SIMULADD.RPF

SIMULADD.RPF is an example of add-factoring for a simultaneous equations model.

PRSETUP.SRC reads the data and sets up the small Pindyck and Rubinfeld model.

Full Program

source prsetup.src
*
smpl 1986:1 1988:4
set m     1986:1 1988:4 = m{1}*1.01
set govt 1986:1 1988:4 = govt{1}*1.008
set mdiff 1986:1 1988:4 = m-m{1}
*
* Using the INPUT option on FORECAST
*
declare real fudge
dofor fudge = 0.0 0.5 1.0
   forecast(model=prsmall,input,print)
   # 0.0 0.0 fudge
end dofor
*
* Same thing using the SHOCKS option rather than INPUT
*
declare vector shocks(3)
compute shocks=%const(0.0)
declare real fudge
dofor fudge = 0.0 0.5 1.0
compute shocks(3)=fudge
forecast(model=prsmall,shocks=shocks,print)
end dofor

Output

Linear Regression - Estimation by Instrumental Variables

Dependent Variable CONS

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 141

Mean of Dependent Variable 1411.1625000

Std Error of Dependent Variable 486.7321052

Standard Error of Estimate 11.3436190

Sum of Squared Residuals 18143.554637

J-Specification(6) 57.9253

Significance Level of J 0.0000000

Durbin-Watson Statistic 1.6308

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant -3.179856661 4.955717830 -0.64165 0.52213953

2. GNP 0.025662687 0.018196110 1.41034 0.16064181

3. CONS{1} 0.968332903 0.027185648 35.61927 0.00000000

Linear Regression - Estimation by Instrumental Variables

Dependent Variable INVEST

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 139

Mean of Dependent Variable 383.83541667

Std Error of Dependent Variable 131.09401018

Standard Error of Estimate 16.77065169

Sum of Squared Residuals 39094.411362

J-Specification(4) 25.4954

Significance Level of J 0.0000400

Durbin-Watson Statistic 2.0049

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant -25.50262769 6.43431018 -3.96354 0.00011761

2. INVEST{1} 0.63725350 0.04801265 13.27262 0.00000000

3. YDIFF{1} 0.21449446 0.05425583 3.95339 0.00012218

4. GNP 0.08071954 0.01097636 7.35394 0.00000000

5. RATE{4} -4.66692375 0.98255518 -4.74978 0.00000501

Linear Regression - Estimation by Instrumental Variables

Dependent Variable RATE

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 139

Mean of Dependent Variable 5.1534027778

Std Error of Dependent Variable 3.2689143326

Standard Error of Estimate 0.9179997089

Sum of Squared Residuals 117.13856171

J-Specification(4) 56.2149

Significance Level of J 0.0000000

Durbin-Watson Statistic 1.4510

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 0.273120392 0.342410955 0.79764 0.42644042

2. GNP -0.000434281 0.000276810 -1.56888 0.11895023

3. YDIFF 0.022534344 0.005184064 4.34685 0.00002650

4. MDIFF -0.079425302 0.017715078 -4.48349 0.00001523

5. RSUM{1} 0.541787141 0.031239423 17.34306 0.00000000

Entry CONS INVEST RATE GNP RSUM YDIFF

1986:01 2402.754499 664.2156207 6.947571592 3826.699720 14.09357159 46.49971951

1986:02 2422.905174 685.3481181 6.857888608 3874.060729 13.80546020 47.36100934

1986:03 2443.602361 704.6858525 6.650356505 3920.222110 13.50824511 46.16138119

1986:04 2464.737767 719.9908363 6.386525808 3962.837971 13.03688231 42.61586104

1987:01 2486.255225 733.2164632 6.071776836 4003.805930 12.45830264 40.96795922

1987:02 2508.113751 744.9256807 5.711154392 4043.648348 11.78293123 39.84241736

1987:03 2530.304731 756.3374758 5.325293129 4083.575995 11.03644752 39.92764689

1987:04 2552.837909 768.1459430 4.916395117 4124.293110 10.24168825 40.71711576

1988:01 2575.731839 780.6883205 4.488815722 4166.155891 9.40521084 41.86278088

1988:02 2599.008377 794.0935586 4.041432060 4209.315553 8.53024778 43.15966188

1988:03 2622.687640 808.3002655 3.571684342 4253.731232 7.61311640 44.41567890

1988:04 2646.787077 823.2114552 3.076749115 4299.323806 6.64843346 45.59257376

Entry CONS INVEST RATE GNP RSUM YDIFF

1986:01 2402.754499 664.2156207 7.447571592 3826.699720 14.59357159 46.49971951

1986:02 2422.905174 685.3481181 7.128782178 3874.060729 14.57635377 47.36100934

1986:03 2443.602361 704.6858525 7.068016728 3920.222110 14.19679891 46.16138119

1986:04 2464.737767 719.9908363 6.759575400 3962.837971 13.82759213 42.61586104

1987:01 2486.188214 730.6722250 6.442465182 4001.194681 13.20204058 38.35671025

1987:02 2507.948047 741.1629150 6.086125765 4039.719879 12.52859095 38.52519720

1987:03 2530.006717 751.2752398 5.699345972 4078.215745 11.78547174 38.49586597

1987:04 2552.389575 762.3694088 5.305416970 4118.068241 11.00476294 39.85249686

1988:01 2575.124514 774.5470284 4.893368273 4159.407274 10.19878524 41.33903282

1988:02 2598.237525 787.7428455 4.466069117 4202.193989 9.35943739 42.78671459

1988:03 2621.751113 801.8296815 4.017710780 4246.324121 8.48377990 44.13013231

1988:04 2645.681852 816.5873625 3.544559391 4291.594488 7.56227017 45.27036704

Entry CONS INVEST RATE GNP RSUM YDIFF

1986:01 2402.754499 664.2156207 7.947571592 3826.699720 15.09357159 46.49971951

1986:02 2422.905174 685.3481181 7.399675748 3874.060729 15.34724734 47.36100934

1986:03 2443.602361 704.6858525 7.485676952 3920.222110 14.88535270 46.16138119

1986:04 2464.737767 719.9908363 7.132624991 3962.837971 14.61830194 42.61586104

1987:01 2486.121203 728.1279869 6.813153527 3998.583432 13.94577852 35.74546128

1987:02 2507.782344 737.4001494 6.461097137 4035.791409 13.27425066 37.20797704

1987:03 2529.708703 746.2130038 6.073398816 4072.855494 12.53449595 37.06408506

1987:04 2551.941252 756.5929147 5.694449780 4111.843425 11.76784860 38.98793070

1988:01 2574.517190 768.4057375 5.297915805 4152.658659 10.99236558 40.81523414

1988:02 2597.466675 781.3921215 4.890709115 4195.072414 10.18862492 42.41375491

1988:03 2620.814586 795.3590871 4.463736102 4238.917000 9.35444522 43.84458594

1988:04 2644.576626 809.9632068 4.012369462 4283.865106 8.47610556 44.94810619