* 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