** Chapter 5.5 ** for W.H. Greene, Econometric Analysis 6th ed. *****************
* (c) Noel Roy 2003, 2008
*
*                        5.5 TESTING NONLINEAR RESTRICTIONS
*
*
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*
*
* Example 5.3 (p. 97) A Long-Run Marginal Propensity to Consume
*
TIME 1950.1 4
SAMPLE 1950.1 2000.4
READ (TableF5-1.prn) Year qtr realgdp realcons realinvs realgovt realdpi / SKIPLINES=1
* Drop beginning observation to obtained lagged consumption.
GENR lnC=LOG(realcons)
GENR lnY=LOG(realdpi)
SAMPLE 1950.2 2000.4
GENR lnCLAG=LAG(lnC)
OLS lnC lnY lnCLAG /PCOV 
*
* A test command of the null hypothesis that the long-run MPC
* is unity, also gives us the value and standard error of the
* long-run MPC.
*
TEST lnY/(1-lnCLAG)=1
*
* We can also use a linear test.
*
TEST lnY+lnCLAG=1
*
* Repeat the exercise for the final 11 years.
*
SAMPLE 1990.1 2000.4
OLS lnC lnY lnCLAG 
TEST lnY/(1-lnCLAG)=1
TEST lnY+lnCLAG=1
*
STOP
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* Updated August 28, 2008