** Chapter 19.5 ** for W.H. Greene, Econometric Analysis 6th ed. ****************
* (c) Noel Roy 2003, 2008
*
*	                       SERIAL CORRELATION    
*
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*
* 19.5 LEAST SQUARES ESTIMATION
*
* 19.5.2 Estimating the Variance of the Least Squares Estimator
*
* Example 19.4 (p. 643) Autocorrelation Consistent Covariance Estimation
*
READ (TableF5-1.prn)Year qtr realgdp realcons realinvs realgovt realdpi cpi M1 i u pop deltap realint / SKIPLINES=1
*
GENR lnM1=LOG(M1)
GENR lnGDP=LOG(REALGDP)
GENR lnCPI=LOG(CPI)
*
* The AUTCOV= option with the OLS command computes an adjusted variance-
* covariance matrix for the parameter estimates. The AUTCOV= option should 
* specify the largest order autocorrelation required as suggested by Newey 
* and West (1987) (i.e. L in the text). The RSTAT option with 
* the OLS command prints the residual summary statistics including the 
* Durbin-Watson statistic.
* OLS Standard Errors
OLS lnM1 lnGDP lnCPI /RSTAT LOGLOG
* Corrected Standard Errors
OLS lnM1 lnGDP lnCPI /AUTCOV=5 LOGLOG
*
STOP
*
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*
* Updated November 7, 2008