/usr/share/gretl/scripts/ps9-9.inp is in gretl-common 2016a-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 | # PS9.9, for Application Section 9.7
open data9-3
genr d74 = period > 1974
# create dummy variables for four periods
genr d79 = period > 1979
genr d83 = period > 1983.2
# generate log variables
genr kwh = reskwh/nocust
genr lkwh = ln(kwh)
genr lprice = ln(100*price/cpi)
genr ly = ln(100*incm/(cpi*pop))
# check correlations for possible sign of multicollinearity
corr ly lprice cdd hdd
# estimate basic model by ols
ols lkwh const ly lprice cdd hdd
# save residuals
genr ut = $uhat
# generate forecast after correcting for log model bias
genr f1 = exp(lkwh-ut+($ess/($df*2)))
# forecast error
genr abserr1 = abs(kwh - f1)
# generate lagged values for four periods
lags ut
# suppress first four observations
smpl 1973.2 1993.4
# estimate auxiliary regression
ols ut const ut_1 ut_2 ut_3 ut_4 ly lprice cdd hdd
# compute nRsquared statistic
genr LM = $nrsq
# compute pvalue
pvalue X 4 LM
# reset sample range back to beginning
smpl 1972.2 1993.4
help ar
# estimate AR(4) model by generalized CORC
ar 1 2 3 4 ; lkwh const ly lprice cdd hdd
# again obtain forecasts and errors
genr f2 = exp(lkwh-$uhat+($ess/($df*2)))
genr abserr2 = abs(kwh - f2)
# generate interaction terms to test for structural change
genr lyd74=ly*d74
genr lyd79=ly*d79
genr lyd83=ly*d83
genr lprd74=lprice*d74
genr lprd79=lprice*d79
genr lprd83=lprice*d83
genr d74cdd=d74*cdd
genr d79cdd=d79*cdd
genr d83cdd=d83*cdd
genr d74hdd=d74*hdd
genr d79hdd=d79*hdd
genr d83hdd=d83*hdd
genr lprcdd=lprice*cdd
genr lprhdd=lprice*hdd
list
# estimate full model by ols and note that there is no autocorrelation
ols lkwh const d74 d79 d83 ly lyd74 lyd79 lyd83 lprice lprd74 lprd79 \
lprd83 cdd d74cdd d79cdd d83cdd lprcdd hdd d74hdd d79hdd d83hdd \
lprhdd
# omit variable with highest pvalue, one at a time
omit d83
omit d74
omit d79cdd
omit d79hdd
omit ly
omit d74cdd
omit d83cdd
omit lprhdd
# generate final model forecasts and errors*
genr f3 = exp(lkwh-$uhat+($ess/($df*2)))
genr abserr3 = abs(kwh - f3)
# exclude four initial observations and compute percent errors, mean
# absolute percent error, and mean squared error
smpl 1973.2 1993.4
genr pcterr1 = 100*abserr1/kwh
genr pcterr2 = 100*abserr2/kwh
genr pcterr3 = 100*abserr3/kwh
genr mape1=mean(pcterr1)
genr mape2=mean(pcterr2)
genr mape3=mean(pcterr3)
genr mse1=mean(pcterr1*pcterr1)
genr mse2=mean(pcterr2*pcterr2)
genr mse3=mean(pcterr3*pcterr3)
print -o pcterr1 pcterr2 pcterr3
print mape1 mape2 mape3 mse1 mse2 mse3
|