open greene5_1.gdt
series g = 100*diff(realgdp)/realgdp
series d_u = diff(unemp)
x = g
list zz = 0 x(0 to -2)
eval mean(g)
# simply Okun's law with lags
# with correction for autocorrelation
arima 0 1; d_u const x x_1 x_2 -q
zstat0 = $coeff./$stderr
arima 0 1; d_u const x x_1 x_2 -q --stdx
zstat0s = $coeff./$stderr
eval zstat0./zstat0s
# recall 100*diff(realgdp)/realgdp
x = g/100
list zz = 0 x(0 to -2)
eval mean(g)
arima 0 1; d_u const x x_1 x_2 -q
zstat0 = $coeff./$stderr
arima 0 1; d_u const x x_1 x_2 --stdx -q
zstat0s = $coeff./$stderr
eval zstat0./zstat0s-1
# this is equivalent of rescaling someting
# from dollars to thousands of dollars
x = g/1000
list zz = 0 x(0 to -2)
eval mean(g)
arima 0 1; d_u const x x_1 x_2 -q
zstat0 = $coeff./$stderr
arima 0 1; d_u const x x_1 x_2 --stdx -q
zstat0s = $coeff./$stderr
eval zstat0./zstat0s-1
# if a model is misspecified
# we can observe small but
# non-neglectable difference
# even doing trvial data rescaling
x = g/100
list zz = 0 x(0 to -3)
eval mean(g)
arima 3 1; d_u zz -q
zstat0 = $coeff./$stderr
arima 3 1; d_u zz --stdx -q
zstat0s = $coeff./$stderr
eval zstat0./zstat0s-1