?***************************************
? Imperfection du marché du travail 
? et decision d'investissement
?***************************************

options memory=8;

?--------------------------------------------------------
? Lecture des donnees
?  Il y a 6 années (de 1987 à 1992) et 1471 individus
?
?  Intitulé des séries
?  invm   : Investissement
?  kapm   : Capital
?  Y      : Production
?  empr   : Endettement
?  resniv : Profit
?  tinvm  : taux d'accumulation
?  ydkm   : rapport production / capital
?  resm   : rapport profit / capital
?  totdkm : rapport endettement /capital
?  dum    : dummy
?
? Lecture des données avec toutes les variables d'un individu
? sur la même ligne
?--------------------------------------------------------
SMPL 1 1471;

READ (FILE='chapitre14.txt')

@id invm87 kapm87 Y87 empr87 resniv87 tinvm87 ydkm87 resm87 totdkm87 dum87

@id invm88 kapm88 Y88 empr88 resniv88 tinvm88 ydkm88 resm88 totdkm88 dum88

@id invm89 kapm89 Y89 empr89 resniv89 tinvm89 ydkm89 resm89 totdkm89 dum89

@id invm90 kapm90 Y90 empr90 resniv90 tinvm90 ydkm90 resm90 totdkm90 dum90

@id invm91 kapm91 Y91 empr91 resniv91 tinvm91 ydkm91 resm91 totdkm91 dum91

@id invm92 kapm92 Y92 empr92 resniv92 tinvm92 ydkm92 resm92 totdkm92 dum92

;

?******************************************************************
?Problème n°3a : Estimation d'un modèle basé sur l'équation d'Euler
?******************************************************************


DOT 87-92;
 GENR dummy.=1-dum.;
 GENR tinvms. = tinvm. * tinvm.;
ENDDOT;

GENR dtau87=dummy88*tinvm87;
GENR dtau88=dummy89*tinvm88;
GENR dtau89=dummy90*tinvm89;
GENR dtau90=dummy91*tinvm90;
GENR dtau91=dummy92*tinvm91;

GENR dstau87=dummy88*tinvms87;
GENR dstau88=dummy89*tinvms88;
GENR dstau89=dummy90*tinvms89;
GENR dstau90=dummy91*tinvms90;
GENR dstau91=dummy92*tinvms91;

GENR dumy87=dummy88*ydkm87;
GENR dumy88=dummy89*ydkm88;
GENR dumy89=dummy90*ydkm89;
GENR dumy90=dummy91*ydkm90;
GENR dumy91=dummy92*ydkm91;

GENR dres87=dummy88*resm87;
GENR dres88=dummy89*resm88;
GENR dres89=dummy90*resm89;
GENR dres90=dummy91*resm90;
GENR dres91=dummy92*resm91;

GENR dempr87=dummy88*totdkm87;
GENR dempr88=dummy89*totdkm88;
GENR dempr89=dummy90*totdkm89;
GENR dempr90=dummy91*totdkm90;
GENR dempr91=dummy92*totdkm91;

LIST inv inv88-inv92;

FRML inv88 tinvm88 - (beta1*tinvm87+ beta2*tinvms87+beta3*ydkm87);

FRML inv89 tinvm89 - (beta1*tinvm88+ beta2*tinvms88+beta3*ydkm88);

FRML inv90 tinvm90 - (beta1*tinvm89+ beta2*tinvms89+beta3*ydkm89);

FRML inv91 tinvm91 - (beta1*tinvm90+ beta2*tinvms90+beta3*ydkm90);

FRML inv92 tinvm92 - (beta1*tinvm91+ beta2*tinvms91+beta3*ydkm91);

FRML dinv89 inv89-inv88;
FRML dinv90 inv90-inv89;
FRML dinv91 inv91-inv90;
FRML dinv92 inv92-inv91;

DOT 89-92;
 EQSUB dinv. inv88-inv92;
ENDDOT;

PARAM beta1 beta2 beta3 ;

READ (nrow=13,ncol=4) selec;
1 1 1 1  
1 1 1 1 
0 1 1 1 
0 0 1 1	  
0 0 0 1		
1 1 1 1 
0 1 1 1 
0 0 1 1
0 0 0 1
1 1 1 1 
0 1 1 1 
0 0 1 1
0 0 0 1
;

GMM(HETERO,INST=(C,tinvm87-tinvm90, tinvms87-tinvms90,ydkm87-ydkm90),MASK=selec) 
    dinv89 dinv90 dinv91 dinv92;

INPUT proc_lm2test;

LM2TEST; 

?******************************************************************
?Problème n°3b : Estimation d'un modèle basé sur l'équation d'Euler
?                augmentée des variables financières
?******************************************************************

LIST invb invb88-invb92;
FRML invb88 tinvm88 - (beta1*tinvm87+ beta2*tinvms87+beta3*ydkm87+
                       beta7*resm87+beta8*totdkm87);

FRML invb89 tinvm89 - (beta1*tinvm88+ beta2*tinvms88+beta3*ydkm88+
                      beta7*resm88+beta8*totdkm88);

FRML invb90 tinvm90 - (beta1*tinvm89+ beta2*tinvms89+beta3*ydkm89+
                       beta7*resm89+beta8*totdkm89);

FRML invb91 tinvm91 - (beta1*tinvm90+ beta2*tinvms90+beta3*ydkm90+
                       beta7*resm90+beta8*totdkm90);

FRML invb92 tinvm92 - (beta1*tinvm91+ beta2*tinvms91+beta3*ydkm91+
                       beta7*resm91+beta8*totdkm91);

FRML dinvb89 invb89-invb88;
FRML dinvb90 invb90-invb89;
FRML dinvb91 invb91-invb90;
FRML dinvb92 invb92-invb91;

DOT 89-92; 
 EQSUB dinvb. invb88-invb92;
ENDDOT;

PARAM beta1 beta2 beta3 beta7 beta8;

READ (nrow=21,ncol=4) selecb;
1 1 1 1  
1 1 1 1 
0 1 1 1 
0 0 1 1	  
0 0 0 1		
1 1 1 1 
0 1 1 1 
0 0 1 1
0 0 0 1
1 1 1 1 
0 1 1 1 
0 0 1 1
0 0 0 1
1 1 1 1 
0 1 1 1 
0 0 1 1
0 0 0 1
1 1 1 1 
0 1 1 1 
0 0 1 1
0 0 0 1
;

GMM(HETERO,INST=(C,tinvm87-tinvm90, tinvms87-tinvms90, ydkm87-ydkm90,
                   resm87-resm90,totdkm87-totdkm90),MASK=selecb) 
    dinvb89 dinvb90 dinvb91 dinvb92;

LM2TEST;