* Example from W.H. Greene, Econometric Analysis, Fourth Edition, 2000. * * Section 15.3 - A Random Coefficients Model * SAMPLE 1 20 * Data for General Motors and Chrysler READ YEAR IGM FGM CGM ICHR FCHR CCHR 1935 317.6 3078.5 2.80 40.29 417.5 10.5 1936 391.8 4661.7 52.60 72.76 837.8 10.2 1937 410.6 5387.1 156.9 66.26 883.9 34.7 1938 257.7 2792.2 209.2 51.60 437.9 51.8 1939 330.8 4313.2 203.4 52.41 679.7 64.3 1940 461.2 4643.9 207.2 69.41 727.8 67.1 1941 512.0 4551.2 255.2 68.35 643.6 75.2 1942 448.0 3244.1 303.7 46.80 410.9 71.4 1943 499.6 4053.7 264.1 47.40 588.4 67.1 1944 547.5 4379.3 201.6 59.57 698.4 60.5 1945 561.2 4840.9 265.0 88.78 846.4 54.6 1946 688.1 4900.9 402.2 74.12 893.8 84.8 1947 568.9 3526.5 761.5 62.68 579.0 96.8 1948 529.2 3254.7 922.4 89.36 694.6 110.2 1949 555.1 3700.2 1020.1 78.98 590.3 147.4 1950 642.9 3755.6 1099.0 100.66 693.5 163.2 1951 755.9 4833.0 1207.7 160.62 809.0 203.5 1952 891.2 4924.9 1430.5 145.00 727.0 290.6 1953 1304.4 6241.7 1777.3 174.93 1001.5 346.1 1954 1486.7 5593.6 2226.3 172.49 703.2 414.9 * Data for General Electric and Westinghouse READ YEAR IGE FGE CGE IWH FWH CWH 1935 33.1 1170.6 97.8 12.93 191.5 1.8 1936 45.0 2015.8 104.4 25.90 516.0 .8 1937 77.2 2803.3 118.0 35.05 729.0 7.4 1938 44.6 2039.7 156.2 22.89 560.4 18.1 1939 48.1 2256.2 172.6 18.84 519.9 23.5 1940 74.4 2132.2 186.6 28.57 628.5 26.5 1941 113.0 1834.1 220.9 48.51 537.1 36.2 1942 91.9 1588.0 287.8 43.34 561.2 60.8 1943 61.3 1749.4 319.9 37.02 617.2 84.4 1944 56.8 1687.2 321.3 37.81 626.7 91.2 1945 93.6 2007.7 319.6 39.27 737.2 92.4 1946 159.9 2208.3 346.0 53.46 760.5 86.0 1947 147.2 1656.7 456.4 55.56 581.4 111.1 1947 146.3 1604.4 543.4 49.56 662.3 130.6 1949 98.3 1431.8 618.3 32.04 583.8 141.8 1950 93.5 1610.5 647.4 32.24 635.2 136.7 1951 135.2 1819.4 671.3 54.38 723.8 129.7 1952 157.3 2079.7 726.1 71.78 864.1 145.5 1953 179.5 2371.6 800.3 90.08 1193.5 174.8 1954 189.6 2759.9 888.9 68.60 1188.9 213.5 * Data for U.S. Steel READ YEAR IUS FUS CUS 1935 209.9 1362.4 53.8 1936 355.3 1807.1 50.5 1937 469.9 2676.3 118.1 1938 262.3 1801.9 260.2 1939 230.4 1957.3 312.7 1940 261.6 2202.9 254.2 1941 472.8 2380.5 261.4 1942 445.6 2168.6 298.7 1943 361.6 1985.1 301.8 1944 288.2 1813.9 279.1 1945 258.7 1850.2 213.8 1946 420.3 2067.7 232.6 1947 420.5 1796.7 264.8 1948 494.5 1625.8 306.9 1949 405.1 1667.0 351.1 1950 418.8 1677.4 357.8 1951 588.2 2289.5 342.1 1952 645.2 2159.4 444.2 1953 641.0 2031.3 623.6 1954 459.3 2115.5 669.7 MATRIX I=(IGM'|ICHR'|IGE'|IWH'|IUS')' MATRIX F=(FGM'|FCHR'|FGE'|FWH'|FUS')' MATRIX C=(CGM'|CCHR'|CGE'|CWH'|CUS')' * SAMPLE 1 100 FILE PROC randcoef.prc * ----------------------- Input Variables --------------------------- SAMPLE 1 5 GENR NT=20 * Position the first variable. BEG:1 NCROSS:5 * Specify the number of time periods in each cross section. NTIME:NT * The dependent variable. DEPVAR:I * The regressors (an intercept term is automaticaly included). The list * must first give the variables with fixed coefficients (if desired) followed * by the variables with random coefficients. INDEPS: F C * The number of fixed coefficients. In this case, all the coefficients are * to be considered random. NFIX:0 * --------------------- Output Variables ------------------------- * Save the residuals in a vector. RESID:ETR * Save the estimated coefficients in a vector. In this case, the variable * BETA will contain the mean of the parameters and the variables. BETAHAT1- * BETAHAT5 will contain the individual cross-section parameter estimates. COEF:BETAHAT * Save the standard errors in a vector. In this case, the variable STD will * contain the standard errors of the mean of the parameters and the variables * STD1-STD5 will contain the individual cross-section standard errors of the * parameter estimates. STDERR:STD * Now estimate the random coefficients model. EXEC RANDCOEF * The SHAZAM output reports parameter estimates, standard errors (STD) * and t-statistics (TRATIO) for: * BETAHAT - Overall * BETAHAT1 - GM - General Motors * BETAHAT2 - CH - Chrysler * BETAHAT3 - GE - General Electric * BETAHAT4 - WE - Westinghouse * BETAHAT5 - US - U.S. Steel * The estimation results can be compared with * Greene (2000, Table 15.5, p. 613). STOP