#include <oxstd.h>
#import <packages/dpdox121/dpd>
// Dynamic Panel Data Estimation with Time Dummies
// See on detail
// http://www.ip.kyusan-u.ac.jp/J/keizai/kitazawa/SOFT/TSP_DPD1/index.htm

main()
{
	decl dpd= new DPD(), time=timer() , x ;
	
	// OK up to 10
	dpd.LoadObs("yxdata.txt", 4, 470, 1, 1, 1, FALSE) ;
	dpd.Rename("Year", "Var1") ;
	dpd.Rename("Idx",  "Var2") ;
	dpd.Rename("y",   "Var3") ;
	dpd.Rename("x",   "Var4") ;
	
	dpd.Info() ;
	dpd.SetYear("Year") ;
	// dpd.SetGroup("Idx");
	
	print("\n\n***** [FirstA-B]: First Differenced Estimator A-B *****") ;
	dpd.Select(Y_VAR, {"y", 0, 1}) ; // first lag
	dpd.Select(X_VAR, {"x", 0, 0}) ;
	
	dpd.Gmm("y", 2, 99) ;
	dpd.Gmm("x", 2, 99) ;
	
	// dpd.SetDummies(D_NONE) ;
	dpd.SetDummies(D_TIME) ;
	
	dpd.SetOptions(0) ;	// Without Windmeijer's correction
	dpd.SetTest(1, 2) ; // Wald and Sargan, AR(2)

	dpd.SetMethod(M_2STEP) ;
	dpd.Estimate() ;	// 1, 2-step estimation
	
	print("\n\n***** [SystemB-B]: System Estimator B-B *****") ;
	dpd.GmmLevel("y", 1, 1);
	dpd.GmmLevel("x", 1, 1);
	
	dpd.SetMethod(M_2STEP);
	dpd.Estimate();		// 1, 2-step estimation
	
	print("\n time:  ", timespan(time), "\n") ;
	delete dpd ;
}