/*
**         PROGRAM FOR TIME HET-AUTO ADJUSTED GLS
**				 ESTIMATION OF PANEL DATA
**
**                        WRITTEN BY
**                      SEUNG CHAN AHN
**                 DEPARTMENT OF ECONOMICS
**                   W.P. CAREY SCHOOL OF BUSINESS
**                     TEMPE, AZ 85287
**
*/

/*
**  COMPUTING RE-GLS AND KIEFER GLS
**
*/

	new ;

@	Locate MGIV.COL in the directory you execute this program @

	#include mgiv.col ;

@	Open output file @

	output file = pan_gls2.out reset ;

@	Format output file @

	format /rd 12,4 ;

@   Provide # of observations and # of variables @

    nobs = 336 ;
    nvar = 13   ;

@   Read Data   @

    load dat[nobs,nvar] = auto_1.txt ;
	@ 48 states (N = 48), 1982 - 1988 (T = 7)@

@  Define Variables @

    id       = dat[.,1]  ; @ ID for States @
    year     = dat[.,2]  ; @ year @
    spircons = dat[.,3]  ; @ Spirits consumption @
    unrate   = dat[.,4]  ; @ Unemployment rate @
    perinc   = dat[.,5]  ; @ Personal Income @
    emppop   = dat[.,6]  ; @ Employment/Population Ration @
    beertax  = dat[.,7]  ; @ Tax on Case of Beer @
    mlda     = dat[.,8]  ; @ Minimum Legal Drinking Age @
	vmiles   = dat[.,9]  ; @ Ave. mile per driver @
    jaild    = dat[.,10] ; @ Mandatory Jail Sentense = 1 @
    comserd  = dat[.,11] ; @ Mandotory Jail Sentence @
	allmort  = dat[.,12] ; @ # of Vehicle Fatalities @
	mrall    = dat[.,13] ; @ Vehicle Fatality Rate (VFR) @

@ Creating Time dummy variables @

	v    = {1982.5, 1983.5, 1984.5, 1985.5, 1986.5, 1987.5 };
    dyr  = dummy(year,v);

@   Define N and T @

    t  = 7   ;
    n  = rows(dat)/t ;

@   Define Dep. Var., Time-varying Reg. and Time-invariant Reg. @

    yy    = mrall*10000  ; @ dependent var. @
    xx    = beertax~mlda~jaild~comserd~unrate~ln(perinc)~dyr[.,2:7]; @ time-varying indep. @
	zz    = ones(rows(yy),1); @ time-invariant indep. @ 

	vny   = {"VFR"};
	vnx   = {"beertax","mlda","jailed","comserd","unrate","lpinc",
			 "yr83", "yr84", "yr85", "yr86", "yr87", "yr88"};
    vnz   = {"cons"};

/*
**  From Here, Do Not Change
*/

    clear dat   ;

@   Define k and g @

    k  = cols(xx)  ;
    g  = cols(zz)  ;

	let mask[1,4] = 0 1 1 1;
	let fmt[4,3] =
    "-*.*s" 8 8
    "*.*lf" 10 4
    "*.*lf" 10 4
    "*.*lf" 10 4;

@   Within with HET-AUTO adjustment @

    {wb,wcovh} = w_ha(xx,yy,n,t) ;
    wsh = sqrt(diag(wcovh)) ;

	"Within Estimation Results (HETERO/AUTO ADJUSTED)" ;
	"------------------------" ;
	" dependent variable: " $vny ;
	"";
	"variable     coeff.  std. err.   t-st " ;
	yyprin = printfm(vnx~wb~wsh~(wb./wsh),mask,fmt); 
	"" ;

@   Kiefer's Estimation @

    {kb,kcov,kcovh} = kiefer(xx,yy,n,t) ;
    ks  = sqrt(diag(kcov))  ;
    ksh = sqrt(diag(kcovh)) ;

	"Kiefer's Within GLS Estimation Results" ;
    " The error terms are allowed to heteroskedastic 
      or autocorrelated over time.";
    " But the errors are assumed to be iid over i." ;  
	"------------------------" ;
	" dependent variable: " $vny ;
	"";
	"variable     coeff.  std. err.   t-st " ;
	yyprin = printfm(vnx~kb~ks~(kb./ks),mask,fmt); 
	"" ;

	"Kiefer's Within Estimation Results (CROSS-SECTION HETERO ADJUSTED)" ;
    " The error terms are allowed to heteroskedastic 
      or autocorrelated over time.";
    " The errors are also allowed to hetroskedastic over different individuals." ;  
	"------------------------" ;
	" dependent variable: " $vny ;
	"";
	"variable     coeff.  std. err.   t-st " ;
	yyprin = printfm(vnx~kb~ksh~(kb./ksh),mask,fmt); 
	"" ;

@   RE-GLS Estimation @

    {rb,rcov,rcovh} = regls(xx,yy,n,t) ;
    rs  = sqrt(diag(rcov))  ;
    rsh = sqrt(diag(rcovh)) ;

	"RE-GLS Estimation Results" ;
    " The error terms are allowed to heteroskedastic 
      or autocorrelated over time.";
    " But the errors are assumed to be iid over i." ;  
		"------------------------" ;
	" dependent variable: " $vny ;
	"";
	"variable     coeff.  std. err.   t-st " ;
	yyprin = printfm(vnx~rb~rs~(rb./rs),mask,fmt); 
	"" ;

	"RE-GLS Estimation Results (CROSS-SECTION HETERO ADJUSTED)" ;
    " The error terms are allowed to heteroskedastic 
      or autocorrelated over time.";
    " The errors are also allowed to hetroskedastic over different individuals." ;  
	
	"------------------------" ;
	" dependent variable: " $vny ;
	"";
	"variable     coeff.  std. err.   t-st " ;
	yyprin = printfm(vnx~rb~rsh~(rb./rsh),mask,fmt); 
	"" ;

output off