*
* Empirical exercise #2, Chapter 6
* pp 440-441
*
cal(m) 1950:2
*
* Read in the ASCII data
*       column 1: year
*       column 2: month
*       column 3: 1-month inflation rate
*       column 4: 3-month inflation rate
*       column 5: 1-month T-bill rate
*       column 6: 3-month T-bill rate
*       column 7: cpi
*
open data mishkin.xls
data(org=columns,format=xls) 1950:2 1990:12 year month pai1 pai3 tb1 tb3 cpi
*
* create variables
*
set r3 = tb3-pai3

*
* part (c): test for serial correlation
*
* simple statistics
*
table 1953:1 1971:7 r3
*
* correlogram
*
@RegCorrs(number=12,nocrit,footer="Correlogram of ex post real rate, three-month T-bills") r3 1953:1 1971:7
*
* part (d): Fama regression with serial correlation
*
linreg(robusterrors,lags=2) pai3 1953:1 1971:7
# constant tb3