* W.H. Greene, Econometric Analysis, Fourth Edition, 2000. SAMPLE 1 15 * Table A6.2 READ (invest.shd) / NAMES * Allocate space for variables for use in a later prediction exercise. DIM Y 16 T 16 G 16 R 16 P 16 * Chapter 6 - Examples 6.8, 6.12, 6.14, 6.17, 6.18 * Data transformations, p. 226. * Generate a time trend GENR T=TIME(0) * Real GNP GENR G=100*GNP/CPI * Real Investment GENR Y=100*INVEST/CPI * Scale the data to measure in trillions of dollars GENR G=G/1000 GENR Y=Y/1000 * Inflation rate GENR P=100*(CPI-LAG(CPI))/LAG(CPI) GENR R=INTEREST * From Table 6.2, p. 227 the inflation rate is 4.4 in year 1 GEN1 P:1=4.40 * Now round the numbers to reproduce the data in Table 6.2. * See the footnote at the bottom of Table 6.2, p. 227 for * a comment on rounding error. GENR Y=INT(Y*1000+0.49)/1000 GENR G=INT(G*1000+0.49)/1000 GENR R=INT(R*100+0.49)/100 GENR P=INT(P*100+0.49)/100 GEN1 Y:8=0.163 * Print the data in Table 6.2, p. 227 NAMEFMT(5X,5(2X,A8)) FORMAT(F10.3,F10.0,F10.3,2F10.2) PRINT Y T G R P / FORMAT * Summary statistics STAT Y T G / PCPDEV * The PCPDEV option lists the cross-products for the variables * measured as deviations from sample means as reported on p. 228. * OLS parameter estimates are on p. 228. OLS Y T G * OLS estimation on pp. 229 and 250. OLS Y T G R P / ANOVA PCOV * The ANOVA option reports the results in Table 6.5, p. 239 * in the SHAZAM output labelled: ANALYSIS OF VARIANCE - FROM MEAN * This section of the output also reports the F-test for the * overall significance of the regression - see Example 6.18, p. 254. * The PCOV option lists the estimated covariances of the * least squares estimators - see Table 6.6, p. 250. * Example 6.17 - Confidence interval for the error variance, p. 253. CONFID $SIG2 * The lower and upper limits of the 95% confidence interval are * reported on the SHAZAM output as LOWER 2.5% and UPPER 2.5% * respectively. * Chapter 7 * Example 7.1 pp. 273-274 * The TEST command is used for hypothesis testing following * model estimation. On the TEST command the variable names * represent coefficients. OLS Y T G R P TEST R+P=0 * Example 7.3 - a joint hypothesis test, p. 276 TEST TEST T=0 TEST G=1 TEST R+P=0 END * Example 7.4 - Joint Confidence Region, pp. 277-278. CONFID G T / GRAPH * Example 7.2, p. 274. GENR RR=R-P OLS Y T G RR P * Example 7.17 - Prediction, p. 307. GEN1 T:16=16 GEN1 G:16=1.5 GEN1 R:16=10 GEN1 P:16=4 DIM Y0 16 FCSE 16 OLS Y T G R P FC / LIST BEG=16 END=16 PREDICT=Y0 FCSE=FCSE * Note: for out of sample forecasts the calculated residuals * and forecast diagnostics printed on the SHAZAM output have no * meaningful interpretation. * Calculate a 95% confidence interval for the forecast. GEN1 DF=$DF GEN1 ALPHA=0.025 SAMPLE 1 1 DISTRIB ALPHA / TYPE=T DF=DF INVERSE CRITICAL=TCRIT SAMPLE 16 16 GENR YLOW=Y0-TCRIT*FCSE GENR YUP=Y0+TCRIT*FCSE * Print the forecast interval PRINT YLOW Y0 YUP * Example 7.18 * Investment forecast with GNP DIM YG 15 SAMPLE 1 15 OLS Y T G R P FC / LIST PREDICT=YG * The forecast performance measures are reported as follows: * RMSE - ROOT MEAN SQUARE ERROR * MAE - MEAN ABSOLUTE ERROR * U_delta - THEIL INEQUALITY COEFFICIENT U * (see formula at top of p. 311.) * Investment forecast without GNP OLS Y T R P FC / LIST PREDICT=Y0 * Print the results in Table 7.6, p. 311 FORMAT(F10.0,3F10.3) PRINT YEAR Y YG Y0 / FORMAT * Figure 7.6, p. 312 GRAPH Y YG Y0 YEAR / LINEONLY STOP