* POOLING TIME-SERIES CROSS-SECTION DATA * * Data from Judge, Hill, Griffiths, Lutkepohl and Lee, * INTRODUCTION TO THE THEORY AND PRACTICE OF ECONOMETRICS, * Second Edition, Wiley, 1988, Table 11.5, page 477. * The data set contains 10 years of cost and production data * for 4 industries. SAMPLE 1 10 READ C1 C2 C3 C4 Q1 Q2 Q3 Q4 43.72 51.03 43.90 64.29 38.46 32.52 32.86 41.86 45.86 27.75 23.77 42.16 35.32 18.71 18.52 28.33 4.74 35.72 28.60 61.99 3.78 27.01 22.93 34.21 40.58 35.85 27.71 34.26 35.34 18.66 25.02 15.69 25.86 43.28 40.38 47.67 20.83 25.58 35.13 29.70 36.05 48.52 36.43 45.14 36.72 39.19 27.29 23.03 50.94 64.18 19.31 35.31 41.67 47.70 16.99 14.80 42.48 38.34 16.55 35.43 30.71 27.01 12.56 21.53 25.60 45.39 30.97 54.33 23.70 33.57 26.76 32.86 49.81 43.69 46.60 59.23 39.53 27.32 41.42 42.25 * Stack the columns into a long vector MATRIX C=(C1'|C2'|C3'|C4')' MATRIX Q=(Q1'|Q2'|Q3'|Q4')' SAMPLE 1 40 * Pooling by OLS with panel-corrected standard errors POOL C Q / NCROSS=4 OLS HETCOV RSTAT * Pooling with cross-section heteroskedasticity, * contemporaneous cross-section correlation and AR1 errors POOL C Q / NCROSS=4 FULL DN NOMULSIGSQ * Create cross-section dummy variables. * Set the number of cross-sections GEN1 NC=4 MATRIX CSDUM=SEAS(40,-NC) * Set the number of time periods GEN1 NT=10 * Generate an index for each cross-section GENR CSINDEX=SUM(SEAS(NT)) * Generate a repeating time index for the 10 observations GENR TINDEX=TIME(0)-NT*(CSINDEX-1) * Estimation with cross-section dummy variables POOL C Q CSDUM / NCROSS=4 NOCONSTANT FULL DN NOMULSIGSQ STOP