OPTIONS CRT NODATE;
NAME KLEINFML 'FIML benchmark on Klein model I' ;
?
?   Correct published results may be found in:
?   - Calzolari, Giorgio and Panattoni, Lorenzo, "Alternative Estimators
?     of FIML Covariance Matrix:  A Monte Carlo Study," Econometrica,
?     1988, pp.701-714
?   - Hausman, Jerry A., "Full Information Instrumental Variables
?     Estimation of Simultaneous Equations Systems," Annals of Social
?     and Economic Measurement, 3, 1974, pp.641-652.
?   - Silk, Julian, "Systems Estimation:  A Comparison of SAS, SHAZAM,
?     and TSP," Journal of Applied Econometrics, 11, 1996, pp.437-450.
?   TSP reproduces the coefficients from the above references to
?     2-3 digits.  More digits may be obtained by making the convergence
?     tolerance (TOL) smaller, and by increasing MAXIT.  Reproducing
?     the standard errors is also interesting, since there are a few
?     alternative methods -- see Calzolari and Panattoni.
?   *Incorrect* published results may be found in:
?   - Berndt, Ernst, "The Practice of Econometrics", 1st ed., 1991, p.553
?     (note:  most other numbers in this book are correct)
?   - Greene, William, "Econometric Analysis", 2nd ed., 1993, p.615
?     The problem in Greene can be traced to p.581, where the demand
?     identity should read  X = C + I + (G - Wg)  .  The text on p.615
?     claims that G is "government *nonwage* spending", so it would be
?     OK if the G data on p.629 had Wg subtracted from it, but the G
?     data on p.629 includes Wg.
?
FREQ A;
LOAD ;
SMPL 20,40 ; GENR K = K1(+1);
SMPL 41,41 ; GENR K = K(-1) + I;
SMPL 20,41 ;
GENR TX=YT-Y ;
GENR TM=YEAR-1931 ;
?
PARAM A1-A12;
?
?  KLEIN-I,  ACCORDING TO CALZOLARI AND PANATTONI, ROTHENBERG, HAUSMAN.
?
FRML CON   CX = A1 +  A2*P +  A3*P(-1) +  A4*(W1+W2) ;
FRML INV    I = A5 +  A6*P +  A7*P(-1) +  A8*K(-1) ;
FRML WAGES W1 = A9 + A10*(Y+TX-W2) + A11*(Y(-1)+TX(-1)-W2(-1)) + A12*TM ;
SMPL 20,41 ;
IDENT I4    Y = CX + I + G - TX;  GENR I4;
IDENT I5    P = Y - W1 - W2;      GENR I5;
IDENT KAP   K = K(-1)+I ;
?
LIST KENDOG CX I W1 Y P K;
LIST KEQ CON INV WAGES I4 I5 KAP;
SMPL 21,41 ;
?
?    KLEIN-I, DEFAULT ITERATION METHOD,  (EXCEPT MORE PRECISE TOL)
?    USING 3SLS STARTING VALUES
?
PARAM A1 16.55 A2 .0173 A3 .2162 A4 .8102
      A5 20.28 A6 .1502 A7 .6159 A8 -.1578
      A9 1.8  A10 .4389 A11 .1467 A12 .1304 ;
FIML(TOL=.0001,ENDOG=(KENDOG),MAXIT=100) KEQ ;
?
?   "True" (best known) FIML ESTIMATES OF COEFFICIENTS
?     FROM CALZOLARI AND PANATTONI.
?     LogL = -83.3238
?
PARAM A1 18.34 A2 -.2324 A3 .3857 A4 .8018
      A5 27.26 A6 -.8010 A7 1.052 A8 -.1481
      A9 5.794 A10 .2341 A11 .2847 A12 .2348 ;
?FIML(TOL=.0001,ENDOG=(KENDOG)) KEQ ;
?
STOP ; END ;
?
NOPRINT;
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 ;