*
* Example UKUSIND.DAT from pp 427-430
*
open data ukusind.dat
calendar(m) 1970
data(format=free,org=columns) 1970:1 1992:7 date usind ukind
*
set logus = log(usind)
set loguk = log(ukind)
*
graph(footer="Figure 10-15 Logarithms of U.K. and U.S. stock indexes") 2
# logus
# loguk
*
linreg loguk
# constant logus{0 1}
*
graph(footer="Figure 10-16 Residuals of ln UK=f(ln US) using OLS")
# %resids
*
ar1(method=corc) loguk
# constant logus{0 1}
*
graph(footer="Figure 10-17 Homoscedastic residuals for log relationship")
# %resids
*
* Goldfeld-Quandt test on the levels.
*
ar1(method=corc) ukind * 107
# constant usind{0}
compute ess1=%rss,ndf1=%ndf
ar1(method=corc) ukind 165 *
# constant usind{0}
compute ess2=%rss,ndf2=%ndf
cdf(title="Goldfeld-Quandt Test") ftest (ess2/ndf2)/(ess1/ndf1) ndf2 ndf1
*
* Goldfeld-Quandt test of the logs
*
ar1(method=corc) loguk * 107
# constant logus{0}
compute ess1=%rss,ndf1=%ndf
ar1(method=corc) loguk 165 *
# constant logus{0}
compute ess2=%rss,ndf2=%ndf
cdf(title="Goldfeld-Quandt Test") ftest (ess2/ndf2)/(ess1/ndf1) ndf2 ndf1