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REGRESSION

. regress y x
Source

SS

df

MS

Model
Residual

557.757126
111952.04

1
229

557.757126
488.873539

Total

112509.797

230

489.173033

y

Coef.

x
_cons

.0036048
336.3975

Number of obs
F( 1,
229)
Prob > F
R-squared
Adj R-squared
Root MSE

Std. Err.

t

P>|t|

.0033748
40.1312

1.07
8.38

0.287
0.000

symmetric e(V)[2,2]
x
_cons
x
.00001139
_cons -.13534753
1610.5132

231
1.14
0.2866
0.0050
0.0006
22.11

[95% Conf. Interval]
-.0030449
257.3239

VARIANCE-COVARIANCE MATRIX
. matrix list e(V)

=
=
=
=
=
=

.0102545
415.4711

06 0.484 -.1668 595.744 squrr Coef.HETERSOCEDASTICITY (1) BREUSCH-PAGAN .5 1 229 16661374.01 [95% Conf.444083 10016. generate squrr=res*res .86 7.resid . Interval] -. Err.47 0.000 = = = = = = 231 47. 229) Prob > F R-squared Adj R-squared Root MSE P>|t| 0.1 230 424941.37 .1705 0.0000 (2) PARK TEST .rhs Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance Variables: x chi2(1) = Prob > chi2 = 35.000 0. x _cons -.425 Std.29 Total 97736601.966 t -6.30 Number of obs F( 1.0000 0. regress squrr x Source SS df MS Model Residual 16661374. . predict res.6 354040.6230328 7888. hettest x.0908201 1079.6 81075226.8019826 5760.

0966 t 1.912126 12325.287 0. spearman y x.22 3.92 Endogenous variables: Exogenous variables: x y Std.23 P>|t| 0.8646 0.0050 1. y _cons 1.375234 11361.2866 x x Coef.stats(rho obs p)pw Number of obs = Spearman's rho = 231 0.287515 489.0200 HAUSMAN EXOGENEITY TEST .SPEARMAN’S RANK CORRELATION TEST . reg3(x=y).161657 10398.2sls Two-stage least-squares regression Equation Obs Parms RMSE "R-sq" F-Stat P x 231 1 431.14 0.07 23. Interval] -1. 1.63 .000 [95% Conf. Err.1530 Test of Ho: y and x are independent Prob > |t| = 0.

873918 -2.000 11.400 12.TIME SEIRES USING UNIT ROOT TEST TO DEMOSTRATE THAT THE SERIES IS STATIONARY OR NON-STATIONARY Plot X X 12.200 10.573443 0.800 25 • 50 75 100 125 150 175 200 Click on X→ view→ unit root test→ augmented dickey fuller→ level→ intercept→ OK Null Hypothesis: X has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC.2962 225 .458719 -2.978629 -3. Augmented Dickey-Fuller Test Equation t-Statistic Prob.600 11.* -1.800 12. MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

049061 Std.978629 221. 0 4 0 ========== ITSM::(INFO) ========== # of Data Points = 231 Sample Mean = . 3 8 0 .44834 12.8643 R-squared 0. Log likelihood -1429.46040 1. Error t-Statistic 0.182609 122.016881 Adjusted R-squared 0.3792E+03 8 0 12 0 16 0 2 0 0 . dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.47824 12.018626 -1. 0. of regression 121. 4 0 0 .967480 Mean dependent var S.6201 Sum squared resid 3372452.0503 -2.0491 0.Dependent Variable: D(X) Method: Least Squares Date: 12/17/12 Time: 02:08 Sample (adjusted): 2 231 Included observations: 230 after adjustments Variable Coefficient X(-1) C -0.3917 12. Durbin-Watson stat Prob.E. 3 2 0 .5343 1. 3 6 0 .012569 S. 4 2 0 .D.036855 435.914972 Prob(F-statistic) 0.559 F-statistic 3. 3 4 0 .730359 FITTING OF GARCH MODEL S e r ie s 4 4 0 .

487055E+03 Standard Error of Alpha Coefficients 48.919631 (square root of (1/n)SUM{(1-|h|/r)acvf(h)}. beta=1 • Estimation .Error(Sample Mean) = 4.Sample Variance = .338859 • Model specification: Alpha=1.000000 {e(t)} is IID N(0.487055E+03 Std. |h|<r=[sqrt(n)]) MODEL: ARMA Model: X(t) = Z(t) WN Variance = 1.1) GARCH ESTIMATION ARMA Model: X(t) = Z(t) Garch Model for Z(t): Z(t) = sqrt(h(t)) e(t) h(t) = .000000 Garch Model for Z(t): Z(t) = sqrt(h(t)) e(t) h(t) = 1.4870554E+03 Alpha Coefficients .

0008000000 Number of iterations = 4 Number of function evaluations = 44 Uncertain minimum.487055E+03 Standard Error of Alpha Coefficients 48.208912E+04 -2Log(Likelihood) = . . AICC(Garch) = .208506E+04 Accuracy parameter = .338859 AICC(Garch) = .0008000000 Number of iterations = 4 Number of function evaluations = 44 Uncertain minimum.208506E+04 Accuracy parameter = .4870554E+03 Alpha Coefficients .======================================== ITSM::(Garch Maximum likelihood estimates) ======================================== ARMA Model: X(t) = Z(t) Garch Model for Z(t): Z(t) = sqrt(h(t)) e(t) h(t) = .208912E+04 -2Log(Likelihood) = .

1. .3 . 0 4 0 8 0 12 0 16 0 2 0 0 .• GARCH RESIDUAL PLOT G a rc h R e s id u a ls 2 .2 . 0 . . 1. .