Folks,

does someone use the Klein I model as an example in the classroom?

I tried to re-estimate the results from expl. 15.2. from Green (5^th edition), ch. 15. I used Allin’s script from 2004 (Gretl-users list archive) and added “genr K1 = K(-1)“ .

open klein.gdt

genr W = Wp + Wg

genr A = t - 1931

genr P1 = P(-1)

genr X1 = X(-1)

genr K1 = K(-1)

# Equation-by-equation OLS

ols C 0 P P1 W

ols I 0 P P1 K1

ols Wp 0 X X1 A

# Equation-by-equation TSLS

tsls C 0 P P1 W ; 0 G T A Wg P1 K1 X1

tsls I 0 P P1 K1 ; 0 G T A Wg P1 K1 X1

tsls Wp 0 X X1 A ; 0 G T A Wg P1 K1 X1

# Now set the model up as a system

system name="Klein Model 1"

equation C 0 P P1 W

equation I 0 P P1 K1

equation Wp 0 X X1 A

identity P = X - T - Wp

identity W = Wp + Wg

identity X = C + I + G

endog C I Wp P W X

end system

# and estimate it in various ways

estimate "Klein Model 1" method=3sls

estimate "Klein Model 1" method=fiml

estimate "Klein Model 1" method=liml

The results are fine (in line with the results reported in Greene (2002) with the exception of the result for the constant in the third (wage) equation. I wonder if someone has the same result.

I attach the results as well (*.doc)

Cheers, Ulrich

Professor Dr. Ulrich Fritsche

Fachbereich Sozialökonomie

Fakultät Wirtschafts- und Sozialwissenschaften

Universität Hamburg

Von-Melle-Park 9

20146 Hamburg