*
* Example 6.1
* pages 98-99
*
open data tablef5-1[1].txt
calendar(q) 1950
data(format=prn,org=columns) 1950:1 2000:4 year qtr realgdp realcons realinvs realgovt realdpi $
  cpi_u m1 tbilrate unemp pop infl realint
*
* Do the required transformations. The inflation rate is computed as 400*the log
* difference. Multiplying by 400 produces annualized percentages.
*
* The trend would usually be created as set trend = t. However, the regression
* output in the book was produced using a trend which is 0 at 1950:1, so we make
* the same adjustment to get that to match. The choice of base period for the
* trend affects nothing but the coefficient on the intercept.
*
set logi = log(realinvs)
set logy = log(realgdp)
set infl = 400.0*log(cpi_u/cpi_u{1})
set trend = t-1
*
linreg logi
# constant tbilrate infl logy trend
*
* Test restriction that the 2nd and 3rd coefficients sum to 0 The "1" on the
* restrict instruction is for one restriction
*
restrict(title="Only Real Interest Rate Matters") 1
# 2 3
# 1 1 0.0
*
* Same restriction, this time imposing it on the regression (by using the CREATE option)
*
restrict(create) 1
# 2 3
# 1 1 0.0
*
* Reparameterized regression, using the real interest rate and inflation rate in
* place of nominal interest rate and inflation rate. The t-stat on the inflation
* rate is the test statistic.
*
set realrate = tbilrate-infl
*
linreg logi
# constant realrate infl logy trend
exclude(title="Only Real Rate Matters - Reparameterized Regression")
# infl
*
* Joint restriction
* Because the last regression was reparameterized, the joint restriction can be
* done using the simpler instruction TEST, which does a joint test of
* restrictions to a set of constant values. The first supplementary card lists
* the coefficients being restricted; the second lists the values that they take
* under the null.
*
test(title="Joint Restriction - Reparameterized Model")
# 3 4 5
# 0.0 1.0 0.0
*
* Joint restriction using the original model
*
linreg logi
# constant tbilrate infl logy trend
restrict(title="Joint Restriction") 3
# 2 3
# 1 1 0.0
# 4
# 1 1.0
# 5
# 1 0.0