* Koyck Model for US Consumption Expenditure
*
* Keywords:
* regression, koyck, ppce, per capita, personal, consumption, expenditure
*
* Description:
* We illustrate how to estimate a Koyck model for the US Per Capita Personal
* Consumption Expenditure (PPCE)
*
* Author(s):
* Skif Pankov
*
* Source:
* Damodar N. Gujarati and Dawn C. Porter, Basic Econometrics - 5th Edition
* McGraw-Hill International Edition, Chapter 17, Example 17.7 (page 627)
*
sample 1 48
* Reading the datafile and naming variables
read (data_17.7.shd) ppce ppdi
* Running an OLS regression of ppce on itself lagged and ppdi, specifying
* to display resudual statistics and saving estimated coefficients in a
* variable beta
ols ppce ppce(1.1) ppdi / rstat coef = beta
* Storing the estimated coefficient of lagged ppce as lam
gen1 lam = beta:1
* Generating the median and the mean lags
gen1 medl = -log(2)/log(lam)
gen1 meanl = lam/(1-lam)
* Displaying the median and the mean lags
print medl meanl
stop