Money Demand Model
/*--------------------------------------------------------------
SAS Sample Library
Name: pdlex02.sas
Description: Example program from SAS/ETS User's Guide,
The PDLREG Procedure
Title: Money Demand Model
Product: SAS/ETS Software
Keys: time series with distributed lags
PROC: PDLREG
Notes:
--------------------------------------------------------------*/
data a;
input m1 gnp gdf r @@;
m = log( 100 * m1 / gdf );
lagm = lag( m );
y = log( gnp );
p = log( gdf / lag( gdf ) );
date = intnx( 'qtr', '1jan1968'd, _n_-1 );
format date yyqc6.;
label m = 'Real Money Stock (M1)'
lagm = 'Lagged Real Money Stock'
y = 'Real GNP'
r = 'Commercial Paper Rate'
p = 'Inflation Rate';
datalines;
187.15 1036.22 81.18 5.58
190.63 1056.02 82.12 6.08
194.30 1068.72 82.80 5.96
198.55 1071.28 84.04 5.96
201.73 1084.15 84.97 6.66
203.18 1088.73 86.10 7.54
204.18 1091.90 87.49 8.49
206.10 1085.53 88.62 8.62
207.90 1081.32 89.89 8.55
209.78 1083.01 91.07 8.17
212.78 1093.37 91.79 7.84
216.08 1084.60 93.03 6.29
220.28 1111.55 94.40 4.59
225.25 1116.93 95.70 5.04
228.45 1125.78 96.52 5.74
230.70 1135.43 97.39 5.07
235.60 1157.21 98.72 4.06
239.38 1178.54 99.42 4.58
244.55 1193.12 100.25 4.94
250.70 1214.79 101.54 5.33
254.80 1246.72 102.95 6.28
258.40 1248.31 104.75 7.47
261.03 1255.70 106.53 9.87
264.68 1266.05 108.74 8.98
268.77 1253.34 110.72 8.30
271.23 1254.67 113.48 10.46
273.73 1246.86 116.42 11.53
276.73 1230.32 119.79 9.05
278.75 1204.26 122.88 6.56
283.80 1218.82 124.44 5.92
288.13 1246.05 126.68 6.67
290.88 1257.31 128.99 6.12
295.18 1284.97 130.12 5.29
299.53 1293.68 131.30 5.57
303.35 1301.08 132.89 5.53
309.35 1313.06 134.99 4.99
316.55 1341.23 136.80 4.81
321.80 1363.28 139.01 5.24
327.60 1385.80 141.03 5.81
334.80 1388.51 143.24 6.59
341.13 1400.01 145.12 6.80
348.70 1436.97 148.89 7.20
355.45 1448.82 152.02 8.08
361.38 1468.40 155.38 9.90
367.08 1472.57 158.60 10.10
376.10 1469.20 161.85 10.03
384.58 1486.59 165.13 10.60
388.38 1489.38 168.05 13.10
394.30 1496.40 171.94 14.25
390.00 1461.40 176.46 10.62
405.50 1464.20 180.24 9.65
416.10 1477.90 185.13 14.51
420.90 1513.50 190.01 14.52
429.30 1511.70 193.03 15.35
432.60 1522.10 197.71 16.27
437.50 1501.30 201.69 12.94
448.80 1483.50 203.98 13.70
451.30 1480.50 206.77 13.48
458.20 1477.10 208.52 11.53
475.70 1478.80 210.28 8.81
490.90 1491.00 212.86 8.34
505.20 1524.80 214.26 8.61
517.20 1550.20 215.88 9.44
523.40 1572.70 218.20 9.19
;
proc print data=a(obs=5);
var date m lagm y r p;
run;
title 'Money Demand Estimation using Distributed Lag Model';
title2 'Quarterly Data - 1968Q2 to 1983Q4';
proc pdlreg data=a;
model m = lagm y(5,3) r(2, , ,first) p(3,2) / lagdep=lagm;
run;