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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 | # PS4.2, to verify Examples 4.9, 4.10, and 4.11, Sec. 4.4
open data4-2
genr Wt=WAGES*100/PRDEFL
# compute aggregate profits
genr Pt=Yt-Wt
ols Ct 0 Wt Pt
# retrieve ESS for unrestricted model
genr ESSU = $ess
# retrieve d.f. for unrestricted model
genr DFU = $df
# Use this and previous regression to calculate F in Example 4.8
ols Ct 0 Yt
# retrieve ESS for restricted model
genr ESSR = $ess
# retrieve d.f. for restricted model
genr DFR = $df
# compute number of restrictions
genr NR = DFR - DFU
# compute F-statistic for Example 4.9
genr Fc = (ESSR - ESSU)*DFU/(NR*ESSU)
pvalue F NR DFU Fc
# This is for Example 4.10 -- see t-stat on Pt
ols Ct 0 Yt Pt
# Example 4.11: -o shows variances and covariances
ols Ct 0 Wt Pt -o
# retrieve coefficient estimates
genr b1 = $coeff(Wt)
genr b2 = $coeff(Pt)
# generate difference in estimated slopes
genr bdiff = b1-b2
# retrieve coefficient variances and covariance
genr tmp = $vcv(Wt,Wt) + $vcv(Pt,Pt) - (2*$vcv(Wt,Pt))
genr den = sqrt(tmp)
genr tdf = $df
genr tc = abs(bdiff/den)
pvalue t tdf tc
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