'************************************************************************ 'This is an EViews file that forms part of the project "Spanish 'Household Consumption and Disposable Income" by Student ' 'First created 15 May 2007, Madrid. ' '************************************************************************ '\------------------------------------------------------------------------------------------------------------- '1 INITIATION '\------------------------------------------------------------------------------------------------------------- 'create workfile named "proyecto.wf1" with quarterly frequency: workfile proyecto.wf1 q 1970:1 2008:4 'import data file "datos.xls" (6 series, first observation in b2): read(b2) datos.xls 6 '\------------------------------------------------------------------------------------------------------------- '2 TRANSFORM DATA '\------------------------------------------------------------------------------------------------------------- 'transform data and generate series: series cons = log(es_q_fcs_km35276) series dcons = d(cons) series dcons2 = d(cons,2) series inc = log(es_q_inc_km15403) series dinc = d(inc) series dinc2 = d(inc,2) '\------------------------------------------------------------------------------------------------------------- '3 STATISTICAL ANALYSIS '\------------------------------------------------------------------------------------------------------------- 'set estimation and design sample: smpl 1980:1 1994:4 'test cons for unit root: equation adf01.ls dcons c cons(-1) dcons(-1) equation adf02.ls dcons2 c dcons(-1) cons.uroot(adf,dif=1,const,lag=1) 'test inc for unit root: equation adf03.ls dinc c inc(-1) dinc(-1) equation adf04.ls dinc2 c inc(-1) dinc2(-1) inc.uroot(adf,dif=1,const,lag=1) 'estimate diseq01: resid=na equation coint01.ls(h) cons c inc series diseq01=resid 'test diseq01 for unit root: equation diseq01_adf01.ls(h) d(diseq01) c diseq01(-1) d(diseq01(-1)) d(diseq01(-2)) d(diseq01(-3)) diseq01.uroot(adf,dif=1,const,lag=3) 'estimate GUM specification: equation gum01.ls(h) dcons c dcons(-1) dcons(-2) dcons(-3) dcons(-4) dinc diseq01(-1) @seas(2) @seas(3) @seas(4) 'parsimonious encompassing-test (Wald): gum01.wald c(2)=0, c(3)=0, c(10)=0 'estimate GETS specification: equation gets01.ls(h) dcons c dcons(-3) dcons(-4) dinc diseq01(-1) @seas(2) @seas(3) '\------------------------------------------------------------------------------------------------------------- '4 GENERATE 1-STEP FORECASTS '\------------------------------------------------------------------------------------------------------------- 'set forecast sample: smpl 1995:1 1996:4 'generate out-of-sample disequilibriums: diseq01 = cons - coint01.@coefs(1) - coint01.@coefs(2)*inc gets01.fit(f=na) dconsf