Question a)

Dependent Variable: S_CH_NEWZEA

Method: Least Squares
Date: 04/03/16 Time: 17:26
Sample (adjusted): 1978Q1 2011Q2
Included observations: 134 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

R_NEWZEA
R_US
C

-0.912449
2.672858
-1.313318

0.655260
0.753203
1.209174

-1.392498
3.548657
-1.086128

0.1661
0.0005
0.2794

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

0.093724
0.079888
5.606174
4117.223
-419.6191
6.773776
0.001587

Mean dependent var

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

Question d:
iv)
Wald Test:
Equation: Untitled
Test Statistic
F-statistic
Chi-square

Value

df

Probability

11.89196
23.78391

(2, 131)
2

0.0000
0.0000

Value

Std. Err.

-1.912449
3.672858

0.655260
0.753203

Null Hypothesis: C(1)=1, C(2)=-1

Null Hypothesis Summary:
Normalized Restriction (= 0)
-1 + C(1)
1 + C(2)

v)

0.288007
5.844483
6.307748
6.372625
6.334112
1.502613

Wald Test:
Equation: Untitled
Test Statistic
F-statistic
Chi-square

Value

df

Probability

8.292072
24.87622

(3, 131)
3

0.0000
0.0000

Null Hypothesis: C(1)=1, C(2)=-1, C(3)=0

Null Hypothesis Summary:
Normalized Restriction (= 0)

Value

Std. Err.

-1.912449
3.672858
-1.313318

0.655260
0.753203
1.209174

Value

df

Probability

2.804230
7.863703
7.863703

131
(1, 131)
1

0.0058
0.0058
0.0050

Value

Std. Err.

1.760409

0.627769

-1 + C(1)
1 + C(2)
C(3)

vi)
Wald Test:
Equation: Untitled
Test Statistic
t-statistic
F-statistic
Chi-square

Null Hypothesis: C(1)+C(2)=0

Null Hypothesis Summary:
Normalized Restriction (= 0)
C(1) + C(2)

Question e:
i)

Dependent Variable: S_CH_NEWZEA

Method: Least Squares
Date: 04/04/16 Time: 19:55
Sample (adjusted): 1978Q1 2011Q2
Included observations: 134 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

R_NEWZEA
R_US
C
S_CH_NEWZEA(-1)

-0.589236
1.966609
-1.144909
0.255636

0.645216
0.768234
1.175247
0.085259

-0.913238
2.559909
-0.974186
2.998346

0.3628
0.0116
0.3318
0.0033

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

0.152343
0.132782
5.442649
3850.915
-415.1389
7.787978
0.000080

Mean dependent var

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

0.288007
5.844483
6.255805
6.342308
6.290957
1.933806

Question f:
i)
30
20
10
0
-10
-20
-30
1970

1975

1980

1985

1990

S_ch_NewZea

ii)

1995

2000

S_CH_NEWZEF

2005

2010

30
20
10
0
-10
-20
-30
00

01

02

03

04

05

S_ch_NewZea

06

07

08

09

10

11

S_CH_NEWZEF

Question g:

RESID01
30
20
10
0
-10
-20
-30
1970

1975

1980

1985

1990

1995

2000

2005

2010