AR1 output shows the estimated autocorrelation coefficient rho (), as well as its standard error. These values are stored under the names @RHO and @SRHO.

6.5 P&R Examples

P&R Example 6.1:

This example generates the regression of housing expenditures on income, with and without the correction for heteroskedasticity. It also saves the residuals to be used in Example 6.3. 

SMPL 1 20;
READ(FILE='(EX61.XLS') INCOME EXPENDIT;
Y = EXPENDIT;
X = INCOME;
OLSQ Y C X;
RESID1 = (@RES*@RES)/(@SSR/@NOB);
RESID2 = @RES**2;
X2 = X**2;
Y1 = Y/X;
X1 = 1/X;
OLSQ Y1 X1 C;

Note that the coefficient of C is the coefficient of X and the coefficient of X1 is the intercept, after weighting.

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