Klein's Model I Estimated with LIML and 3SLS
/*--------------------------------------------------------------
SAS Sample Library
Name: sysex01.sas
Description: Example program from SAS/ETS User's Guide,
The SYSLIN Procedure
Title: Klein's Model I Estimated with LIML and 3SLS
Product: SAS/ETS Software
Keys: interdependent system
of linear regression equations
PROC: SYSLIN
Notes:
--------------------------------------------------------------*/
*---------------------------Klein's Model I----------------------------*
| By L.R. Klein, Economic Fluctuations in the United States, 1921-1941 |
| (1950), NY: John Wiley. A macro-economic model of the U.S. with |
| three behavioral equations, and several identities. See Theil, p.456.|
*----------------------------------------------------------------------*;
data klein;
input year c p w i x wp g t k wsum;
date=mdy(1,1,year);
format date monyy.;
y =c+i+g-t;
yr =year-1931;
klag=lag(k);
plag=lag(p);
xlag=lag(x);
label year='Year'
date='Date'
c ='Consumption'
p ='Profits'
w ='Private Wage Bill'
i ='Investment'
k ='Capital Stock'
y ='National Income'
x ='Private Production'
wsum='Total Wage Bill'
wp ='Govt Wage Bill'
g ='Govt Demand'
i ='Taxes'
klag='Capital Stock Lagged'
plag='Profits Lagged'
xlag='Private Product Lagged'
yr ='YEAR-1931';
datalines;
1920 . 12.7 . . 44.9 . . . 182.8 .
1921 41.9 12.4 25.5 -0.2 45.6 2.7 3.9 7.7 182.6 28.2
1922 45.0 16.9 29.3 1.9 50.1 2.9 3.2 3.9 184.5 32.2
1923 49.2 18.4 34.1 5.2 57.2 2.9 2.8 4.7 189.7 37.0
1924 50.6 19.4 33.9 3.0 57.1 3.1 3.5 3.8 192.7 37.0
1925 52.6 20.1 35.4 5.1 61.0 3.2 3.3 5.5 197.8 38.6
1926 55.1 19.6 37.4 5.6 64.0 3.3 3.3 7.0 203.4 40.7
1927 56.2 19.8 37.9 4.2 64.4 3.6 4.0 6.7 207.6 41.5
1928 57.3 21.1 39.2 3.0 64.5 3.7 4.2 4.2 210.6 42.9
1929 57.8 21.7 41.3 5.1 67.0 4.0 4.1 4.0 215.7 45.3
1930 55.0 15.6 37.9 1.0 61.2 4.2 5.2 7.7 216.7 42.1
1931 50.9 11.4 34.5 -3.4 53.4 4.8 5.9 7.5 213.3 39.3
1932 45.6 7.0 29.0 -6.2 44.3 5.3 4.9 8.3 207.1 34.3
1933 46.5 11.2 28.5 -5.1 45.1 5.6 3.7 5.4 202.0 34.1
1934 48.7 12.3 30.6 -3.0 49.7 6.0 4.0 6.8 199.0 36.6
1935 51.3 14.0 33.2 -1.3 54.4 6.1 4.4 7.2 197.7 39.3
1936 57.7 17.6 36.8 2.1 62.7 7.4 2.9 8.3 199.8 44.2
1937 58.7 17.3 41.0 2.0 65.0 6.7 4.3 6.7 201.8 47.7
1938 57.5 15.3 38.2 -1.9 60.9 7.7 5.3 7.4 199.9 45.9
1939 61.6 19.0 41.6 1.3 69.5 7.8 6.6 8.9 201.2 49.4
1940 65.0 21.1 45.0 3.3 75.7 8.0 7.4 9.6 204.5 53.0
1941 69.7 23.5 53.3 4.9 88.4 8.5 13.8 11.6 209.4 61.8
;
/*-- Klein's Model I Estimated with LIML --*/
proc syslin data=klein outest=b liml;
endogenous c p w i x wsum k y;
instruments klag plag xlag wp g t yr;
consume: model c = p plag wsum;
invest: model i = p plag klag;
labor: model w = x xlag yr;
run;
proc print data=b;
run;
/*-- Klein's Model I Estimated with 3SLS --*/
proc syslin data=klein 3sls reduced;
endogenous c p w i x wsum k y;
instruments klag plag xlag wp g t yr;
consume: model c = p plag wsum;
invest: model i = p plag klag;
labor: model w = x xlag yr;
product: identity x = c + i + g;
income: identity y = c + i + g - t;
profit: identity p = y - w;
stock: identity k = klag + i;
wage: identity wsum = w + wp;
run;