* PS13.1, using DATA13-1, for the application in Section 13.6 PAR 500 TIME 1959 1 SAMPLE 1959 1993 * * THE AMPERSAND "&" IS USED AT THE END OF THE LINE TO BE CONTINUED. SHAZAM * REMOVES THE AMPERSAND "&" FROM THE EQUATION AND THE PIECES ARE PUT * TOGETHER. ANY SPACE TYPED BEFORE THE AMPERSAND WILL BE RETAINED IN THE * EQUATION. THE MAXIMUM LENGTH OF THE COMMAND INCLUDING CONTINUATION LINES * IS 4096 CHARACTERS. * READ(data13-1) YEAR GDP CONS INV EXPORTS IMPORTS GOVEXP GOVREC & MONYSUP PT RT POP * * CONVERT THE DATA INTO PER-CAPITA REAL TERMS USING THE GENR COMMAND. * GENR Y=GDP/POP GENR C=CONS/POP GENR I=INV/POP GENR G=GOVEXP/POP GENR X=EXPORTS/POP GENR IMP=IMPORTS/POP GENR TAX=(100*GOVREC)/PT GENR DY=(GDP-TAX)/POP GENR M=(100*MONYSUP)/(PT*POP) GENR T=TAX/POP * * GENERATE LAGGED VARIABLES. * GENR CLAG=LAG(C) GENR YLAG=LAG(Y) GENR ILAG=LAG(I) GENR RTLAG=LAG(RT) GENR MLAG=LAG(M) GENR DYLAG=LAG(DY) GENR GLAG=LAG(G) GENR XLAG=LAG(X) * * GENERATE A CONSTANT VARIABLE. * GENR CON=1 * SAMPLE 1960 1993 * * ESTIMATE THE SPECIFIED EQUATIONS BY TWO-STAGE LEAST SQUARES. * * THE FORMAT IN SHAZAM IS: * * 2SLS DEPVAR RHSVARS (EXOG) / OPTIONS * * WHERE: DEPVAR = IS THE DEPENDENT VARIABLE * RHSVARS = THE RIGHT HAND SIDE VARIABLES * EXOG = THE EXOGENOUS VARIABLES. * * NOTE: TO USE 2SLS YOU MUST KNOW WHICH VARIABLES ARE ENDOGENOUS AND WHICH * VARIABLES ARE EXOGENOUS. AS WELL, THAT THE R-SQUARED IN 2SLS IS NOT * WELL DEFINED AND COULD BE NEGATIVE. IF THE R-SQUARED IS NEGATIVE THE * IT USUALLY INDICATES THAT THE EQUATION DOES NOT FIT THE DATA WELL. * * THE 2SLS IS ESTIMATED BELOW WITH EXOGENOUS VARIABLES AND A CONSTANT VARIABLE. * 2SLS C CLAG DY DYLAG (CLAG YLAG ILAG MLAG RTLAG DYLAG M G X) 2SLS I ILAG Y YLAG RT RTLAG (CLAG YLAG ILAG MLAG RTLAG DYLAG M G X) 2SLS RT RTLAG Y YLAG M MLAG (CLAG YLAG ILAG MLAG RTLAG DYLAG M G X) 2SLS RT RTLAG Y M MLAG (CLAG YLAG ILAG MLAG RTLAG DYLAG M G X) 2SLS T Y (CLAG YLAG ILAG MLAG RTLAG DYLAG M G X) 2SLS IMP Y (CLAG YLAG ILAG MLAG RTLAG DYLAG M G X) * DELETE / ALL STOP