* Working Econ. 435 assignment # 7
* Employment, persons aged 20-24 years - seasonally adjusted
set nocolor
time 1976 12
sample 1976.1 1999.1
genr x=time(0)
genr x2=x**2
genr x3=x**3
read(a:d980598.txt) d980598/skiplines=3
read(a:b14079.txt) b14079/skiplines=20
genr ld980598=lag(d980598)
genr lb14079=lag(b14079)
sample 1983.1 1998.12    
read(a:l95668.txt) l95668/skiplines=19
genr ll95668=lag(l95668)
* Skipping missing data on the interest rate
* Note that all regressions are done on 167 observations
* (to allow for computation of F-tests)
* Doing regressions with TIME
* No lags 
sample 1983.9 1995.4 1996.9 1998.11
ols d980598 b14079 l95668 x x2 x3/rstat 
* One lag
sample 1983.8 1995.4 1996.9 1998.11
ols d980598 b14079(0.1) l95668(0.1) x x2 x3/rstat 
* Four lags
sample 1983.5 1995.4 1996.9 1998.11
ols d980598 b14079(0.4) l95668(0.4) x x2 x3/rstat 
* Eight lags unconstrained
sample 1983.1 1995.4 1996.9 1998.11
ols d980598 b14079(0.8) l95668(0.8) x x2 x3/rstat 
* Eight lags constrained
ols d980598 b14079(0.8,2) l95668(0.8,2) x x2 x3/rstat 
* Koyck
sample 1983.9 1995.4 1996.9 1998.11
ols d980598 ld980598 b14079 l95668 x x2 x3/dlag rstat 
* COMFAC
ols d980598 ld980598 b14079 lb14079 &
l95668 ll95668 x x2 x3/dlag rstat 
* Using AUTO
* No lags 
sample 1983.9 1995.4 1996.9 1998.11
auto d980598 b14079 l95668 x x2 x3/rstat 
* One lag
sample 1983.8 1995.4 1996.9 1998.11
auto d980598 b14079(0.1) l95668(0.1) x x2 x3/rstat 
* Four lags
sample 1983.5 1995.4 1996.9 1998.11
auto d980598 b14079(0.4) l95668(0.4) x x2 x3/rstat 
* Eight lags unconstrained
sample 1983.1 1995.4 1996.9 1998.11
auto d980598 b14079(0.8) l95668(0.8) x x2 x3/rstat 
* Eight lags constrained
auto d980598 b14079(0.8,2) l95668(0.8,2) x x2 x3/rstat 
* Koyck
sample 1983.9 1995.4 1996.9 1998.11
auto d980598 ld980598 b14079 l95668 x x2 x3/dlag rstat
* "Optimal" lags???????????????????
sample 1983.3 1995.4 1996.9 1998.11
auto d980598 b14079(1.2) l95668(0.6)/rstat