?**************************************
?This program is used in
?"Why Are Stock Market Returns Correlated With Future Economic Activities?"
?By Hui Guo, Federal Reserve Bank of St. Louis  Review, March/April 2002
?***************************************

?**********NOTE*****************
?Data need to be loaded
?*******************************

?*********Variable Description**************
?cay:	consumption wealth ratio
?dy:	dividend yield
?rrfl:	the stochastically detrended risk-free rate
?var:	the Stock market variance 
?ret:	excess stock market return
?hedge: expected excess stock market return
?hr:	shock to expected excess stock market return
?divr:	shock to expected dividend growth

?FPI:      FIXED NON-RESIDENTIAL INVESTMENT, TABLE 4
?NONDUR:   NON-DURABLE CONSUMPTION, EXLCUDING SHOES AND CLOTHES, TABLE 5
?DURC:     DURABLE CONSUMPTION, TABLE 6
?FRI:      FIXED RESIDENTIAL INVESTMENT, TABLE 7
?dGDP:     GDP GROWTH, TABLE 8
?*********************************************




options crt;
freq q;          
noprint;
load;
print;



smpl 1952:4 2000:4;
write(file=guo1.wks,format=lotus) cay dy rrfl var ret;
smpl 1947:2 2000:4;
write(file=guo2.wks,format=lotus) fri nondur durc fri dgdp;
?************select component of gdp****************
?FPI:      FIXED NON-RESIDENTIAL INVESTMENT, TABLE 4
?NONDUR:   NON-DURABLE AND CONSUMPTION, EXLCUDING SHOES AND CLOTHES, TABLE 5
?DURC:     DURABLE CONSUMPTIONS, TABLE 6
?FRI:      FIXED RESIDENTIAL INVESTMENT, TABLE 7
?dGDP:      GDP GROWTH, TABLE 8

SMPL 1947:2 2000:4;
?genr dgdp=durc;       ?choose gdp component, i.e. fixed residential investment(FRI)
?***************************************************





?*********table 1*********************
frml eqret ret=aa+bb*ret(-1)+cc*dy(-1)+dd*rrfl(-1)+ee*cay(-1)+ff*var(-1); ?excess return equation

freq q;
smpl 1953:1 2000:4;

?*******row 1
const aa 0 bb 0 cc 0 dd 0 ee 0 ff 0;
param aa;
param bb;
gmm(inst=(c,ret(-1)), nma=12) eqret;


?********row 2
const aa 0 bb 0 cc 0 dd 0 ee 0 ff 0;
param aa;
param cc;
gmm(inst=(c,dy(-1)), nma=12) eqret;


?********row 3
const aa 0 bb 0 cc 0 dd 0 ee 0 ff 0;
param aa;
param dd;
gmm(inst=(c,rrfl(-1)), nma=12) eqret;


?********row 4
const aa 0 bb 0 cc 0 dd 0 ee 0 ff 0;
param aa;
param ee;
gmm(inst=(c,cay(-1)), nma=12) eqret;


?********row 5
const aa 0 bb 0 cc 0 dd 0 ee 0 ff 0;
param aa;
param ff;
gmm(inst=(c,var(-1)), nma=12) eqret;



?********row 6
const aa 0 bb 0 cc 0 dd 0 ee 0 ff 0;
param aa;
param bb cc dd ee;
gmm(inst=(c,cay(-1),rrfl(-1),dy(-1),ret(-1)), nma=12) eqret;


?********row 7
const aa 0 bb 0 cc 0 dd 0 ee 0 ff 0;
param aa;
param bb cc dd ee ff;
gmm(inst=(c,cay(-1),rrfl(-1),dy(-1),var(-1),ret(-1)), nma=12) eqret;


genr eqret HEDGE;         ?expected excess return
?*********************************************************************



?*************table 2******************

frml eqvola var=aa+bb*ret(-1)+cc*dy(-1)+dd*rrfl(-1)+ee*cay(-1)+ff*var(-1);	?variance equation

frml eqdya dy=aa+bb*ret(-1)+cc*dy(-1)+dd*rrfl(-1)+ee*cay(-1)+ff*var(-1);		?dividend equation

frml eqrrfla rrfl=aa+bb*ret(-1)+cc*dy(-1)+dd*rrfl(-1)+ee*cay(-1)+ff*var(-1);	?rrfl equation

frml eqcaya cay=aa+bb*ret(-1)+cc*dy(-1)+dd*rrfl(-1)+ee*cay(-1)+ff*var(-1);	?cay equation


smpl 1953:1 2000:4; 
gmm(inst=(c,cay(-1),rrfl(-1),dy(-1),var(-1),ret(-1)), nma=12) eqdya;

gmm(inst=(c,cay(-1),rrfl(-1),dy(-1),var(-1),ret(-1)), nma=12) eqrrfla;

gmm(inst=(c,cay(-1),rrfl(-1),dy(-1),var(-1),ret(-1)), nma=12) eqcaya;

gmm(inst=(c,cay(-1),rrfl(-1),dy(-1),var(-1),ret(-1)), nma=12) eqvola;
?*****************************************************************************






?*****************************Table 3**********
SMPL 1953:1 2000:4;
var(nlags=1, silent) ret dy rrfl cay var |c;

freq n;                         ?generate matrix B
smpl 1 30;
unmake @coef acoef;
smpl 1 5 7 11 13 17 19 23 25 29;
mmake aaM acoef;
mform(nrow=5, ncol=5) bbM=aaM;
mat bbM=bbM';


copy  @res resm;
mat resm=resm';
mat rev=.99*bbM* ((ident(5)-.99*bbM)")*resm;
mat rev=rev';


freq q;
smpl 1953:1 2000:4;
unmake rev HR rev2 rev3 rev4 rev5;       
GENR HR=-HR;       ?hr is the shock to the expected return


GENR DIVR=RET-HEDGE-HR;     ?divr is the shock to dividend
genr tshock=ret-hedge;	     ?tshock is the total shock    	



?annualized covariance and correlation of excess return and its components
genr aret=4*ret;
genr ahedge=4*hedge;
genr ahr=4*hr;
genr adivr=4*divr;
MSD(COVA, CORR) aRET aHEDGE aHR aDIVR;
?******************************************************************


?******************figure 1-4
?write(file=fig1.wks, format=lotus) RETQ HEDGE HR DIVR;
?*******************************************************************





?*****************Tables 4-8, choose the gdp component from above

?generate gdp growth rate over certain horizon

smpl 1953:2 2000:4;
genr dgdp2=dgdp+dgdp(1);         ?for example, dgdpx is gdp growth over next x quarters.
genr dgdp3=dgdp2+dgdp(2);
genr dgdp4=dgdp3+dgdp(3);
genr dgdp5=dgdp4+dgdp(4);
genr dgdp6=dgdp5+dgdp(5);
genr dgdp7=dgdp6+dgdp(6);
genr dgdp8=dgdp7+dgdp(7);
genr dgdp9=dgdp8+dgdp(8);
genr dgdp10=dgdp9+dgdp(9);
genr dgdp11=dgdp10+dgdp(10);
genr dgdp12=dgdp11+dgdp(11);
genr dgdp13=dgdp12+dgdp(12);
genr dgdp14=dgdp13+dgdp(13);
genr dgdp15=dgdp14+dgdp(14);
genr dgdp16=dgdp15+dgdp(15);



?form forecasting equations
param aa bb cc dd ee ff gg hh;
?excess return as the only forecasting varibles
frml eqr1 dgdp=aa+bb*ret(-1);
frml eqr2 dgdp2=aa+bb*ret(-1);
frml eqr3 dgdp3=aa+bb*ret(-1);
frml eqr4 dgdp4=aa+bb*ret(-1);
frml eqr5 dgdp5=aa+bb*ret(-1);
frml eqr6 dgdp6=aa+bb*ret(-1);
frml eqr7 dgdp7=aa+bb*ret(-1);
frml eqr8 dgdp8=aa+bb*ret(-1);
frml eqr9 dgdp9=aa+bb*ret(-1);
frml eqr10 dgdp10=aa+bb*ret(-1);
frml eqr11 dgdp11=aa+bb*ret(-1);
frml eqr12 dgdp12=aa+bb*ret(-1);
frml eqr13 dgdp13=aa+bb*ret(-1);
frml eqr14 dgdp14=aa+bb*ret(-1);
frml eqr15 dgdp15=aa+bb*ret(-1);
frml eqr16 dgdp16=aa+bb*ret(-1);



?expected return as the only forecasting variables
frml eqh1 dgdp=aa+bb*hedge(-1);
frml eqh2 dgdp2=aa+bb*hedge(-1);
frml eqh3 dgdp3=aa+bb*hedge(-1);
frml eqh4 dgdp4=aa+bb*hedge(-1);
frml eqh5 dgdp5=aa+bb*hedge(-1);
frml eqh6 dgdp6=aa+bb*hedge(-1);
frml eqh7 dgdp7=aa+bb*hedge(-1);
frml eqh8 dgdp8=aa+bb*hedge(-1);
frml eqh9 dgdp9=aa+bb*hedge(-1);
frml eqh10 dgdp10=aa+bb*hedge(-1);
frml eqh11 dgdp11=aa+bb*hedge(-1);
frml eqh12 dgdp12=aa+bb*hedge(-1);
frml eqh13 dgdp13=aa+bb*hedge(-1);
frml eqh14 dgdp14=aa+bb*hedge(-1);
frml eqh15 dgdp15=aa+bb*hedge(-1);
frml eqh16 dgdp16=aa+bb*hedge(-1);

?shock to expected return as the only forecasting variables
frml eqhr1 dgdp=aa+bb*hr(-1);
frml eqhr2 dgdp2=aa+bb*hr(-1);
frml eqhr3 dgdp3=aa+bb*hr(-1);
frml eqhr4 dgdp4=aa+bb*hr(-1);
frml eqhr5 dgdp5=aa+bb*hr(-1);
frml eqhr6 dgdp6=aa+bb*hr(-1);
frml eqhr7 dgdp7=aa+bb*hr(-1);
frml eqhr8 dgdp8=aa+bb*hr(-1);
frml eqhr9 dgdp9=aa+bb*hr(-1);
frml eqhr10 dgdp10=aa+bb*hr(-1);
frml eqhr11 dgdp11=aa+bb*hr(-1);
frml eqhr12 dgdp12=aa+bb*hr(-1);
frml eqhr13 dgdp13=aa+bb*hr(-1);
frml eqhr14 dgdp14=aa+bb*hr(-1);
frml eqhr15 dgdp15=aa+bb*hr(-1);
frml eqhr16 dgdp16=aa+bb*hr(-1);


?shock to dividend as the only forecasting variables
frml eqdr1 dgdp=aa+bb*divr(-1);
frml eqdr2 dgdp2=aa+bb*divr(-1);
frml eqdr3 dgdp3=aa+bb*divr(-1);
frml eqdr4 dgdp4=aa+bb*divr(-1);
frml eqdr5 dgdp5=aa+bb*divr(-1);
frml eqdr6 dgdp6=aa+bb*divr(-1);
frml eqdr7 dgdp7=aa+bb*divr(-1);
frml eqdr8 dgdp8=aa+bb*divr(-1);
frml eqdr9 dgdp9=aa+bb*divr(-1);
frml eqdr10 dgdp10=aa+bb*divr(-1);
frml eqdr11 dgdp11=aa+bb*divr(-1);
frml eqdr12 dgdp12=aa+bb*divr(-1);
frml eqdr13 dgdp13=aa+bb*divr(-1);
frml eqdr14 dgdp14=aa+bb*divr(-1);
frml eqdr15 dgdp15=aa+bb*divr(-1);
frml eqdr16 dgdp16=aa+bb*divr(-1);




?total shock as the only forecasting variables
frml eqts1 dgdp=aa+bb*tshock(-1);
frml eqts2 dgdp2=aa+bb*tshock(-1);
frml eqts3 dgdp3=aa+bb*tshock(-1);
frml eqts4 dgdp4=aa+bb*tshock(-1);
frml eqts5 dgdp5=aa+bb*tshock(-1);
frml eqts6 dgdp6=aa+bb*tshock(-1);
frml eqts7 dgdp7=aa+bb*tshock(-1);
frml eqts8 dgdp8=aa+bb*tshock(-1);
frml eqts9 dgdp9=aa+bb*tshock(-1);
frml eqts10 dgdp10=aa+bb*tshock(-1);
frml eqts11 dgdp11=aa+bb*tshock(-1);
frml eqts12 dgdp12=aa+bb*tshock(-1);
frml eqts13 dgdp13=aa+bb*tshock(-1);
frml eqts14 dgdp14=aa+bb*tshock(-1);
frml eqts15 dgdp15=aa+bb*tshock(-1);
frml eqts16 dgdp16=aa+bb*tshock(-1);

?all components as the forecasting variables
frml eqt1 dgdp=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt2 dgdp2=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt3 dgdp3=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt4 dgdp4=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt5 dgdp5=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt6 dgdp6=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt7 dgdp7=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt8 dgdp8=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt9 dgdp9=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt10 dgdp10=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt11 dgdp11=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt12 dgdp12=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt13 dgdp13=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt14 dgdp14=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt15 dgdp15=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);
frml eqt16 dgdp16=aa+bb*hedge(-1) +cc*hr(-1) +dd*divr(-1);



?set all parameters to be the same in above equation, test 
?coefficients of components are the same

frml seqt1 dgdp=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt2 dgdp2=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt3 dgdp3=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt4 dgdp4=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt5 dgdp5=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt6 dgdp6=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt7 dgdp7=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt8 dgdp8=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt9 dgdp9=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt10 dgdp10=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt11 dgdp11=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt12 dgdp12=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt13 dgdp13=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt14 dgdp14=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt15 dgdp15=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);
frml seqt16 dgdp16=aa+ee*hedge(-1) +ee*hr(-1) +ee*divr(-1);



smpl 1953:2 1997:1;
? fix the sample for all horizons


gmm(inst=(c,ret(-1)), nma=12) eqr1;
gmm(inst=(c,ret(-1)), nma=12) eqr2;
?gmm(inst=(c,ret(-1)), nma=12) eqr3;
gmm(inst=(c,ret(-1)), nma=12) eqr4;
?gmm(inst=(c,ret(-1)), nma=12) eqr5;
?gmm(inst=(c,ret(-1)), nma=12) eqr6;
?gmm(inst=(c,ret(-1)), nma=12) eqr7;
gmm(inst=(c,ret(-1)), nma=12) eqr8;
?gmm(inst=(c,ret(-1)), nma=12) eqr9;
?gmm(inst=(c,ret(-1)), nma=12) eqr10;
?gmm(inst=(c,ret(-1)), nma=12) eqr11;
gmm(inst=(c,ret(-1)), nma=12) eqr12;
?gmm(inst=(c,ret(-1)), nma=12) eqr13;
?gmm(inst=(c,ret(-1)), nma=12) eqr14;
?gmm(inst=(c,ret(-1)), nma=12) eqr15;
gmm(inst=(c,ret(-1)), nma=12) eqr16;


gmm(inst=(c,hedge(-1)), nma=12) eqh1;
gmm(inst=(c,hedge(-1)), nma=12) eqh2;
?gmm(inst=(c,hedge(-1)), nma=12) eqh3;
gmm(inst=(c,hedge(-1)), nma=12) eqh4;
?gmm(inst=(c,hedge(-1)), nma=12) eqh5;
?gmm(inst=(c,hedge(-1)), nma=12) eqh6;
?gmm(inst=(c,hedge(-1)), nma=12) eqh7;
gmm(inst=(c,hedge(-1)), nma=12) eqh8;
?gmm(inst=(c,hedge(-1)), nma=12) eqh9;
?gmm(inst=(c,hedge(-1)), nma=12) eqh10;
?gmm(inst=(c,hedge(-1)), nma=12) eqh11;
gmm(inst=(c,hedge(-1)), nma=12) eqh12;
?gmm(inst=(c,hedge(-1)), nma=12) eqh13;
?gmm(inst=(c,hedge(-1)), nma=12) eqh14;
?gmm(inst=(c,hedge(-1)), nma=12) eqh15;
gmm(inst=(c,hedge(-1)), nma=12) eqh16;



gmm(inst=(c,hr(-1)), nma=12) eqhr1;
gmm(inst=(c,hr(-1)), nma=12) eqhr2;
?gmm(inst=(c,hr(-1)), nma=12) eqhr3;
gmm(inst=(c,hr(-1)), nma=12) eqhr4;
?gmm(inst=(c,hr(-1)), nma=12) eqhr5;
?gmm(inst=(c,hr(-1)), nma=12) eqhr6;
?gmm(inst=(c,hr(-1)), nma=12) eqhr7;
gmm(inst=(c,hr(-1)), nma=12) eqhr8;
?gmm(inst=(c,hr(-1)), nma=12) eqhr9;
?gmm(inst=(c,hr(-1)), nma=12) eqhr10;
?gmm(inst=(c,hr(-1)), nma=12) eqhr11;
gmm(inst=(c,hr(-1)), nma=12) eqhr12;
?gmm(inst=(c,hr(-1)), nma=12) eqhr13;
?gmm(inst=(c,hr(-1)), nma=12) eqhr14;
?gmm(inst=(c,hr(-1)), nma=12) eqhr15;
gmm(inst=(c,hr(-1)), nma=12) eqhr16;



gmm(inst=(c,divr(-1)), nma=12) eqdr1;
gmm(inst=(c,divr(-1)), nma=12) eqdr2;
?gmm(inst=(c,divr(-1)), nma=12) eqdr3;
gmm(inst=(c,divr(-1)), nma=12) eqdr4;
?gmm(inst=(c,divr(-1)), nma=12) eqdr5;
?gmm(inst=(c,divr(-1)), nma=12) eqdr6;
?gmm(inst=(c,divr(-1)), nma=12) eqdr7;
gmm(inst=(c,divr(-1)), nma=12) eqdr8;
?gmm(inst=(c,divr(-1)), nma=12) eqdr9;
?gmm(inst=(c,divr(-1)), nma=12) eqdr10;
?gmm(inst=(c,divr(-1)), nma=12) eqdr11;
gmm(inst=(c,divr(-1)), nma=12) eqdr12;
?gmm(inst=(c,divr(-1)), nma=12) eqdr13;
?gmm(inst=(c,divr(-1)), nma=12) eqdr14;
?gmm(inst=(c,divr(-1)), nma=12) eqdr15;
gmm(inst=(c,divr(-1)), nma=12) eqdr16;


gmm(inst=(c,tshock(-1)), nma=12) eqts1;
gmm(inst=(c,tshock(-1)), nma=12) eqts2;
?gmm(inst=(c,tshock(-1)), nma=12) eqts3;
gmm(inst=(c,tshock(-1)), nma=12) eqts4;
?gmm(inst=(c,tshock(-1)), nma=12) eqts5;
?gmm(inst=(c,tshock(-1)), nma=12) eqts6;
?gmm(inst=(c,tshock(-1)), nma=12) eqts7;
gmm(inst=(c,tshock(-1)), nma=12) eqts8;
?gmm(inst=(c,tshock(-1)), nma=12) eqts9;
?gmm(inst=(c,tshock(-1)), nma=12) eqts10;
?gmm(inst=(c,tshock(-1)), nma=12) eqts11;
gmm(inst=(c,tshock(-1)), nma=12) eqts12;
?gmm(inst=(c,tshock(-1)), nma=12) eqts13;
?gmm(inst=(c,tshock(-1)), nma=12) eqts14;
?gmm(inst=(c,tshock(-1)), nma=12) eqts15;
gmm(inst=(c,tshock(-1)), nma=12) eqts16;


gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)),nma=12) eqt1;
gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt2;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt3;
gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt4;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt5;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt6;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt7;
gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt8;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)),nma=12) eqt9;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt10;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt11;
gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt12;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt13;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt14;
?gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)), nma=12) eqt15;
gmm(inst=(c,divr(-1) ,hr(-1), hedge(-1)) nma=12) eqt16;





?***********lr test of equation coefficient

freq q;
smpl 1953:2 1997:1;
lsq eqt1;
freq n;
smpl 1 1;
genr lr1=@logl;

freq q;
smpl 1953:2 1997:1;
lsq eqt2;
freq n;
smpl 2 2;
genr lr1=@logl;


freq q;
smpl 1953:2 1997:1;
lsq eqt4;
freq n;
smpl 3 3;
genr lr1=@logl;

freq q;
smpl 1953:2 1997:1;
lsq eqt8;
freq n;
smpl 4 4;
genr lr1=@logl;


freq q;
smpl 1953:2 1997:1;
lsq eqt12;
freq n;
smpl 5 5;
genr lr1=@logl;


freq q;
smpl 1953:2 1997:1;
lsq eqt16;
freq n;
smpl 6 6;
genr lr1=@logl;

freq q;
smpl 1953:2 1997:1;
lsq seqt1;
freq n;
smpl 1 1;
genr lr2=@logl;

freq q;
smpl 1953:2 1997:1;
lsq seqt2;
freq n;
smpl 2 2;
genr lr2=@logl;


freq q;
smpl 1953:2 1997:1;
lsq seqt4;
freq n;
smpl 3 3;
genr lr2=@logl;

freq q;
smpl 1953:2 1997:1;
lsq seqt8;
freq n;
smpl 4 4;
genr lr2=@logl;


freq q;
smpl 1953:2 1997:1;
lsq seqt12;
freq n;
smpl 5 5;
genr lr2=@logl;


freq q;
smpl 1953:2 1997:1;
lsq seqt16;
freq n;
smpl 6 6;
genr lr2=@logl;

smpl 1 6;
genr lrtest=(lr1-lr2)*2;
cdf(chisq,df=2) lrtest;
print lrtest;
?***************************************************************



stop;
end;





freq q;

smpl 1952:4 2000:4;
load cay dy	rrfl	var	ret;

;




smpl 1947:2 2000:4;
load FPI	NONDUR	DURC	FRI	DGDP;

;