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Econometric take home APPS_Part_24

Econometric take home APPS_Part_24 - Application?=...

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Application ?========================================================= ? Application 13.1 - Simultaneous Equations ?========================================================= ? Read the data ? For convenience, rename the variables so they correspond ? to the example in the text. sample ; 1 - 204 $ create ; ct=realcons$ create ; it=realinvs$ create ; gt=realgovt$ create ; rt=tbilrate $ ? Impose (artifically) the adding up condition on total demand. create ; yt=ct+it+gt $ create ; ct1=ct[-1] $ create ; yt1 = yt[-1] $ create ; dyt = yt - yt1 $ sample ; 2-204 $ names ; xt = one,gt,rt,ct1,yt1$ ? Estimate equations by 2sls and save coefficients with ? the names used in the example. 2sls ; lhs = ct ; rhs=one,yt,ct1 ; inst = xt $ +----------------------------------------------------+ | Two stage least squares regression | | LHS=CT Mean = 3008.995 | | Standard deviation = 1456.900 | | WTS=none Number of observs. = 203 | | Model size Parameters = 3 | | Degrees of freedom = 200 | | Residuals Sum of squares = 75713.32 | | Standard error of e = 19.45679 | | Fit R-squared = .9998208 | | Adjusted R-squared = .9998190 | | Model test F[ 2, 200] (prob) =******* (.0000) | +----------------------------------------------------+ | Instrumental Variables: |ONE GT RT CT1 YT1 +--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ Constant| -13.8657181 5.31536302 -2.609 .0091 YT | .05843862 .01790473 3.264 .0011 4663.67389 CT1 | .92200662 .02657199 34.698 .0000 2982.97438 calc ; a0=b(1) ; a1=b(2) ; a2=b(3) $ 2sls ; lhs = it ; rhs=one,rt,dyt ; inst = xt $ +----------------------------------------------------+ | Two stage least squares regression | | LHS=IT Mean = 654.5296 | | Standard deviation = 391.3705 | | WTS=none Number of observs. = 203 | | Model size Parameters = 3 | | Degrees of freedom = 200 | | Residuals Sum of squares = .7744227E+08 | | Standard error of e = 622.2631 | | Fit R-squared = -1.540485 | | Adjusted R-squared = -1.565889 | +----------------------------------------------------+ | Instrumental Variables: |ONE GT RT CT1 YT1 +--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ Constant| -300.699429 125.980850 -2.387 .0170 RT | 56.5192542 15.4643912 3.655 .0003 5.24965517 DYT | 16.5359646 2.02509785 8.166 .0000 39.8236453 calc ; b0=b(1) ; b1=b(2) ; b2=b(3) $ 95
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