/usr/share/gretl/scripts/ps6-10.inp is in gretl-common 2016a-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 | # PS6.10, for LM test application in Example 6.7.
open data4-8
# First generate squared variables.
square home inst svc tv age air y
# estimate basic model
ols sub const home inst svc tv age air y
genr ut=$uhat
# estimate auxiliary regression
ols ut const home inst svc tv age air y sq_home sq_inst sq_svc sq_tv \
sq_age sq_air sq_y
# compute LM test statistic
genr LM = $nrsq
# compute pvalue
pvalue X 7 LM
# from auxiliary regression add variables to basic model
ols sub const home inst svc tv age air y sq_home sq_age sq_air sq_y
# carry out data-based model reduction
omit svc
omit sq_home
omit inst
# final model with all coefficients significant at 10 percent level
omit tv
# estimate most general model using the Hendry/LSE approach
ols sub const home inst svc tv age air y sq_home sq_inst sq_svc sq_tv \
sq_age sq_air sq_y
# carry out data-based model reduction on this
omit inst tv sq_inst
omit svc sq_svc
omit sq_home
# note that the final model is identical to the one above
omit sq_tv
|