clear all log using d:\almon1.smcl , replace sysuse almon1.dta , clear * (1) Ordinary Least Squares (OLS) almon1 y x , model(ols) lag(3) pdl(2) mfx(lin) almon1 y x almon1 y x , model(ols) lag(3) pdl(0) end(0) mfx(lin) almon1 y x z , model(ols) lag(3) pdl(2) end(0) mfx(lin) almon1 y x z , model(ols) lag(4) pdl(3) end(0) mfx(lin) tsset t reg y l(0/3).x almon1 y x , model(ols) lag(3) pdl(0) end(0) almon1 y x , model(ols) lag(3) pdl(2) end(0) almon1 y x , model(ols) lag(3) pdl(2) end(1) almon1 y x , model(ols) lag(3) pdl(2) end(2) almon1 y x , model(ols) lag(3) pdl(2) end(3) almon1 y x , model(ols) lag(3) pdl(2) end(0) test mfx(lin) almon1 y x , model(ols) lag(3) pdl(2) end(0) test mfx(log) tolog almon1 y x , model(ols) lag(3) pdl(2) end(0) test mfx(lin) predict(Yh) resid(Ue) * (2) Autoregressive Least Squares (ALS) almon1 y x , model(als) lag(3) pdl(2) end(0) test mfx(lin) almon1 y x , model(als) lag(3) pdl(2) end(0) test mfx(lin) order(1) almon1 y x , model(als) lag(3) pdl(2) end(0) test mfx(lin) order(2) * (3) Generalized Least Squares (GLS) almon1 y x , model(gls) lag(3) pdl(2) wvar(x) almon1 y x , model(gls) lag(3) pdl(2) wvar(x) ominv * (4) Autoregressive Conditional Heteroskedasticity (ARCH) almon1 y x , model(arch) lag(4) pdl(2) end(0) test mfx(lin) nolag almon1 y x , model(arch) lag(4) pdl(2) end(0) test mfx(lin) nolag order(1) almon1 y x , model(arch) lag(4) pdl(2) end(0) test mfx(lin) nolag order(2) * Example from Damodar [2009, p. 651]. clear all sysuse almon2.dta , clear almon1 y x , model(ols) lag(3) pdl(2) end(0) * Example from Griffiths, Hill and Judge [1993, p. 687]. clear all sysuse almon3.dta , clear almon1 y x , model(ols) lag(8) pdl(2) end(0) clear all sysuse almon1.dta , clear almon1 y x , model(ols) lag(3) pdl(2) end(0) test mfx(lin) predict(Yh) resid(Ue) log close