/*
** Lesson 13.1: Klein's Model I
** Simultaneous Equation System of Klein's Model I
*/
use gpe2;
output file = gpe\output13.1 reset;
load data[23,10] = gpe\klein.txt;

a=data[2:23,1]-1931;      @ time trend: 1931 = 0 @
c=data[2:23,2];           @ consumption @
p=data[2:23,3];           @ profit income @
w1=data[2:23,4];          @ private wage income @
i=data[2:23,5];           @ investment @
k1=data[2:23,6];          @ lagged capital stock @
x=data[2:23,7];           @ private total income @
w2=data[2:23,8];          @ public wage income @
g=data[2:23,9];           @ government spending @
t=data[2:23,10];          @ tax @

k=k1[2:22]|209.4;         @ capital stock @
w=w1+w2;                  @ total wage income @

yvar=c~i~w1~x~p~k~w;
xvar=lag1(x~p~k)~w2~a~g~t;

call reset;

_names={"c","i","w1","x","p","k","w",
        "x-1","p-1","k-1","w2","a","g","t"};
_vcov=1;
        @ C  I W1  X  P  K  W XL PL KL W2  A  G  T  1 @
_eq =   {-1  0  0  0  1  0  1  0  1  0  0  0  0  0,
          0 -1  0  0  1  0  0  0  1  1  0  0  0  0,
          0  0 -1  1  0  0  0  1  0  0  0  1  0  0};
_id =   { 1  1  0 -1  0  0  0  0  0  0  0  0  1  0,
          0  0 -1  1 -1  0  0  0  0  0  0  0  0 -1,
          0  1  0  0  0 -1  0  0  0  1  0  0  0  0,
          0  0  1  0  0  0 -1  0  0  0  1  0  0  0};

_begin=2;

_method=0;        @ OLS estimation @
call estimate(yvar,xvar);
_method=1;        @ LIML estimation @
call estimate(yvar,xvar);
_method=2;        @ 2SLS estimation @
call estimate(yvar,xvar);

_iter=100;
_method=3;        @ 3SLS estimation (iterative) @
call estimate(yvar,xvar);
_method=4;        @ FIML estimation @
call estimate(yvar,xvar);
end;