*
* GIV.RPF
* RATS Version 8, User's Guide, Example 4.2
*
calendar(q) 1960:1
open data hsdata.wks
*
data(format=wks,org=cols) 1960:1 1987:4 c price div
*
set consgrow = c/c{1}
set realret  = (price+div)/price{1}
*
nonlin discount riskaver
frml h = discount*realret(t)*consgrow(t)^riskaver-1
compute discount = .99,riskaver = -.95
*
* Estimate the model with six lags in the information set
*
instruments constant consgrow{1 to 6} realret{1 to 6}
nlls(inst,frml=h,optimal) *
*
* Do specification tests on lag lengths 1, 2, 4 and 6. These are done
* over a common interval (the range supported by the six lag estimation
* - %regstart() returns the start entry from the last regression). The
* NLLS output is suppressed and the tests results are displayed using
* cdf.
*
compute start=%regstart()
dofor nlag = 1 2 4 6
  instruments constant consgrow{1 to nlag} realret{1 to nlag}
  nlls(inst,noprint,frml=h,optimal) * start *
  cdf(title="Specification Test for "+nlag+" lags") chisqr %uzwzu 2*nlag-1
end dofor
*
* Same specification tests using REPORT to pretty up the output
*
report(action=define,hlabel=||"Lags","J-Stat","P-Value"||)
dofor nlag = 1 2 4 6
  instruments constant consgrow{1 to nlag} realret{1 to nlag}
  nlls(inst,noprint,frml=h,optimal) * start *
  report(atcol=1,row=new) nlag %jstat %jsignif
end dofor
report(action=format,atcol=2,width=8)
report(action=format,atcol=3,picture="#.###")
report(action=show)