* W.H. Greene, Econometric Analysis, Fourth Edition, 2000. SAMPLE 1 36 * Table A7.2 READ (USdata.shd) / NAMES * Chapter 7 * Example 7.14, pp. 298-299. GENR C1=LAG(C) SAMPLE 2 36 OLS C Y C1 * Calculate the long-run MPC TEST Y/(1-C1) * Test the null hypothesis that the long-run MPC is greater than or * equal to one. * (The TEST command reports p-values for two-sided tests). TEST Y/(1-C1)=1 * The t-test statistic is available in the temporary variable $T GEN1 z=$T * Now get a p-value for a one-sided test (the alternative is that * the long-run MPC is less than one) based on the standard * normal distribution DISTRIB z GEN1 p_value=$cdf PRINT z p_value * Example 7.15 - The J Test GENR Y1=LAG(Y) * Estimate the competing models OLS C Y Y1 / PREDICT=YHAT1 OLS C Y C1 / PREDICT=YHAT2 * The test statistic is the t-ratio on YHAT2 OLS C Y Y1 YHAT2 * Reverse situation OLS C Y C1 YHAT1 * Errata for the Greene textbook lists the following for p. 303: * In Example 7.15, the values given, 2.544, 4.28, -19.24, -3.25, * should be 2.58, 4.30, -21.25, -3.29, respectively. STOP