*
* Example 8.3 from page 155
* Cox non-nested tests
*
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
*
* Do the two hypothesized regressions. Save the residuals, ML estimates of the
* residual variance, and fitted values.
*
linreg realcons / resids0
# constant realdpi{0 1}
compute s0=%rss/%nobs
prj fit0
*
linreg realcons / resids1
# constant realdpi realcons{1}
compute s1=%rss/%nobs
prj fit1
*
* Do the calculations for testing 0 vs 1
*
linreg(noprint) fit0 / resids01
# constant realdpi realcons{1}
compute s01=s0+%rss/%nobs
linreg(noprint) resids01
# constant realdpi{0 1}
compute c01=.5*%nobs*log(s1/s01),v01=s0*%rss/(s01**2),q01=c01/sqrt(v01)
*
* Do the calculations for testing 1 vs 0
*
linreg(noprint) fit1 / resids10
# constant realdpi{0 1}
compute s10=s1+%rss/%nobs
linreg(noprint) resids10
# constant realdpi realcons{1}
compute c10=.5*%nobs*log(s0/s10),v10=s1*%rss/(s10**2),q10=c10/sqrt(v10)
*
cdf(title="Cox Test for 0 vs 1") normal q01
cdf(title="Cox Test for 1 vs 0") normal q10