* Serial Correlation in the Money Demand Equation
*
* Keywords:
* regression, mle, likelihood tests,
*
* Description:
* We run a simple OLS model for Money Demand and, by creating a plot of
* residuals, illustrate a possibility of serial correlation in the data
*
* Author(s):
* Noel Roy
* Skif Pankov
*
* Source:
* William H. Greene, Econometric Analysis - 7th Edition
* Pearson International Edition, Chapter 20, Example 20.1 (page 943)
*
* Reading the data and naming variables, specifying to ignore the first
* line
read (TableF5-2.shd) year qtr realgdp realcons realinvs realgovt realdpi cpi m1 i &
u pop deltap realint / skiplines=1
* Generating logs of data
genr lnm1=log(m1)
genr lngdp=log(realgdp)
genr lncpi=log(cpi)
* The /GRAPH option on an OLS command generates a residuals plot similar
* to Figure 20.1 as well as an Actual versus Fitted plot on the dependent
* variable.
?ols lnm1 lngdp lncpi / graph
stop