*
* Example 19.5 from page 580
*
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
*
set logc = log(realcons)
set logy = log(realgdp)
set delc = logc-logc{1}
set dely = logy-logy{1}
*
graph(footer="Figure 19.3 Consumption and Income Data",key=attached) 2
# logc
# logy
*
* Estimate regression using NLLS. Note that the standard errors in the text are
* computed using e'e/T for sigma**2, while RATS uses e'e/(T-k)
*
nonlin mu b0 gamma theta
frml ecm delc = mu+(gamma-1)*(logc{1}-theta*logy{1})+b0*dely
nlls(frml=ecm)
*
set eqerror = (gamma-1)*(logc-theta*logy)
graph(footer="Figure 19.4 Consumption-Income Equilibrium Errors") 1
# eqerror