* Restricted Investment Equation
*
* Keywords:
*     regression, ols, log, investment, equation, restricted, test
*
* Description:
*     We illustrate how to estimate an Investment Equation with various
*     restrictions on it and how to test these restrictions
*
* Author(s):
*     Noel Roy
*     Skif Pankov
*
* Source:
*    William H. Greene, Econometric Analysis - 7th Edition
*    Pearson International Edition, Chapter 5, Example 5.3 (page 160)
*
* Reading the datafile and naming the variables, specifying to ignore the
* first line of the file
read (TableF5-2.shd) year qtr realgdp realcons realinvs realgovt realdpi &
cpi m1 i unemp pop deltap realint / skiplines=1

* Setting the first time period to be equal to year 1950 with periodicity of
* one quarter
time 1950.1 4
sample 1950.2 2000.4

* Generating variables
genr lni=log(realinvs)
genr lny=log(realgdp)
genr t=time(-1)

* Estimating the restricted model (since realint=i-deltap)
ols lni realint lny t

* Estimating the unrestricted model, which has both i and deltap instead 
* of realint.
ols lni i deltap lny t /pcov

* Testing the null hypothesis that b2+b3=0, which is equivalent to the
* restricted model
*
test i+deltap = 0

* Testing the restricted model directly
ols lni realint deltap lny t 

* Testing the joint hypothesis that b2+b3=1, b4=1 and b5=0 are true
?ols lni i deltap lny t 

test
   test i+deltap
   test lny=1
   test t
end

* Testing the three restrictions one at a time with simple test commands
*
test i+deltap
test lny=1
test t

stop