-------------------------------------------------------------------------------------------------- log: H:\mei\lecture8.log log type: text opened on: 17 Mar 2005, 10:02:31 . use macrodat . line gdp_jp exruk . line gdp_jp exruk time . tsset time, quarter time variable: time, 1959q1 to 2001q4 . reg d.gdp_jp l.gdp Source | SS df MS Number of obs = 161 -------------+------------------------------ F( 1, 159) = 0.52 Model | .26720972 1 .26720972 Prob > F = 0.4737 Residual | 82.3600493 159 .517987732 R-squared = 0.0032 -------------+------------------------------ Adj R-squared = -0.0030 Total | 82.627259 160 .516420369 Root MSE = .71971 ------------------------------------------------------------------------------ D.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | L1 | -.0012572 .0017505 -0.72 0.474 -.0047144 .0021999 _cons | .7179783 .1298424 5.53 0.000 .4615401 .9744165 ------------------------------------------------------------------------------ . dfuller d.gdp_jp l.gdp, regress too many variables specified r(103); . dfuller gdp_jp, regress Dickey-Fuller test for unit root Number of obs = 161 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -0.718 -3.490 -2.886 -2.576 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.8420 ------------------------------------------------------------------------------ D.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | L1 | -.0012572 .0017505 -0.72 0.474 -.0047144 .0021999 _cons | .7179783 .1298424 5.53 0.000 .4615401 .9744165 ------------------------------------------------------------------------------ . line gdp_jp time . dfuller gdp_jp, regress trend Dickey-Fuller test for unit root Number of obs = 161 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.066 -4.020 -3.442 -3.142 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.9345 ------------------------------------------------------------------------------ D.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | L1 | -.0236985 .0222226 -1.07 0.288 -.0675902 .0201932 _trend | .0156951 .0154939 1.01 0.313 -.0149068 .0462971 _cons | .9440404 .258183 3.66 0.000 .4341051 1.453976 ------------------------------------------------------------------------------ . dfuller gdp_jp, regress lag(4) Augmented Dickey-Fuller test for unit root Number of obs = 157 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -0.703 -3.491 -2.886 -2.576 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.8461 ------------------------------------------------------------------------------ D.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | L1 | -.0012301 .0017509 -0.70 0.483 -.0046895 .0022292 LD | -.0854122 .0793005 -1.08 0.283 -.2420941 .0712697 L2D | .0966583 .0789343 1.22 0.223 -.0593 .2526165 L3D | .2220229 .0797899 2.78 0.006 .064374 .3796717 L4D | .2237901 .0822952 2.72 0.007 .0611913 .3863889 _cons | .4285856 .1629536 2.63 0.009 .1066221 .7505491 ------------------------------------------------------------------------------ . dfuller gdp_jp, regress lag(4) trend Augmented Dickey-Fuller test for unit root Number of obs = 157 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.817 -4.021 -3.442 -3.142 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.1906 ------------------------------------------------------------------------------ D.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | L1 | -.0663843 .0235617 -2.82 0.005 -.1129399 -.0198287 LD | -.0547761 .0783835 -0.70 0.486 -.2096545 .1001023 L2D | .1424675 .0789896 1.80 0.073 -.0136086 .2985435 L3D | .2729869 .0802142 3.40 0.001 .1144913 .4314825 L4D | .2748224 .0826079 3.33 0.001 .111597 .4380478 _trend | .0458541 .0165383 2.77 0.006 .013176 .0785322 _cons | .9420816 .2443933 3.85 0.000 .4591836 1.42498 ------------------------------------------------------------------------------ . dfuller gdp_jp, regress trend Dickey-Fuller test for unit root Number of obs = 161 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.066 -4.020 -3.442 -3.142 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.9345 ------------------------------------------------------------------------------ D.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | L1 | -.0236985 .0222226 -1.07 0.288 -.0675902 .0201932 _trend | .0156951 .0154939 1.01 0.313 -.0149068 .0462971 _cons | .9440404 .258183 3.66 0.000 .4341051 1.453976 ------------------------------------------------------------------------------ . dfuller gdp_jp, regress lag(8) trend Augmented Dickey-Fuller test for unit root Number of obs = 153 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.783 -4.022 -3.443 -3.143 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.7128 ------------------------------------------------------------------------------ D.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | L1 | -.0478025 .0268076 -1.78 0.077 -.1007959 .005191 LD | -.0572868 .0827057 -0.69 0.490 -.2207804 .1062068 L2D | .1223687 .0842834 1.45 0.149 -.0442437 .288981 L3D | .267564 .0851722 3.14 0.002 .0991947 .4359334 L4D | .3197732 .0881972 3.63 0.000 .145424 .4941224 L5D | -.0259279 .0908801 -0.29 0.776 -.2055807 .1537249 L6D | .0581621 .0880777 0.66 0.510 -.1159508 .232275 L7D | -.1480478 .0881352 -1.68 0.095 -.3222746 .0261789 L8D | -.1529234 .0885931 -1.73 0.086 -.3280552 .0222085 _trend | .0329349 .0188663 1.75 0.083 -.0043602 .07023 _cons | .9169932 .2462082 3.72 0.000 .4302861 1.4037 ------------------------------------------------------------------------------ . dfuller d.gdp_jp, regress lag(4) trend Augmented Dickey-Fuller test for unit root Number of obs = 156 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -4.163 -4.021 -3.443 -3.143 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0051 ------------------------------------------------------------------------------ D2.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- D.gdp_jp | L1 | -.6170464 .1482269 -4.16 0.000 -.9099447 -.324148 LD | -.4390641 .1467593 -2.99 0.003 -.7290625 -.1490657 L2D | -.3165982 .1444725 -2.19 0.030 -.6020778 -.0311186 L3D | -.0827764 .1249565 -0.66 0.509 -.329692 .1641392 L4D | .1269386 .0859028 1.48 0.142 -.0428066 .2966837 _trend | -.0007083 .0012397 -0.57 0.569 -.003158 .0017415 _cons | .455824 .1555436 2.93 0.004 .1484678 .7631802 ------------------------------------------------------------------------------ . dfuller d.gdp_jp, regress lag(4) Augmented Dickey-Fuller test for unit root Number of obs = 156 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -4.139 -3.491 -2.886 -2.576 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0008 ------------------------------------------------------------------------------ D2.gdp_jp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp_jp | LD | -.6098885 .1473645 -4.14 0.000 -.9010667 -.3187103 LD2 | -.4440434 .146171 -3.04 0.003 -.7328634 -.1552233 L2D2 | -.3176268 .1441366 -2.20 0.029 -.602427 -.0328266 L3D2 | -.0818926 .124666 -0.66 0.512 -.3282209 .1644356 L4D2 | .1282745 .085678 1.50 0.136 -.0410171 .2975661 _cons | .3928626 .1095195 3.59 0.000 .1764624 .6092629 ------------------------------------------------------------------------------ . dfuller cpi, regress lag(4) Augmented Dickey-Fuller test for unit root Number of obs = 163 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 0.878 -3.489 -2.886 -2.576 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.9928 ------------------------------------------------------------------------------ D.cpi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cpi | L1 | .0005465 .0006221 0.88 0.381 -.0006823 .0017753 LD | .6384816 .0784855 8.14 0.000 .4834579 .7935053 L2D | -.0649924 .0851732 -0.76 0.447 -.2332255 .1032407 L3D | .486764 .0854744 5.69 0.000 .317936 .655592 L4D | -.1991616 .0791383 -2.52 0.013 -.3554747 -.0428484 _cons | .084347 .0560775 1.50 0.135 -.0264168 .1951107 ------------------------------------------------------------------------------ . line cpi time . dfuller cpi, regress lag(4) trend Augmented Dickey-Fuller test for unit root Number of obs = 163 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.714 -4.019 -3.442 -3.142 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.2305 ------------------------------------------------------------------------------ D.cpi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cpi | L1 | -.008092 .002982 -2.71 0.007 -.0139824 -.0022016 LD | .5935828 .0781044 7.60 0.000 .4393042 .7478614 L2D | -.0791396 .0832819 -0.95 0.343 -.2436452 .0853661 L3D | .4699665 .0836314 5.62 0.000 .3047703 .6351626 L4D | -.196194 .0772599 -2.54 0.012 -.3488045 -.0435835 _trend | .0094491 .0031935 2.96 0.004 .003141 .0157571 _cons | .0818556 .0547484 1.50 0.137 -.0262882 .1899993 ------------------------------------------------------------------------------ . dfuller d.cpi, regress lag(4) Augmented Dickey-Fuller test for unit root Number of obs = 162 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.373 -3.489 -2.886 -2.576 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.1495 ------------------------------------------------------------------------------ D2.cpi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cpi | LD | -.1092728 .0460514 -2.37 0.019 -.2002375 -.0183081 LD2 | -.2354936 .0843739 -2.79 0.006 -.4021562 -.068831 L2D2 | -.3271156 .0862308 -3.79 0.000 -.4974462 -.156785 L3D2 | .1697203 .0835262 2.03 0.044 .004732 .3347087 L4D2 | -.0632827 .0805921 -0.79 0.434 -.2224753 .0959098 _cons | .1065941 .0478041 2.23 0.027 .0121672 .201021 ------------------------------------------------------------------------------ . gen lnp = ln(cpi) (4 missing values generated) . dfuller lnp, regress lag(4) trend Augmented Dickey-Fuller test for unit root Number of obs = 163 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.747 -4.019 -3.442 -3.142 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.7297 ------------------------------------------------------------------------------ D.lnp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnp | L1 | -.0052634 .0030126 -1.75 0.083 -.0112141 .0006873 LD | .6794272 .0782426 8.68 0.000 .5248756 .8339788 L2D | -.038171 .0881581 -0.43 0.666 -.2123085 .1359665 L3D | .4431262 .0882173 5.02 0.000 .2688717 .6173807 L4D | -.1791409 .078444 -2.28 0.024 -.3340904 -.0241914 _trend | .0000645 .0000396 1.63 0.105 -.0000137 .0001427 _cons | .0180438 .009494 1.90 0.059 -.0007095 .0367971 ------------------------------------------------------------------------------ . dfuller d.lnp, regress lag(4) Augmented Dickey-Fuller test for unit root Number of obs = 162 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.475 -3.489 -2.886 -2.576 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.1218 ------------------------------------------------------------------------------ D2.lnp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnp | LD | -.104228 .0421183 -2.47 0.014 -.1874238 -.0210323 LD2 | -.1917024 .0826213 -2.32 0.022 -.3549032 -.0285016 L2D2 | -.2314483 .0834958 -2.77 0.006 -.3963765 -.0665202 L3D2 | .2082291 .0811927 2.56 0.011 .0478501 .3686081 L4D2 | .0139175 .0795456 0.17 0.861 -.1432079 .171043 _cons | .0011515 .0005451 2.11 0.036 .0000748 .0022281 ------------------------------------------------------------------------------ . dfuller d.lnp, regress lag(4) trend Augmented Dickey-Fuller test for unit root Number of obs = 162 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.473 -4.019 -3.442 -3.142 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.3413 ------------------------------------------------------------------------------ D2.lnp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- D.lnp | L1 | -.1044298 .0422197 -2.47 0.014 -.18783 -.0210295 LD | -.193204 .082868 -2.33 0.021 -.3569004 -.0295075 L2D | -.2333845 .0837777 -2.79 0.006 -.3988779 -.067891 L3D | .2064035 .081462 2.53 0.012 .0454845 .3673224 L4D | .0123929 .0797887 0.16 0.877 -.1452207 .1700065 _trend | -3.26e-06 6.34e-06 -0.51 0.608 -.0000158 9.26e-06 _cons | .0014327 .0007728 1.85 0.066 -.0000938 .0029592 ------------------------------------------------------------------------------ . dfuller d2.lnp, regress lag(4) Augmented Dickey-Fuller test for unit root Number of obs = 161 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -6.042 -3.490 -2.886 -2.576 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0000 ------------------------------------------------------------------------------ D3.lnp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnp | LD2 | -1.416232 .234398 -6.04 0.000 -1.879258 -.9532047 LD3 | .1683841 .2084795 0.81 0.421 -.2434436 .5802118 L2D3 | -.1288248 .1775033 -0.73 0.469 -.4794625 .221813 L3D3 | .0386521 .1277219 0.30 0.763 -.2136482 .2909524 L4D3 | .0152783 .0793801 0.19 0.848 -.1415282 .1720848 _cons | .0000533 .0003004 0.18 0.859 -.00054 .0006467 ------------------------------------------------------------------------------ . line d.lnp too few variables specified too few variables specified r(102); . line d.lnp time . clear . use oj . line ppioj time . tsset time time variable: time, -144 to 497 . tsset time, monthly time variable: time, 1948m1 to 2001m6 . line ppioj time . gen rpoj = 100*ppioj/pwfsa . line rpoj time . line fdd time . tab fdd fdd | Freq. Percent Cum. ------------+----------------------------------- 0 | 588 91.73 91.73 1 | 11 1.72 93.45 2 | 5 0.78 94.23 3 | 10 1.56 95.79 4 | 5 0.78 96.57 5 | 2 0.31 96.88 6 | 4 0.62 97.50 7 | 2 0.31 97.82 8 | 1 0.16 97.97 9 | 3 0.47 98.44 13 | 1 0.16 98.60 16 | 1 0.16 98.75 19 | 1 0.16 98.91 20 | 1 0.16 99.06 22 | 1 0.16 99.22 23 | 1 0.16 99.38 24 | 1 0.16 99.53 32 | 1 0.16 99.69 35 | 1 0.16 99.84 37 | 1 0.16 100.00 ------------+----------------------------------- Total | 641 100.00 . dfuller rpoj, regress Dickey-Fuller test for unit root Number of obs = 641 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.932 -3.430 -2.860 -2.570 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0418 ------------------------------------------------------------------------------ D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- rpoj | L1 | -.0263648 .0089927 -2.93 0.003 -.0440236 -.0087059 _cons | 2.778083 1.021493 2.72 0.007 .7721933 4.783973 ------------------------------------------------------------------------------ . dfuller rpoj, regress trend Dickey-Fuller test for unit root Number of obs = 641 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -3.647 -3.960 -3.410 -3.120 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0261 ------------------------------------------------------------------------------ D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- rpoj | L1 | -.0407409 .0111714 -3.65 0.000 -.0626781 -.0188037 _trend | -.0034648 .0016058 -2.16 0.031 -.006618 -.0003116 _cons | 5.477882 1.613409 3.40 0.001 2.309648 8.646116 ------------------------------------------------------------------------------ . reg d.rpoj fdd Source | SS df MS Number of obs = 641 -------------+------------------------------ F( 1, 639) = 41.19 Model | 1438.2419 1 1438.2419 Prob > F = 0.0000 Residual | 22309.5601 639 34.9132395 R-squared = 0.0606 -------------+------------------------------ Adj R-squared = 0.0591 Total | 23747.802 640 37.1059406 Root MSE = 5.9087 ------------------------------------------------------------------------------ D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | .4549214 .0708787 6.42 0.000 .3157381 .5941046 _cons | -.4137959 .2374332 -1.74 0.082 -.8800396 .0524477 ------------------------------------------------------------------------------ . reg rpoj fdd Source | SS df MS Number of obs = 641 -------------+------------------------------ F( 1, 639) = 0.09 Model | 61.9110984 1 61.9110984 Prob > F = 0.7678 Residual | 453232.67 639 709.284304 R-squared = 0.0001 -------------+------------------------------ Adj R-squared = -0.0014 Total | 453294.581 640 708.272783 Root MSE = 26.632 ------------------------------------------------------------------------------ rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | .0943854 .3194703 0.30 0.768 -.5329532 .721724 _cons | 110.2416 1.070179 103.01 0.000 108.1401 112.3431 ------------------------------------------------------------------------------ . line ppioj time . line rpoj time . reg rpoj fdd Source | SS df MS Number of obs = 641 -------------+------------------------------ F( 1, 639) = 0.09 Model | 61.9110984 1 61.9110984 Prob > F = 0.7678 Residual | 453232.67 639 709.284304 R-squared = 0.0001 -------------+------------------------------ Adj R-squared = -0.0014 Total | 453294.581 640 708.272783 Root MSE = 26.632 ------------------------------------------------------------------------------ rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | .0943854 .3194703 0.30 0.768 -.5329532 .721724 _cons | 110.2416 1.070179 103.01 0.000 108.1401 112.3431 ------------------------------------------------------------------------------ . reg d.rpoj fdd Source | SS df MS Number of obs = 641 -------------+------------------------------ F( 1, 639) = 41.19 Model | 1438.2419 1 1438.2419 Prob > F = 0.0000 Residual | 22309.5601 639 34.9132395 R-squared = 0.0606 -------------+------------------------------ Adj R-squared = 0.0591 Total | 23747.802 640 37.1059406 Root MSE = 5.9087 ------------------------------------------------------------------------------ D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | .4549214 .0708787 6.42 0.000 .3157381 .5941046 _cons | -.4137959 .2374332 -1.74 0.082 -.8800396 .0524477 ------------------------------------------------------------------------------ . dwstat Durbin-Watson d-statistic( 2, 641) = 1.816483 . newey d.rpoj fdd, lag(12) Regression with Newey-West standard errors Number of obs = 641 maximum lag: 12 F( 1, 639) = 9.83 Prob > F = 0.0018 ------------------------------------------------------------------------------ | Newey-West D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | .4549214 .1450759 3.14 0.002 .1700383 .7398044 _cons | -.4137959 .2380285 -1.74 0.083 -.8812086 .0536167 ------------------------------------------------------------------------------ . reg d.rpoj fdd, robust Regression with robust standard errors Number of obs = 641 F( 1, 639) = 9.54 Prob > F = 0.0021 R-squared = 0.0606 Root MSE = 5.9087 ------------------------------------------------------------------------------ | Robust D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | .4549214 .1472484 3.09 0.002 .1657722 .7440705 _cons | -.4137959 .2241631 -1.85 0.065 -.8539812 .0263893 ------------------------------------------------------------------------------ . reg d.rpoj fdd l.fdd l2.fdd l3.fdd l4.fdd l5.fdd l6.fdd, robust Regression with robust standard errors Number of obs = 635 F( 7, 627) = 2.97 Prob > F = 0.0045 R-squared = 0.0792 Root MSE = 5.8801 ------------------------------------------------------------------------------ | Robust D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | -- | .4725966 .1483057 3.19 0.002 .1813606 .7638325 L1 | .1594149 .0901387 1.77 0.077 -.0175954 .3364253 L2 | .0849224 .0699138 1.21 0.225 -.0523712 .222216 L3 | .1067352 .0744007 1.43 0.152 -.0393695 .2528399 L4 | .02904 .0299531 0.97 0.333 -.0297806 .0878606 L5 | .0662023 .0453284 1.46 0.145 -.0228115 .1552161 L6 | .051947 .0488056 1.06 0.288 -.0438952 .1477893 _cons | -.7002292 .2526201 -2.77 0.006 -1.196313 -.2041452 ------------------------------------------------------------------------------ . reg d.rpoj fdd l.fdd l2.fdd l3.fdd l4.fdd l5.fdd l6.fdd l7.fdd l8.fdd l9.fdd l10.fdd l11.fdd l > .12.fdd, robust Regression with robust standard errors Number of obs = 629 F( 13, 615) = 1.94 Prob > F = 0.0234 R-squared = 0.0959 Root MSE = 5.8793 ------------------------------------------------------------------------------ | Robust D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | -- | .5021632 .1534689 3.27 0.001 .2007766 .8035498 L1 | .1692703 .0954051 1.77 0.077 -.018089 .3566295 L2 | .0725767 .0704866 1.03 0.304 -.0658468 .2110003 L3 | .0938158 .074105 1.27 0.206 -.0517137 .2393453 L4 | .0168406 .0310398 0.54 0.588 -.0441161 .0777974 L5 | .0529817 .0454518 1.17 0.244 -.0362778 .1422413 L6 | .0399554 .0496608 0.80 0.421 -.0575699 .1374806 L7 | .0189367 .0192461 0.98 0.326 -.0188592 .0567327 L8 | -.0459609 .0436562 -1.05 0.293 -.1316942 .0397725 L9 | -.0051481 .0558485 -0.09 0.927 -.114825 .1045288 L10 | -.1367266 .0848771 -1.61 0.108 -.3034107 .0299575 L11 | -.0645407 .0549081 -1.18 0.240 -.1723708 .0432894 L12 | -.1842129 .110354 -1.67 0.096 -.4009292 .0325033 _cons | -.4343692 .2767842 -1.57 0.117 -.977926 .1091876 ------------------------------------------------------------------------------ . reg d.rpoj fdd l.fdd l2.fdd l3.fdd l4.fdd l5.fdd l6.fdd l7.fdd l8.fdd l9.fdd l10.fdd l11.fdd l > .12.fdd l13.fdd l14.fdd l15.fdd l16.fdd l17.fdd l18.fdd, robust Regression with robust standard errors Number of obs = 623 F( 19, 603) = 1.53 Prob > F = 0.0680 R-squared = 0.1027 Root MSE = 5.8529 ------------------------------------------------------------------------------ | Robust D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fdd | -- | .5154832 .1546581 3.33 0.001 .2117493 .8192171 L1 | .1928074 .0975513 1.98 0.049 .0012259 .3843889 L2 | .098582 .0726311 1.36 0.175 -.0440586 .2412226 L3 | .1112571 .0747188 1.49 0.137 -.0354836 .2579978 L4 | .024438 .0335561 0.73 0.467 -.0414631 .090339 L5 | .054846 .0473774 1.16 0.247 -.0381987 .1478907 L6 | .039319 .0511449 0.77 0.442 -.0611249 .1397629 L7 | .018503 .0193588 0.96 0.340 -.0195159 .0565219 L8 | -.0463481 .0441977 -1.05 0.295 -.1331482 .0404521 L9 | -.0055616 .0564297 -0.10 0.922 -.1163842 .105261 L10 | -.1372884 .0854315 -1.61 0.109 -.3050679 .0304911 L11 | -.064425 .0556548 -1.16 0.247 -.1737259 .0448759 L12 | -.1864834 .110956 -1.68 0.093 -.4043905 .0314236 L13 | -.0821619 .0489681 -1.68 0.094 -.1783306 .0140068 L14 | -.0602957 .0374513 -1.61 0.108 -.1338466 .0132552 L15 | -.0404679 .0327693 -1.23 0.217 -.1048237 .0238879 L16 | -.0227845 .0815927 -0.28 0.780 -.1830249 .1374559 L17 | .0017598 .0221682 0.08 0.937 -.0417764 .0452959 L18 | -.0003989 .0221007 -0.02 0.986 -.0438026 .0430048 _cons | -.4254507 .2980958 -1.43 0.154 -1.010883 .1599813 ------------------------------------------------------------------------------ . reg d.rpoj l.d.rpoj fdd, robust Regression with robust standard errors Number of obs = 640 F( 2, 637) = 7.12 Prob > F = 0.0009 R-squared = 0.0747 Root MSE = 5.8485 ------------------------------------------------------------------------------ | Robust D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- rpoj | LD | .1011564 .0526452 1.92 0.055 -.0022228 .2045355 fdd | .4667144 .1479413 3.15 0.002 .1762027 .7572261 _cons | -.3813743 .2245082 -1.70 0.090 -.8222399 .0594913 ------------------------------------------------------------------------------ . reg d.rpoj l.d.rpoj fdd l.fdd l2.fdd l3.fdd l4.fdd l5.fdd l6.fdd, robust Regression with robust standard errors Number of obs = 635 F( 8, 626) = 2.91 Prob > F = 0.0034 R-squared = 0.0847 Root MSE = 5.8669 ------------------------------------------------------------------------------ | Robust D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- rpoj | LD | .0778616 .0554638 1.40 0.161 -.0310561 .1867793 fdd | -- | .471958 .148791 3.17 0.002 .179768 .764148 L1 | .1227586 .0963894 1.27 0.203 -.0665272 .3120444 L2 | .0726254 .070351 1.03 0.302 -.0655271 .2107779 L3 | .1002198 .0713133 1.41 0.160 -.0398226 .2402621 L4 | .0208333 .0323679 0.64 0.520 -.0427295 .0843962 L5 | .0639219 .0457355 1.40 0.163 -.0258916 .1537354 L6 | .0468366 .0496161 0.94 0.346 -.0505975 .1442707 _cons | -.6477905 .2642489 -2.45 0.015 -1.166712 -.1288688 ------------------------------------------------------------------------------ . durbina you must specify force after regress, robust r(198); . reg d.rpoj l.d.rpoj fdd l.fdd l2.fdd l3.fdd l4.fdd l5.fdd l6.fdd Source | SS df MS Number of obs = 635 -------------+------------------------------ F( 8, 626) = 7.25 Model | 1995.17883 8 249.397354 Prob > F = 0.0000 Residual | 21547.0805 626 34.4202564 R-squared = 0.0847 -------------+------------------------------ Adj R-squared = 0.0731 Total | 23542.2593 634 37.1329012 Root MSE = 5.8669 ------------------------------------------------------------------------------ D.rpoj | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- rpoj | LD | .0778616 .0398279 1.95 0.051 -.0003509 .156074 fdd | -- | .471958 .0707171 6.67 0.000 .3330865 .6108296 L1 | .1227586 .0731371 1.68 0.094 -.0208651 .2663823 L2 | .0726254 .0709364 1.02 0.306 -.0666766 .2119275 L3 | .1002198 .0707416 1.42 0.157 -.0386999 .2391394 L4 | .0208333 .070782 0.29 0.769 -.1181657 .1598323 L5 | .0639219 .0707045 0.90 0.366 -.0749247 .2027686 L6 | .0468366 .0714083 0.66 0.512 -.0933923 .1870655 _cons | -.6477905 .2622706 -2.47 0.014 -1.162827 -.1327537 ------------------------------------------------------------------------------ . durbina Durbin's alternative test for autocorrelation --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 0.512 1 0.4744 --------------------------------------------------------------------------- H0: no serial correlation . log close log: H:\mei\lecture8.log log type: text closed on: 17 Mar 2005, 10:52:34 ------------------------------------------------------------------------------------------------