TSP Version 4.4 Copyright (C) 1997 TSP International ALL RIGHTS RESERVED In case of questions or problems, see your local TSP consultant or send a description of the problem and the associated TSP output to: TSP International P.O. Box 61015, Station A Palo Alto, CA 94306 USA PROGRAM LINE ****************************************************************** 1 OPTIONS CRT NODATE; 2 NAME KLEINFML 'FIML benchmark on Klein model I' ; 2 ? 2 ? Correct published results may be found in: 2 ? - Calzolari, Giorgio and Panattoni, Lorenzo, "Alternative Estimators 2 ? of FIML Covariance Matrix: A Monte Carlo Study," Econometrica, 2 ? 1988, pp.701-714 2 ? - Hausman, Jerry A., "Full Information Instrumental Variables 2 ? Estimation of Simultaneous Equations Systems," Annals of Social 2 ? and Economic Measurement, 3, 1974, pp.641-652. 2 ? - Silk, Julian, "Systems Estimation: A Comparison of SAS, SHAZAM, 2 ? and TSP," Journal of Applied Econometrics, 11, 1996, pp.437-450. 2 ? TSP reproduces the coefficients from the above references to 2 ? 2-3 digits. More digits may be obtained by making the convergence 2 ? tolerance (TOL) smaller, and by increasing MAXIT. Reproducing 2 ? the standard errors is also interesting, since there are a few 2 ? alternative methods -- see Calzolari and Panattoni. 2 ? *Incorrect* published results may be found in: 2 ? - Berndt, Ernst, "The Practice of Econometrics", 1st ed., 1991, p.553 2 ? (note: most other numbers in this book are correct) 2 ? - Greene, William, "Econometric Analysis", 2nd ed., 1993, p.615 2 ? The problem in Greene can be traced to p.581, where the demand 2 ? identity should read X = C + I + (G - Wg) . The text on p.615 2 ? claims that G is "government *nonwage* spending", so it would be 2 ? OK if the G data on p.629 had Wg subtracted from it, but the G 2 ? data on p.629 includes Wg. 2 ? 2 FREQ A; 3 LOAD ; 4 SMPL 20,40 ; GENR K = K1(+1); 6 SMPL 41,41 ; GENR K = K(-1) + I; 8 SMPL 20,41 ; 9 GENR TX=YT-Y ; 10 GENR TM=YEAR-1931 ; 11 ? 11 PARAM A1-A12; 12 ? 12 ? KLEIN-I, ACCORDING TO CALZOLARI AND PANATTONI, ROTHENBERG, HAUSMAN. 12 ? 12 FRML CON CX = A1 + A2*P + A3*P(-1) + A4*(W1+W2) ; 13 FRML INV I = A5 + A6*P + A7*P(-1) + A8*K(-1) ; 14 FRML WAGES W1 = A9 + A10*(Y+TX-W2) + A11*(Y(-1)+TX(-1)-W2(-1)) + A12*TM ; 15 SMPL 20,41 ; 16 IDENT I4 Y = CX + I + G - TX; GENR I4; 18 IDENT I5 P = Y - W1 - W2; GENR I5; 20 IDENT KAP K = K(-1)+I ; 21 ? 21 LIST KENDOG CX I W1 Y P K; 22 LIST KEQ CON INV WAGES I4 I5 KAP; 23 SMPL 21,41 ; 24 ? 24 ? KLEIN-I, DEFAULT ITERATION METHOD, (EXCEPT MORE PRECISE TOL) 24 ? USING 3SLS STARTING VALUES 24 ? 24 PARAM A1 16.55 A2 .0173 A3 .2162 A4 .8102 24 A5 20.28 A6 .1502 A7 .6159 A8 -.1578 24 A9 1.8 A10 .4389 A11 .1467 A12 .1304 ; 25 FIML(TOL=.0001,ENDOG=(KENDOG),MAXIT=100) KEQ ; 26 ? 26 ? "True" (best known) FIML ESTIMATES OF COEFFICIENTS 26 ? FROM CALZOLARI AND PANATTONI. 26 ? LogL = -83.3238 26 ? 26 PARAM A1 18.34 A2 -.2324 A3 .3857 A4 .8018 26 A5 27.26 A6 -.8010 A7 1.052 A8 -.1481 26 A9 5.794 A10 .2341 A11 .2847 A12 .2348 ; 27 ?FIML(TOL=.0001,ENDOG=(KENDOG)) KEQ ; 27 ? 27 STOP ; END ; EXECUTION ******************************************************************************* 3 ? 3 NOPRINT; Current sample: 1920 to 1941 Current sample: 1920 to 1940 Current sample: 1941 to 1941 NOTE: Dynamic GENR for K Current sample: 1920 to 1941 Current sample: 1920 to 1941 Current sample: 1921 to 1941 FULL INFORMATION MAXIMUM LIKELIHOOD =================================== EQUATIONS: CON INV WAGES IDENTITIES: KAP I5 I4 ENDOGENOUS VARIABLES: CX I W1 Y P K NOTE => The model is linear in the parameters. NOTE => The model is linear in the variables. Working space used: 3325 STARTING VALUES A1 A2 A3 A4 VALUE 16.55000 0.017300 0.21620 0.81020 A5 A6 A7 A8 VALUE 20.28000 0.15020 0.61590 -0.15780 A9 A10 A11 A12 VALUE 1.80000 0.43890 0.14670 0.13040 F= 92.359 FNEW= 89.432 ISQZ= 1 STEP= 1.0000 CRIT= 9.4029 F= 89.432 FNEW= 85.233 ISQZ= 2 STEP= 2.0000 CRIT= 5.6113 F= 85.233 FNEW= 84.253 ISQZ= 2 STEP= 2.0000 CRIT= 0.78863 F= 84.253 FNEW= 83.837 ISQZ= 2 STEP= 2.0000 CRIT= 0.36928 F= 83.837 FNEW= 83.653 ISQZ= 2 STEP= 2.0000 CRIT= 0.18053 F= 83.653 FNEW= 83.552 ISQZ= 2 STEP= 2.0000 CRIT= 0.12478 F= 83.552 FNEW= 83.492 ISQZ= 1 STEP= 1.0000 CRIT= 0.94237E-01 F= 83.492 FNEW= 83.423 ISQZ= 3 STEP= 4.0000 CRIT= 0.27086E-01 F= 83.423 FNEW= 83.410 ISQZ= 1 STEP= 1.0000 CRIT= 0.22074E-01 F= 83.410 FNEW= 83.393 ISQZ= 3 STEP= 4.0000 CRIT= 0.74328E-02 F= 83.393 FNEW= 83.385 ISQZ= 1 STEP= 1.0000 CRIT= 0.16122E-01 F= 83.385 FNEW= 83.379 ISQZ= 3 STEP= 4.0000 CRIT= 0.42014E-02 F= 83.379 FNEW= 83.371 ISQZ= 1 STEP= 1.0000 CRIT= 0.17006E-01 F= 83.371 FNEW= 83.368 ISQZ= 2 STEP= 2.0000 CRIT= 0.34865E-02 F= 83.368 FNEW= 83.365 ISQZ= 1 STEP= 1.0000 CRIT= 0.47319E-02 F= 83.365 FNEW= 83.358 ISQZ= 4 STEP= 8.0000 CRIT= 0.20869E-02 F= 83.358 FNEW= 83.351 ISQZ= 1 STEP= 1.0000 CRIT= 0.18269E-01 F= 83.351 FNEW= 83.349 ISQZ= 1 STEP= 1.0000 CRIT= 0.28085E-02 F= 83.349 FNEW= 83.345 ISQZ= 4 STEP= 8.0000 CRIT= 0.11991E-02 F= 83.345 FNEW= 83.341 ISQZ= 1 STEP= 1.0000 CRIT= 0.97165E-02 F= 83.341 FNEW= 83.340 ISQZ= 2 STEP= 2.0000 CRIT= 0.12340E-02 F= 83.340 FNEW= 83.339 ISQZ= 1 STEP= 1.0000 CRIT= 0.19472E-02 F= 83.339 FNEW= 83.337 ISQZ= 3 STEP= 4.0000 CRIT= 0.70110E-03 F= 83.337 FNEW= 83.336 ISQZ= 1 STEP= 1.0000 CRIT= 0.20425E-02 F= 83.336 FNEW= 83.335 ISQZ= 3 STEP= 4.0000 CRIT= 0.59423E-03 F= 83.335 FNEW= 83.333 ISQZ= 1 STEP= 1.0000 CRIT= 0.22290E-02 F= 83.333 FNEW= 83.333 ISQZ= 2 STEP= 2.0000 CRIT= 0.51824E-03 F= 83.333 FNEW= 83.332 ISQZ= 2 STEP= 2.0000 CRIT= 0.67386E-03 F= 83.332 FNEW= 83.332 ISQZ= 1 STEP= 1.0000 CRIT= 0.10856E-02 F= 83.332 FNEW= 83.331 ISQZ= 3 STEP= 4.0000 CRIT= 0.37912E-03 F= 83.331 FNEW= 83.330 ISQZ= 1 STEP= 1.0000 CRIT= 0.13469E-02 F= 83.330 FNEW= 83.330 ISQZ= 2 STEP= 2.0000 CRIT= 0.34757E-03 F= 83.330 FNEW= 83.329 ISQZ= 2 STEP= 2.0000 CRIT= 0.45988E-03 F= 83.329 FNEW= 83.329 ISQZ= 1 STEP= 1.0000 CRIT= 0.77699E-03 F= 83.329 FNEW= 83.329 ISQZ= 3 STEP= 4.0000 CRIT= 0.24852E-03 F= 83.329 FNEW= 83.328 ISQZ= 1 STEP= 1.0000 CRIT= 0.90491E-03 F= 83.328 FNEW= 83.328 ISQZ= 2 STEP= 2.0000 CRIT= 0.22217E-03 F= 83.328 FNEW= 83.328 ISQZ= 2 STEP= 2.0000 CRIT= 0.29143E-03 F= 83.328 FNEW= 83.327 ISQZ= 1 STEP= 1.0000 CRIT= 0.47785E-03 F= 83.327 FNEW= 83.327 ISQZ= 3 STEP= 4.0000 CRIT= 0.16453E-03 F= 83.327 FNEW= 83.327 ISQZ= 1 STEP= 1.0000 CRIT= 0.60555E-03 F= 83.327 FNEW= 83.326 ISQZ= 2 STEP= 2.0000 CRIT= 0.15287E-03 F= 83.326 FNEW= 83.326 ISQZ= 2 STEP= 2.0000 CRIT= 0.20605E-03 F= 83.326 FNEW= 83.326 ISQZ= 1 STEP= 1.0000 CRIT= 0.35426E-03 F= 83.326 FNEW= 83.326 ISQZ= 3 STEP= 4.0000 CRIT= 0.11075E-03 F= 83.326 FNEW= 83.326 ISQZ= 1 STEP= 1.0000 CRIT= 0.43242E-03 F= 83.326 FNEW= 83.326 ISQZ= 2 STEP= 2.0000 CRIT= 0.10161E-03 F= 83.326 FNEW= 83.326 ISQZ= 2 STEP= 2.0000 CRIT= 0.13818E-03 F= 83.326 FNEW= 83.325 ISQZ= 1 STEP= 1.0000 CRIT= 0.23621E-03 F= 83.325 FNEW= 83.325 ISQZ= 3 STEP= 4.0000 CRIT= 0.75062E-04 F= 83.325 FNEW= 83.325 ISQZ= 1 STEP= 1.0000 CRIT= 0.30774E-03 F= 83.325 FNEW= 83.325 ISQZ= 2 STEP= 2.0000 CRIT= 0.71401E-04 F= 83.325 FNEW= 83.325 ISQZ= 1 STEP= 1.0000 CRIT= 0.10053E-03 F= 83.325 FNEW= 83.325 ISQZ= 4 STEP= 8.0000 CRIT= 0.48333E-04 F= 83.325 FNEW= 83.325 ISQZ= 1 STEP= 1.0000 CRIT= 0.43842E-03 F= 83.325 FNEW= 83.325 ISQZ= 1 STEP= 1.0000 CRIT= 0.65884E-04 F= 83.325 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.31801E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.27872E-03 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.40864E-04 F= 83.324 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.20894E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.16995E-03 F= 83.324 FNEW= 83.324 ISQZ= 2 STEP= 2.0000 CRIT= 0.26839E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.46287E-04 F= 83.324 FNEW= 83.324 ISQZ= 3 STEP= 4.0000 CRIT= 0.14677E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.60925E-04 F= 83.324 FNEW= 83.324 ISQZ= 2 STEP= 2.0000 CRIT= 0.14048E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.19943E-04 F= 83.324 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.95341E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.88562E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.13130E-04 F= 83.324 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.63344E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.57160E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.84301E-05 F= 83.324 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.42054E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.36197E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.55570E-05 F= 83.324 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.28018E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.23448E-04 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.36078E-05 F= 83.324 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.18661E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.15009E-04 F= 83.324 FNEW= 83.324 ISQZ= 2 STEP= 2.0000 CRIT= 0.23811E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.40996E-05 F= 83.324 FNEW= 83.324 ISQZ= 3 STEP= 4.0000 CRIT= 0.13181E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.54092E-05 F= 83.324 FNEW= 83.324 ISQZ= 2 STEP= 2.0000 CRIT= 0.12616E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.17865E-05 F= 83.324 FNEW= 83.324 ISQZ= 4 STEP= 8.0000 CRIT= 0.86269E-06 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.79231E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.11789E-05 F= 83.324 FNEW= 83.324 ISQZ= 1 STEP= 1.0000 CRIT= 0.57628E-06 CONVERGENCE ACHIEVED AFTER 91 ITERATIONS 441 FUNCTION EVALUATIONS. FULL INFORMATION MAXIMUM LIKELIHOOD =================================== Residual Covariance Matrix CON INV WAGES CON 2.09289 INV 3.85501 12.73083 WAGES 0.47466 3.84444 1.79648 Log of Likelihood Function = -83.3238 Number of Observations = 21 Standard Parameter Estimate Error t-statistic P-value A1 18.3297 12.8243 1.42929 [.153] A2 -.230486 1.92455 -.119761 [.905] A3 .384831 1.08023 .356248 [.722] A4 .801729 .084141 9.52838 [.000] A5 27.2845 21.4841 1.26999 [.204] A6 -.799389 2.33158 -.342853 [.732] A7 1.05144 1.40359 .749108 [.454] A8 -.148305 .099251 -1.49424 [.135] A9 5.78699 4.64303 1.24638 [.213] A10 .234481 .095047 2.46700 [.014] A11 .284426 .061590 4.61805 [.000] A12 .234667 .077639 3.02253 [.003] Standard Errors computed from covariance of analytic first derivatives (BHHH) Equation: CON Dependent variable: CX Mean of dep. var. = 53.9952 Std. error of regression = 1.44668 Std. dev. of dep. var. = 6.86087 R-squared = .955122 Sum of squared residuals = 43.9508 Durbin-Watson = 1.36852 Variance of residuals = 2.09289 Equation: INV Dependent variable: I Mean of dep. var. = 1.26667 Std. error of regression = 3.56803 Std. dev. of dep. var. = 3.55195 R-squared = .082814 Sum of squared residuals = 267.347 Durbin-Watson = 1.23681 Variance of residuals = 12.7308 Equation: WAGES Dependent variable: W1 Mean of dep. var. = 36.3619 Std. error of regression = 1.34033 Std. dev. of dep. var. = 6.30440 R-squared = .958100 Sum of squared residuals = 37.7262 Durbin-Watson = 1.49446 Variance of residuals = 1.79648 ******************************************************************************* END OF OUTPUT FOR USER KLEINFML MEMORY USAGE: ITEM: DATA ARRAY TOTAL MEMORY UNITS: (4-BYTE WORDS) (MEGABYTES) MEMORY ALLOCATED : 500000 4.0 MEMORY ACTUALLY REQUIRED : 5933 2.1 CURRENT VARIABLE STORAGE : 2608