DATA ONE;                           * creates a data set called ONE ;
INFILE 'c:\windows\desktop\document\ex6.22' firstobs=2;      * reads data, skip line 1;
input Year  G Pg Y Pnc Puc Ppt Pd Pn Ps ;              * INPUT variable names ;
  lg=log(g);                        * take the natural logs of variables ;
  lpg=log(Pg);
  ly=log(y);
  lPnc=log(pnc);
  lpuc=log(puc);
  lPpt=log(ppt);
  lpd=log(pd);
  lPn=log(pn);
  lps=log(ps);
  int=1;


******************* Procedures ************************;
PROC means data=one;          * call procedure MEANS use data ONE;
Proc autoReg;
  model lg = lpg ly lpnc lpuc ppt lpd lpn lps;

Proc IML;
  vname= {  int, GasPrice, inc, NewCar, UsedCar, Public, durables, non_dur, services};
  use one;
  read all var{lg} into y;
  read all var{ int lpg ly lpnc lpuc ppt lpd lpn lps } into x;

  T=nrow(X);
  K=ncol(X);

  b=inv(x`*x)*x`*y;

  /*  Sigma squared */
  sig2=(y-x*b)`*(y-x*b)/(T-K);
  print sig2;

  /* Estimated Covariance Matrix */
  cov=sig2*inv(x`*x);
  print cov;

  /* Standard Errors */
  se=sqrt(vecdiag(cov));
  /* Tvalues */
  tvals=b/se;

  print vname b se tvals;

  /* R-square */
  yhat=x*b;
  ybar=sum(y)/t;
  SSR=ssq(yhat-ybar);
  SST=ssq(y-ybar);
  SSE=ssq(y-x*b);
  r2=ssr/sst;
  print SSR SST SSE r2 ybar;

run;                          * RUN the program;