------------------------------------------------------------------------------------------------------------------------------- log: c:\drive\econ272\econ771_april_10_2008.log log type: text opened on: 10 Apr 2008, 09:29:55 . use not_unit . su Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- y | 1000 .0527583 1.229364 -3.922817 4.224206 time | 1000 500.5 288.8194 1 1000 . regress y l1.y Source | SS df MS Number of obs = 999 -------------+------------------------------ F( 1, 997) = 519.21 Model | 515.484794 1 515.484794 Prob > F = 0.0000 Residual | 989.851793 997 .992830283 R-squared = 0.3424 -------------+------------------------------ Adj R-squared = 0.3418 Total | 1505.33659 998 1.50835329 Root MSE = .99641 ------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .5843483 .0256449 22.79 0.000 .5340241 .6346725 _cons | .0243019 .0315535 0.77 0.441 -.037617 .0862208 ------------------------------------------------------------------------------ . trwoway (scatter y time) unrecognized command: trwoway r(199); . twoway (scatter y time) . clear . use unit . regress y l1.y,nocons Source | SS df MS Number of obs = 999 -------------+------------------------------ F( 1, 998) = . Model | 180697.76 1 180697.76 Prob > F = 0.0000 Residual | 990.374138 998 .992358855 R-squared = 0.9945 -------------+------------------------------ Adj R-squared = 0.9945 Total | 181688.135 999 181.870005 Root MSE = .99617 ------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .9985177 .00234 426.72 0.000 .9939258 1.00311 ------------------------------------------------------------------------------ . twoway (scatter y time) . use "C:\drive\econ272\nareit.dta", clear . sort year month . gen time=_n . tsset time time variable: time, 1 to 450 delta: 1 unit . twoway (scatter nasdaq time) . twoway (scatter sp500 time) . clear . use not_unit . dfuller y,noconstant lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 998 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -14.615 -2.580 -1.950 -1.620 . clear . use unit . dfuller y,noconstant lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 998 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -0.625 -2.580 -1.950 -1.620 . dfuller y, lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 998 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -0.908 -3.430 -2.860 -2.570 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.7854 . dfuller y, lags(1) trend Augmented Dickey-Fuller test for unit root Number of obs = 998 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -3.010 -3.960 -3.410 -3.120 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.1293 . clear . use nareit . sort year month . gen time=_n . tsset time time variable: time, 1 to 450 delta: 1 unit . dfuller nasdaq, nocons lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 208 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 0.028 -2.586 -1.950 -1.617 . dfuller nasdaq, trend lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 208 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.981 -4.004 -3.436 -3.136 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.6118 . clear . use "C:\drive\econ272\ma_ar_ex.dta", clear . arima yma,ma(1/2) (setting optimization to BHHH) Iteration 0: log likelihood = -3560.775 Iteration 1: log likelihood = -3556.0838 Iteration 2: log likelihood = -3555.8581 Iteration 3: log likelihood = -3555.8442 Iteration 4: log likelihood = -3555.8433 (switching optimization to BFGS) Iteration 5: log likelihood = -3555.8432 Iteration 6: log likelihood = -3555.8432 ARIMA regression Sample: 1 - 2500 Number of obs = 2500 Wald chi2(2) = 381.44 Log likelihood = -3555.843 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG yma | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- yma | _cons | .0227445 .0314093 0.72 0.469 -.0388167 .0843056 -------------+---------------------------------------------------------------- ARMA | ma | L1. | .3748015 .0196913 19.03 0.000 .3362073 .4133958 L2. | .1898187 .019276 9.85 0.000 .1520383 .227599 -------------+---------------------------------------------------------------- /sigma | 1.003369 .0143619 69.86 0.000 .9752201 1.031518 ------------------------------------------------------------------------------ . arima yar,ar(1/3) nocons (setting optimization to BHHH) Iteration 0: log likelihood = -3534.701 Iteration 1: log likelihood = -3534.6969 Iteration 2: log likelihood = -3534.6968 ARIMA regression Sample: 1 - 2500 Number of obs = 2500 Wald chi2(3) = 1500.00 Log likelihood = -3534.697 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG yar | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- ARMA | ar | L1. | .3970491 .0199868 19.87 0.000 .3578758 .4362225 L2. | .2406681 .0207909 11.58 0.000 .1999187 .2814176 L3. | .0646541 .0199745 3.24 0.001 .0255048 .1038035 -------------+---------------------------------------------------------------- /sigma | .9948385 .0142814 69.66 0.000 .9668476 1.022829 ------------------------------------------------------------------------------ . regress yar l1. yar l2.yar l3.yar Source | SS df MS Number of obs = 2497 -------------+------------------------------ F( 3, 2493) = . Model | 3926.33774 3 1308.77925 Prob > F = . Residual | 0 2493 0 R-squared = 1.0000 -------------+------------------------------ Adj R-squared = 1.0000 Total | 3926.33774 2496 1.57305198 Root MSE = 0 ------------------------------------------------------------------------------ yar | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- yar | --. | 1 . . . . . L2. | -9.61e-17 . . . . . L3. | 4.18e-17 . . . . . _cons | 0 . . . . . ------------------------------------------------------------------------------ . regress yar l1.yar l2.yar l3.yar Source | SS df MS Number of obs = 2497 -------------+------------------------------ F( 3, 2493) = 491.48 Model | 1459.17423 3 486.391411 Prob > F = 0.0000 Residual | 2467.16351 2493 .989636384 R-squared = 0.3716 -------------+------------------------------ Adj R-squared = 0.3709 Total | 3926.33774 2496 1.57305198 Root MSE = .9948 ------------------------------------------------------------------------------ yar | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- yar | L1. | .3982831 .0199672 19.95 0.000 .359129 .4374371 L2. | .2395426 .0209436 11.44 0.000 .198474 .2806112 L3. | .0643855 .0199773 3.22 0.001 .0252118 .1035593 _cons | .0115738 .0199252 0.58 0.561 -.027498 .0506455 ------------------------------------------------------------------------------ . arima yar,ma(1/8) (setting optimization to BHHH) Iteration 0: log likelihood = -3538.8326 Iteration 1: log likelihood = -3536.0507 Iteration 2: log likelihood = -3535.831 Iteration 3: log likelihood = -3535.8175 Iteration 4: log likelihood = -3535.8165 (switching optimization to BFGS) Iteration 5: log likelihood = -3535.8164 Iteration 6: log likelihood = -3535.8164 ARIMA regression Sample: 1 - 2500 Number of obs = 2500 Wald chi2(8) = 596.57 Log likelihood = -3535.816 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG yar | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- yar | _cons | .0430594 .0552488 0.78 0.436 -.0652263 .151345 -------------+---------------------------------------------------------------- ARMA | ma | L1. | .399204 .0199471 20.01 0.000 .3601084 .4382997 L2. | .4036134 .0211631 19.07 0.000 .3621344 .4450924 L3. | .3307436 .0229704 14.40 0.000 .2857225 .3757647 L4. | .2637355 .0227151 11.61 0.000 .2192147 .3082563 L5. | .1545061 .0235342 6.57 0.000 .10838 .2006322 L6. | .1328173 .0227807 5.83 0.000 .0881679 .1774667 L7. | .0519931 .022096 2.35 0.019 .0086858 .0953004 L8. | .0351825 .0209047 1.68 0.092 -.0057899 .0761549 -------------+---------------------------------------------------------------- /sigma | .9952911 .0142665 69.76 0.000 .9673293 1.023253 ------------------------------------------------------------------------------ . arima yma,ar(1/8) (setting optimization to BHHH) Iteration 0: log likelihood = -3530.3983 Iteration 1: log likelihood = -3530.3948 Iteration 2: log likelihood = -3530.3947 ARIMA regression Sample: 1 - 2500 Number of obs = 2500 Wald chi2(8) = 612.17 Log likelihood = -3530.395 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG yma | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- yma | _cons | .0226761 .0338513 0.67 0.503 -.0436711 .0890234 -------------+---------------------------------------------------------------- ARMA | ar | L1. | .3983498 .020018 19.90 0.000 .3591153 .4375842 L2. | .085018 .0215709 3.94 0.000 .0427399 .1272962 L3. | -.0071398 .0216843 -0.33 0.742 -.0496403 .0353606 L4. | -.0818443 .0211868 -3.86 0.000 -.1233697 -.0403189 L5. | -.0252978 .0220462 -1.15 0.251 -.0685076 .0179119 L6. | .0401877 .0213399 1.88 0.060 -.0016378 .0820131 L7. | -.0130731 .0218005 -0.60 0.549 -.0558013 .0296552 L8. | .015666 .0207091 0.76 0.449 -.024923 .0562551 -------------+---------------------------------------------------------------- /sigma | .9931906 .01424 69.75 0.000 .9652807 1.021101 ------------------------------------------------------------------------------ . clear . use "C:\drive\econ272\nareit.dta", clear . sort year month . gen time=_n . tsset time time variable: time, 1 to 450 delta: 1 unit . arima bond10, ar(1/6) (setting optimization to BHHH) Iteration 0: log likelihood = -113.29561 Iteration 1: log likelihood = -88.371546 Iteration 2: log likelihood = -87.110154 Iteration 3: log likelihood = -86.338238 Iteration 4: log likelihood = -86.248922 (switching optimization to BFGS) Iteration 5: log likelihood = -85.998541 Iteration 6: log likelihood = -85.8202 Iteration 7: log likelihood = -85.795768 Iteration 8: log likelihood = -85.795023 Iteration 9: log likelihood = -85.794986 Iteration 10: log likelihood = -85.794983 Iteration 11: log likelihood = -85.794982 Iteration 12: log likelihood = -85.794982 ARIMA regression Sample: 10 - 449 Number of obs = 440 Wald chi2(6) = 53871.38 Log likelihood = -85.79498 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG bond10 | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- bond10 | _cons | 7.223417 1.742955 4.14 0.000 3.807287 10.63955 -------------+---------------------------------------------------------------- ARMA | ar | L1. | 1.412747 .0348958 40.48 0.000 1.344352 1.481142 L2. | -.7001627 .0631561 -11.09 0.000 -.8239463 -.576379 L3. | .4029974 .0758053 5.32 0.000 .2544218 .551573 L4. | -.2140245 .0721669 -2.97 0.003 -.3554689 -.07258 L5. | .2035476 .060433 3.37 0.001 .0851012 .321994 L6. | -.1152752 .0399501 -2.89 0.004 -.193576 -.0369744 -------------+---------------------------------------------------------------- /sigma | .2925471 .0068953 42.43 0.000 .2790326 .3060616 ------------------------------------------------------------------------------ . arima bond10, ar(1/6) ma(1/2) (setting optimization to BHHH) Iteration 0: log likelihood = -100.07728 Iteration 1: log likelihood = -91.346694 Iteration 2: log likelihood = -85.936728 Iteration 3: log likelihood = -81.640769 Iteration 4: log likelihood = -79.825904 (switching optimization to BFGS) Iteration 5: log likelihood = -79.142216 Iteration 6: log likelihood = -78.900597 Iteration 7: log likelihood = -78.834772 Iteration 8: log likelihood = -78.823603 Iteration 9: log likelihood = -78.821012 Iteration 10: log likelihood = -78.820094 Iteration 11: log likelihood = -78.819763 Iteration 12: log likelihood = -78.819729 Iteration 13: log likelihood = -78.819721 Iteration 14: log likelihood = -78.819721 ARIMA regression Sample: 10 - 449 Number of obs = 440 Wald chi2(8) = 8725.58 Log likelihood = -78.81972 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG bond10 | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- bond10 | _cons | 7.183349 1.812003 3.96 0.000 3.631889 10.73481 -------------+---------------------------------------------------------------- ARMA | ar | L1. | .412371 .1005359 4.10 0.000 .2153242 .6094178 L2. | -.0358106 .0948358 -0.38 0.706 -.2216853 .1500641 L3. | .7649018 .084157 9.09 0.000 .5999572 .9298464 L4. | -.3549201 .0405963 -8.74 0.000 -.4344874 -.2753528 L5. | .3332331 .040819 8.16 0.000 .2532293 .413237 L6. | -.1464699 .0450949 -3.25 0.001 -.2348542 -.0580856 ma | L1. | 1.024856 .0888306 11.54 0.000 .8507512 1.198961 L2. | .7810146 .0818401 9.54 0.000 .6206111 .9414182 -------------+---------------------------------------------------------------- /sigma | .2878418 .0076591 37.58 0.000 .2728303 .3028534 ------------------------------------------------------------------------------ . arima bond10, ar(1/6) ma(1/4) (setting optimization to BHHH) Iteration 0: log likelihood = -100.70701 Iteration 1: log likelihood = -95.058239 Iteration 2: log likelihood = -81.696528 Iteration 3: log likelihood = -79.761672 Iteration 4: log likelihood = -79.240645 (switching optimization to BFGS) Iteration 5: log likelihood = -79.095665 Iteration 6: log likelihood = -78.862737 Iteration 7: log likelihood = -78.810384 Iteration 8: log likelihood = -78.790753 Iteration 9: log likelihood = -78.787934 Iteration 10: log likelihood = -78.787092 Iteration 11: log likelihood = -78.786185 Iteration 12: log likelihood = -78.78607 Iteration 13: log likelihood = -78.786029 Iteration 14: log likelihood = -78.786024 (switching optimization to BHHH) Iteration 15: log likelihood = -78.786023 ARIMA regression Sample: 10 - 449 Number of obs = 440 Wald chi2(10) = 6896.75 Log likelihood = -78.78602 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG bond10 | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- bond10 | _cons | 7.172811 1.837474 3.90 0.000 3.571427 10.77419 -------------+---------------------------------------------------------------- ARMA | ar | L1. | .2342119 .8108366 0.29 0.773 -1.354999 1.823422 L2. | -.0375796 .1250889 -0.30 0.764 -.2827494 .2075902 L3. | .7826661 .1053988 7.43 0.000 .5760881 .989244 L4. | -.2137135 .6449249 -0.33 0.740 -1.477743 1.050316 L5. | .3160429 .1177125 2.68 0.007 .0853307 .5467551 L6. | -.1147347 .1493487 -0.77 0.442 -.4074526 .1779833 ma | L1. | 1.203915 .8134499 1.48 0.139 -.3904179 2.798247 L2. | 1.039226 1.196812 0.87 0.385 -1.306483 3.384935 L3. | .2226816 1.052141 0.21 0.832 -1.839477 2.28484 L4. | .0576747 .323333 0.18 0.858 -.5760464 .6913957 -------------+---------------------------------------------------------------- /sigma | .2878198 .0078638 36.60 0.000 .272407 .3032325 ------------------------------------------------------------------------------ . arima bond10 time, ar(1/6) ma(1/4) (setting optimization to BHHH) Iteration 0: log likelihood = -93.238087 Iteration 1: log likelihood = -92.649303 Iteration 2: log likelihood = -84.474261 Iteration 3: log likelihood = -83.23002 Iteration 4: log likelihood = -82.924054 (switching optimization to BFGS) Iteration 5: log likelihood = -82.220626 Iteration 6: log likelihood = -82.045027 (backed up) Iteration 7: log likelihood = -79.63544 Iteration 8: log likelihood = -79.511286 Iteration 9: log likelihood = -78.959711 Iteration 10: log likelihood = -78.759637 Iteration 11: log likelihood = -78.478549 Iteration 12: log likelihood = -78.330861 Iteration 13: log likelihood = -78.261471 Iteration 14: log likelihood = -78.168679 (switching optimization to BHHH) Iteration 15: log likelihood = -78.079582 Iteration 16: log likelihood = -78.019241 Iteration 17: log likelihood = -78.005723 Iteration 18: log likelihood = -77.999093 Iteration 19: log likelihood = -77.995671 (switching optimization to BFGS) Iteration 20: log likelihood = -77.993706 Iteration 21: log likelihood = -77.991316 Iteration 22: log likelihood = -77.991118 Iteration 23: log likelihood = -77.991098 Iteration 24: log likelihood = -77.991096 ARIMA regression Sample: 10 - 449 Number of obs = 440 Wald chi2(11) = 5839.67 Log likelihood = -77.9911 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG bond10 | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- bond10 | time | -.0086012 .0073958 -1.16 0.245 -.0230968 .0058944 _cons | 9.240773 2.02303 4.57 0.000 5.275707 13.20584 -------------+---------------------------------------------------------------- ARMA | ar | L1. | .2931837 .7351481 0.40 0.690 -1.14768 1.734047 L2. | -.0439772 .1270157 -0.35 0.729 -.2929235 .2049691 L3. | .7757817 .1012398 7.66 0.000 .5773554 .9742081 L4. | -.2613814 .5823926 -0.45 0.654 -1.40285 .8800872 L5. | .322892 .1178602 2.74 0.006 .0918903 .5538936 L6. | -.1300324 .1344133 -0.97 0.333 -.3934776 .1334127 ma | L1. | 1.142388 .7386552 1.55 0.122 -.3053492 2.590126 L2. | .9557961 1.088071 0.88 0.380 -1.176785 3.088377 L3. | .1530934 .9579945 0.16 0.873 -1.724541 2.030728 L4. | .0423357 .299954 0.14 0.888 -.5455635 .6302348 -------------+---------------------------------------------------------------- /sigma | .2874037 .0078482 36.62 0.000 .2720216 .3027859 ------------------------------------------------------------------------------ . regress nasdaq l1.nasdaq l2.nasdaq Source | SS df MS Number of obs = 208 -------------+------------------------------ F( 2, 205) = 2883.93 Model | 160245740 2 80122870.2 Prob > F = 0.0000 Residual | 5695415.06 205 27782.5125 R-squared = 0.9657 -------------+------------------------------ Adj R-squared = 0.9653 Total | 165941156 207 801648.094 Root MSE = 166.68 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | L1. | 1.031327 .0697513 14.79 0.000 .8938052 1.168849 L2. | -.0504586 .0696896 -0.72 0.470 -.1878588 .0869416 _cons | 40.21762 23.52321 1.71 0.089 -6.16082 86.59606 ------------------------------------------------------------------------------ . imtest Cameron & Trivedi's decomposition of IM-test --------------------------------------------------- Source | chi2 df p ---------------------+----------------------------- Heteroskedasticity | 103.34 5 0.0000 Skewness | 0.32 2 0.8538 Kurtosis | 7.75 1 0.0054 ---------------------+----------------------------- Total | 111.41 8 0.0000 --------------------------------------------------- . predict error,resid (242 missing values generated) . twoway (scatter error time) . arch nasdaq l1.nasdaq l2.nasdaq,arch(1 ) required r(100); . arch nasdaq l1.nasdaq l2.nasdaq,arch(1) (setting optimization to BHHH) Iteration 0: log likelihood = -1332.513 Iteration 1: log likelihood = -1280.5498 Iteration 2: log likelihood = -1277.4539 Iteration 3: log likelihood = -1274.869 Iteration 4: log likelihood = -1268.9052 (switching optimization to BFGS) Iteration 5: log likelihood = -1266.1945 BFGS stepping has contracted, resetting BFGS Hessian (0) Iteration 6: log likelihood = -1262.3889 Iteration 7: log likelihood = -1262.3835 (backed up) Iteration 8: log likelihood = -1262.3185 (backed up) Iteration 9: log likelihood = -1262.0105 Iteration 10: log likelihood = -1261.8496 Iteration 11: log likelihood = -1261.8442 Iteration 12: log likelihood = -1261.8064 Iteration 13: log likelihood = -1261.771 Iteration 14: log likelihood = -1261.77 (switching optimization to BHHH) Iteration 15: log likelihood = -1261.77 Iteration 16: log likelihood = -1261.762 Iteration 17: log likelihood = -1261.7619 Iteration 18: log likelihood = -1261.7618 Iteration 19: log likelihood = -1261.7618 (switching optimization to BFGS) Iteration 20: log likelihood = -1261.7618 BFGS stepping has contracted, resetting BFGS Hessian (1) Iteration 21: log likelihood = -1261.7618 Iteration 22: log likelihood = -1261.7618 (backed up) Iteration 23: log likelihood = -1261.7618 (backed up) Iteration 24: log likelihood = -1261.7618 Iteration 25: log likelihood = -1261.7618 ARCH family regression Sample: 243 - 450 Number of obs = 208 Distribution: Gaussian Wald chi2(2) = 26555.12 Log likelihood = -1261.762 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | nasdaq | L1. | 1.295376 .01876 69.05 0.000 1.258607 1.332145 L2. | -.2882032 .0157567 -18.29 0.000 -.3190857 -.2573207 _cons | 2.646201 12.60919 0.21 0.834 -22.06735 27.35975 -------------+---------------------------------------------------------------- ARCH | arch | L1. | 1.414681 .2026088 6.98 0.000 1.017575 1.811787 _cons | 3164.542 461.257 6.86 0.000 2260.495 4068.589 ------------------------------------------------------------------------------ . arch nasdaq l1.nasdaq l2.nasdaq,arch(2) (setting optimization to BHHH) Iteration 0: log likelihood = -1288.1683 Iteration 1: log likelihood = -1282.5495 Iteration 2: log likelihood = -1279.7102 Iteration 3: log likelihood = -1277.5382 Iteration 4: log likelihood = -1275.7965 (switching optimization to BFGS) BFGS stepping has contracted, resetting BFGS Hessian (0) Iteration 5: log likelihood = -1274.587 Iteration 6: log likelihood = -1273.2948 (backed up) Iteration 7: log likelihood = -1272.4244 (backed up) Iteration 8: log likelihood = -1272.3247 Iteration 9: log likelihood = -1271.8524 Iteration 10: log likelihood = -1271.8322 Iteration 11: log likelihood = -1271.6039 Iteration 12: log likelihood = -1271.3681 Iteration 13: log likelihood = -1271.364 Iteration 14: log likelihood = -1271.364 (switching optimization to BHHH) Iteration 15: log likelihood = -1271.3639 Iteration 16: log likelihood = -1270.65 Iteration 17: log likelihood = -1270.3995 Iteration 18: log likelihood = -1270.2959 Iteration 19: log likelihood = -1270.243 (switching optimization to BFGS) BFGS stepping has contracted, resetting BFGS Hessian (1) Iteration 20: log likelihood = -1270.2265 Iteration 21: log likelihood = -1270.2203 (backed up) Iteration 22: log likelihood = -1270.2203 (backed up) Iteration 23: log likelihood = -1270.2199 Iteration 24: log likelihood = -1270.2169 Iteration 25: log likelihood = -1270.2153 Iteration 26: log likelihood = -1270.2056 Iteration 27: log likelihood = -1270.1873 Iteration 28: log likelihood = -1270.1868 Iteration 29: log likelihood = -1270.1868 (switching optimization to BHHH) Iteration 30: log likelihood = -1270.1868 Iteration 31: log likelihood = -1270.1662 Iteration 32: log likelihood = -1270.1621 Iteration 33: log likelihood = -1270.1619 Iteration 34: log likelihood = -1270.1597 (switching optimization to BFGS) BFGS stepping has contracted, resetting BFGS Hessian (2) Iteration 35: log likelihood = -1270.1591 Iteration 36: log likelihood = -1270.159 (backed up) Iteration 37: log likelihood = -1270.159 (backed up) Iteration 38: log likelihood = -1270.159 Iteration 39: log likelihood = -1270.1589 Iteration 40: log likelihood = -1270.1589 Iteration 41: log likelihood = -1270.1589 Iteration 42: log likelihood = -1270.1589 Iteration 43: log likelihood = -1270.1589 Iteration 44: log likelihood = -1270.1589 (switching optimization to BHHH) Iteration 45: log likelihood = -1270.1589 Iteration 46: log likelihood = -1270.1583 Iteration 47: log likelihood = -1270.1582 Iteration 48: log likelihood = -1270.1581 Iteration 49: log likelihood = -1270.1581 (switching optimization to BFGS) Iteration 50: log likelihood = -1270.1581 BFGS stepping has contracted, resetting BFGS Hessian (3) Iteration 51: log likelihood = -1270.1581 Iteration 52: log likelihood = -1270.1581 (backed up) Iteration 53: log likelihood = -1270.1581 (backed up) Iteration 54: log likelihood = -1270.1581 Iteration 55: log likelihood = -1270.1581 ARCH family regression Sample: 243 - 450 Number of obs = 208 Distribution: Gaussian Wald chi2(2) = 31089.07 Log likelihood = -1270.158 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | nasdaq | L1. | 1.03298 .0157238 65.70 0.000 1.002162 1.063798 L2. | -.0186525 .0161595 -1.15 0.248 -.0503245 .0130195 _cons | -1.509728 13.46456 -0.11 0.911 -27.89978 24.88032 -------------+---------------------------------------------------------------- ARCH | arch | L2. | 1.297501 .1835133 7.07 0.000 .9378216 1.65718 _cons | 4083.544 439.4082 9.29 0.000 3222.32 4944.768 ------------------------------------------------------------------------------ . arch nasdaq l1.nasdaq l2.nasdaq,arch(1/2) (setting optimization to BHHH) Iteration 0: log likelihood = -1272.6288 Iteration 1: log likelihood = -1255.4938 Iteration 2: log likelihood = -1251.8798 Iteration 3: log likelihood = -1248.7729 Iteration 4: log likelihood = -1246.3045 (switching optimization to BFGS) Iteration 5: log likelihood = -1243.9549 BFGS stepping has contracted, resetting BFGS Hessian (0) Iteration 6: log likelihood = -1235.5838 Iteration 7: log likelihood = -1235.4902 (backed up) Iteration 8: log likelihood = -1234.5721 (backed up) Iteration 9: log likelihood = -1234.4854 (backed up) Iteration 10: log likelihood = -1234.451 Iteration 11: log likelihood = -1234.0748 Iteration 12: log likelihood = -1234.0449 Iteration 13: log likelihood = -1234.0429 Iteration 14: log likelihood = -1234.0335 (switching optimization to BHHH) Iteration 15: log likelihood = -1234.0211 Iteration 16: log likelihood = -1233.78 Iteration 17: log likelihood = -1233.7568 Iteration 18: log likelihood = -1233.7306 Iteration 19: log likelihood = -1233.7305 (switching optimization to BFGS) Iteration 20: log likelihood = -1233.7281 BFGS stepping has contracted, resetting BFGS Hessian (1) Iteration 21: log likelihood = -1233.7279 Iteration 22: log likelihood = -1233.7278 (backed up) Iteration 23: log likelihood = -1233.7278 (backed up) Iteration 24: log likelihood = -1233.7278 Iteration 25: log likelihood = -1233.7278 Iteration 26: log likelihood = -1233.7278 ARCH family regression Sample: 243 - 450 Number of obs = 208 Distribution: Gaussian Wald chi2(2) = 30580.27 Log likelihood = -1233.728 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | nasdaq | L1. | 1.272648 .0507523 25.08 0.000 1.173176 1.372121 L2. | -.2692203 .0514463 -5.23 0.000 -.3700531 -.1683875 _cons | 7.236789 10.02069 0.72 0.470 -12.40341 26.87698 -------------+---------------------------------------------------------------- ARCH | arch | L1. | .6298895 .1366833 4.61 0.000 .3619952 .8977839 L2. | .6245748 .1667591 3.75 0.000 .297733 .9514166 _cons | 1262.253 228.6278 5.52 0.000 814.1504 1710.355 ------------------------------------------------------------------------------ . ex,clear