options double crt;
name grun12 'Grunfeld data - 1-way, 2-way ML estimates';
?  Source: Grunfeld (1958)
?  Description: Panel Data, 10 U.S. firms over 20 years, 1935-1954.
?  Variables:
doc FN 'Firm Number';
doc YR 'Year 1935-1954';
doc I 'Annual real gross investment';
doc F 'Real value of the firm (shares outstanding)';
doc K 'Real value of the capital stock';
list vars FN YR I F K;
set n=10;
set t=20;
set nt=n*t;
smpl 1,nt;
read(file='grunfeld.txt') vars;
freq(panel,id=FN,time=YR);
dummy(exclude) YR timedums;

title 'One-way ML, Two-way ML: Baltagi(2001) p.23,43';
list yx I F K;
panel(rei,reit,tol=1e-7) yx;

title 'theta for One-way';
frml eqt theta = 1 - sqrt((1-rho_i)/(1+(T-1)*rho_i));
analyz(coef=@coefrei,vcov=@vcovrei,names=@rnmsrei) eqt;

title 'thetas for Two-way';
frml eqt1 theta1 = 1 - 1/sqrt(T*(rho_i/(1-rho_i-rho_t)) + 1);
frml eqt2 theta2 = 1 - 1/sqrt(N*(rho_t/(1-rho_i-rho_t)) + 1);
frml eqt3 theta3 = 1 - 1/sqrt(T*(rho_i/(1-rho_i-rho_t)) + 1)
                     - 1/sqrt(N*(rho_t/(1-rho_i-rho_t)) + 1)
                     + 1/sqrt(T*(rho_i/(1-rho_i-rho_t))
                     + N*(rho_t/(1-rho_i-rho_t)) + 1);
analyz(coef=@coefreit,vcov=@vcovreit,names=@rnmsreit) eqt1-eqt3;

title 'two-way within: p.43';
panel(notot,nobet,novarc) yx timedums;