?  KLEIN MODEL I - CHAPTER 7 of P&R

OPTIONS CRT;

FREQ A;
LOAD ;                              ? Read data in data section.
SMPL 20,40 ; GENR K = K1(+1);       ? K1 is lagged Capital Stock.
SMPL 41,41 ; GENR K = K(-1) + I;
SMPL 20,41 ;
GENR TX=YT-Y ;
GENR TM=YEAR-1931 ;
GENR W = W1+W2 ;

FRML CON   CX = A1 +  A2*P +  A3*P(-1) +  A4*(W1+W2) ;
PARAM A1-A4 ;
SMPL 21,41 ;
?
?  Ordinary Least Squares Estimates.
?
OLSQ CX C P P(-1) W ;
?
?  Instrumental Variable Estimation (Linear Method).
?
INST (INST=(C G TX P(-1))) CX C P P(-1) W ;
?
?  Instrumental Variable Estimation (Nonlinear Method).
?
LSQ (INST=(C G TX P(-1))) CON ;
?
STOP ; END ;
?        Data Section
NOPRINT;
SMPL 20 41 ;
? Data are consumption, investment, govt. spending, pre-tax income, 
? capital stock lagged, profits, private wages, govt. wages, GDP.
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 ;