OPTIONS CRT NODATE;
NAME KLEINLML 'LIML estimates of Klein Model I' ;
?
?  This benchmark gives LIML estimates for all 3 of the Klein I
?  equations.  All equations are overidentified.
?
?  Accurate published results for LIML on the Klein I consumption
?  equation can be found in:
?  - Greene, William, "Econometric Analysis", 4th ed., 2000, p.687
?  TSP reproduces the above coefficient results with the commands below.
?  The standard errors do not agree as closely, for reasons unknown (they
?  do not appear to be uniformly higher or lower).
?  See the  klein.tsp  benchmark for the full set of coefficients and
?  standard errors.
?
LOAD ;
SMPL 1 22 ;
W = W1+W2 ;
TX = YT-Y ;
P = CX+I+G-TX-W ;
E = Y+TX-W2 ;
TM = YEAR-1931 ;
SMPL 1 21 ;
K = K1(+1);
SMPL 2 22 ;
LIST IVS C P(-1) K(-1) E(-1) TM W2 G TX ;
?
?   LIML Estimates
?
LIML(INST=IVS) CX C W P P(-1);
LIML(INST=IVS)  I C P P(-1) K(-1);
LIML(INST=IVS) W1 C E E(-1) TM;
END ;
NOPRINT;
SMPL 1 22 ;
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 ;