# Reproduce the illustrative VAR in Stock and Watson,
# Introduction to Econometrics, chapter 14
# (Note that S and W use "robust" standard errors throughout)
open sw_ch14.gdt
genr infl = 400 * log(PUNEW/PUNEW(-1))
diff infl 
lags d_infl LHUR
smpl 1962:1 1999:4
# run "automatic" VAR
var 4 d_infl LHUR const
# for comparison, try one equation manually
ols LHUR const d_infl_1 d_infl_2 d_infl_3 d_infl_4 \
LHUR_1 LHUR_2 LHUR_3 LHUR_4
# Test for Granger causality of unemployment by inflation
omit d_infl_1 d_infl_2 d_infl_3 d_infl_4
# GARCH model
garch 1 1 ; d_infl const d_infl_1 d_infl_2 d_infl_3 d_infl_4 \
 LHUR_1 LHUR_2 LHUR_3 LHUR_4 --robust




