* Working CANSIM problem
set nocolor
time 1961 12
sample 1961.1 1983.3
read(b:d700169.prn) owage/skiplines=1
sample 1962.1 1988.12
read(b:d736315.prn) ohwi/skiplines=2
sample 1983.1 1997.12
read(b:l95668.prn) nwage/skiplines=1
sample 1981.1 1998.1
read(b:d738862.prn) nhwi/skiplines=2
* Calculating adjustment factors
sample 1981.1 1988.12
genr ratio1=nhwi/ohwi
stat ratio1/mean=m1
gen1 hwiadj=m1
sample 1983.1 1983.3
genr ratio2=nwage/owage
stat ratio2/mean=m2
gen1 wageadj=m2
* Merging the data
sample 1961.1 1997.12
* Note dimension statements
genr hwi=0.0
genr wage=0.0
genr sd1=0.0
genr sd2=0.0
sample 1962.1 1980.12
genr hwi=m1*ohwi
sample 1981.1 1997.12
genr hwi=nhwi
genr sd2=1.0
sample 1961.1 1982.12
genr wage=m2*owage
sample 1983.1 1997.12
genr wage=nwage
genr sd1=1.0
* Building seasonal dummies
sample 1961.1 1997.12
set nowarn
genr d1=seas(12)
genr d2=lag(d1)
genr d3=lag(d1,2)
genr d4=lag(d1,3)
genr d5=lag(d1,4)
genr d6=lag(d1,5)
genr d7=lag(d1,6)
genr d8=lag(d1,7)
genr d9=lag(d1,8)
genr d10=lag(d1,9)
genr d11=lag(d1,10)
set warn
sample 1961.2 1997.12
genr wage1=lag(wage)
genr dwage=(wage-wage1)/wage1
sample 1961.3 1997.12
genr dwage1=lag(dwage)
* Doing OLS and EGLS Regression
sample 1962.1 1997.12
ols dwage hwi/rstat resid=r
arima r/plotac plotpac nlag=12
auto dwage hwi/rstat
* Instruction 2
ols dwage hwi d1 d2 d3 d4 d5 d6 d7 d8 d9 d10 d11/rstat
genr sd1hwi=sd1*hwi
genr sd2hwi=sd2*hwi
ols dwage hwi sd1 sd1hwi/rstat resid=r
ols dwage hwi sd2 sd2hwi/rstat
arima r/plotac plotpac nlag=12
* Instruction 3
ols dwage hwi(0.12)/rstat
ols dwage hwi(0.12,3)/rstat
ols dwage dwage1 hwi/dlag rstat
* Instruction 4
auto dwage hwi sd1 sd1hwi/order=2 rstat
auto dwage hwi sd1 sd1hwi/order=-1 rstat