* Distributed Lag Models * Reference: Chapter 15 of * R. Carter Hill, William E. Griffiths and George G. Judge, * Undergraduate Econometrics, Second Edition, Wiley. SAMPLE 1 88 READ (TAB15-1.shd) / NAMES * OLS estimation of an unrestricted lag model - Table 15.2, p. 322 * The ANOVA option reports model selection statistics. OLS Y X(0.8) / ANOVA * Save the values of the AIC and the SC * Note that the SHAZAM calculation is different from the formula * given on page 326 of the text. * (See page 16 of the SHAZAM Version 9 User Manual). GEN1 AIC1=\$LAIC GEN1 SC1=\$LSC * Calculate correlations among the current and lagged values of the X. DO #=1,8 GENR X#=LAG(X,#) ENDO * Adjust the sample period SAMPLE 9 88 STAT X X1-X8 / PCOR * Estimate an Almon polynomial distributed lag model. * Table 15.4, p. 325. SAMPLE 1 88 OLS Y X(0.8,2) / ANOVA GEN1 AIC2=\$LAIC GEN1 SC2=\$LSC * Compare the AIC and the SC measures for the two models. * Lower values are considered desirable. PRINT AIC1 AIC2 PRINT SC1 SC2 * The Almon polynomial distributed lag model has lower values * for both the AIC and SC compared to the unrestricted model. STOP