* 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