/* performs OLS regressions of asset returns on instruments. */

output file = olsinst.out reset;

load path = c:\j\newprod\data;
save path = c:\j\newprod\data;

load avdecret,avvwret,avewret,avustret;
/* old codes load GPI82, gin82, gis82,gipd82,gir82,gcd82; */
load GPI82=gpiq, gin82=ginq, gis82=gisq, gipd82=gipdq, gir82=girq, gcd82=gcdq;
load qterm,qdef,qvwdp,qewdp;
load MP,DEI,UI,UPR,UTS;
load gcn82=gcnq,gcs82=gcsq,gpop;
cns = (gcn82+gcs82)./gpop;

rf = avustret;
rassetx = avdecret - avustret;
inst = qterm;

format /RD 6,2;

"";
"Assets = 10 size, excess";

"Mean and sd of returns (quarterly %) " ;
100*meanc(rassetx)';
100*stdc(rassetx)';
"Mean and sd of returns (annualized %) " ;
400*meanc(rassetx)';
200*stdc(rassetx)';
"Return correlation matrix";
covar = (rassetx'rassetx/rows(rassetx));
covar./((diag(covar)*diag(covar)')^(1/2));



"Instruments = qterm";
gosub dools;

inst = qdef;
"";
"Instruments = qdef";
gosub dools;

inst = qewdp;
"";
"Instruments = qewdp";
gosub dools;

inst = qterm~qdef~qewdp;
"";
"Instruments = term, def, ewd/p";
gosub dools;

inst = qterm~qewdp;
"";
"Instruments = term, ewd/p";
gosub dools;
end;

dools:

x = inst[1:rows(inst)-2,.];          /* inst from 47:1 to 90:2, */
y = rassetx[2:rows(rassetx),.];
rf = rf[2:rows(rf),.];

n = rows(x);                   /* no need to redo with scaled fact*/
k = cols(x);
const = ones(n,1);
xx = inv((const~x)'(const~x));
b2 = xx*((const~x)'(y));
resid = y-(const~x)*b2;
s2 = sumc(resid^2)/(n-k-1) ;
se = (diag(xx)*s2')^(1/2);
t = b2./se;
R2 = 1 - (stdc(resid)^2)./(stdc(y)^2);

"Coefficients"; b2;
"t"; t;
"100*R2";100*R2';
"% p val " ;
i = 1;olspval = zeros(rows(r2),1);
do while i<=rows(r2);
    olspval[i] = 100*cdffc( R2[i]/(1-R2[i])*(n-k-1)/k , k ,n-k-1);
    i=i+1;
endo;
olspval';

return;

output off;