*   R. Carter Hill, William E. Griffiths and Guay C. Lim,  
*   Principles of Econometrics, Third Edition, Wiley, 2008.

* Chapter 15.4.3  A microeconomic panel data model

* Use the PAR command to allocate increased working space for SHAZAM.
PAR 8000
SAMPLE 1 3580
READ (nls_panel.shd) id year lwage hours age educ collgrad msp &
 nev_mar not_smsa c_city south black union exper exper2 tenure tenure2

* Fixed effects estimation - Table 15.9, page 397.
POOL lwage exper exper2 tenure tenure2 south union / NCROSS=716 OLS FIXED
GEN1 SSEU=$SSE
GEN1 DF=$DF

* Estimate the restricted model
OLS lwage exper exper2 tenure tenure2 south union
GEN1 SSER=$SSE

* F-test statistic for the presence of individual differences
* (top of page 398).
GEN1 F=(DF/715)*(SSER-SSEU)/SSEU
* p-value calculation
DISTRIB F / TYPE=F DF1=715 DF2=DF
GEN1 pvalue=1-$CDF
PRINT F pvalue
STOP