** 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 19.3 Negative Autocorrelation in the Phillips Curve (p. 627)
*
READ (TableF5-1.prn)Year qtr realgdp realcons realinvs realgovt realdpi cpi M1 i u pop deltap realint / SKIPLINES=1
*
TIME 1950.1 4
SAMPLE 1950.3 2000.4
GENR DELINFL=DELTAP-LAG(DELTAP)
OLS DELINFL U /GRAPH PCOV
*
* Test the natural rate of unemployment u*=-b1/b2
TEST -CONSTANT/U
*
* The temporary variables $VAL (for the test value) and $STES (for the
* standard error of the test value) are available after a TEST command,
* so the confidence interval on the estimate can be calculated.
GEN1 LLIMIT=$VAL-1.96*$STES
GEN1 ULIMIT=$VAL+1.96*$STES
PRINT LLIMIT ULIMIT
*
STOP
*
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*
* Updated November 7, 2008