OPTIONS double CRT nwidth=20,signif=10 nodate;
NAME LONGAR1 'AR(1) on Longley (1967) data';
?  AR(1) estimation (both conditional and exact ML) on the
?  Longley regression data.  Follows
?  Lovell, M.C. and Selover, D.D., "Econometric Software Accidents,"
?  The Economic Journal, 104, (1994), pp.713-726.
?     Note:  default convergence criteria were used for the
?  Lovell-Selover results listed here, so they are only accurate to
?  a few digits at best.  The TSP results should be accurate to
?  roughly 10 digits, due to the special convergence criterion used.
load;
SMPL 1 16 ;
list xs C X1-X6;

title 'AR(1) conditional ML';
?               TSP       Lovell-Selover   L-S       L-S
?  C      -3878094.0639      MicroFit      RATS     Shazam
? (s.e.)   (560008.05906)      C-O       C-O,H-L     DROP
?  X1      -30.974129287    -30.9674     -30.974   -30.964
? (s.e.)   (61.187930859)
?  X2      -.03623237986
? (s.e.)   (.02220333668)
?  X3      -2.2555594667
? (s.e.)   (.32243920770)
?  X4      -1.2096387757
? (s.e.)   (.14081377244)
?  X5      -.08398261073
? (s.e.)   (.14871062026)
?  X6      2036.7497675
? (s.e.)   (286.02826006)
?  rho     -.74650057793     -.74637      -.746    -.74630
? (s.e.)   (.28661603486)
?  LogL    -99.375675349
AR1(method=corc,tol=1e-11) TOTEMP xs;
form(param) ar1;

title 'conditional ML - via nonlinear least squares';
smpl 2,16;
lsq(tol=1e-11) ar1;
smpl 1,16;

title 'AR(1) exact ML';
?               TSP       Lovell-Selover   L-S       L-S
?  C      -3886023.0041      MicroFit      RATS     Shazam
? (s.e.)   (504090.01405)     Exact        B-M        ML
?  X1      -33.852790258    -33.8533     -33.853   -33.852
? (s.e.)   (54.477094007)
?  X2      -.03636491159
? (s.e.)   (.02000975793)
?  X3     -2.2631020920
? (s.e.)   (.29119364468)
?  X4     -1.2134428954
? (s.e.)   (.12701617572)
?  X5      -.08011937429
? (s.e.)   (.13437939684)
?  X6      2040.7691424
? (s.e.)   (257.44888838)
?  rho     -.72886963321     -.72888      -.729    -.72884
? (s.e.)   (.21037200602)
? LogL     -106.13753698
AR1(tol=1e-11) TOTEMP xs;
end;
noprint;
SMPL 1 16 ;
LOAD TOTEMP ; 60323 61122 60171 61187 63221 63639 64989 63761
              66019 67857 68169 66513 68655 69564 69331 70551 ;
LOAD X1 ; 83.0 88.5 88.2 89.5 96.2 98.1 99.0 100.
          101.2 104.6 108.4 110.8 112.6 114.2 115.7 116.9 ;
LOAD X2 ; 234289 259426 258054 284599 328975 346999 365385 363112
          397469 419180 442769 444546 482704 502601 518173 554894 ;
LOAD X3 ; 2356 2325 3682 3351 2099 1932 1870 3578
          2904 2822 2936 4681 3813 3931 4806 4007 ;
LOAD X4 ; 1590 1456 1616 1650 3099 3594 3547 3350
          3048 2857 2798 2637 2552 2514 2572 2827 ;
LOAD X5 ; 107608 108632 109773 110929 112075 113270 115094 116219
          117388 118734 120445 121950 123366 125368 127852 130081 ;
LOAD X6 ; 1947 1948 1949 1950 1951 1952 1953 1954
          1955 1956 1957 1958 1959 1960 1961 1962 ;