** Chapter 19.1 ** for W.H. Greene, Econometric Analysis 6th ed. ****************
* (c) Noel Roy 2003, 2008
*
*	                       SERIAL CORRELATION    
*
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*
* 19.1 INTRODUCTION
*
* Example 19.2 Autocorrelation Induced by Misspecification of the Model (p. 626)
*
TIME 1953.0 1
SAMPLE 1953.0 2004.0
READ (TableF2-2.txt) Year,GasExp,Pop,Gasp,Income,PNC,PUC,PPT,PD,PN,PS /SKIPLINES=1 
*
* Replicate Figure 19.2
GENR lGpop = LOG(GasExp/Pop/Gasp)
GENR lPg = LOG(Gasp)
* (a) Regression on log Pg
?OLS lGpop lpg /GRAPH
GENR lny = LOG(Income)
* (b) Regression of log Pg, log I/Pop
?OLS lGpop lpg lny /GRAPH
* (c) Full regression
GENR LPnc = LOG(Pnc)
GENR LPuc = LOG(Puc)
GENR LPPT = LOG(Ppt)
GENR LPN = LOG(Pn)
GENR LPD = LOG(Pd)
GENR LPS = LOG(Ps)
?OLS LGPOP LPG Lny LPNC LPUC LPPT LPN LPD LPS YEAR /GRAPH
* (d) Full regression, separate coefficients
* Break up the sample by setting dummy variables for 1975-95.
*
GENR PER2=DUM(YEAR-1974)
GENR LPG2=LPG*PER2
GENR LnY2=LnY*PER2
GENR LPNC2=LPNC*PER2
GENR LPUC2=LPUC*PER2
GENR LPPT2=LPPT*PER2
GENR LPN2=LPN*PER2
GENR LPD2=LPD*PER2
GENR LPS2=LPS*PER2
GENR YEAR2=YEAR*PER2
?OLS LGPOP LPG LnY LPNC LPUC LPPT LPN LPD LPS YEAR PER2 LPG2 LnY2 LPNC2 &
	LPUC2 LPPT2 LPN2 LPD2 LPS2 YEAR2 /GRAPH
*
*
STOP
*
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*
* Updated November 7, 2008