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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | # PS10.2, using DATA10-2, for Koyck lag model in Example 10.2
open data10-2
ols load 0 temp
# generate lagged load
genr load1 = load(-1)
# suppress the first observation and set range to 1.02-31.24
smpl 1.02 31.24
# estimate transformed model
ols load 0 load1 temp
# retrieve coefficients
genr b0 = $coeff(temp)
genr lambda = $coeff(load1)
# compute long-run multiplier
genr lrmult = b0/(1-lambda)
# print values
print b0 lambda lrmult
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