*
* Example 12.3 from pages 251-252
*
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
*
* Create inflation as 400*the difference of the logs of the CPI. Multiplying by
* 400 converts to percentages on an annual basis. (100 for decimal to percent, 4
* for quarterly to annual).
*
set infl = 400.0*(log(cpi_u)-log(cpi_u{1}))
set delinfl = infl-infl{1}
*
* Regress the difference in inflation on unemployment
*
linreg delinfl / resids
# constant unemp
*
* Compute - the ratio of the coefficients, and the delta-method standard errors.
*
summarize(title="Estimate of the NAIRU") -%beta(1)/%beta(2)
disp "Confidence Interval" %sumlc+%invnormal(.025)*sqrt(%varlc) "to" %sumlc+%invnormal(.975)*sqrt(%varlc)
*
* Graph residuals as an example of negative autocorrelation
*
graph(footer="Figure 12.3 Negatively Autocorrelated Residuals")
# resids
*
* Run a one lag autoregression. Note the fairly large negative coefficient on the
* lag of resids.
*
linreg resids
# constant resids{1}