* J Test for a Consumption Function * * Keywords: * regression, ols, specification, j-test, consumption, function * * Description: * We illustrate how to do a J-test of model specification on the US * Consumption Function * * Author(s): * Noel Roy * Skif Pankov * * Source: * William H. Greene, Econometric Analysis - 7th Edition * Pearson International Edition, Chapter 5, Example 5.7 (page 176) * * Reading the datafile and naming the variables, specifying to ignore the * first line of the file read (TableF5-2.shd) year qtr gdp c inv g y / skiplines=1 * Generating lagged values of c and y genr lagc=lag(c) genr lagy=lag(y) * Setting the first time period in the sample to the 1st quarter of 1950 time 1950.1 4 * Because we have no data for the lagged variables for 1950.1, we * must discard this observation sample 1950.2 2000.4 * We estimate both h0 and h1 equations in order to obtain the fitted * values ?ols c y lagy / predict=h0hat ?ols c y lagc / predict=h1hat * Testing h0 against h1 ?ols c y lagy h1hat test h1hat * Testing h1 against h0 ?ols c y lagc h0hat test h0hat stop