---------------------------------------------------------------------------------------------------------------------------------------- log: c:\drive\econ272\econ771_feb_7_2008.log log type: text opened on: 7 Feb 2008, 07:33:22 . twoway (connect ret_yr yearqtr) . regress ret_yr sta123_r cinc123_r Source | SS df MS Number of obs = 115 -------------+------------------------------ F( 2, 112) = 31.87 Model | 2990.16409 2 1495.08205 Prob > F = 0.0000 Residual | 5253.57921 112 46.9069572 R-squared = 0.3627 -------------+------------------------------ Adj R-squared = 0.3513 Total | 8243.7433 114 72.3135377 Root MSE = 6.8489 ------------------------------------------------------------------------------ ret_yr | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- sta123_r | -2.22294 .586593 -3.79 0.000 -3.385199 -1.060681 cinc123_r | 2.452827 .3144972 7.80 0.000 1.829691 3.075962 _cons | -6.422575 1.599919 -4.01 0.000 -9.592609 -3.252542 ------------------------------------------------------------------------------ . prdict error,reside unrecognized command: prdict r(199); . predict error,reside option reside not allowed r(198); . predict error,resid (53 missing values generated) . gen error_l=error[_n-1] (53 missing values generated) . regress error error_l Source | SS df MS Number of obs = 114 -------------+------------------------------ F( 1, 112) = 1155.43 Model | 4781.41497 1 4781.41497 Prob > F = 0.0000 Residual | 463.479301 112 4.13820805 R-squared = 0.9116 -------------+------------------------------ Adj R-squared = 0.9108 Total | 5244.89428 113 46.4149936 Root MSE = 2.0343 ------------------------------------------------------------------------------ error | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- error_l | .9698766 .0285328 33.99 0.000 .9133425 1.026411 _cons | .1363572 .1905536 0.72 0.476 -.2412002 .5139147 ------------------------------------------------------------------------------ . regress ret_yr sta123_r cinc123_r Source | SS df MS Number of obs = 115 -------------+------------------------------ F( 2, 112) = 31.87 Model | 2990.16409 2 1495.08205 Prob > F = 0.0000 Residual | 5253.57921 112 46.9069572 R-squared = 0.3627 -------------+------------------------------ Adj R-squared = 0.3513 Total | 8243.7433 114 72.3135377 Root MSE = 6.8489 ------------------------------------------------------------------------------ ret_yr | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- sta123_r | -2.22294 .586593 -3.79 0.000 -3.385199 -1.060681 cinc123_r | 2.452827 .3144972 7.80 0.000 1.829691 3.075962 _cons | -6.422575 1.599919 -4.01 0.000 -9.592609 -3.252542 ------------------------------------------------------------------------------ . estat dwatson Durbin-Watson d-statistic( 3, 115) = .0895236 . prais ret_yr sta123_r cinc123_r Iteration 0: rho = 0.0000 Iteration 1: rho = 0.9695 Iteration 2: rho = 0.9787 Iteration 3: rho = 0.9799 Iteration 4: rho = 0.9801 Iteration 5: rho = 0.9801 Iteration 6: rho = 0.9801 Iteration 7: rho = 0.9802 Iteration 8: rho = 0.9802 Prais-Winsten AR(1) regression -- iterated estimates Source | SS df MS Number of obs = 115 -------------+------------------------------ F( 2, 112) = 2.79 Model | 20.803083 2 10.4015415 Prob > F = 0.0656 Residual | 417.303124 112 3.72592075 R-squared = 0.0475 -------------+------------------------------ Adj R-squared = 0.0305 Total | 438.106207 114 3.8430369 Root MSE = 1.9303 ------------------------------------------------------------------------------ ret_yr | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- sta123_r | -.6303157 1.401288 -0.45 0.654 -3.406787 2.146156 cinc123_r | .920099 .4256973 2.16 0.033 .0766344 1.763564 _cons | 2.437428 7.668832 0.32 0.751 -12.75738 17.63224 -------------+---------------------------------------------------------------- rho | .9801506 ------------------------------------------------------------------------------ Durbin-Watson statistic (original) 0.089524 Durbin-Watson statistic (transformed) 1.828627 . exit, clear