*
* Example 17.7 from page 669
* Koyck distributed lag
*
cal 1970
open data table17-2.prn
data(format=prn,org=columns) 1970:1 1999:1
linreg ppce / resids
# constant ppdi ppce{1}
disp "Median lag" -log(2)/log(%beta(3))
disp "Mean lag" %beta(3)/(1-%beta(3))
*
* %RHO (the autocorrelation of the coefficients) is computed by LINREG. %NOBS is
* the number of observations, and %STDERRS(i) is the estimated standard error of
* the ith coefficient. These are combined to produce the Durbin h. The result
* computed here is somewhat smaller than in the text, because the text uses 30
* observations, instead of the 29 actually used in the regression.
*
disp "Durbin h" %rho*sqrt(%nobs/(1-%nobs*%stderrs(3)**2))
*
* BG test as an alternative to Durbin h. TR**2 from this auxiliary regression is
* the test statistic.
*
linreg resids
# constant ppdi ppce{1} resids{1}
cdf(title="Breusch-Godfrey Test") chisqr %trsq 1