* Negative Autocorrelation in the Phillips Curve * * Keywords: * regression, autocorrelation, phillips curve * * Description: * We estimate Expectations Augmented Phillips Curve and, by plotting * the regression's outcomes, we show that the model is likely to suffer * from negative autocorrelation * * Author(s): * Noel Roy * Skif Pankov * * Source: * William H. Greene, Econometric Analysis - 7th Edition * Pearson International Edition, Chapter 20, Example 20.3 (page 944) * * Reading the data and naming variables, specifying to ignore the first * line read (TableF5-2.shd) year qtr realgdp realcons realinvs realgovt realdpi cpi m1 & i u pop deltap realint / skiplines=1 time 1950.1 4 sample 1950.3 2000.4 * Generating variables genr delinfl=deltap-lag(deltap) * Running an OLS regression of delinfl on u, specifying to plot residuals and * fitted values and to display ols delinfl u / graph pcov * * Test the natural rate of unemployment u*=-b1/b2 test -constant/u * * Manually calculating the confidence intervals on the estimates gen1 llimit=$val-1.96*$stes gen1 ulimit=$val+1.96*$stes print llimit ulimit stop