*
* Example 9.8 from page 180
* MacKinnon-White-Davidson test for functional form
*
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
*
* Run linear regression and get its fitted values
*
linreg m1
# constant tbilrate realgdp
prj linearfit
*
* Run log regression and get its fitted values
*
set logm1 = log(m1)
set logy  = log(realgdp)
set logr  = log(tbilrate)
linreg logm1
# constant logr logy
prj logfit
*
* Compute the gaps between the fitted values
*
set loggap = logfit-log(linearfit)
set lingap = linearfit-exp(logfit)
*
* Run the augmented regressions and test the added variable
*
linreg logm1
# constant logr logy lingap
exclude(title="Test of adequacy of log form")
# lingap
linreg m1
# constant tbilrate realgdp loggap
exclude(title="Test of adequacy of linear form")
# loggap