--------------------------------------------------------------------------------------------------------- log: D:\My Documents\My Downloads\Econ 170\chapter 12, question 3.log log type: text opened on: 9 Nov 2005, 22:21:55 . use "E:\Schmidt\(02) Stata Format\macro2.dta", clear . regress consumption gdp primerate Source | SS df MS Number of obs = 220 -------------+------------------------------ F( 2, 217) = . Model | 876789728 2 438394864 Prob > F = 0.0000 Residual | 301260.067 217 1388.29524 R-squared = 0.9997 -------------+------------------------------ Adj R-squared = 0.9997 Total | 877090988 219 4004981.68 Root MSE = 37.26 ------------------------------------------------------------------------------ consumption | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp | .6832974 .0009502 719.09 0.000 .6814246 .6851703 primerate | -12.7147 .7784773 -16.33 0.000 -14.24905 -11.18036 _cons | 10.96344 5.524224 1.98 0.048 .0754329 21.85144 ------------------------------------------------------------------------------ . dwstat time variable not set, use -tsset varname ...- r(111); . gen n=_n . tsset n time variable: n, 1 to 220 . dwstat Durbin-Watson d-statistic( 3, 220) = .1975829 . prais consumption gdp primerate, corc rhotype(regress) Iteration 0: rho = 0.0000 Iteration 1: rho = 0.9756 Iteration 2: rho = 0.9818 Iteration 3: rho = 0.9882 Iteration 4: rho = 0.9951 Iteration 5: rho = 0.9968 Iteration 6: rho = 0.9976 Iteration 7: rho = 0.9980 Iteration 8: rho = 0.9983 Iteration 9: rho = 0.9985 Iteration 10: rho = 0.9986 Iteration 11: rho = 0.9988 Iteration 12: rho = 0.9989 Iteration 13: rho = 0.9990 Iteration 14: rho = 0.9990 Iteration 15: rho = 0.9991 Iteration 16: rho = 0.9992 Iteration 17: rho = 0.9992 Iteration 18: rho = 0.9992 Iteration 19: rho = 0.9993 Iteration 20: rho = 0.9993 Iteration 21: rho = 0.9994 Iteration 22: rho = 0.9994 Iteration 23: rho = 0.9994 Iteration 24: rho = 0.9994 Iteration 25: rho = 0.9995 Iteration 26: rho = 0.9995 Iteration 27: rho = 0.9995 Iteration 28: rho = 0.9995 Iteration 29: rho = 0.9995 Iteration 30: rho = 0.9995 Iteration 31: rho = 0.9996 Iteration 32: rho = 0.9996 Iteration 33: rho = 0.9996 Iteration 34: rho = 0.9996 Iteration 35: rho = 0.9996 Iteration 36: rho = 0.9996 Iteration 37: rho = 0.9996 Iteration 38: rho = 0.9996 Iteration 39: rho = 0.9996 Iteration 40: rho = 0.9997 Iteration 41: rho = 0.9997 Iteration 42: rho = 0.9997 Iteration 43: rho = 0.9997 Iteration 44: rho = 0.9997 Iteration 45: rho = 0.9997 Iteration 46: rho = 0.9997 Iteration 47: rho = 0.9997 Iteration 48: rho = 0.9997 Iteration 49: rho = 0.9997 Iteration 50: rho = 0.9997 Iteration 51: rho = 0.9997 Iteration 52: rho = 0.9997 Iteration 53: rho = 0.9997 Iteration 54: rho = 0.9997 Iteration 55: rho = 0.9997 Iteration 56: rho = 0.9997 Iteration 57: rho = 0.9998 Iteration 58: rho = 0.9998 Iteration 59: rho = 0.9998 Iteration 60: rho = 0.9998 Iteration 61: rho = 0.9998 Iteration 62: rho = 0.9998 Iteration 63: rho = 0.9998 Iteration 64: rho = 0.9998 Iteration 65: rho = 0.9998 Iteration 66: rho = 0.9998 Iteration 67: rho = 0.9998 Iteration 68: rho = 0.9998 Iteration 69: rho = 0.9998 Iteration 70: rho = 0.9998 Iteration 71: rho = 0.9998 Iteration 72: rho = 0.9998 Iteration 73: rho = 0.9998 Iteration 74: rho = 0.9998 Iteration 75: rho = 0.9998 Iteration 76: rho = 0.9998 Iteration 77: rho = 0.9998 Iteration 78: rho = 0.9998 Iteration 79: rho = 0.9998 Iteration 80: rho = 0.9998 Iteration 81: rho = 0.9998 Iteration 82: rho = 0.9998 Iteration 83: rho = 0.9998 Iteration 84: rho = 0.9998 Iteration 85: rho = 0.9998 Iteration 86: rho = 0.9998 Iteration 87: rho = 0.9998 Iteration 88: rho = 0.9998 Iteration 89: rho = 0.9998 Iteration 90: rho = 0.9998 Iteration 91: rho = 0.9998 Iteration 92: rho = 0.9998 Iteration 93: rho = 0.9998 Iteration 94: rho = 0.9998 Iteration 95: rho = 0.9998 Iteration 96: rho = 0.9998 Iteration 97: rho = 0.9999 Iteration 98: rho = 0.9999 Iteration 99: rho = 0.9999 Iteration 100: rho = 0.9999 Cochrane-Orcutt AR(1) regression -- iterated estimates Source | SS df MS Number of obs = 219 -------------+------------------------------ F( 2, 216) = 339.00 Model | 160245.209 2 80122.6044 Prob > F = 0.0000 Residual | 51051.5146 216 236.349605 R-squared = 0.7584 -------------+------------------------------ Adj R-squared = 0.7562 Total | 211296.723 218 969.251025 Root MSE = 15.374 ------------------------------------------------------------------------------ consumption | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp | .614386 .0236044 26.03 0.000 .5678615 .6609105 primerate | -5.635768 1.286981 -4.38 0.000 -8.172417 -3.099119 _cons | 27672.98 10332.13 2.68 0.008 7308.284 48037.68 -------------+---------------------------------------------------------------- rho | .9998553 ------------------------------------------------------------------------------ Durbin-Watson statistic (original) 0.197583 Durbin-Watson statistic (transformed) 2.106304 Convergence not achieved r(430); . regress dconsumption dgdp dprimerate variable dconsumption not found r(111); . regress d.consumption d.gdp d.primerate Source | SS df MS Number of obs = 219 -------------+------------------------------ F( 2, 216) = 332.41 Model | 156919.903 2 78459.9516 Prob > F = 0.0000 Residual | 50983.9246 216 236.036688 R-squared = 0.7548 -------------+------------------------------ Adj R-squared = 0.7525 Total | 207903.828 218 953.687284 Root MSE = 15.363 ------------------------------------------------------------------------------ D. | consumption | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- gdp | D1 | .6126927 .0237715 25.77 0.000 .5658388 .6595465 primerate | D1 | -5.620563 1.286314 -4.37 0.000 -8.155898 -3.085229 _cons | 4.058384 1.493332 2.72 0.007 1.115016 7.001752 ------------------------------------------------------------------------------ . dwstat Durbin-Watson d-statistic( 3, 219) = 2.103995 . log close log: D:\My Documents\My Downloads\Econ 170\chapter 12, question 3.log log type: text closed on: 9 Nov 2005, 22:30:11 ---------------------------------------------------------------------------------------------------------