* PPP01.PRG * SCC program using Driscoll's PPP Data calendar(panelobs=21) 1973 1 1 allocate 1993:01 open data ppp.rat data(format=rats) 1 102*21 country zyear erate cpi uscpi z1 z2 z3 set dle 1 102*21 = log(erate/erate{1}) set dlcpi 1 102*21 = log(cpi/cpi{1}) set dluscpi 1 102*21 = log(uscpi/uscpi{1}) set infldiff 1 102*21 = dlcpi-dluscpi ******************************************************************************** **************** FULL SAMPLE 1974 - 1993 *************************************** ******************************************************************************** *CONVENTIONAL LINREG OUTPUT set zindicator 1 102*21 = %period(t).gt.1973:01 .and. %period(t) .le. 1993:01 linreg(smpl=zindicator) dle / # constant infldiff Dependent Variable DLE - Estimation by Least Squares Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 2040 Degrees of Freedom 2038 Total Observations 2142 Skipped/Missing 102 Centered R**2 0.800773 R Bar **2 0.800675 Uncentered R**2 0.816656 T x R**2 1665.978 Mean of Dependent Variable 0.1177224703 Std Error of Dependent Variable 0.4000664056 Standard Error of Estimate 0.1786128767 Sum of Squared Residuals 65.017416697 Regression F(1,2038) 8191.5343 Significance Level of F 0.00000000 Durbin-Watson Statistic 1.979459 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0045701739 0.0041474714 1.10192 0.27062737 2. INFLDIFF 1.0160754938 0.0112264733 90.50710 0.00000000 *PANELSCC PROCEDURE: source(noecho) panelscc.src @panelscc(lags=2) dle 1974:01 1993:01 102 # constant infldiff # constant infldiff Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 2040 Degrees of Freedom 2038 Total Observations 2142 Skipped/Missing 102 Centered R**2 0.800773 R Bar **2 0.800675 Uncentered R**2 0.816656 T x R**2 1665.978 Mean of Dependent Variable 0.1177224703 Std Error of Dependent Variable 0.4000664056 Standard Error of Estimate 0.1786128767 Sum of Squared Residuals 65.017416697 Durbin-Watson Statistic 1.979459 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0045701739 0.0041474714 1.10192 0.27062737 2. INFLDIFF 1.0160754938 0.0112264733 90.50710 0.00000000 SERIAL CORRELATION CONSISTENT STANDARD ERRORS with Lags = 2 Variable Coeff SCC Std Error z-Stat Signif ******************************************************************************* 1 0.0045701739 0.0133222447 0.34305 0.73156209 2 1.0160754938 0.0428040233 23.73785 0.00000000 NOTE: SCC Covariance Matrix is stored as "%VHATSCC" ******************************************************************************** **************** SUBSAMPLE 1974 - 1990 ***************************************** ******************************************************************************** *CONVENTIONAL LINREG OUTPUT set zindicator 1 102*21 = %period(t).gt.1973:01 .and. %period(t) .le. 1990:01 linreg(smpl=zindicator) dle / # constant infldiff Dependent Variable DLE - Estimation by Least Squares Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1734 Degrees of Freedom 1732 Total Observations 2142 Skipped/Missing 408 Centered R**2 0.815199 R Bar **2 0.815092 Uncentered R**2 0.828811 T x R**2 1437.158 Mean of Dependent Variable 0.1101993902 Std Error of Dependent Variable 0.3909103960 Standard Error of Estimate 0.1680951502 Sum of Squared Residuals 48.939356520 Regression F(1,1732) 7640.2235 Significance Level of F 0.00000000 Durbin-Watson Statistic 1.917471 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0002495658 0.0042281838 0.05902 0.95293952 2. INFLDIFF 1.0321944201 0.0118088736 87.40837 0.00000000 *PANELSCC PROCEDURE: source(noecho) panelscc.src @panelscc(verylastperiod=1993:01,lags=2) dle 1974:01 1990:01 102 # constant infldiff # constant infldiff Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1734 Degrees of Freedom 1732 Total Observations 2142 Skipped/Missing 408 Centered R**2 0.815199 R Bar **2 0.815092 Uncentered R**2 0.828811 T x R**2 1437.158 Mean of Dependent Variable 0.1101993902 Std Error of Dependent Variable 0.3909103960 Standard Error of Estimate 0.1680951502 Sum of Squared Residuals 48.939356520 Durbin-Watson Statistic 1.917471 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0002495658 0.0042281838 0.05902 0.95293952 2. INFLDIFF 1.0321944201 0.0118088736 87.40837 0.00000000 SERIAL CORRELATION CONSISTENT STANDARD ERRORS with Lags = 2 Variable Coeff SCC Std Error z-Stat Signif ******************************************************************************* 1 0.0002495658 0.0149391736 0.01671 0.98667159 2 1.0321944201 0.0479981091 21.50490 0.00000000 NOTE: SCC Covariance Matrix is stored as "%VHATSCC" ******************************************************************************** **************** SUBSAMPLE 1976 - 1990 ***************************************** ******************************************************************************** *CONVENTIONAL LINREG OUTPUT set zindicator 1 102*21 = %period(t).ge.1976:01 .and. %period(t) .le. 1990:01 linreg(smpl=zindicator) dle / # constant infldiff Dependent Variable DLE - Estimation by Least Squares Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1530 Degrees of Freedom 1528 Total Observations 2142 Skipped/Missing 612 Centered R**2 0.818721 R Bar **2 0.818602 Uncentered R**2 0.833003 T x R**2 1274.495 Mean of Dependent Variable 0.1182033347 Std Error of Dependent Variable 0.4043224397 Standard Error of Estimate 0.1722041561 Sum of Squared Residuals 45.311726657 Regression F(1,1528) 6900.9974 Significance Level of F 0.00000000 Durbin-Watson Statistic 1.920642 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0061985332 0.0046043176 1.34624 0.17842364 2. INFLDIFF 1.0228268451 0.0123124984 83.07224 0.00000000 *PANELSCC PROCEDURE source(noecho) panelscc.src @panelscc(verylastperiod=1993:01,lags=2) dle 1976:01 1990:01 102 # constant infldiff # constant infldiff Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1530 Degrees of Freedom 1528 Total Observations 2142 Skipped/Missing 612 Centered R**2 0.818721 R Bar **2 0.818602 Uncentered R**2 0.833003 T x R**2 1274.495 Mean of Dependent Variable 0.1182033347 Std Error of Dependent Variable 0.4043224397 Standard Error of Estimate 0.1722041561 Sum of Squared Residuals 45.311726657 Durbin-Watson Statistic 1.920642 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0061985332 0.0046043176 1.34624 0.17842364 2. INFLDIFF 1.0228268451 0.0123124984 83.07224 0.00000000 SERIAL CORRELATION CONSISTENT STANDARD ERRORS with Lags = 2 Variable Coeff SCC Std Error z-Stat Signif ******************************************************************************* 1 0.0061985332 0.0160710350 0.38570 0.69972186 2 1.0228268451 0.0507972106 20.13549 0.00000000 NOTE: SCC Covariance Matrix is stored as "%VHATSCC" ******************************************************************************** **************** SUBSAMPLE 1976 - 1990 ***************************************** **************** First 80 countries ******************************************** ******************************************************************************** *CONVENTIONAL LINREG OUTPUT: set mymask 1 102*21 = %indiv(t) .le. 80 set zindicator 1 102*21 = mymask*(%period(t).ge.1976:01 .and. %period(t) .le. 1990:01) linreg(smpl=zindicator) dle / # constant infldiff Dependent Variable DLE - Estimation by Least Squares Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1200 Degrees of Freedom 1198 Total Observations 2142 Skipped/Missing 942 Centered R**2 0.833918 R Bar **2 0.833780 Uncentered R**2 0.845041 T x R**2 1014.050 Mean of Dependent Variable 0.1181362423 Std Error of Dependent Variable 0.4411213241 Standard Error of Estimate 0.1798457947 Sum of Squared Residuals 38.748722824 Regression F(1,1198) 6015.3119 Significance Level of F 0.00000000 Durbin-Watson Statistic 1.942046 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0054166121 0.0053912881 1.00470 0.31524555 2. INFLDIFF 1.0216666131 0.0131728615 77.55844 0.00000000 * PANELSCC PROCEDURE: source(noecho) panelscc.src @panelscc(totalcross=102,verylastperiod=1993:01,lags=2) dle 1976:01 1990:01 80 # constant infldiff # constant infldiff Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1200 Degrees of Freedom 1198 Total Observations 2142 Skipped/Missing 942 Centered R**2 0.833918 R Bar **2 0.833780 Uncentered R**2 0.845041 T x R**2 1014.050 Mean of Dependent Variable 0.1181362423 Std Error of Dependent Variable 0.4411213241 Standard Error of Estimate 0.1798457947 Sum of Squared Residuals 38.748722824 Durbin-Watson Statistic 1.942046 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0054166121 0.0053912881 1.00470 0.31524555 2. INFLDIFF 1.0216666131 0.0131728615 77.55844 0.00000000 SERIAL CORRELATION CONSISTENT STANDARD ERRORS with Lags = 2 Variable Coeff SCC Std Error z-Stat Signif ******************************************************************************* 1 0.0054166121 0.0168140760 0.32215 0.74734098 2 1.0216666131 0.0533992235 19.13261 0.00000000 NOTE: SCC Covariance Matrix is stored as "%VHATSCC" ******************************************************************************** **************** SUBSAMPLE 1976 - 1990 ***************************************** **************** First 80 countries ******************************************** **************** Instrumental Variables Estimation ***************************** ******************************************************************************** * CONVENTIONAL LINREG OUTPUT: set mymask 1 102*21 = %indiv(t) .le. 80 set zindicator 1 102*21 = mymask*(%period(t).ge.1976:01 .and. %period(t) .le. 1990:01) instruments constant z1 z2 z3 linreg(instruments,smpl=zindicator) dle / # constant infldiff Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1200 Degrees of Freedom 1198 Total Observations 2142 Skipped/Missing 942 Centered R**2 0.833402 R Bar **2 0.833263 Uncentered R**2 0.844560 T x R**2 1013.472 Mean of Dependent Variable 0.1181362423 Std Error of Dependent Variable 0.4411213241 Standard Error of Estimate 0.1801249575 Sum of Squared Residuals 38.869110365 Durbin-Watson Statistic 1.947785 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0082205020 0.0240614757 0.34165 0.73267738 2. INFLDIFF 0.9962527544 0.2129347662 4.67868 0.00000322 * PANELSCC PROCEDURE: source(noecho) panelscc.src @panelscc(totalcross=102,verylastperiod=1993:01,lags=2) dle 1976:01 1990:01 80 mymask # constant infldiff # constant z1 z2 z3 Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1200 Degrees of Freedom 1198 Total Observations 2142 Skipped/Missing 942 Centered R**2 0.833402 R Bar **2 0.833263 Uncentered R**2 0.844560 T x R**2 1013.472 Mean of Dependent Variable 0.1181362423 Std Error of Dependent Variable 0.4411213241 Standard Error of Estimate 0.1801249575 Sum of Squared Residuals 38.869110365 Durbin-Watson Statistic 1.947785 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0082205020 0.0240614757 0.34165 0.73267738 2. INFLDIFF 0.9962527544 0.2129347662 4.67868 0.00000322 SERIAL CORRELATION CONSISTENT STANDARD ERRORS with Lags = 2 Variable Coeff SCC Std Error z-Stat Signif ******************************************************************************* 1 0.0082205020 0.0229664914 0.35793 0.72039225 2 0.9962527544 0.1104977993 9.01604 0.00000000 NOTE: SCC Covariance Matrix is stored as "%VHATSCC" ******************************************************************************** **************** SUBSAMPLE 1976 - 1990 ***************************************** **************** First 80 and last 10 countries ******************************** **************** Instrumental Variables Estimation ***************************** ******************************************************************************** set mymask 1 102*21 = %indiv(t) .le. 80 .or. %indiv(t) .ge. 93 * CONVENTIONAL LINREG OUTPUT: set zindicator 1 102*21 = mymask*(%period(t).ge.1976:01 .and. %period(t) .le. 1990:01) instruments constant z1 z2 z3 linreg(instruments,smpl=zindicator) dle / # constant infldiff Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1350 Degrees of Freedom 1348 Total Observations 2142 Skipped/Missing 792 Centered R**2 0.809930 R Bar **2 0.809789 Uncentered R**2 0.825415 T x R**2 1114.311 Mean of Dependent Variable 0.1262907852 Std Error of Dependent Variable 0.4242050982 Standard Error of Estimate 0.1850092724 Sum of Squared Residuals 46.139924803 Durbin-Watson Statistic 1.838784 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0243062280 0.0287944307 0.84413 0.39874683 2. INFLDIFF 0.8762368834 0.2435856047 3.59724 0.00033324 * PANELSCC PROCEDURE: source(noecho) panelscc.src @panelscc(totalcross=102,verylastperiod=1993:01,lags=2) dle 1976:01 1990:01 80 mymask # constant infldiff # constant z1 z2 z3 Dependent Variable DLE - Estimation by Instrumental Variables Panel(21) of Annual Data From 1//1973:01 To 102//1993:01 Usable Observations 1350 Degrees of Freedom 1348 Total Observations 2142 Skipped/Missing 792 Centered R**2 0.809930 R Bar **2 0.809789 Uncentered R**2 0.825415 T x R**2 1114.311 Mean of Dependent Variable 0.1262907852 Std Error of Dependent Variable 0.4242050982 Standard Error of Estimate 0.1850092724 Sum of Squared Residuals 46.139924803 Durbin-Watson Statistic 1.838784 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.0243062280 0.0287944307 0.84413 0.39874683 2. INFLDIFF 0.8762368834 0.2435856047 3.59724 0.00033324 SERIAL CORRELATION CONSISTENT STANDARD ERRORS with Lags = 2 Variable Coeff SCC Std Error z-Stat Signif ******************************************************************************* 1 0.0243062280 0.0259740555 0.93579 0.34938198 2 0.8762368834 0.1564329340 5.60136 0.00000002 NOTE: SCC Covariance Matrix is stored as "%VHATSCC"