*
* Example 12.5 from page 278
*
open data tablef2-2[1].txt
calendar 1960
data(format=prn,org=columns) 1960:1 1995:1 year g pg y pnc puc ppt pd pn ps pop
*
set loggpop = log(g/pop)
set logypop = log(y)
set logpg   = log(pg)
set logpnc  = log(pnc)
set logpuc  = log(puc)
set trend   = year
set predummy  = t<=1973:1
set postdummy = t>=1974:1
*
* AR1 (restricted model)
*
ar1(method=hilu) loggpop
# constant logypop logpg logpnc logpuc
compute rssr=%rss
*
* Unrestricted model - include current and one lag of each explanatory variable,
* and the lag of the dependent variable.
*
linreg loggpop
# constant loggpop{1} logypop{0 1} logpg{0 1} logpnc{0 1} logpuc{0 1}
*
* There are four degrees of freedom for the test. The AR1 estimates five
* regressors + rho, while the full dynamic model estimates two lags on the four x
* variables, plus constant and the lagged dependent.
*
compute fstat=(rssr-%rss)/(4*%seesq)
cdf(title="Test of Common Factors") ftest fstat 4 %ndf