% Pindyck S. R., Rubinfeld D. L. % ECONOMETRIC MODELS AND ECONOMIC FORECAST % ________________________________________ % McGRAW-HILL,INC. 1991,ISBN 0-07-050098-3 % p. 396 - 412 % % Data: % ##### % Instruktor`s Manual to Acompany Econometric Models and Econometric % Forecast. McGRAW-HILL, INC. 1991, ISBN 0-07-050099-1 % Example 13.1, A-40 % % % Appendix 13.1 A Small Macroeconomic Model % ****************************************** % %================================================================== % 1 2 3 4 5 6 7 % obs CC GNP IIN INF INR IR %================================================================== smallus1=[ 1956.1 895.1000 419.5000 18.90000 0.026342 158.8000 86.10000 1956.2 896.5000 425.1000 16.20000 0.028777 160.5000 85.50000 1956.3 899.2000 429.9000 13.70000 0.042781 162.1000 83.70000 1956.4 908.4000 438.3000 12.10000 0.042328 160.3000 82.40000 1957.1 914.3000 447.3000 5.500000 0.041885 161.1000 81.10000 1957.2 916.2000 449.4000 5.100000 0.013865 160.1000 79.20000 1957.3 922.6000 456.5000 6.300000 0.041308 163.6000 78.30000 1957.4 925.7000 450.9000 -9.400000 0.013675 159.6000 78.60000 1958.1 916.5000 443.9000 -16.90000 0.027211 149.9000 76.20000 1958.2 926.0000 447.9000 -15.10000 0.013537 142.9000 76.10000 1958.3 939.7000 461.0000 -1.200000 0.013491 139.2000 81.50000 1958.4 949.4000 474.2000 9.900000 0.026846 143.4000 90.20000 1959.1 964.3000 485.1000 14.60000 0.039934 147.9000 99.20000 1959.2 977.2000 497.8000 27.50000 0.026403 152.7000 102.8000 1959.3 986.3000 498.0000 3.900000 0.026230 156.9000 100.9000 1959.4 989.6000 502.4000 17.20000 0.000000 156.9000 98.00000 1960.1 997.1000 516.1000 25.50000 0.039025 161.1000 100.9000 1960.2 1009.800 514.5000 6.300000 0.000000 161.4000 92.70000 1960.3 1005.700 517.7000 9.100000 0.012924 157.7000 89.80000 1960.4 1007.800 513.0000 -15.50000 0.000000 157.6000 89.90000 1961.1 1009.500 517.4000 -8.000000 0.000000 155.3000 90.20000 1961.2 1023.500 527.9000 1.100000 0.025724 157.0000 90.50000 1961.3 1024.600 538.5000 16.10000 0.025559 158.0000 95.40000 1961.4 1042.900 551.5000 14.50000 0.000000 162.6000 98.40000 1962.1 1053.600 564.4000 19.50000 0.038035 165.5000 100.2000 1562.2 1063.600 572.2000 13.80000 0.012598 171.3000 103.1000 1962.3 1072.800 579.2000 15.40000 0.012559 173.4000 102.9000 1962.4 1085.800 582.8000 4.900000 0.037442 170.5000 102.7000 1963.1 1094.100 592.1000 13.90000 0.012403 168.9000 106.1000 1963.2 1100.200 600.3000 15.40000 0.000000 174.3000 114.0000 1963.3 1115.500 613.1000 17.80000 0.012365 179.4000 116.0000 1963.4 1123.600 622.1000 10.00000 0.024616 183.9000 119.4000 1964.1 1145.200 636.9000 18.60000 0.012251 186.5000 121.3000 1964.2 1164.400 645.6000 16.80000 0.012214 192.3000 116.0000 1964.3 1184.800 656.0000 15.90000 0.024316 197.9000 112.9000 1964.4 1188.000 660.6000 18.90000 0.012103 202.9000 111.0000 1965.1 1208.200 682.7000 31.00000 0.048049 214.7000 115.0000 1965.2 1221.700 695.0000 21.50000 0.011922 224.1000 116.4000 1965.3 1242.300 710.7000 22.70000 0.035556 231.1000 113.3000 1965.4 1273.200 732.0000 16.60000 0.023530 240.6000 111.9000 1966.1 1287.600 754.8000 33.60000 0.046648 247.9000 113.3000 1966.2 1293.100 764.6000 34.40000 0.034632 251.2000 105.8000 1966.3 1305.500 777.7000 34.50000 0.034335 252.9000 102.3000 1966.4 1309.500 790.9000 45.60000 0.045326 249.7000 91.40000 1967.1 1319.400 799.7000 31.40000 0.022472 244.5000 87.60000 1967.2 1336.500 805.9000 13.80000 0.000000 244.3000 99.30000 1967.3 1343.300 822.9000 32.30000 0.033473 243.4000 104.3000 1967.4 1351.500 837.1000 31.50000 0.044199 247.8000 111.3000 1968.1 1378.100 862.9000 11.90000 0.076193 255.7000 112.9000 1968.2 1396.700 886.7000 27.50000 0.042896 250.0000 115.8000 1968.3 1421.500 903.6000 27.20000 0.042441 252.1000 116.8000 1968.4 1427.100 917.4000 15.10000 0.062828 260.4000 119.3000 1969.1 1442.900 941.3000 24.10000 0.051614 266.0000 119.4000 1969.2 1451.700 955.6000 20.90000 0.050956 267.9000 118.3000 1969.3 1459.900 975.4000 29.90000 0.060302 273.8000 116.5000 1969.4 1472.000 983.5000 22.60000 0.049567 271.1000 107.5000 1970.1 1481.500 994.2000 1.300000 0.068378 265.9000 108.2000 1970.2 1488.100 1008.900 8.500000 0.057693 264.3000 102.1000 1970.3 1501.300 1027.900 16.50000 0.028537 266.9000 107.6000 1970.4 1497.200 1030.900 3.300000 0.047115 259.0000 119.2000 1971.1 1520.900 1075.200 26.00000 0.065042 257.7000 126.1000 1971.2 1533.000 1094.300 16.10000 0.073062 258.6000 139.3000 1971.3 1541.000 1113.900 16.80000 0.044995 257.6000 147.7000 1971.4 1560.100 1127.300 5.500000 0.053334 259.6000 152.2000 1972.1 1581.800 1166.500 8.800000 0.043908 267.9000 163.6000 1972.2 1607.900 1197.200 21.70000 0.026115 272.2000 164.5000 1972.3 1629.900 1223.900 28.60000 0.051725 275.9000 165.6000 1972.4 1667.800 1263.500 18.10000 0.051064 292.2000 172.8000 1973.1 1689.900 1311.600 37.00000 0.058763 304.5000 177.1000 1973.2 1687.200 1342.900 30.10000 0.082477 316.7000 165.3000 1973.3 1694.500 1369.400 22.00000 0.080811 322.6000 158.7000 1973.4 1686.800 1413.300 48.70000 0.094866 325.5000 152.5000 1974.1 1667.500 1426.200 34.10000 0.054317 324.4000 141.4000 1974.2 1677.200 1459.100 38.30000 0.083892 324.7000 134.4000 1974.3 1686.700 1489.100 17.60000 0.133593 316.0000 130.6000 1974.4 1664.700 1516.800 43.60000 0.108018 306.2000 114.4000 1975.1 1677.100 1524.600 -27.80000 0.098251 285.5000 106.9000 1975.2 1706.000 1563.500 -29.70000 0.061910 277.6000 110.8000 1975.3 1723.900 1627.400 -1.300000 0.087767 279.6000 118.2000 1975.4 1740.400 1678.200 2.400000 0.072790 282.1000 123.6000 1976.1 1777.500 1730.900 26.40000 0.045640 284.9000 135.4000 1976.2 1790.400 1761.800 34.70000 0.051531 286.8000 139.1000 1976.3 1809.900 1794.700 25.00000 0.057189 292.8000 136.3000 1976.4 1837.800 1843.700 16.90000 0.068805 297.9000 152.4000 1977.1 1863.700 1899.100 29.90000 0.067642 311.5000 156.3000 1977.2 1869.000 1968.900 28.00000 0.078493 320.4000 172.7000 1977.3 1888.000 2031.600 45.90000 0.047549 327.8000 174.4000 1977.4 1914.200 2062.400 20.00000 0.070280 336.4000 169.1000 1978.1 1923.000 2111.400 34.20000 0.057638 339.5000 172.9000 1978.2 1960.800 2230.300 38.30000 0.096118 363.6000 179.8000 1578.3 1970.300 2289.500 31.00000 0.071974 369.4000 180.8000 1978.4 1989.700 2367.600 41.10000 0.081469 376.0000 178.6000 1979.1 1997.500 2420.500 19.40000 0.090369 383.7000 174.6000 1979.2 1994.100 2474.500 25.80000 0.088373 384.9000 172.4000 1979.3 2007.900 2546.100 4.000000 0.081427 394.2000 170.6000 1979.4 2018.000 2591.500 -7.500000 0.079803 394.8000 165.7000 1980.1 2015.400 2673.000 9.100000 0.083082 397.7000 154.9000 1980.2 1974.100 2672.200 9.300000 0.090859 372.9000 124.1000 1980.3 1996.300 2734.000 -19.00000 0.088841 370.4000 126.8000 1980.4 2015.600 2848.600 -8.400000 0.113968 375.8000 142.2000 1981.1 2022.900 2978.800 22.80000 0.102058 385.7000 139.3000 1981.2 2022.400 3017.700 10.60000 0.065183 395.3000 134.1000 1981.3 2031.500 3099.600 30.60000 0.089508 402.7000 122.3000 1981.4 2020.000 3114.400 11.90000 0.075159 397.0000 110.4000 1982.1 2031.200 3112.600 19.90000 0.061571 387.0000 101.2000 1982.2 2041.000 3159.500 -9.500000 0.048584 369.5000 103.4000 1982.3 2051.800 3179.400 -12.70000 0.055945 358.0000 100.1000 1982.4 2078.700 3212.500 -50.40000 0.035556 352.3000 115.8000 1983.1 2094.200 3265.800 -33.20000 0.031342 341.6000 127.8000 1983.2 2135.100 3367.400 -2.400000 0.031098 348.8000 147.4000 1983.3 2163.000 3443.900 14.80000 0.034699 363.9000 161.9000 1983.4 2191.900 3545.800 20.50000 0.045802 390.4000 159.9000 1984.1 2212.100 3674.900 68.30000 0.041530 401.3000 170.5000 1984.2 2246.700 3754.200 61.50000 0.029934 422.0000 173.1000 1984.3 2257.300 3807.900 62.60000 0.033411 433.0000 170.3000 1984.4 2281.100 3851.800 38.70000 0.029466 444.4000 169.6000 1985.1 2314.100 3921.100 15.80000 0.032892 440.0000 172.6000 1985.2 2337.000 3973.600 12.40000 0.032624 457.2000 171.2000 1985.3 2376.100 4042.000 3.200000 0.028777 454.1000 174.9000 1985.4 2383.200 4104.400 16.70000 0.028571 465.2000 179.7000 1986.1 2409.700 4174.400 35.20000 0.017754 453.2000 185.9000 1986.2 2434.300 4211.600 23.90000 0.028244 441.0000 196.5000 1986.3 2477.500 4265.900 0.100000 0.035026 437.7000 201.1000 1986.4 2480.500 4288.100 2.300000 0.006969 443.2000 202.2000 1987.1 2475.900 4377.700 43.90000 0.041559 426.0000 198.2000 1987.2 2487.500 4445.100 22.70000 0.034305 437.9000 196.8000 1987.3 2520.700 4524.000 12.10000 0.027234 463.8000 193.5000 1987.4 2504.600 4607.400 51.50000 0.027050 465.6000 197.0000]; %=================================================================== % 1 2 3 4 5 6 7 % obs RL RS TAX UR WINF YD %=================================================================== smallus2=[ 1956.1 2.990000 2.250000 292.0578 4.200000 0.060583 1285.742 1956.2 3.000000 2.490000 296.0573 4.300000 0.062017 1289.243 1956.3 3.280000 2.840000 293.2624 3.900000 0.061070 1294.137 1956.4 3.450000 3.210000 300.7017 4.200000 0.060151 1303.998 1957.1 3.320000 3.080000 306.2500 3.700000 0.039604 1314.350 1957.2 3.650000 3.290000 304.4983 4.300000 0.019656 1318.802 1957.3 3.730000 3.530000 302.0548 4.400000 0.039025 1329.945 1957.4 3.380000 3.040000 291.1263 5.200000 0.019370 1322.074 1958.1 3.290000 1.300000 277.9661 6.700000 0.019277 1308.434 1958.2 3.230000 0.830000 277.0270 7.300000 0.038278 1321.473 1958.3 3.800000 2.440000 288.2155 7.100000 0.037915 1347.484 1958.4 3.860000 2.770000 298.6622 6.200000 0.074769 1371.338 1959.1 3.990000 2.800000 311.9205 5.600000 0.055173 1378.579 1959.2 4.140000 3.210000 323.3553 5.000000 0.036364 1397.945 1959.3 4.290000 4.040000 316.6667 5.500000 -0.018141 1398.433 1959.4 4.330000 4.490000 318.9542 5.300000 0.054177 1411.546 1960.1 4.140000 3.310000 340.4531 5.400000 0.053453 1418.847 1960.2 4.040000 2.460000 336.5696 5.400000 0.000000 1419.531 1960.3 3.860000 2.480000 333.5484 5.500000 0.035242 1426.352 1960.4 3.910000 2.250000 330.3226 6.600000 0.000000 1418.677 1961.1 3.810000 2.390000 330.9677 6.900000 0.017505 1440.332 1961.2 3.890000 2.330000 336.5385 6.900000 0.052061 1459.762 1961.3 4.040000 2.280000 342.0382 6.700000 0.017204 1473.962 1961.4 4.070000 2.600000 353.5032 6.000000 0.051173 1502.597 1962.1 4.040000 2.720000 354.2587 5.600000 0.033756 1526.041 1962.2 3.960000 2.730000 359.4340 5.500000 0.016772 1538.666 1962.3 4.000000 2.780000 366.7712 5.600000 0.000000 1548.429 1962.4 3.920000 2.870000 368.3230 5.500000 0.049897 1545.277 1963.1 3.980000 2.890000 376.1610 5.700000 0.032922 1563.739 1963.2 4.020000 2.990000 384.5202 5.600000 0.032653 1581.580 1963.3 4.090000 3.380000 387.3457 5.500000 0.016227 1612.154 1963.4 4.190000 3.520000 389.8773 5.500000 0.048290 1625.423 1964.1 4.220000 3.540000 385.9327 5.400000 0.015968 1671.967 1964.2 4.170000 3.480000 376.2195 5.200000 0.031746 1698.880 1964.3 4.200000 3.530000 384.8485 5.100000 0.047152 1711.151 1964.4 4.180000 3.840000 390.0302 5.000000 0.015595 1715.570 1965.1 4.200000 3.930000 403.5821 4.700000 0.031008 1745.518 1965.2 4.210000 3.800000 407.7381 4.600000 0.030769 1771.862 1965.3 4.300000 3.920000 400.8849 4.300000 0.030535 1840.315 1965.4 4.500000 4.380000 411.1437 4.000000 0.030303 1857.057 1966.1 4.720000 4.590000 435.3623 3.800000 0.045029 1877.538 1966.2 4.730000 4.500000 447.4138 3.800000 0.044527 1870.886 1966.3 4.940000 5.370000 452.9914 3.700000 0.058609 1897.409 1966.4 4.760000 4.960000 456.3380 3.800000 0.014519 1911.862 1967.1 4.560000 4.260000 457.9832 3.800000 0.043244 1931.017 1967.2 4.990000 3.540000 460.2241 3.900000 0.042781 1941.976 1967.3 5.160000 4.420000 468.6112 3.800000 0.028269 1967.389 1967.4 5.590000 4.570000 477.1978 3.800000 0.083627 1975.002 1968.1 5.590000 5.170000 492.1833 3.700000 0.081914 1994.517 1968.2 5.400000 5.520000 503.4667 3.700000 0.053692 2026.733 1968.3 5.280000 5.190000 530.3430 3.400000 0.066117 2021.357 1968.4 5.880000 5.960000 538.1818 3.400000 0.065042 2013.318 1969.1 6.220000 6.020000 559.2308 3.400000 0.038524 2029.769 1969.2 6.280000 6.440000 561.7722 3.500000 0.063393 2030.728 1969.3 6.550000 7.090000 550.8729 3.700000 0.062404 2057.427 1969.4 6.910000 7.820000 548.2759 3.500000 0.049231 2054.024 1970.1 6.720000 6.630000 529.7821 4.400000 0.048633 2061.518 1970.2 7.340000 6.680000 527.4463 4.900000 0.059971 2077.854 1970.3 6.880000 6.130000 517.0617 5.400000 0.070799 2126.538 1970.4 6.280000 4.870000 510.3045 6.100000 0.023324 2116.296 1971.1 5.940000 3.380000 515.8986 6.000000 0.091958 2178.502 1971.2 6.380000 4.750000 514.9321 5.900000 0.056418 2218.768 1971.3 6.050000 4.690000 514.9888 6.000000 0.022346 2207.811 1971.4 6.000000 4.010000 523.1788 6.000000 0.077244 2199.521 1972.1 6.060000 3.730000 566.1573 5.800000 0.097171 2218.443 1972.2 6.010000 3.910000 569.4143 5.700000 0.052981 2262.386 1972.3 6.050000 4.660000 571.0920 5.500000 0.073014 2289.208 1972.4 5.960000 5.070000 582.6639 5.200000 0.081844 2348.136 1973.1 6.910000 6.090000 609.5834 4.900000 0.050315 2385.517 1973.2 7.060000 7.190000 605.5102 4.900000 0.059554 2395.390 1973.3 7.250000 8.290000 603.8000 4.800000 0.078051 2398.200 1973.4 7.290000 7.450000 611.1328 4.900000 0.067068 2413.667 1974.1 7.730000 7.960000 616.5703 5.100000 0.047226 2397.129 1974.2 8.100000 7.900000 624.3396 5.400000 0.147482 2406.660 1574.3 8.600000 8.060000 629.0146 5.900000 0.107149 2374.485 1974.4 7.910000 7.150000 607.2824 7.200000 0.087149 2384.418 1975.1 7.990000 5.490000 583.8821 8.600000 0.085291 2372.118 1975.2 8.040000 5.340000 521.6724 8.800000 0.058640 2504.628 1975.3 8.570000 6.420000 588.6477 8.400000 0.074153 2459.152 1975.4 8.230000 5.440000 595.5738 8.200000 0.072803 2490.126 1976.1 7.970000 5.000000 611.6694 7.600000 0.087219 2528.130 1976.2 8.030000 5.410000 619.2000 7.600000 0.069973 2530.400 1976.3 7.780000 5.080000 625.3943 7.600000 0.098959 2541.306 1976.4 7.300000 4.350000 628.5271 7.800000 0.074490 2568.973 1977.1 7.730000 4.600000 651.3720 7.400000 0.073128 2584.428 1977.2 7.640000 5.020000 653.5127 7.200000 0.100184 2621.187 1977.3 7.570000 5.810000 658.3457 6.800000 0.076993 2684.054 1977.4 7.870000 6.070000 666.7634 6.400000 0.075539 2669.437 1978.1 8.210000 6.290000 672.5322 6.300000 0.087472 2689.868 1978.2 8.530000 6.730000 698.6033 5.900000 0.072549 2751.597 1978.3 8.470000 7.850000 712.3457 6.000000 0.096857 2772.554 1978.4 8.900000 9.080000 726.7473 6.000000 0.100793 2797.453 1979.1 9.080000 9.480000 733.6400 5.800000 0.080064 2790.960 1979.2 8.910000 9.060000 732.9049 5.700000 0.072509 2784.295 1979.3 9.210000 10.26000 738.4131 5.900000 0.065332 2822.587 1979.4 10.18000 12.04000 740.7408 6.000000 0.081635 2817.859 1980.1 12.49000 15.20000 747.0376 6.300000 0.080003 2843.362 1980.2 9.890000 7.070000 728.1324 7.600000 0.083978 2791.768 1980.3 11.47000 10.27000 738.7283 7.500000 0.109297 2811.772 1980.4 12.49000 15.49000 756.1798 7.200000 0.116874 2830.620 1981.1 12.94000 13.36000 786.5279 7.400000 0.088029 2860.372 1981.2 13.20000 14.73000 785.1293 7.500000 0.086134 2847.571 1981.3 15.07000 14.70000 788.7250 7.600000 0.089223 2868.775 1981.4 13.73000 10.85000 765.9773 8.500000 0.024435 2846.523 1982.1 13.75000 12.68000 751.3238 9.000000 0.077204 2816.476 1982.2 14.18000 12.47000 748.9939 9.600000 0.066352 2834.906 1982.3 12.16000 7.920000 731.3492 10.10000 0.032768 2841.251 1982.4 10.62000 7.940000 728.8102 10.80000 0.023242 2861.690 1983.1 10.80000 8.350000 728.4878 10.30000 0.041499 2889.112 1983.2 11.12000 8.790000 754.8887 10.10000 0.036530 2932.311 1983.3 11.82000 9.000000 748.3685 9.200000 0.040701 2977.431 1983.4 12.02000 9.000000 756.6413 8.300000 0.049190 3032.359 1984.1 12.45000 9.520001 785.5399 7.800000 0.039801 3088.160 1984.2 13.54000 9.870000 793.1966 7.200000 0.030685 3127.003 1984.3 12.42000 10.37000 754.2699 7.300000 0.043432 3148.530 1984.4 11.64000 8.060000 803.9450 7.300000 0.042965 3150.555 1985.1 12.06000 8.520001 847.2247 7.200000 0.034043 3159.575 1985.2 10.57000 6.950000 809.9279 7.300000 0.042150 3212.972 1985.3 10.80000 7.100000 837.6345 7.100000 0.016736 3224.166 1985.4 9.750000 7.100000 843.5053 7.000000 0.049793 3245.495 1986.1 8.090000 6.560000 843.4898 7.100000 0.004122 3305.910 1986.2 7.690000 6.210000 847.4055 7.100000 0.008230 3310.294 1986.3 7.560000 5.210000 856.5825 7.000000 0.008214 3317.517 1986.4 7.280000 5.530000 877.3716 6.700000 0.016377 3311.628 1987.1 7.400000 5.590000 890.5255 6.500000 0.020377 3336.774 1987.2 8.485000 5.670000 926.7293 6.100000 0.020274 3324.571 1987.3 9.505000 6.400000 919.7625 5.900000 0.044244 3371.537 1987.4 9.055000 5.770000 929.6546 5.800000 0.003998 3408.346]; %=================================================================== % 1 2 3 4 5 6 7 % obs G GNPP RGM POIL TR WLTH %=================================================================== smallus3=[ 1956.1 360.0000 1505.700 -0.021843 0.000000 62.09998 4.779785 1956.2 364.9000 1517.700 -0.024095 0.031621 62.69995 4.832849 1956.3 362.4000 1528.000 -0.006597 0.000000 63.69995 4.865277 1956.4 367.6000 1536.600 -0.004844 0.031373 64.10010 4.881202 1957.1 379.4000 1545.200 -0.003527 0.358449 67.29993 4.837351 1957.2 381.6000 1553.900 -0.004855 0.000000 70.89990 4.873099 1957.3 382.1000 1561.500 -0.003092 0.000000 70.50000 4.895893 1957.4 381.2000 1571.400 -0.004422 0.000000 75.90002 4.878857 1958.1 386.5000 1580.200 0.022061 0.000000 80.30005 4.850462 1958.2 392.7000 1589.100 0.078425 0.000000 84.29993 4.902302 1958.3 397.1000 1598.000 0.053146 -0.028674 85.69995 4.954620 1958.4 404.7000 1607.000 0.042351 0.000000 83.30005 5.108759 1959.1 399.3000 1616.000 0.072638 -0.116797 84.09998 5.216578 1959.2 398.8000 1625.100 0.027211 0.029521 84.30005 5.306273 1959.3 397.1000 1634.200 0.007389 -0.059261 85.59998 5.364917 1959.4 395.3000 1648.000 0.004509 0.000000 87.09998 5.442781 1960.1 395.2000 1662.000 0.020023 0.000000 87.69995 5.415129 1960.2 402.6000 1676.000 0.012617 0.000000 89.30005 5.416696 1960.3 406.8000 1690.200 0.078461 0.000000 91.50000 5.455735 1960.4 410.1000 1704.400 0.028190 0.000000 94.90002 5.497868 1961.1 419.7000 1718.800 0.073699 0.000000 100.0000 5.618591 1961.2 422.4000 1733.400 0.074653 0.029740 104.2001 5.707431 1961.3 426.7000 1748.000 0.037944 0.000000 99.70007 5.788570 1961.4 439.6000 1762.800 0.073342 0.000000 101.2000 5.890928 1962.1 446.0000 1792.700 0.075661 0.000000 102.4000 5.903547 1962.2 446.9000 1792.700 0.057435 0.000000 101.7001 5.828097 1962.3 452.1000 1807.800 0.038192 0.000000 102.1000 5.729170 1962.4 452.6000 1823.900 0.089228 0.000000 103.5000 5.726599 1963.1 455.2000 1841.000 0.072638 0.000000 105.3000 5.848040 1963.2 454.4000 1858.200 0.070673 0.000000 106.1001 5.996742 1963.3 464.1000 1875.600 0.065820 0.000000 107.0000 6.071990 1963.4 465.5000 1893.100 0.052083 -0.029740 109.2001 6.146951 1964.1 469.2000 1910.800 0.063604 0.000000 109.2000 6.231923 1964.2 472.7000 1928.700 0.059769 0.000000 109.7000 6.328185 1964.3 470.3000 1946.700 0.081833 0.000000 110.7999 6.402573 1964.4 471.1000 1964.900 0.065620 0.000000 111.8999 6.540640 1965.1 469.6000 1983.300 0.064861 0.000000 112.2001 6.566892 1965.2 480.8000 2001.900 0.025653 0.000000 113.2001 6.537258 1965.3 491.5000 2020.600 0.083563 0.000000 141.9000 6.624892 1965.4 505.8000 2039.500 0.053222 0.000000 120.6001 6.815696 1966.1 513.5000 2058.600 0.029487 0.000000 122.8000 6.803586 1966.2 523.4000 2077.800 -0.001712 0.029740 122.5000 6.735013 1966.3 541.9000 2097.300 0.000856 0.000000 132.1000 6.632651 1966.4 551.7000 2116.900 0.015660 0.029521 139.0000 6.495937 1967.1 569.2000 2136.700 0.065111 0.000000 147.2000 6.623079 1967.2 573.1000 2156.700 0.066819 0.000000 147.0000 6.873896 1967.3 579.1000 2176.800 0.066802 0.029304 148.2999 7.005715 1967.4 583.2000 2197.200 0.039552 0.000000 151.6000 7.034818 1968.1 590.1000 2217.800 0.018165 0.000000 159.7999 6.967875 1968.2 600.5000 2238.500 0.017021 0.000000 163.3000 7.145277 1968.3 601.0000 2259.400 0.037510 0.029051 166.4000 7.257531 1968.4 599.0000 2280.600 0.046267 0.000000 168.5000 7.322777 1969.1 593.2000 2301.900 -0.011191 0.142364 172.5000 7.353728 1969.2 596.0000 2323.400 -0.021952 0.055556 172.7001 7.308778 1969.3 590.4000 2345.200 -0.026292 0.000000 175.1001 7.209047 1969.4 585.3000 2367.100 -0.022485 0.000000 178.8000 7.161336 1970.1 578.6000 2389.300 -0.052871 0.000000 182.7000 7.077292 1970.2 569.7000 2411.600 0.002419 0.000000 198.8000 6.891047 1970.3 571.6000 2434.200 0.051779 -0.055556 207.7999 6.920193 1970.4 570.6000 2456.900 0.042468 0.296432 212.8000 6.912427 1971.1 567.6000 2479.900 0.115598 0.051614 215.7999 7.108224 1971.2 564.0000 2503.100 0.094466 0.000000 255.3000 7.278473 1971.3 566.9000 2526.500 0.085956 0.000000 231.7000 7.317426 1971.4 567.4000 2550.200 0.075788 0.000000 231.7000 7.285175 1972.1 576.4000 2574.000 0.099645 -0.051614 239.0000 7.400463 1972.2 574.1000 2598.100 0.062935 0.000000 236.7000 7.625763 1972.3 566.1000 2618.500 0.110266 0.051614 238.2001 7.701548 1972.4 566.1000 2635.200 0.086381 0.000000 259.5000 7.825735 1973.1 572.5000 2652.000 -0.014451 0.025559 261.1000 7.963120 1973.2 568.6000 2668.900 0.010077 0.341671 259.8999 7.521529 1973.3 555.8000 2686.000 -0.043115 0.249373 263.7000 7.927552 1973.4 564.2000 2703.100 -0.024625 0.357192 262.0000 7.909156 1974.1 567.8000 2720.300 -0.059636 1.293865 266.2999 7.828414 1974.2 580.2000 2737.700 -0.058933 0.000000 275.8001 7.763505 1974.3 572.6000 2755.100 -0.077538 0.440307 284.2000 7.523867 1974.4 572.1000 2772.700 -0.061232 -0.039280 296.2999 7.377519 1975.1 577.5000 2790.400 0.040612 0.129461 313.3001 7.412941 1975.2 577.2000 2808.200 0.108688 0.422716 356.7000 7.617110 1975.3 582.1000 2826.100 0.032787 0.000000 332.8999 7.671252 1975.4 586.8000 2844.200 0.028020 0.101844 333.0001 7.691387 1976.1 582.4000 2862.300 0.101823 -0.313659 335.3999 7.905105 1976.2 580.3000 2880.600 0.054289 0.083710 332.7000 8.166899 1976.3 579.4000 2898.900 0.065084 0.105116 338.1001 8.321730 1976.4 579.0000 2917.400 0.097034 0.158212 340.7000 8.367727 1577.1 580.2000 2936.000 0.035403 0.076820 339.8001 8.353734 1977.2 587.5000 2954.800 0.043053 0.032476 332.0000 8.371951 1977.3 594.9000 2973.300 0.046628 0.053548 340.5999 8.455898 1977.4 593.6000 2991.500 0.014486 0.176882 342.0999 8.442682 1978.1 592.5000 3009.900 -0.006432 0.070620 341.8999 8.530474 1978.2 601.3000 3028.300 -0.022794 0.079210 334.3001 8.563661 1978.3 611.5000 3046.900 0.007680 0.087276 342.3001 8.818360 1978.4 611.1000 3065.500 -0.016388 0.085412 342.6001 8.968978 1979.1 606.7000 3084.300 -0.049776 0.147482 342.9002 9.070046 1979.2 606.9000 3103.200 -0.032359 0.379595 338.5000 9.160616 1979.3 611.3000 3122.200 -0.019084 0.679596 353.6001 9.271364 1979.4 611.7000 3141.400 -0.081927 0.433922 357.3001 9.368574 1980.1 617.8000 3160.600 -0.105807 0.419573 357.0000 9.413512 1980.2 625.1000 3180.000 -0.056181 0.197030 362.8999 9.499000 1980.3 621.1000 3199.500 0.086142 0.157088 391.3999 9.618848 1980.4 617.9000 3219.100 -0.053567 0.409615 367.5999 9.754269 1981.1 626.3000 3238.800 -0.016695 1.144930 385.8001 9.762061 1981.2 626.4000 3258.600 -0.006830 -0.127332 382.5000 9.946621 1981.3 630.2000 3277.300 -0.000882 -0.094550 392.9002 9.915132 1981.4 635.9000 3296.200 0.061067 -0.051852 393.5000 9.957154 1982.1 634.6000 3315.100 0.041489 -0.218341 397.4002 9.916081 1982.2 629.7000 3334.100 -0.021555 -0.148388 404.0000 9.663091 1982.3 642.5000 3353.200 0.081723 0.000000 418.1001 9.623443 1982.4 660.1000 3372.500 0.087759 0.012238 431.2000 9.793193 1983.1 649.2000 3391.800 0.196265 -0.239190 431.0000 10.16438 1983.2 650.9000 3411.300 0.033979 -0.004327 428.8999 10.53137 1983.3 653.6000 3430.800 0.031365 -0.013008 419.3999 10.56658 1983.4 642.2000 3450.500 0.038239 -0.004345 423.8999 10.75545 1984.1 653.0000 3470.300 0.023571 0.004345 422.0000 10.72921 1984.2 680.2000 3490.200 0.031784 -0.013050 422.2000 10.71613 1984.3 684.5000 3510.300 0.024568 -0.017467 422.2000 10.84130 1984.4 693.2000 3530.400 0.077248 -0.124455 419.3001 10.96502 1985.1 703.4000 3550.500 0.055606 -0.218025 438.1001 11.09081 1985.2 712.1000 3570.500 0.045845 0.033234 435.8001 11.18306 1985.3 738.6000 3590.600 0.061149 -0.033234 438.8001 11.20423 1985.4 753.7000 3610.800 0.009747 0.056806 438.0999 11.28520 1986.1 737.6000 3631.200 0.084247 -2.273872 450.6001 11.58799 1986.2 751.6000 3651.700 0.090989 -0.647148 453.0000 11.98864 1986.3 757.2000 3672.200 0.080174 0.143728 456.0999 12.20537 1986.4 771.8000 3692.900 0.068001 -0.047338 457.5000 12.31070 1987.1 759.6000 3729.829 -0.024728 0.877307 455.1001 12.43381 1987.2 766.7000 3767.127 -0.016626 0.301891 456.0000 12.55815 1987.3 771.7000 3804.799 0.000165 0.098078 455.3999 12.68373 1987.4 788.9000 3842.646 -0.002310 -0.264618 457.2002 12.81056]; %================= % obs XM %================= smallus4=[ 1956.1 -1.500000 1956.2 2.899994 1956.3 5.000000 1956.4 10.80000 1957.1 11.00000 1957.2 9.299995 1957.3 7.599999 1957.4 0.099998 1958.1 -7.799995 1958.2 -10.60000 1958.3 -9.000000 1958.4 -13.90000 1959.1 -18.80000 1959.2 -22.10000 1959.3 -16.20000 1959.4 -15.70000 1960.1 -9.300003 1960.2 -6.900002 1960.3 -2.400002 1960.4 2.599999 1961.1 3.799995 1961.2 -3.000000 1961.3 -5.399994 1961.4 -6.099999 1962.1 -9.399994 1962.2 -5.199997 1962.3 -6.500000 1962.4 -9.000000 1963.1 -6.599999 1963.2 -1.400002 1963.3 -2.699997 1963.4 3.000000 1964.1 9.699997 1964.2 4.699997 1964.3 5.600006 1964.4 3.699997 1965.1 -3.000000 1965.2 -0.500000 1965.3 -4.300003 1965.4 -3.199997 1966.1 -7.900009 1966.2 -11.60001 1966.3 -18.09999 1966.4 -17.30000 1967.1 -15.50000 1967.2 -16.20000 1967.3 -13.50000 1967.4 -22.50000 1968.1 -28.70000 1968.2 -27.50000 1968.3 -29.20000 1968.4 -33.30000 1969.1 -31.60001 1969.2 -36.89999 1969.3 -36.59999 1969.4 -34.39999 1970.1 -31.39999 1970.2 -27.70000 1970.3 -27.70001 1970.4 -33.30000 1971.1 -25.30000 1971.2 -41.60001 1971.3 -42.70000 1971.4 -49.30000 1972.1 -52.20000 1972.2 -49.20001 1972.3 -47.70000 1972.4 -48.59999 1973.1 -44.09999 1973.2 -36.50002 1973.3 -23.40001 1973.4 -22.39999 1974.1 10.99998 1974.2 1.399994 1974.3 -5.599976 1974.4 -3.500000 1975.1 17.39999 1975.2 28.20000 1975.3 14.39999 1975.4 15.39999 1976.1 -0.200012 1976.2 -8.700012 1976.3 -13.39999 1976.4 -21.79999 1977.1 -39.90002 1977.2 -32.90002 1977.3 -28.10001 1977.4 -41.00000 1978.1 -39.00000 1978.2 -30.69998 1978.3 -22.50000 1978.4 -15.10001 1979.1 -4.800018 1979.2 -12.50000 1979.3 12.50000 1979.4 18.69998 1980.1 43.50000 1980.2 58.60001 1980.3 74.00000 1980.4 52.20001 1981.1 59.70001 1981.2 50.19998 1981.3 42.10001 1981.4 45.29999 1982.1 40.39999 1982.2 41.70001 1982.3 11.70001 1982.4 11.70001 1983.1 16.10001 1983.2 -14.59998 1983.3 -35.00000 1983.4 -46.10001 1984.1 -68.59998 1984.2 -87.39999 1984.3 -85.39999 1984.4 -94.79999 1985.1 -81.00000 1985.2 -107.7000 1985.3 -114.9000 1985.4 -129.3000 1986.1 -122.9000 1986.2 -146.8000 1986.3 -161.6000 1986.4 -151.8000 1987.1 -135.2000 1987.2 -132.7000 1987.3 -138.5000 1987.4 -135.8000]; GNPr= smallus1(:,2)+smallus1(:,6)+smallus1(:,7)+smallus1(:,4)... +smallus3(:,2)+smallus4(:,2); save us_small smallus1 smallus2 smallus3 smallus4 GNPr n=max(size(smallus1)); tp=(1955.25:0.25:1955+0.25*n)'-1900; t=tp(5:n); GNPr= smallus1(:,2)+smallus1(:,6)+smallus1(:,7)+smallus1(:,4)... +smallus3(:,2)+smallus4(:,2); % Variable Name Definition % ************* ********** % O u t p u t s % time t CC = smallus1(5:n,2); % Consumption GNPn= smallus1(5:n,3); % Nominal Gross National Product IIN = smallus1(5:n,4); % Inventory Investment INF = 100*smallus1(5:n,5); % Inflation Rate INR = smallus1(5:n,6); % Nonresidential Investment IR = smallus1(5:n,7); % Residential Investment RL = smallus2(5:n,2); % Long-term Interest Rate RS = smallus2(5:n,3); % Short-term Interest Rate TAX = smallus2(5:n,4); % Tax Revenue UR = smallus2(5:n,5); % Unemployment Rate WINF= 100*smallus2(5:n,6); % Rate of Growth of Wage Rate YD = smallus2(5:n,7); % Disposable Income GNP = GNPr(5:n); % Real Gross National Product % I n p u t s G = smallus3(5:n,2); % Gavernment Spending GNPP= smallus3(5:n,3); % Potential GNP RGM = 100*smallus3(5:n,4); % Growth Rate of Money Supply POIL= 100*smallus3(5:n,5); % Growth Rate of Oil Prices TR = smallus3(5:n,6); % Transfer Payments WLTH= smallus3(5:n,7); % Houshold Wealth XM = smallus4(5:n,2); % Net Exports % L a g e d O u t p u t s % time t-1 CC_1 = smallus1(4:n-1,2); GNP_1= GNPr(4:n-1); IIN_1= smallus1(4:n-1,4); INF_1= 100*smallus1(4:n-1,5); INR_1= smallus1(4:n-1,6); IR_1 = smallus1(4:n-1,7); RL_1 = smallus2(4:n-1,2); RS_1 = smallus2(4:n-1,3); YD_1 = smallus2(4:n-1,7); % time t-2 INF_2 = 100*smallus1(3:n-2,5); % time t-3 INF_3 = 100*smallus1(2:n-3,5); UR_3 = smallus2(2:n-3,5); % time t-3 RL_4 = smallus2(1:n-4,2); % D i f f e r e n c e s dCC = CC-CC_1; dGNP = GNP-GNP_1; dYD = YD-YD_1; set(0,'DefaultAxesFontSize',8); set(0,'DefaultTextColor','black'); set(0,'DefaultLineLineWidth',0.5); %<---<<< figure(1) clf set(gcf,'Name','A Priori Historical Simulation of Model States'); subplot(4,3,1) hndl1=plot(t,GNP,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(GNP)-100 max(GNP)+100]); title('Gross National Product GNP'); ylabel('[ billions of 1982 USD ]'); grid subplot(4,3,2) hndl2=plot(t,YD,'r'); set(hndl2,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(YD)-50 max(YD)+50]); title('Disposable Income YD'); ylabel('[ billions of 1982 USD ]'); grid subplot(4,3,3) hndl3=plot(t,TAX,'r'); set(hndl3,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(TAX)-50 max(TAX)+50]); title('Tax Revenue TAX'); ylabel('[ billions of 1982 USD ]'); grid subplot(4,3,4) hndl4=plot(t,CC,'r'); set(hndl4,'LineWidth',1) hold on axis([min(t)-0.25 max(t)+0.25 min(CC)-50 max(CC)+50]); title('Consumption C'); ylabel('[ billions of 1982 USD ]'); grid subplot(4,3,5) hndl5=plot(t,INR,'r'); set(hndl5,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(INR)-25 max(INR)+25]); title('Nonresidential Investmen INR'); ylabel('[ billions of 1982 USD ]'); grid subplot(4,3,6) hndl6=plot(t,IR,'r'); set(hndl6,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(IR)-15 max(IR)+15]); title('Residential Investment IR'); ylabel('[ billions of 1982 USD ]'); grid subplot(4,3,7) hndl7=plot(t,IIN,'r'); set(hndl7,'LineWidth',1) hold on axis([min(t)-0.25 max(t)+0.25 min(IIN)-5 max(IIN)+5]); title('Inventory Investment IIN'); ylabel('[ billions of 1982 USD ]'); grid subplot(4,3,8) hndl8=plot(t,RS,'r'); set(hndl8,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(RS)-1 max(RS)+1]); title('Short-term Interest Rate RS'); ylabel('[ pecent per year ]'); grid subplot(4,3,9) hndl9=plot(t,RL,'r'); set(hndl9,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(RL)-1 max(RL)+1]); title('Long-term Interest Rate RL'); ylabel('[ pecent per year]'); grid subplot(4,3,10) hndl10=plot(t,INF,'r'); set(hndl10,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(INF)-1 max(INF)+1]); title('Inflation Rate INF'); ylabel('[ pecent per year ]'); grid subplot(4,3,11) hndl11=plot(t,WINF,'r'); set(hndl11,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(WINF)-1 max(WINF)+1]); title('Rate of Growth of Wage Rate WINF'); ylabel('[ pecent per year ]'); grid subplot(4,3,12) hndl12=plot(t,UR,'r'); set(hndl12,'LineWidth',1) hold off axis([min(t)-0.25 max(t)+0.25 min(UR)-0.50 max(UR)+0.50]); title('Unemployment Rate UR'); ylabel('[ pecent ]'); grid set(0,'DefaultAxesFontSize',7); figure(2) clf set(gcf,'Name','Observed Time Series of a Small Macroeconomic Model of USA'); subplot(5,4,1) plot(t,CC,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(CC)-50 max(CC)+50]); title('Consumption C'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,2) plot(t,GNP,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(GNP)-100 max(GNP)+100]); title('Gross National Product GNP'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,3) plot(t,IIN,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(IIN)-5 max(IIN)+5]); title('Inventory Investment IIN'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,4) plot(t,INF,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(INF)-1 max(INF)+1]); title('Inflation Rate INF'); ylabel('[ pecent per year ]'); grid subplot(5,4,5) plot(t,INR,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(INR)-25 max(INR)+25]); title('Nonresidential Investmen INR'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,6) plot(t,IR,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(IR)-15 max(IR)+15]); title('Residential Investment IR'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,7) plot(t,RL,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(RL)-1 max(RL)+1]); title('Long-term Interest Rate RL'); ylabel('[ pecent per year]'); grid subplot(5,4,8) plot(t,RS,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(RS)-1 max(RS)+1]); title('Short-term Interest Rate RS'); ylabel('[ pecent per year ]'); grid subplot(5,4,9) plot(t,TAX,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(TAX)-50 max(TAX)+50]); title('Tax Revenue TAX'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,10) plot(t,UR,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(UR)-0.50 max(UR)+0.50]); title('Unemployment Rate UR'); ylabel('[ pecent ]'); grid subplot(5,4,11) plot(t,WINF,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(WINF)-1 max(WINF)+1]); title('Rate of Growth of Wage Rate WINF'); ylabel('[ pecent per year ]'); grid subplot(5,4,12) plot(t,YD,'g'); hold off axis([min(t)-0.25 max(t)+0.25 min(YD)-50 max(YD)+50]); title('Disposable Income YD'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,13) plot(t,G,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(G)-50 max(G)+50]); title('Government Spending G'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,14) plot(t,GNPP,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(GNPP)-50 max(GNPP)+50]); title('Potential Gross National Product GNPP'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,15) plot(t,RGM,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(RGM)-1.5 max(RGM)+1.5]); title('Growth Rate of Money Supply RGM'); ylabel('[ pecent per year ]'); grid subplot(5,4,16) plot(t,POIL,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(POIL)-7 max(POIL)+7]); title('Growth Rate of Oil Prices POIL'); ylabel('[ pecent per year ]'); grid subplot(5,4,17) plot(t,TR,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(TR)-50 max(TR)+50]); title('Transfer Payments TR'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,18) plot(t,WLTH,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(WLTH)-1 max(WLTH)+1]); title('Household Wealth WLTH'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,19) plot(t,XM,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(XM)-25 max(XM)+25]); title('Net Exports XM'); ylabel('[ billions of 1982 USD ]'); grid subplot(5,4,20) plot(t,GNPn,'r'); hold off axis([min(t)-0.25 max(t)+0.25 min(GNPn)-100 max(GNPn)+100]); title('Nominal Gross National Product GNPN'); ylabel('[ billions of nominal USD ]'); grid