35.4908
|
| Percentiles of survival distribution:
|
| Survival
.25
.50
.75
.95
|
| Time
58.52
27.66
10.68
1.66
|
+----------------------------------------------------------------+
+---------------------------------------------+
| Loglinear survival model: EXPONENTIAL
|
-102.2512
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.11920158
31.490
.0000
Sigma
1.000000000
+----------------------------------------------------------------+
|
| Parameter
Estimate
Std. Error
Confidence Interval
|
| -----------------------------------------------------------|
| Lambda
.02343
.00279
.0180 to
.0289
|
| P
1.00000
.00000
1.0000 to
1.0000
|
| Median
29.58173
3.52619
22.6704 to
36.4931
|
|
| Survival
.25
.50
.75
.95
|
| Time
59.16
29.58
12.28
2.19
|
+----------------------------------------------------------------+
+---------------------------------------------+
| Loglinear survival model: LOGISTIC
|
-104.7823
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.16828937
18.918
.0000
Sigma
.7457267951
.96707673E-01
7.711
.0000
+----------------------------------------------------------------+
|
| Parameter
Estimate
Std. Error
Confidence Interval
|
| -----------------------------------------------------------|
| Lambda
.04143
.00697
.0278 to
.0551
|
| P
1.34097
.17390
1.0001 to
1.6818
|
| Median
24.13623
4.06187
16.1750 to
32.0975
|
|
| Survival
.25
.50
.75
.95
|
| Time
54.76
24.14
10.64
2.69
|
+----------------------------------------------------------------+
+---------------------------------------------+
| Loglinear survival model: NORMAL
|
334

-103.4755
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
.17589126
17.650
.0000
Sigma
1.284053364
.14698537
8.736
.0000
+----------------------------------------------------------------+
|
| Parameter
Estimate
Std. Error
Confidence Interval
|
| -----------------------------------------------------------|
| Lambda
.04485
.00789
.0294 to
.0603
|
| P
.77878
.08915
.6041 to
.9535
|
| Median
22.29709
3.92186
14.6102 to
29.9839
|
|
| Survival
.25
.50
.75
.95
|
| Time
52.99
22.30
9.38
2.70
|
+----------------------------------------------------------------+
Estimated Hazard Function
.030
.029
.027
HazardFn
HazardFn
.025
.025
.022
.020
.020
.015
43
86
130
Duration
Exponential
173
216
.018
43
86
130
173
216
Duration
Weibull
335
.040
.035
.035
.030
.030
HazardFn
HazardFn
.025
.025
.020
.020
.015
.015
.010
.010
.005
43
86
130
Duration
LogLogistic
173
216
.005
43
86
130
173
216
Duration
LogNormal
336
Survival Function for the Weibull Model
Estimated Survival Function

1.2
1.0
Survival
.8
.6
.4
.2
.0
-.2
43
86
130
173
216
Duration
/*=================================================================
Example 20.18. Weibull Model with a Covariate
*/=================================================================
?
Surv; Lhs=logT ; Rhs = One,Prod ; Model=Weibull ;plo$
/*
+---------------------------------------------+
-97.28542
|
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
+---------+--------------+----------------+--------+---------+----------+
RHS of hazard model
.13833256
27.324
.0000
PROD
-9.332198509
2.9542845
-3.159
.0016 .11023065E-01
337
Ancillary parameters for survival

Sigma
.9922036633
.12063878
8.225
.0000
+----------------------------------------------------------------+
|
| Parameter
Estimate
Std. Error
Confidence Interval
|
| -----------------------------------------------------------|
| Lambda
.02530
.00337
.0187 to
.0319
|
| P
1.00786
.12254
.7677 to
1.2480
|
| Median
27.47425
3.66307
20.2946 to
34.6539
|
|
| Survival
.25
.50
.75
.95
|
| Time
54.65
27.47
11.48
2.07
|
+----------------------------------------------------------------+
338
.026
1.2
1.0
.026
Survival
HazardFn
.8
.025
.025
.6
.4
.2
.025
.025
.0
0
43
86
130
Duration
173
216
-.2
43
86
130
173
216
Duration
/*=================================================================
Example 20.19. A Conditional Moment Test for the
Weibull Distribution
*/=================================================================
?
Create
; logT = Log(T) $
?
? Regression results appear in previous example
?
Surv
; Lhs=logT ; Rhs = One,Prod ; Model=Weibull ; Res = ei $
Create
; ma1 = ei*ei-2
; ma2 = log(ei)-psi(1)
; mb1 = ma1
; mb2 = ei^3-6
; mb3 = ei^4-24
; wi = 1/s * (logt - b(1) - b(2)*prod)
; d1 = 1*(exp(wi)-1)
; d2 = prod*d1
; d3 = wi*d1 - 1$
Dstat
; Rhs = ei,d1,d2,d3 $
Namelist ; MA = ma1,ma2
; MB = mb1,mb2,mb3
; D = d1,d2,d3 $
Matrix
; TA = Ma'Ma - Ma'D*<D'D>*D'Ma
; List ; ca = 1'Ma*<TA>*Ma'1 $
Matrix
; TB = Mb'Mb - Mb'D*<D'D>*D'Mb
; List ; cb = 1'Mb*<TB>*Mb'1 $
==============================================================================
=
Variable
Mean
Std.Dev.
Minimum
Maximum
Cases
==============================================================================
=
EI
.999999954
.967115120
.406475110E-01 4.21453002
62
339
D1
-.462634525E-07 .967115120
-.959352489
62
D2
.119931366E-08 .451554174E-01 -.966042817E-01
62
D3
-.401444958E-07 1.07450762
-.998216246
62
Matrix CA
1
+-------------1| .1597104D+02
Matrix CB
1
+-------------1| .5021590D+02
3.21453002
.207337186
3.62422385
340
/*=================================================================
Example 20.20. Kaplan - Meier Hazard Functions
*/=================================================================
?
Survival ; Lhs = T ; Plot $
Duration variable is
T
Status is given by variable ONE
Number of observations in stratum =
62
Number of observations exiting
=
62
Number of observations censored
=
0
Survival
Enter Cnsrd At Risk Exited
Survival Rate
Hazard Rate
.0- 21.6
62
0
62
26 1.0000 ( .000)
.0246 ( .005)
21.6- 43.2
36
0
36
17
.5806 ( .063)
.0286 ( .007)
43.2- 64.8
19
0
19
6
.3065 ( .059)
.0174 ( .007)
64.8- 86.4
13
0
13
2
.2097 ( .052)
.0077 ( .005)
86.4- 108.0
11
0
11
4
.1774 ( .049)
.0206 ( .010)
108.0- 129.6
7
0
7
3
.1129 ( .040)
.0253 ( .014)
129.6- 151.2
4
0
4
1
.0645 ( .031)
.0132 ( .013)
151.2- 172.8
3
0
3
2
.0484 ( .027)
.0463 ( .028)
172.8- 194.4
1
0
1
0
.0161 ( .016)
.0000 ( .000)
194.4- 216.0
1
0
1
1
.0161 ( .016)
.0926 ( .000)
1.2
1.0
1.0
.8
.8
Survival
HazardFn
Kaplan-Meier Hazard Function

1.2
.6
.4
.6
.4
.2
.2
.0
.0
-.2
-50
50
100
Duration
150
200
250
-.2
-50
50
100
150
200
250
Duration
341
/*=================================================================
Example 20.21. Proportional Hazard Model
*/=================================================================
?
? Coxs Proportional Hazard Model
?
Survival ; Lhs = T ; Rhs = Prod ; Plot $
?
++
|CoxProportionalHazardModel|
|DurationvariableisT|
|StatusisgivenbyvariableONE|
|TotalNumberofObservations=62|
|TotalNumberofObservationsExiting=62|
|TotalNumberofObservationsCensored=0|
|TotalNumberofDistinctExitTimes=49|
++
++
|CoxProportionalHazardModel|
|Loglikelihoodfunction193.2722|
|Restrictedloglikelihood197.3651|
|Chisquared8.185853|
|Degreesoffreedom1|
|Significancelevel.4221833E02|
|Logranktestwith1degreesoffreedom:|
|Chisquared=8.064,Prob=.0045|
++
+++++++
+++++++
PROD9.0730348503.22529892.813.0049.11023065E01
1.2
1.0
Survival
.8
.6
.4
.2
.0
-.2
43
87
130
174
217
Duration
342

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A LIMDEP Guide to the Examples

Prentice Hall, Upper Saddle River, New Jersey 07458

Computation and Optimization

The Classical Multiple Linear Regression

Functional Form, Nonlinearity, and

Chapter 2. Matrix Algebra

Chapter 3. Probability and Distribution Theory

Poisson distribution with lambda = 5.0000

Chapter 4. Statistical Inference

Histogram for Variable MEANS

t Densities with Different Degrees of Freedom

Asymptotic and Exact Distribution

; Hessian = 1/(beta+e)^2 - 2*y/(beta+e)^3

?------------------------------------------------------------? Next set of computations is based on the MLEs, which use

Maxize ; fcn = -r*log(beta+x)-log(gma(r))-y/(beta+x)+(r-1)*log(y)

has 2 rows and 2 columns.

Chapter 5. Computation and Optimization

? Then, get Mean, Median, mean square for both.

? We sample 10,000 observations from the chi-squared 1

Maximize ; Fcn = r*log(r/3) - lgm(r) - 1

has 1 rows and

+---------------------------------------------------------------------1| .6249186D+00 -.2021446D-01 .1305190D-02 .7334084D-01 .

+---------------------------------------------------------------------1| .6970526D+00 -.1965523D-01 -.3255282D-01 .1312624D+00 .

+---------------------------------------------------------------------1| .1071198D+01 -.3381672D-01 .1772900D-01 .5956687D-01 .

Chapter 6. The Classical Multiple Linear

Example 6.4. The Logistic Model

Read ; Nobs = 15 ; Nvar = 5 ; Names = Y,T,G,R,P $

Read ; Nobs = 15 ; Nvar = 5 ; Names = Y,T,G,R,P $

Regress ; Lhs = LG ; Rhs = X $

Read ; Nobs = 16 ; Nvar = 5 ; names =

Chapter 7. Inference and Prediction

? ---------------------------------------------------------------------? Example 7.3. Restricted Investment Equation

Exec ; Proc = ConfRegn(bb,Vb,2,3) $

? ---------------------------------------------------------------------? Example 7.18. Forecasting Performance

? ---------------------------------------------------------------------? Example 7.5. Labor Elasticity Equal to 1

? ---------------------------------------------------------------------? Example 7.9. Change Only in the Constant Term

? ---------------------------------------------------------------------? Example 7.13. Tests of Model Stability

Plot of Cumulative Sum of Residuals

Results are contained in Ex7_8.lim

? ---------------------------------------------------------------------? Example 7.14. Long Run Marginal Propensity to Consume

? ---------------------------------------------------------------------? Example 7.15. J Test for a Consumption Function

Chapter 8. Functional Form, Nonlinearity, and

? Simple plot, from Chapter 7

; Lhs = G ; Rhs = PG ; Grid ; Regression

? Regressions to produce residuals, then new plot.

Regress; Lhs = PG; Rhs = ONe,Y ; Res = RPG $

Chapter 9. Large Sample Results and

? Variance matrix. V has rank 1, so invert by Moore-Penrose

has 1 rows and

; Fn1=b_T - 0 ; Fn2=b_G-0 ; Fn3=b_R-0 ; Fn4=b_P-0 $

Regress ; Lhs = Y ; Rhs = One ; Res = estar $

Standardized Residuals. Bars mark mean res. and +/- 2s(e)

? There is a built-in procedure for this

Chapter 10. Nonlinear Regression Models

Create ; x00=1 ; x10 = y^gamma ; x20 = beta*y^gamma*log(y) $

Measure of Scale Economies

? Now assemble corrected matrix

; Lhs = Derogs ; Rhs = X0 ; Keep = YFI ; Res = Ei$

C and R then assemble corrected matrix

; w1=(e/s2)*bcr ; w2=(e/s2)*bcy ; w3=(e/s2)*1

? Unrestricted value, transforming both Y and the Xs.

routine uses second derivatives. Recompute using (10-51)

Chapter 11. Nonspherical Disturbances,

Execute ; While q > .000001$

Maxize ; fcn = -rlog(beta+x)-log(gma(r))-y/(beta+x)+(r-1)log(y)

Create ; x00=1 ; x10 = y^gamma ; x20 = betay^gammalog(y) $

; w1=(e/s2)bcr ; w2=(e/s2)bcy ; w3=(e/s2)*1