QUe$tion1

a)
y

Date: 02/19112 Time: 23:29 Sample: 1 2000 Included observations: 1998 Autoco rrelation
I**w**** 1*******

Partial Correlation
1*******

AC 0.998 0.995 0.992 0.989 0.986 0.984 0.981 0.978 0.975 0.972 0.969

PAC 0.998 -0.316 0.129 -0.040 0.032 -0.015 0.016 0.008 -0.028 -0.011 -0.042

Q-Stat 1993.6 3976.0 5947.7 7908.7 9859.5 11800. 13731. 15652. 17562. 19463. 21353.

Prob 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000

J*******
1******* ~******"" J******'k r*******

**1 1*

I
1

I

1 1

I
1 1 1 1 1

1""******
1******* 1*******

1 1 1 1

1

r*******

!
1

2 3 4 5 6 7 8 9 10 11

yt cannot

be generated

by MA process,

cause yt is highly correlated

with yt-l, it is a random

walk process.

b)
Null Hypothesis: Y has a unit root
Exogenous: None Lag Length: 6 (Fixed) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1 % level 5% level 10% level *MacKinnon (1996) one-sided p-values, -1.261309 -2.566124 -1.940983 -1.616592 Prob.* 0.1911

Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y) Method: Leas! Squares Date: 02/19/12 Time: 23:46 Sample (adjusted): 8 1998 Included observations: 1991 after adjustments Variable Coefficient Std. Error t-Statistlc Prob.

.~.

/

'

31 287. c) dy Date: 02/19/12 Time: 23:55 Sample: 1 2000 Included observations: 1997 Autocorrelation 1*** 1 1 1 Partial Correlation AC 0.954833 4.116212 -0.472329 -0.47 288..025366 0.022457 -1.181776 1.84 292.706641 1.025 -0.016 -0.000 I~"'''' *1 1* 1 1 .010667 1.864218 2.64 285.025358 0.029 7 -0..000 0.96 Prob 0.018 0.107259 2.03 288.0069 0.000 0. of regression Sum squared resid Log likelihood Durbin-Watson stat -0.D.2073 0.01 285.0830 -0.009 0. the process is a random walk.734435 0.742 1.024794 0.014 5 -0.053 0.038950 0.35 288.dependentvar Akaike into criterion Schwarz criterion Hannan-Quinn criter. so we have unit root. Null Hypothesis: DY has a unit root Exogenous: None Lag Length: 6 (Fixed) .044 11 0.271 -2824.000 0. 1 I I 1 1 1 I I 1 1 1 1 I 1 I I I 1 1 1 1 1 I I I I I 1 1 1 1 I I I 1 1 1 1 I it is rather an MA(l). cause the ACF becomes insignificant after 1 Jag. it is not stationary.376 -0.083 -0.034833 -0.000 0.001116 0.008 9 0.015 -0.000 0.024 Q-Stat 282.000 0.000 0.026 8 -0.0000 0. 028 0.93 292.068656 0.851768 Mean dependent var S.261309 21.002 -0.582805 -2.001579 1990.004 12 1 2 3 4 PAC 0.036 -D.0000 0.000 0.0000 0.000 0.000 0.194 0.004 0.001408 0.376 -0.040 0.024803 0.000 0.17 284..Y(-1) D{Y(-1» D(Y(-2» D(Y(-3» D(Y{-4» O(Y(-5» o (Y(-6» R-squared Adjusted R-squared S.844542 2.014 10 0.1602 0.012 6 -0.E.. we failed to reject the null hypothesis at all levels.184243 0.77 292.999190 0.022433 0.94 284.246911 0.404924 -1.05543 -9.

039378 -0.0299 0.345265 0. -16.9197 \3.100766 Prob. .074156 0.002264 0.8891 0.E.940983 -1.083535 -1.735034 0.* 0.002116 1991. Error 0.206814 -0.139405 1. means that there is no unit root process.041103 0.845617 2.549790 -0.030800 0.037858 0.0000 0.1214 0.034128 0.085734 2. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. we reject it at all levels.040683 0. it is stationary.043501 0.022468 I-Statistic -16.D.236600 2.388 1.58 Sample (adjusted): 8 1997 Included observations: 1990 after adjustments Variable DY(-1) D(DY(-1 )) D(DY(-2)) D(DY(-3)) D(DY(-4)) D(DY(-5)) D(DY(-6)) R-squared Adjusted R-squared S.172861 0.566125 -1.22E-05 1.89713 -2.0000 Augmented Dickey-Fuller Test Equation Dependent Variable: D{DY) Method: Least Squares Date: 02/19/12 Time: 23.999418 Std.025409 0.004294 0.dependentvar Akaike info criterion .402 -2824.2777 0.343284 1. Schwarz criterion Hannan-Ouinn crlter. 0.89713 5.616592 Prob.865301 2.852846 Mean dependent var S.0000 0.

of regression Sum squared resid Log likelihood F-statlstlc Prob(F-statistic) Coefficient 0.002340 1995.009048 0.dependentvar Akaike info criterion Schwarz criterion Hannan-Ouinn criter.78389 0. 1.024766 0.eX! z> .180631 1.182689 0.~ 1le_ tU If.0000 0.998690 Mean dependent var S.!y I.f -~-: fi-f04 r 6 'f -r tic -f.6871 0.059278 0.024772 0.245546 -0.914478 -2.022462 t-Statistic 21.392887 0.{ {~I .0000 0.1 J Aft'" ~ttitb.177 88.402823 Prob.8517S0 1.111151 -0.402221 -9.4899 0.Q22438 0. 0.471595 0. Durbin-Watson stat el) 11fYM1!V8 [4. o(o-!. Error 0.845559 2.012239 1.862417 2.0168 0.t.015494 0.025249 0.E.Dependent Variable: DY Method: Least Squares Date: 02/20/12 Time: 04:10 Sample (adjusted): 1 1992 Included observations: 1992 after adjustments Variable DY1 DY3 DY2 DY4 DYS C R-squared Adjusted R-squared S.0000 0.D.022437 0.000000 Std.01889 4.305 -2828. ~~to r .107326 2.690537 0.

K "J Yr A-{.Jr k U0fut .(}. (9/ILL b) 0 Ny ~ ~~}fAl ~qCLwt- .2) -=-0 ~>s ~~.- ~ on.2 C. ~~!> .:_ (mJ{ti(-rI-t()/lr ! Jp-r I~~) ~no-r. U-r~/-r&{/f. ~.rJr--I):. Yh.) CMJ Li1--rr· .

667604 26.130836 0.0000 0.189592 ·2.151756 1.408480 0.630582 Mean dependent var S.084684 t-Statistlc 5.E. of regression Sum squared resid Log likelihood F-statisfic Prob(F-statistic) Coefficient 0.Dependent Variable: L1NVPC Method: Least Squares Date: 02/20/12 Time: 00:29 Sample (adjusted): 242 Included observations: 41 after adjustments Variable L1NVPC_1 C R-squared Adjusted R·squared S.098606 ·1.122168 0.000007 Std.93186 0.743759 Prob.182195 -1. Error 0. Durbin-Watson stat oj .23499 26.393313 0.167975 ·1.D.658846 0.232353 0.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter. 0.0091 -0.634004 ·0.

Sign up to vote on this title
UsefulNot useful