* Reference: Chapter 18 of * Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach, * South-Western College Publishing, 2000. SAMPLE 1 124 READ (INTQRT.shd) r3 r6 r12 p3 p6 hy6 hy3 * Example 18.7 * NOTE: The INTQRT.shd data set contains variables constructed from the * original data. * The GENR command in SHAZAM has many functions for variable * transformations. * The commands below show the use of GENR commands for constructing * the variables required for the error correction model. * Note that the constructed variables in the INTQRT.shd file may * be rounded off and so estimation results may show some differences * compared to the results reported in the text. * Generate the holding yield hy6 SAMPLE 2 124 GENR hy6 = 100*(p3 - LAG(p6))/LAG(p6) SAMPLE 3 124 * Generate first differences GENR chy6 = hy6 - LAG(hy6) GENR chy3 = hy3 - LAG(hy3) GENR chy3_1 = LAG(chy3) GENR hy6hy3_1 = hy6 - LAG(hy3) GENR ecterm = LAG(hy6hy3_1) * Estimate the error correction model - Equation (18.39), p. 592. OLS chy6 chy3_1 ecterm * Confidence interval CONFID ecterm * Hypothesis Test - Question 18.4, p. 593. TEST TEST chy3_1=1 TEST ecterm=-1 END STOP