*
*  AR1.PRG
*  Manual Example 5.1
*
*  This is example 12.7 in Gujarati, Basic Econometrics, 3rd Edition
*
cal 1962 1 4
all 1967:4
data(format=free,org=obs,unit=input) / hwi u
 104.66 5.63
 103.53 5.46
  97.30 5.63
  95.96 5.60
  98.83 5.83
  97.23 5.76
  99.06 5.56
 113.66 5.63
 117.00 5.46
 119.66 5.26
 124.33 5.06
 133.00 5.06
 143.33 4.83
 144.66 4.73
 152.33 4.46
 178.33 4.20
 192.00 3.83
 186.00 3.90
 188.00 3.86
 193.33 3.70
 187.66 3.66
 175.33 3.83
 178.00 3.93
 187.66 3.96
*
set loghwi = log(hwi)
set logu   = log(u)
*
linreg loghwi / resids
# constant logu
*
*  Check for higher order serial correlation
*
correlate resids
*
*  Redo regression with Newey-West covariances with six lags
*
linreg(robusterrors,lags=6,damp=1.0) loghwi
# constant logu
*
*  AR1 regression with rho computed from Durbin-Watson
*
ar1(rho=(1-%durbin*.5)) loghwi
# constant logu
*
*  AR1 regression using Cochrane-Orcutt
*
ar1(method=corc) loghwi
# constant logu
*
*  AR1 regression using Hildreth-Lu
*
ar1(method=hilu) loghwi
# constant logu
*
*  AR1 regression using maximum likelihood search
*
ar1(method=search) loghwi
# constant logu