* Working Matrix Problem # 2
set nocc
set nocolor
file 11 b:interest.dat
read(11) tbill ip m infl
sample 50 50
print tbill ip m infl
sample 1 251
* Generate column of ones for the intercept
genr x1=1.0
* Build the X matrix
copy x1 ip m infl x
* Calculate (XTX)inverse*XTY=Beta vector
matrix xtx=x'x
matrix xtxi=inv(xtx)
matrix xty=x'tbill
matrix b=xtxi*xty
print b
* Calculate residual sum of squares and sigma-hat
matrix rss=tbill'tbill-b'xty
gen1 sighat=rss/247
* Calculate the variance-covariance matrix
matrix vcov=sighat*xtxi
print vcov
* Getting the forecasts
sample 1 4
read a1
1
58.5 
1.100006
-.00003980575
matrix fc1=a1'b
print fc1
matrix ssq1=a1'vcov(a1)
print ssq1
* Note that the standard error from the FC command
* is for an individual observation forecast
read a2
1 
111 
22 
.07
matrix fc2=a2'b
print fc2
matrix ssq2=a2'vcov(a2)
print ssq2
******************************************************
* Note:  the following command was originally wrong
* when this file was first placed on the web page
******************************************************
genr vof=ssq2+sighat
* Testing
read a3
0 
1 
1 
0
matrix ssq3=a3'vcov(a3)
print ssq3
* Do the multiple regression for comparison
sample 1 251
dim fc 50 se 50
?ols tbill ip m infl
fc/list beg=50 end=50 predict=fc fcse=se
ols tbill ip m infl/auxrsq
test ip+m=0
* Getting condition numbers and indexes
pc ip m infl