*
* Example 12.4 from page 267
* 1st printing of text has incorrect results
*
open data tablef5-1[1].txt
calendar(q) 1950:1
data(format=prn,org=columns) 1950:1 2000:4 year qtr realgdp realcons realinvs realgovt realdpi cpi_u m1 tbilrate unemp pop infl realint
*
set logm1 = log(m1)
set loggdp = log(realgdp)
set logcpi = log(cpi_u)
*
linreg logm1
# constant loggdp logcpi
compute olsstd=%stderrs
linreg(lwindow=newey,lags=5,robust) logm1
# constant loggdp logcpi
*
* Use REPORT to build Table 12.1. We saved the standard errors from OLS in the
* vector olsstd.
*
report(action=define,hlabels=||"Variable","OLS Estimate","OLS SE","Corrected SE"||)
report(atrow=1,atcol=1) "Constant" %beta(1) olsstd(1) %stderrs(1)
report(atrow=2,atcol=1) "ln Output" %beta(2) olsstd(2) %stderrs(2)
report(atrow=3,atcol=1) "ln CPI" %beta(3) olsstd(3) %stderrs(3)
report(action=format,picture="*.####")
report(action=show,window="Table 12.1 Robust Covariance Matrix")