-------------------------------------------------------------------------------------------------------------------- log: /netscr/khrapov/stata/rec07/rec07.log log type: text opened on: 28 Feb 2008, 08:14:02 . use national7 . sort year qtr . gen time=_n . tsset time time variable: time, 1 to 136 delta: 1 unit . line nyse time . line cpi time . line pers_income time . reg nasdaq employment cpi bond10 Source | SS df MS Number of obs = 113 -------------+------------------------------ F( 3, 109) = 84.99 Model | 59083050.5 3 19694350.2 Prob > F = 0.0000 Residual | 25258304.1 109 231727.561 R-squared = 0.7005 -------------+------------------------------ Adj R-squared = 0.6923 Total | 84341354.6 112 753047.809 Root MSE = 481.38 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- employment | .1680381 .0266519 6.30 0.000 .115215 .2208613 cpi | -23.1924 6.154609 -3.77 0.000 -35.39064 -10.99417 bond10 | -20.92147 23.69785 -0.88 0.379 -67.88982 26.04689 _cons | -6021.13 939.4734 -6.41 0.000 -7883.136 -4159.124 ------------------------------------------------------------------------------ . estat durbinalt Durbin's alternative test for autocorrelation --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 380.328 1 0.0000 --------------------------------------------------------------------------- H0: no serial correlation . predict xb (option xb assumed; fitted values) (23 missing values generated) . line xb nasdaq time . scatter xb nasdaq . scatter xb nasdaq . gen nasdaq_log=log(nasdaq) (5 missing values generated) . reg nasdaq_log employment cpi bond10 Source | SS df MS Number of obs = 113 -------------+------------------------------ F( 3, 109) = 761.85 Model | 118.836679 3 39.6122263 Prob > F = 0.0000 Residual | 5.66746838 109 .051995123 R-squared = 0.9545 -------------+------------------------------ Adj R-squared = 0.9532 Total | 124.504147 112 1.11164417 Root MSE = .22802 ------------------------------------------------------------------------------ nasdaq_log | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- employment | .0000758 .0000126 6.00 0.000 .0000508 .0001008 cpi | .0086449 .0029154 2.97 0.004 .0028667 .0144231 bond10 | -.0006284 .0112254 -0.06 0.955 -.0228768 .0216199 _cons | .6550476 .4450174 1.47 0.144 -.2269623 1.537058 ------------------------------------------------------------------------------ . predict xb1 (option xb assumed; fitted values) (23 missing values generated) . scatter xb1 nasdaq . scatter xb1 nasdaq_log . line nasdaq_log xb1 time . ivregress 2sls nasdaq employment cpi bond10 (L.nasdaq=L.cpi) Instrumental variables (2SLS) regression Number of obs = 112 Wald chi2(4) = 2569.58 Prob > chi2 = 0.0000 R-squared = 0.9344 Root MSE = 221.63 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | L1. | .9712753 .0687946 14.12 0.000 .8364405 1.10611 employment | -.0007287 .004458 -0.16 0.870 -.0094662 .0080089 cpi | .6149335 1.727887 0.36 0.722 -2.771664 4.001531 bond10 | .0984833 11.78588 0.01 0.993 -23.00142 23.19839 _cons | (dropped) ------------------------------------------------------------------------------ Instrumented: L.nasdaq Instruments: employment cpi bond10 L.cpi . predict xb2 (option xb assumed; fitted values) (23 missing values generated) . line xb2 nasdaq time . reg nasdaq L.nasdaq employment cpi bond10 Source | SS df MS Number of obs = 113 -------------+------------------------------ F( 4, 108) = 395.42 Model | 78950428 4 19737607 Prob > F = 0.0000 Residual | 5390926.59 108 49915.9869 R-squared = 0.9361 -------------+------------------------------ Adj R-squared = 0.9337 Total | 84341354.6 112 753047.809 Root MSE = 223.42 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | L1. | .9038302 .045304 19.95 0.000 .8140299 .9936306 employment | .010576 .0146732 0.72 0.473 -.0185089 .0396609 cpi | -.9581652 3.066195 -0.31 0.755 -7.035895 5.119565 bond10 | -1.630345 11.04109 -0.15 0.883 -23.51569 20.255 _cons | -401.4186 519.1029 -0.77 0.441 -1430.371 627.5333 ------------------------------------------------------------------------------ . estat durbinalt Durbin's alternative test for autocorrelation --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 2.343 1 0.1259 --------------------------------------------------------------------------- H0: no serial correlation . reg nasdaq L.nasdaq Source | SS df MS Number of obs = 130 -------------+------------------------------ F( 1, 128) = 1970.60 Model | 87742757.4 1 87742757.4 Prob > F = 0.0000 Residual | 5699311.46 128 44525.8708 R-squared = 0.9390 -------------+------------------------------ Adj R-squared = 0.9385 Total | 93442068.8 129 724357.123 Root MSE = 211.01 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | L1. | .9751702 .0219675 44.39 0.000 .9317037 1.018637 _cons | 31.87263 24.20659 1.32 0.190 -16.02424 79.76951 ------------------------------------------------------------------------------ . ivregress 2sls nasdaq employment cpi bond10 (L.nasdaq=L.cpi L.employment L.bond10) Instrumental variables (2SLS) regression Number of obs = 112 Wald chi2(4) = 852.20 Prob > chi2 = 0.0000 R-squared = 0.9067 Root MSE = 264.28 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | L1. | 1.2208 .3789416 3.22 0.001 .4780881 1.963512 employment | -.0450039 .0681917 -0.66 0.509 -.1786573 .0886495 cpi | 6.841248 9.918418 0.69 0.490 -12.59849 26.28099 bond10 | 4.249528 14.77075 0.29 0.774 -24.7006 33.19966 _cons | 1598.212 2458.473 0.65 0.516 -3220.306 6416.73 ------------------------------------------------------------------------------ Instrumented: L.nasdaq Instruments: employment cpi bond10 L.cpi L.employment L.bond10 . do rec07 . clear . use national7 . sort year qtr . gen time=_n . tsset time time variable: time, 1 to 136 delta: 1 unit . line nyse time . line cpi time . line pers_income time . . gen nasdaq_1=(nasdaq-nasdaq[_n-1])/nasdaq[_n-1] (6 missing values generated) . gen employment_1=(employment-employment[_n-1])/employment[_n-1] (1 missing value generated) . gen cpi_1=(cpi-cpi[_n-1])/cpi[_n-1] (24 missing values generated) . . reg nasdaq_1 employment_1 cpi_1 bond10 Source | SS df MS Number of obs = 112 -------------+------------------------------ F( 3, 108) = 0.43 Model | .015203564 3 .005067855 Prob > F = 0.7352 Residual | 1.28667826 108 .011913688 R-squared = 0.0117 -------------+------------------------------ Adj R-squared = -0.0158 Total | 1.30188182 111 .011728665 Root MSE = .10915 ------------------------------------------------------------------------------ nasdaq_1 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- employment_1 | .4462442 2.093704 0.21 0.832 -3.70384 4.596328 cpi_1 | -1.71369 1.520609 -1.13 0.262 -4.727801 1.300421 bond10 | .0027085 .004694 0.58 0.565 -.0065958 .0120127 _cons | .0277586 .035762 0.78 0.439 -.0431279 .098645 ------------------------------------------------------------------------------ . estat durbinalt Durbin's alternative test for autocorrelation --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 1.480 1 0.2238 --------------------------------------------------------------------------- H0: no serial correlation . . reg nasdaq employment cpi bond10 Source | SS df MS Number of obs = 113 -------------+------------------------------ F( 3, 109) = 84.99 Model | 59083050.5 3 19694350.2 Prob > F = 0.0000 Residual | 25258304.1 109 231727.561 R-squared = 0.7005 -------------+------------------------------ Adj R-squared = 0.6923 Total | 84341354.6 112 753047.809 Root MSE = 481.38 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- employment | .1680381 .0266519 6.30 0.000 .115215 .2208613 cpi | -23.1924 6.154609 -3.77 0.000 -35.39064 -10.99417 bond10 | -20.92147 23.69785 -0.88 0.379 -67.88982 26.04689 _cons | -6021.13 939.4734 -6.41 0.000 -7883.136 -4159.124 ------------------------------------------------------------------------------ . predict xb (option xb assumed; fitted values) (23 missing values generated) . line xb nasdaq time . scatter xb nasdaq . . gen nasdaq_log=log(nasdaq) (5 missing values generated) . reg nasdaq_log employment cpi bond10 Source | SS df MS Number of obs = 113 -------------+------------------------------ F( 3, 109) = 761.85 Model | 118.836679 3 39.6122263 Prob > F = 0.0000 Residual | 5.66746838 109 .051995123 R-squared = 0.9545 -------------+------------------------------ Adj R-squared = 0.9532 Total | 124.504147 112 1.11164417 Root MSE = .22802 ------------------------------------------------------------------------------ nasdaq_log | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- employment | .0000758 .0000126 6.00 0.000 .0000508 .0001008 cpi | .0086449 .0029154 2.97 0.004 .0028667 .0144231 bond10 | -.0006284 .0112254 -0.06 0.955 -.0228768 .0216199 _cons | .6550476 .4450174 1.47 0.144 -.2269623 1.537058 ------------------------------------------------------------------------------ . drop xb . predict xb (option xb assumed; fitted values) (23 missing values generated) . scatter xb nasdaq_log . line xb nasdaq_log time . estat durbinalt Durbin's alternative test for autocorrelation --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 360.753 1 0.0000 --------------------------------------------------------------------------- H0: no serial correlation . . ivregress 2sls nasdaq (cpi=cpi_1) employment Instrumental variables (2SLS) regression Number of obs = 112 Wald chi2(2) = 313.06 Prob > chi2 = 0.0000 R-squared = 0.4733 Root MSE = 627.93 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- cpi | 31.56842 3.266157 9.67 0.000 25.16687 37.96997 employment | -.0527 .0070621 -7.46 0.000 -.0665414 -.0388587 _cons | (dropped) ------------------------------------------------------------------------------ Instrumented: cpi Instruments: employment cpi_1 . drop xb . predict xb (option xb assumed; fitted values) (23 missing values generated) . line xb nasdaq time . . ivregress 2sls nasdaq cpi (L.nasdaq=L.cpi) employment Instrumental variables (2SLS) regression Number of obs = 112 Wald chi2(3) = 2585.99 Prob > chi2 = 0.0000 R-squared = 0.9343 Root MSE = 221.7 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | L1. | .972188 .0531955 18.28 0.000 .8679267 1.076449 cpi | .5803154 1.651797 0.35 0.725 -2.657147 3.817778 employment | -.000655 .003003 -0.22 0.827 -.0065407 .0052307 _cons | (dropped) ------------------------------------------------------------------------------ Instrumented: L.nasdaq Instruments: cpi employment L.cpi . drop xb . predict xb (option xb assumed; fitted values) (23 missing values generated) . line xb nasdaq time . . reg nasdaq L.nasdaq Source | SS df MS Number of obs = 130 -------------+------------------------------ F( 1, 128) = 1970.60 Model | 87742757.4 1 87742757.4 Prob > F = 0.0000 Residual | 5699311.46 128 44525.8708 R-squared = 0.9390 -------------+------------------------------ Adj R-squared = 0.9385 Total | 93442068.8 129 724357.123 Root MSE = 211.01 ------------------------------------------------------------------------------ nasdaq | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- nasdaq | L1. | .9751702 .0219675 44.39 0.000 .9317037 1.018637 _cons | 31.87263 24.20659 1.32 0.190 -16.02424 79.76951 ------------------------------------------------------------------------------ . predict xb1 (option xb assumed; fitted values) (6 missing values generated) . line xb xb1 nasdaq time . scatter xb xb1 . end of do-file . reg nasdaq_1 employment_1 cpi_1 bond10 Source | SS df MS Number of obs = 112 -------------+------------------------------ F( 3, 108) = 0.43 Model | .015203564 3 .005067855 Prob > F = 0.7352 Residual | 1.28667826 108 .011913688 R-squared = 0.0117 -------------+------------------------------ Adj R-squared = -0.0158 Total | 1.30188182 111 .011728665 Root MSE = .10915 ------------------------------------------------------------------------------ nasdaq_1 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- employment_1 | .4462442 2.093704 0.21 0.832 -3.70384 4.596328 cpi_1 | -1.71369 1.520609 -1.13 0.262 -4.727801 1.300421 bond10 | .0027085 .004694 0.58 0.565 -.0065958 .0120127 _cons | .0277586 .035762 0.78 0.439 -.0431279 .098645 ------------------------------------------------------------------------------ . estat durbinalt Durbin's alternative test for autocorrelation --------------------------------------------------------------------------- lags(p) | chi2 df Prob > chi2 -------------+------------------------------------------------------------- 1 | 1.480 1 0.2238 --------------------------------------------------------------------------- H0: no serial correlation . log close log: /netscr/khrapov/stata/rec07/rec07.log log type: text closed on: 28 Feb 2008, 09:15:35 --------------------------------------------------------------------------------------------------------------------