* W.H. Greene, Econometric Analysis, Fourth Edition, 2000. SAMPLE 1 20 * Table A13.1 READ (macro.shd) / NAMES * Examples 13.1, 13.3, 13.4 GENR RGNP=GNP/Price GENR RINVEST=Invest/Price GENR INFL=100*(Price-LAG(PRICE))/LAG(PRICE) GENR RR=Interest-INFL SAMPLE 2 20 PRINT INTEREST INFL RR * The GRAPH option gives the residual plot in Figure 13.1, p. 526. OLS RINVEST RGNP RR / GRAPH DWPVALUE * The OLS estimation results are reported in Table 13.2, p. 538. * The DWPVALUE option reports the Durbin-Watson test statistic, p. 539. * The p-value for the Durbin-Watson test statistic is reported * on the SHAZAM output -- this avoids problems with the inconclusive * region that can be obtained when consulting tabulated critical values. * Autocorrelation consistent covariance estimation implemented with * the AUTCOV=L option. This gives the "Corrected SE" reported in the * final column of Table 13.2, p. 538. OLS RINVEST RGNP RR / AUTCOV=4 STOP