OPTIONS CRT NODATE;
NAME KLEINSOL 'SIMULATION OF KLEIN MODEL I' ;
?
?      THIS RUN SIMULATES THE KLEIN MODEL I USING THE THREE DIFFERENT
?  ALGORITHMS IN TSP: NEWTON'S METHOD, GAUSS-SEIDEL, AND FLETCHER-
?  POWELL.  THE RESULTS ARE PRINTED AND PLOTTED FOR COMPARISON.
?
FREQ A ; LOAD ; SMPL 20 41;
TREND TM -11 ;
GENR  TX=YT-Y ;
GENR  P=CX+I+G-TX-W1-W2 ;
GENR  E=TX+P+W1 ;
GENR W = W1+W2 ;
GENR K = K1(1) ;
SMPL 21 41 ; GENR K = K(-1) + I ;
PRINT K K1 I ;
SMPL 21 41;
TITLE 'FIML ESTIMATES OF COEFFICIENTS' ;
?  from Calzolari and Panattoni, Econometrica 1988
?  (see benchmarks section of TSP web page)
PARAM A0 18.34 A1 .8018 A2 -.2324 A3 .3857
      B0 27.26 B1 -.8010 B2 1.052 B3 -.1481
      C0 5.794 C1 .2341 C2 .2847 C3 .2348 ;
FRML CONS  CX=A0+A1*W+A2*P+A3*P(-1) ;
FRML INV    I=B0+B1*P+B2*P(-1)+B3*K1 ;
FRML WAGES W1=C0+C1*E+C2*E(-1)+C3*TM ;
IDENT WAGE  W=W1+W2 ;
IDENT BALANCE P = CX+I+G - (TX+W) ;
IDENT PROFIT E = P+TX+W1 ;
IDENT CAPSTCK K = K(-1)+I ;
SMPL 21 41;
?
?     SOLVE KLEIN I BY NEWTON'S METHOD.
?
SIML (STATIC,TAG=N,PRNSIM,ENDOG=(CX,I,W1,W,E,P,K))
     CONS WAGES PROFIT CAPSTCK BALANCE INV WAGE ;
?
?     SOLVE KLEIN I BY THE GAUSS-SEIDEL METHOD.
?
  LIST KENDOG I W E K P CX W1 ;
  LIST KLEIN CONS WAGES PROFIT CAPSTCK BALANCE  INV WAGE ;
? LIST KENDOG CX I W1 W E P K ;
? LIST KLEIN CONS INV WAGES WAGE BALANCE PROFIT CAPSTCK ;
MODEL KLEIN KENDOG KLEINC ;
SOLVE (STATIC,TAG=S,PRNSIM) KLEINC ;
?
?     SOLVE KLEIN I BY THE FLETCHER-POWELL METHOD.
?
SOLVE (STATIC,METHOD=FLPOW,TAG=F,PRNSIM) KLEINC ;
PRINT CX CXN CXS CXF ;
PRINT I IN IS IF ;
PRINT W1 W1N W1S W1F ;
PRINT W WN WS WF ;
PRINT P PN PS PF ;
PRINT E EN ES EF ;
PRINT K KN KS KF ;
PLOT CX A CXN N CXS S CXF F ;
PLOT I A IN N IS S IF F ;
PLOT W1 A W1N N W1S S W1F F ;
PLOT W A WN N WS S WF F ;
PLOT P A PN N PS S PF F ;
PLOT E A EN N ES S EF F ;
PLOT K A KN N KS S KF F ;
STOP ; END ;
SMPL 20 41;
LOAD YEAR CX I G YT K1 P W1 W2 Y ;
1920 39.8  2.7  4.6 47.1 180.1 12.7 28.8 2.2 43.7
1921 41.9  -.2  6.6 48.3 182.8 12.4 25.5 2.7 40.6
1922 45.0  1.9  6.1 53.0 182.6 16.9 29.3 2.9 49.1
1923 49.2  5.2  5.7 60.1 184.5 18.4 34.1 2.9 55.4
1924 50.6  3.0  6.6 60.2 189.7 19.4 33.9 3.1 56.4
1925 52.6  5.1  6.5 64.2 192.7 20.1 35.4 3.2 58.7
1926 55.1  5.6  6.6 67.3 197.8 19.6 37.4 3.3 60.3
1927 56.2  4.2  7.6 68.0 203.4 19.8 37.9 3.6 61.3
1928 57.3  3.0  7.9 68.2 207.6 21.1 39.2 3.7 64.0
1929 57.8  5.1  8.1 71.0 210.6 21.7 41.3 4.0 67.0
1930 55.0  1.0  9.4 65.4 215.7 15.6 37.9 4.2 57.7
1931 50.9 -3.4 10.7 58.2 216.7 11.4 34.5 4.8 50.7
1932 45.6 -6.2 10.2 49.6 213.3  7.0 29.0 5.3 41.3
1933 46.5 -5.1  9.3 50.7 207.1 11.2 28.5 5.6 45.3
1934 48.7 -3.0 10.0 55.7 202.0 12.3 30.6 6.0 48.9
1935 51.3 -1.3 10.5 60.5 199.0 14.0 33.2 6.1 53.3
1936 57.7  2.1 10.3 70.1 197.7 17.6 36.8 7.4 61.8
1937 58.7  2.0 11.0 71.7 199.8 17.3 41.0 6.7 65.0
1938 57.5 -1.9 13.0 68.6 201.8 15.3 38.2 7.7 61.2
1939 61.6  1.3 14.4 77.3 199.9 19.0 41.6 7.8 68.4
1940 65.0  3.3 15.4 83.7 201.2 21.1 45.0 8.0 74.1
1941 69.7  4.9 22.3 96.9 204.5 23.5 53.3 8.5 85.3
 ; END ;