INDUSTRIAL

104
100
96
92
88
84
80
99

00

01

02

03

04

05

06

07

08

2. Linear Trend
Dependent Variable: INDUSTRIAL
Method: Least Squares
Date: 02/19/15 Time: 12:03
Sample: 1999M01 2012M01
Included observations: 157
INDUSTRIAL=C(1)+C(2)*T

C(1)
C(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

90.30333
0.025589

0.643535
0.007134

140.3239
3.587005

0.0000
0.0004

0.076648
0.070691
4.051009
2543.654
-441.4046
12.86661
0.000448

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

92.29924
4.202261
5.648466
5.687399
5.664278
0.027890

09

10

11

104
100
96
8

92

88
84

80
-4
-8
-12
99

00

01

02

03

04

Residual

05

06

07

Actual

08

09

10

Fitted

Quadratic Trend
Dependent Variable: INDUSTRIAL
Method: Least Squares
Date: 02/19/15 Time: 12:05
Sample: 1999M01 2012M01
Included observations: 157
INDUSTRIAL= C(1)+ C(2)*T+C(3)*T2

C(1)
C(2)
C(3)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

86.83319
0.159917
-0.000861

0.883492
0.026169
0.000162

98.28402
6.110981
-5.303601

0.0000
0.0000
0.0000

0.219252
0.209112
3.737149
2150.808
-428.2356
21.62336
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

92.29924
4.202261
5.493447
5.551846
5.517165
0.033174

11

104
100
96
8

92

88

84
80

-4
-8
-12
99

00

01

02

03

04

Residual

05

06

07

Actual

08

09

10

Fitted

Exponential Trend
Dependent Variable: INDUSTRIAL
Method: Least Squares
Date: 02/19/15 Time: 12:06
Sample: 1999M01 2012M01
Included observations: 157
Convergence achieved after 7 iterations
INDUSTRIAL= C(1)*EXP(C(2)*T)

C(1)
C(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

Coefficient

Std. Error

t-Statistic

Prob.

90.34755
0.000273

0.637150
7.73E-05

141.7995
3.530057

0.0000
0.0005

0.075487
0.069522
4.053554
2546.852
-441.5032
0.027857

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

92.29924
4.202261
5.649722
5.688655
5.665534

11

104
100
96
8

92

88
84

80
-4
-8
-12
99

00

01

02

03

04

05

Residual

06
Actual

07

08

09

10

11

Fitted

Summary
Linear
Quadratic
Exponential

SIC Criteria

AIC Criteria

R squared

5.687399
5.551846

5.648466
5.493447
5.649722

0.076648
0.219252
0.075487

5.688655

Model selection of Question 2

Based on SIC Criteria

Select Quadratic Trend

Based on AIC Criteria

Select Quadratic Trend

Based on R Squared

Select Quadratic Trend

3. Exponential Trend with

AR(1)

Dependent Variable: INDUSTRIAL

Method: Least Squares
Date: 02/19/15 Time: 12:45

Sample (adjusted): 1999M02 2012M01

Included observations: 156 after adjustments
Convergence achieved after 6 iterations
INDUSTRIAL=C(1)*(EXP(C(2)*T))+C(3)*INDUSTRIAL(-1)

C(1)
C(2)
C(3)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

Coefficient

Std. Error

t-Statistic

Prob.

1.537071
-5.64E-05
0.984053

1.217158
0.000830
0.013427

1.262836
-0.067947
73.28977

0.2086
0.9459
0.0000

0.974282
0.973945
0.676633
70.04825
-158.9020
1.465829

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

92.33489
4.191897
2.075667
2.134318
2.099488

104
100
96
92
88

84
0

80

-2
-4
-6
99

00

01

02

03

04

Residual

05

06
Actual

07

08
Fitted

09

10

11

Quadratic Equation with

AR(1)

Dependent Variable: INDUSTRIAL

Method: Least Squares
Date: 02/19/15 Time: 12:48
Sample (adjusted): 1999M02 2012M01
Included observations: 156 after adjustments
Convergence achieved after 12 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
T
T2
AR(1)

230.9885
-1.183614
0.003269
0.989999

544.8907
3.377477
0.006813
0.014683

0.423917
-0.350443
0.479772
67.42266

0.6722
0.7265
0.6321
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.974450
0.973946
0.676631
69.59007
-158.3902
1932.357
0.000000

Inverted AR Roots

.99

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

92.33489
4.191897
2.081925
2.160126
2.113687
1.484230

104
100
96
92
88

84

80

-2
-4
-6
99

00

01

02

03

04

Residual

05

06
Actual

07

08
Fitted

09

10

11

Linear Model with AR(1)

Dependent Variable: INDUSTRIAL
Method: Least Squares
Date: 02/19/15 Time: 12:53
Sample (adjusted): 1999M02 2012M01
Included observations: 156 after adjustments
Convergence achieved after 4 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
T
AR(1)

96.69431
-0.005240
0.984044

13.10377
0.079623
0.013423

7.379123
-0.065815
73.31001

0.0000
0.9476
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.974282
0.973945
0.676633
70.04832
-158.9021
2898.018
0.000000

Inverted AR Roots

.98

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

92.33489
4.191897
2.075668
2.134319
2.099489
1.465814

104
100
96
92
88

84
0

80

-2
-4
-6
99

00

01

02

03

04

Residual

05

06
Actual

07

08
Fitted

09

10

11

Model selection of Question 3

Based on BIC Criteria, we choose exponential trend ( . Though BIC criteria is almost
same with Linear Model.