** Chapter 7.4 ** for W.H. Greene, Econometric Analysis 6th ed. *****************
* (c) Noel Roy 2003
*
*           SPECIFICATION ANALYSIS AND MODEL SELECTION
*                 7.4 MODEL SELECTION CRITERIA
*
* The Akaike and Schwartz criteria (along with several others)
* are presented when the OLS command is invoked with the /ANOVA
* option. See p. 16 of the SHAZAM Manual for further information.
*
* As an example, estimate the same consumption functions as in Examples 7.2 and 7.3.
*
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 with the ANOVA option to obtain model
* selection criteria values.
*
OLS C Y LAGY / ANOVA
OLS C Y LAGC /	ANOVA
*
* All the criteria values are lower for the second model.
*
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*
* Updated September 4, 2008