** Chapter 7.3 ** for W.H. Greene, Econometric Analysis 6th ed. *****************
* (c) Noel Roy 2003, 2008
*
*               SPECIFICATION ANALYSIS AND MODEL SELECTION
*                7.3 CHOOSING BETWEEN NONNESTED MODELS
*===============================================================================
*
* 7.3.3 Comprehensive Approach -- the J Test
*
* Example 7.2 (p. 140) J Test for a Consumption Function
*
READ (TableF5-1.prn) Year qtr GDP C Inv G Y / SKIPLINES=1
GENR LAGC=LAG(C)
GENR LAGY=LAG(Y)
TIME 1950.1 4
*
* Because we have no data for the lagged  variables
* for 1950.1, we must discard this observation.
*
SAMPLE 1950.2 2000.4 
*
* We first estimate both H0 and H1 in order to obtain the fitted values
*
?OLS C Y LAGY / PREDICT=H0HAT
?OLS C Y LAGC /	PREDICT=H1HAT
*
* Now, test H0 against H1.
*
?OLS C Y LAGY H1HAT
TEST H1HAT
*
* Test H1 against H0.
*
?OLS C Y LAGC H0HAT
TEST H0HAT
*
STOP
*
*===============================================================================
*
* Updated September 3, 2008