----------------------------------------------------------------------------------- log: /netscr/khrapov/stata/rec12/rec12.log log type: text opened on: 17 Apr 2008, 08:28:54 . use rec12 . gen time=_n . tsset time time variable: time, 1 to 213 delta: 1 unit . line y time . ac y . pac y . reg d.y time l.y Source | SS df MS Number of obs = 211 -------------+------------------------------ F( 2, 208) = 22.13 Model | 66945.984 2 33472.992 Prob > F = 0.0000 Residual | 314554.095 208 1512.2793 R-squared = 0.1755 -------------+------------------------------ Adj R-squared = 0.1676 Total | 381500.079 210 1816.66704 Root MSE = 38.888 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- time | -.4006829 .2459033 -1.63 0.105 -.8854652 .0840993 y | L1. | .0213651 .0077516 2.76 0.006 .0060833 .0366469 _cons | -7.630991 7.387172 -1.03 0.303 -22.19432 6.932337 ------------------------------------------------------------------------------ . dfuller y, trend reg lags(0) Dickey-Fuller test for unit root Number of obs = 211 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 2.756 -4.003 -3.435 -3.135 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 1.0000 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0213651 .0077516 2.76 0.006 .0060833 .0366469 _trend | -.4006829 .2459033 -1.63 0.105 -.8854652 .0840993 _cons | -8.031674 7.526657 -1.07 0.287 -22.86999 6.806638 ------------------------------------------------------------------------------ . est store A . dfuller y, trend reg lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 210 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 1.219 -4.003 -3.435 -3.135 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 1.0000 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0090744 .0074433 1.22 0.224 -.0056004 .0237491 LD. | .4177903 .0656465 6.36 0.000 .2883651 .5472154 _trend | -.1240024 .2326515 -0.53 0.595 -.5826857 .3346809 _cons | -2.537737 6.965758 -0.36 0.716 -16.27105 11.19558 ------------------------------------------------------------------------------ . est store B . dfuller y, trend reg lags(2) Augmented Dickey-Fuller test for unit root Number of obs = 209 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 1.022 -4.004 -3.435 -3.135 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 1.0000 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0078392 .0076733 1.02 0.308 -.0072899 .0229684 LD. | .3899831 .0710088 5.49 0.000 .2499779 .5299884 L2D. | .0731618 .0719769 1.02 0.311 -.0687522 .2150759 _trend | -.0976441 .2385548 -0.41 0.683 -.5679933 .3727051 _cons | -1.857997 7.010553 -0.27 0.791 -15.68043 11.96444 ------------------------------------------------------------------------------ . est store C . dfuller y, trend reg lags(3) 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) 0.890 -4.004 -3.436 -3.136 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 1.0000 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0070648 .0079419 0.89 0.375 -.008595 .0227245 LD. | .3912855 .0714379 5.48 0.000 .2504258 .5321452 L2D. | .0723063 .0764642 0.95 0.345 -.0784642 .2230767 L3D. | .005436 .0727371 0.07 0.940 -.1379853 .1488574 _trend | -.0715548 .245624 -0.29 0.771 -.5558707 .4127611 _cons | -1.851469 7.076966 -0.26 0.794 -15.80567 12.10273 ------------------------------------------------------------------------------ . est store D . dfuller y, trend reg lags(4) Augmented Dickey-Fuller test for unit root Number of obs = 207 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 0.790 -4.004 -3.436 -3.136 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 1.0000 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0064701 .0081928 0.79 0.431 -.0096853 .0226255 LD. | .3910752 .0718306 5.44 0.000 .2494328 .5327177 L2D. | .0723885 .0769961 0.94 0.348 -.0794398 .2242168 L3D. | .0002403 .0774288 0.00 0.998 -.1524412 .1529219 L4D. | .0162914 .0732173 0.22 0.824 -.1280855 .1606682 _trend | -.0541008 .2524362 -0.21 0.831 -.5518789 .4436772 _cons | -1.735542 7.136577 -0.24 0.808 -15.80813 12.33705 ------------------------------------------------------------------------------ . est store F . est stats ----------------------------------------------------------------------------- Model | Obs ll(null) ll(model) df AIC BIC -------------+--------------------------------------------------------------- F | 207 -1071.43 -1032.504 7 2079.008 2102.337 ----------------------------------------------------------------------------- Note: N=Obs used in calculating BIC; see [R] BIC note . est stats A B C D F ----------------------------------------------------------------------------- Model | Obs ll(null) ll(model) df AIC BIC -------------+--------------------------------------------------------------- A | 211 -1090.647 -1070.29 3 2146.58 2156.636 B | 210 -1085.774 -1046.816 4 2101.632 2115.021 C | 209 -1080.79 -1041.749 5 2093.497 2110.209 D | 208 -1076.115 -1037.047 6 2086.094 2106.119 F | 207 -1071.43 -1032.504 7 2079.008 2102.337 ----------------------------------------------------------------------------- Note: N=Obs used in calculating BIC; see [R] BIC note . gen dy=d.y (2 missing values generated) . line dy time . ac dy . pac dy . arima dy, arima(2,0,0) (setting optimization to BHHH) Iteration 0: log likelihood = -1056.7502 Iteration 1: log likelihood = -1056.7422 Iteration 2: log likelihood = -1056.7417 Iteration 3: log likelihood = -1056.7417 ARIMA regression Sample: 2 - 212 Number of obs = 211 Wald chi2(2) = 100.95 Log likelihood = -1056.742 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG dy | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- dy | _cons | 35.39153 6.122711 5.78 0.000 23.39124 47.39182 -------------+---------------------------------------------------------------- ARMA | ar | L1. | .4536328 .068496 6.62 0.000 .3193831 .5878826 L2. | .1343387 .0563795 2.38 0.017 .0238369 .2448404 -------------+---------------------------------------------------------------- /sigma | 36.18107 1.314805 27.52 0.000 33.6041 38.75804 ------------------------------------------------------------------------------ . est store A1 . est stats ----------------------------------------------------------------------------- Model | Obs ll(null) ll(model) df AIC BIC -------------+--------------------------------------------------------------- A1 | 211 . -1056.742 4 2121.483 2134.891 ----------------------------------------------------------------------------- Note: N=Obs used in calculating BIC; see [R] BIC note . arima y, arima(2,1,0) (setting optimization to BHHH) Iteration 0: log likelihood = -1056.7502 Iteration 1: log likelihood = -1056.7422 Iteration 2: log likelihood = -1056.7417 Iteration 3: log likelihood = -1056.7417 ARIMA regression Sample: 2 - 212 Number of obs = 211 Wald chi2(2) = 100.95 Log likelihood = -1056.742 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG D.y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | _cons | 35.39153 6.122711 5.78 0.000 23.39124 47.39182 -------------+---------------------------------------------------------------- ARMA | ar | L1. | .4536328 .068496 6.62 0.000 .3193831 .5878826 L2. | .1343387 .0563795 2.38 0.017 .0238369 .2448404 -------------+---------------------------------------------------------------- /sigma | 36.18107 1.314805 27.52 0.000 33.6041 38.75804 ------------------------------------------------------------------------------ . predict err, resid (2 missing values generated) . line err time . ac err . pac err . dfuller y Dickey-Fuller test for unit root Number of obs = 211 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 6.425 -3.473 -2.883 -2.573 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 1.0000 . dfuller dy Dickey-Fuller test for unit root Number of obs = 210 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -7.909 -3.473 -2.883 -2.573 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0000 . dfgls dy DF-GLS for dy Number of obs = 196 Maxlag = 14 chosen by Schwert criterion DF-GLS tau 1% Critical 5% Critical 10% Critical [lags] Test Statistic Value Value Value ------------------------------------------------------------------------------ 14 -3.094 -3.480 -2.803 -2.525 13 -3.216 -3.480 -2.815 -2.536 12 -3.385 -3.480 -2.827 -2.547 11 -3.615 -3.480 -2.839 -2.558 10 -3.070 -3.480 -2.850 -2.568 9 -3.017 -3.480 -2.860 -2.578 8 -3.323 -3.480 -2.871 -2.588 7 -4.290 -3.480 -2.881 -2.597 6 -4.037 -3.480 -2.891 -2.606 5 -4.276 -3.480 -2.900 -2.614 4 -5.176 -3.480 -2.908 -2.622 3 -4.866 -3.480 -2.917 -2.629 2 -5.526 -3.480 -2.924 -2.636 1 -6.399 -3.480 -2.932 -2.643 Opt Lag (Ng-Perron seq t) = 11 with RMSE 34.17334 Min SC = 7.234513 at lag 1 with RMSE 36.24594 Min MAIC = 7.548447 at lag 9 with RMSE 34.7782 . dfuller dy, trend Dickey-Fuller test for unit root Number of obs = 210 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -8.854 -4.003 -3.435 -3.135 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0000 . reg dy time Source | SS df MS Number of obs = 211 -------------+------------------------------ F( 1, 209) = 35.55 Model | 55457.5864 1 55457.5864 Prob > F = 0.0000 Residual | 326042.492 209 1560.01193 R-squared = 0.1454 -------------+------------------------------ Adj R-squared = 0.1413 Total | 381500.079 210 1816.66704 Root MSE = 39.497 ------------------------------------------------------------------------------ dy | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- time | .2661658 .0446412 5.96 0.000 .1781611 .3541706 _cons | 6.228502 5.496308 1.13 0.258 -4.606806 17.06381 ------------------------------------------------------------------------------ . dfuller dy, trend nocons cannot choose trend if constant is excluded r(198); . dfuller dy, nocons Dickey-Fuller test for unit root Number of obs = 210 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -5.621 -2.585 -1.950 -1.617 . reg dy time, nocons Source | SS df MS Number of obs = 211 -------------+------------------------------ F( 1, 210) = 196.94 Model | 307638.01 1 307638.01 Prob > F = 0.0000 Residual | 328045.825 210 1562.12298 R-squared = 0.4839 -------------+------------------------------ Adj R-squared = 0.4815 Total | 635683.835 211 3012.7196 Root MSE = 39.524 ------------------------------------------------------------------------------ dy | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- time | .3101298 .0220994 14.03 0.000 .2665646 .353695 ------------------------------------------------------------------------------ . der d.y l.y unrecognized command: der r(199); . reg d.y l.y Source | SS df MS Number of obs = 211 -------------+------------------------------ F( 1, 209) = 41.29 Model | 62930.8041 1 62930.8041 Prob > F = 0.0000 Residual | 318569.275 209 1524.2549 R-squared = 0.1650 -------------+------------------------------ Adj R-squared = 0.1610 Total | 381500.079 210 1816.66704 Root MSE = 39.042 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0089378 .001391 6.43 0.000 .0061956 .01168 _cons | -.9391442 6.164627 -0.15 0.879 -13.09196 11.21367 ------------------------------------------------------------------------------ . dfuller y, lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 210 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 3.708 -3.473 -2.883 -2.573 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 1.0000 . reg d.y l.y, nocons Source | SS df MS Number of obs = 211 -------------+------------------------------ F( 1, 210) = 208.99 Model | 317079.184 1 317079.184 Prob > F = 0.0000 Residual | 318604.651 210 1517.165 R-squared = 0.4988 -------------+------------------------------ Adj R-squared = 0.4964 Total | 635683.835 211 3012.7196 Root MSE = 38.951 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0087471 .0006051 14.46 0.000 .0075543 .0099399 ------------------------------------------------------------------------------ . dfuller y, lags(1) nocons Augmented Dickey-Fuller test for unit root Number of obs = 210 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 6.534 -2.585 -1.950 -1.617 . dfuller y, nocons reg lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 210 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) 6.534 -2.585 -1.950 -1.617 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0050989 .0007804 6.53 0.000 .0035605 .0066374 LD. | .4246591 .0641197 6.62 0.000 .2982514 .5510669 ------------------------------------------------------------------------------ . reg d.y l.y, nocons Source | SS df MS Number of obs = 211 -------------+------------------------------ F( 1, 210) = 208.99 Model | 317079.184 1 317079.184 Prob > F = 0.0000 Residual | 318604.651 210 1517.165 R-squared = 0.4988 -------------+------------------------------ Adj R-squared = 0.4964 Total | 635683.835 211 3012.7196 Root MSE = 38.951 ------------------------------------------------------------------------------ D.y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y | L1. | .0087471 .0006051 14.46 0.000 .0075543 .0099399 ------------------------------------------------------------------------------ . dfuller dy, nocons reg lags(1) Augmented Dickey-Fuller test for unit root Number of obs = 209 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -3.867 -2.585 -1.950 -1.617 ------------------------------------------------------------------------------ D.dy | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- dy | L1. | -.2053396 .0531004 -3.87 0.000 -.3100265 -.1006526 LD. | -.2381835 .0688696 -3.46 0.001 -.3739592 -.1024077 ------------------------------------------------------------------------------ . ex, clear