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大家好，今天叶小二给他家分享的是 Boston University Economics 508-Econometrics 的
一个 final project。这个 project 有两个 options (详情见下面叙述).

1) A time series analysis updating the Mishkin study (circa 1980) of does money really
matter. It evaluates the question of does anticipated or unanticipated monetary
policy changes influence real GDP or the unemployment rate. It was one of the
basic studies in determining the authenticity of Keynesian versus Classical
economics. You will need to go on the internet, download the appropriate data,
perform the necessary regressions and analyze the results comparing the results to
the original study. From the BEA and FRB web sites gather quarterly real GDP and
some money measure (M1, M2, MB, MZM). The money measure will have to be
deflated. In addition you will need additional economic data that could be used to
predict money growth. Reproduce the Mishkin analysis using data since 1982
(including lags) to the present. A paper of the problem, analysis and results is to be
handed in on the day of the final. It would be useful to have Microsoft Word with
Microsoft Equation.

2) A regression analysis updating the study by Barro and Sala – I – Martin of income
convergence across states. Their study concluded that state’s income per capita
were converging to constant value and will at some time in the future be equal
across all states. One shortcoming of their analysis was that they considered only
nominal income per capita, not adjusted for inflation, and they did not consider cost
of living differences across states. You will need to download the appropriate data,
perform the appropriate regression, and analyze the results comparing the results to
the original study. Gather state personal income and population data from the BEA
web site (annual probably OK). Also, download an economic series to deflate real
income. It would be helpful to locate economic time series that measures the
relative cost of living differences between states. It may be OK to use state real
GSP instead. This study also divided Classicals and Keynesians. A paper of the
problem, analysis and results is to be handed in on the day of the final. It would be
useful to have Microsoft Word with Microsoft Equation.

这个计量经济学的要求是使用 stata， 小二的版本依旧是 version 14， 今天我们讲

Option 1 的整体做法，后面我们会更新 option2 的做法。

首先，我们来梳理一下，Mishkin (1982) 讲的是什么？这个文章主要是研究 whether

anticipated policy matters for the business cycle over 1954-1976. 当时写这个作业的时
候，数据是 update from 1982-2015. Mishkin (1982) 整个是根据 Macro Rational
Expectation (MRE) hypothesis 来的。

我们的目的是 reproduction of Mishkin (1982) with the updated data. 那么根据这个 paper
的框架，第一步是 estimate money growth。 Money growth is regressed on four lagged
values of itself and four lagged values of other macroeconomic variables, including the
growth rate of M1 or M2, the growth rate of real GNP, the growth rate of nominal GNP,
the unemployment rate, the inflation rate, the treasury bill rate, the growth rate of real

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government expenditure, the high employment surplus, the growth rate of the federal
debt, and the balance of payments on current account (Mishkin, 1982). In addition,
Mishkin (1982) set the lag length N at 20 quarters in the econometric analysis.

下面是我做这个的时候，对变量的命名。

M1G = the growth rate of M1, measured by the change in the log of quarterly M1 where

M1G = log (M1t/M1t-1). The variable is retrieved from Fred St. Louis Economic Dataset.

M2G = the growth rate of M2, measured by the change in the log of quarterly M2 where

M2G = log (M2t/M2t-1). The variable is retrieved from Fred St. Louis Economic Dataset.

MBG = the growth rate of MB, measured by the change in the log of quarterly MB where

MBG = log (MBt/MBt-1). The variable is retrieved from Fred St. Louis Economic Dataset.

MZMG = the growth rate of MZM, measured by the change in the log of quarterly MZM

where MZMG = log (MZMt/MZMt-1). The variable is retrieved from Fred St. Louis Economic

Dataset.

RTB: the average quarterly 3-month treasury-bill rate, retrieved from Fred St. Louis

Economic Dataset.

GE = average growth rate of government expenditure, measured by the change in log of

government expenditure, retrieved from Fred St. Louis Economic Dataset.

LogGDP = growth rate of real GDP, measured by the change in log of real GDP, retrieved

from BEA website.

剩下的就是，按照 Mishkin (1982) 的 structure 来一步一步 reproduce 了。

我给大家几个会用到的 state code：

1. 这个作业涉及生成 lag 变量： gen 新变量名（M1GL1）= L1.M1G(原变量名) 这个是

用来生成 one-period lagged value of a variable. 如果是要生成 two-period lagged value
of a variable, stata code 是 gen M1GL2 = L2. M1G, 以此类推。在这个作业中，我们需要
用到 four-period lagged values.

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2. 我们需要 declare the dataset as a time series data:

tsset quarterly
time variable: quarterly, 1982q1 to 2015q4
delta: 1 quarter

3. 然后就是 regression 了。

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