options crt;  ? 6e4
in kopcke;
freq q;
dot e s;
smpl 52:1,86:4;
fj. = f/j.;
smpl 56:1,79:4;
olsq i. c fj.(4,6,none);
rename @ssr ssrpdl;
ar1 i. c fj.(4,6,none);  ? (a)
rename @logl loglp3;
?
olsq i. c fj.-fj.(-5);
set df1 = 2;  ??
set df2 = @nob-7;
set fstat = (ssrpdl-@ssr)/df1/@s2;   ? @s2 = @ssr/df2
cdf(F,df1=df1,df2=df2) fstat;  ? (b.1)
ar1 i. c fj.-fj.(-5);
rename @logl loglu;
set lrpu = 2*(loglu-loglp3);
cdf(chisq,df=df1) lrpu;  ? (b.2)
?
ar1 i. c fj.(5,6,none);
set df1 = 1;
set lrp34 = 2*(@logl-loglp3);
cdf(chisq,df=df1) lrp34;  ? (c)
?
?  these do loops estimate all PDLs up to 5th degree for up to 12 lags
?  (2*57 equations for each type of investment)
?
smpl 56:1,86:4;
const minsbic 999999 nl 0 nd 0 ifk 0;
supres @coef;  ? turn off all output
do nlags=1,12;
 set maxd = nlags - pos(nlags-6);  ? maxd = min(nlags,6)
 do ndeg=1,maxd;
   ar1(silent) i. c fj.(ndeg,nlags,none);
   sbmin 0;
   ar1(silent) i. c fj.(ndeg,nlags,none) k.lag;
   sbmin 1;
 enddo;
enddo;
supres;
print minsbic nl nd ifk;  ? (d) -- min of @SBIC
?  print selected model
if ifk; then;
  ar1 i. c fj.(nd,nl,none) k.lag;
else;
  ar1 i. c fj.(nd,nl,none);
enddot;
?
proc sbmin ifklag;
  ? SBIC includes C, RHO, K.LAG, free params of PDL
  set @sbic = -@logl + (1+ndeg+ifklag+1)*log(@nob)/2;
  if (@sbic < minsbic); then; do;
    set minsbic = @sbic;
    set nl = nlags;
    set nd = ndeg;
    set ifk = ifklag;
  enddo;
endproc;