SIMULMULT.RPF

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SIMULMULT.RPF is an example of the computation of multipliers for a simultaneous equations model.

PRSETUP.SRC reads the data and sets up the small Pindyck and Rubinfeld model.

Full Program

source prsetup.src

smpl 1984:1 1985:4

forecast(model=prsmall,results=base)

compute govt(1984:1)=govt(1984:1)+2.0

forecast(model=prsmall,results=mults)

compute govt(1984:1)=govt(1984:1)-2.0

do i=1,%rows(mults)

set mults(i) = (mults(i)-base(i))/2.0

labels mults(i)

# 'M_'+%modellabel(prsmall,i)

end do i

print(picture="*.###") / mults

Output

Linear Regression - Estimation by Instrumental Variables

Dependent Variable CONS

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 141

Mean of Dependent Variable 1411.1625000

Std Error of Dependent Variable 486.7321052

Standard Error of Estimate 11.3436190

Sum of Squared Residuals 18143.554637

J-Specification(6) 57.9253

Significance Level of J 0.0000000

Durbin-Watson Statistic 1.6308

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant -3.179856661 4.955717830 -0.64165 0.52213953

2. GNP 0.025662687 0.018196110 1.41034 0.16064181

3. CONS{1} 0.968332903 0.027185648 35.61927 0.00000000

Linear Regression - Estimation by Instrumental Variables

Dependent Variable INVEST

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 139

Mean of Dependent Variable 383.83541667

Std Error of Dependent Variable 131.09401018

Standard Error of Estimate 16.77065169

Sum of Squared Residuals 39094.411362

J-Specification(4) 25.4954

Significance Level of J 0.0000400

Durbin-Watson Statistic 2.0049

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant -25.50262769 6.43431018 -3.96354 0.00011761

2. INVEST{1} 0.63725350 0.04801265 13.27262 0.00000000

3. YDIFF{1} 0.21449446 0.05425583 3.95339 0.00012218

4. GNP 0.08071954 0.01097636 7.35394 0.00000000

5. RATE{4} -4.66692375 0.98255518 -4.74978 0.00000501

Linear Regression - Estimation by Instrumental Variables

Dependent Variable RATE

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 139

Mean of Dependent Variable 5.1534027778

Std Error of Dependent Variable 3.2689143326

Standard Error of Estimate 0.9179997089

Sum of Squared Residuals 117.13856171

J-Specification(4) 56.2149

Significance Level of J 0.0000000

Durbin-Watson Statistic 1.4510

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 0.273120392 0.342410955 0.79764 0.42644042

2. GNP -0.000434281 0.000276810 -1.56888 0.11895023

3. YDIFF 0.022534344 0.005184064 4.34685 0.00002650

4. MDIFF -0.079425302 0.017715078 -4.48349 0.00001523

5. RSUM{1} 0.541787141 0.031239423 17.34306 0.00000000

ENTRY M_CONS M_INVEST M_RATE M_GNP M_RSUM M_YDIFF

1984:01 0.029 0.090 0.025 1.119 0.025 1.119

1984:02 0.037 0.327 -0.004 0.364 0.021 -0.755

1984:03 0.038 0.054 0.005 0.092 0.001 -0.272

1984:04 0.038 -0.023 -0.001 0.015 0.004 -0.078

1985:01 0.033 -0.157 -0.001 -0.123 -0.002 -0.138

1985:02 0.030 -0.119 -0.000 -0.089 -0.001 0.034

1985:03 0.027 -0.098 -0.000 -0.071 -0.000 0.018

1985:04 0.025 -0.057 0.001 -0.032 0.001 0.040