15.

50

15.25

15.00

14.75

14.50

14.25

14.00

13.75

13.50
1950 1955 1960 1965 1970 1975 1980 1985 1990

c y
.08

.06

.04

.02

.00

-.02

-.04
1950 1955 1960 1965 1970 1975 1980 1985 1990

DIFFC01 DIFFY

Co1
`

y
E part
C01
Null Hypothesis: D(CT) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.647542 0.0006

Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(CT,2)
Method: Least Squares
Date: 10/06/18 Time: 10:38
Sample (adjusted): 1953 1990
Included observations: 38 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(CT(-1)) -1.023007 0.220118 -4.647542 0.0000

D(CT(-1),2) 0.207322 0.166939 1.241905 0.2225
 C 0.033868 0.007918 4.277256 0.0001

R-squared 0.436527 Mean dependent var -0.000418

Adjusted R-squared 0.404329 S.D. dependent var 0.023228
S.E. of regression 0.017928 Akaike info criterion -5.129294
Sum squared resid 0.011249 Schwarz criterion -5.000011
Log likelihood 100.4566 Hannan-Quinn criter. -5.083296
F-statistic 13.55740 Durbin-Watson stat 2.007375
Prob(F-statistic) 0.000044

it is stationary at 1 difference with drift.

y
Null Hypothesis: D(Y) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.253735 0.0000

Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(Y,2)
Method: Least Squares
Date: 10/05/18 Time: 20:05
Sample (adjusted): 1952 1990
Included observations: 39 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(Y(-1)) -0.995044 0.159112 -6.253735 0.0000

C 0.030007 0.006368 4.712324 0.0000

R-squared 0.513856 Mean dependent var -0.001683

Adjusted R-squared 0.500717 S.D. dependent var 0.034080
S.E. of regression 0.024081 Akaike info criterion -4.564845
Sum squared resid 0.021457 Schwarz criterion -4.479535
Log likelihood 91.01449 Hannan-Quinn criter. -4.534237
F-statistic 39.10920 Durbin-Watson stat 2.002206
Prob(F-statistic) 0.000000

it is stationary at 1st difference with drift

diffc01
Null Hypothesis: DIFFC01 has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.647542 0.0006

Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DIFFC01)
Method: Least Squares
Date: 10/05/18 Time: 20:08
Sample (adjusted): 1953 1990
Included observations: 38 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DIFFC01(-1) -1.023007 0.220118 -4.647542 0.0000

D(DIFFC01(-1)) 0.207322 0.166939 1.241905 0.2225
C 0.033868 0.007918 4.277256 0.0001

R-squared 0.436527 Mean dependent var -0.000418

Adjusted R-squared 0.404329 S.D. dependent var 0.023228
S.E. of regression 0.017928 Akaike info criterion -5.129294
Sum squared resid 0.011249 Schwarz criterion -5.000011
Log likelihood 100.4566 Hannan-Quinn criter. -5.083296
F-statistic 13.55740 Durbin-Watson stat 2.007375
Prob(F-statistic) 0.000044

it is stationary at level with drift

diffy
Null Hypothesis: DIFFY has a unit root
Null Hypothesis: DIFFY has a unit root
Exogenous: Constant, Linear Trend
Exogenous:
Lag Length: Constant
1 (Automatic - based on SIC, maxlag=9)
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.585665 0.0039
Augmented Dickey-Fuller test statistic -6.253735 0.0000
Test critical values: 1% level -4.219126
Test critical values: 1%
5% level
level -3.610453
-3.533083
5% level -2.938987
10% level -3.198312
10% level -2.607932
*MacKinnon (1996) one-sided p-values.
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Augmented Dickey-Fuller
Dependent Variable: Test Equation
D(DIFFY)
Dependent Variable:
Method: Least D(DIFFY)
Squares
Method: Least Squares
Date: 10/05/18 Time: 20:12
Date: 10/05/18 Time: 20:16
Sample (adjusted): 1953 1990
Sample
Included(adjusted): 1952381990
observations: after adjustments
Included observations: 39 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
 Variable Coefficient Std. Error t-Statistic Prob.

DIFFY(-1) -0.995044 0.159112 -6.253735 0.0000

C 0.030007 0.006368 4.712324 0.0000

R-squared 0.513856 Mean dependent var -0.001683

Adjusted R-squared 0.500717 S.D. dependent var 0.034080
S.E. of regression 0.024081 Akaike info criterion -4.564845
Sum squared resid 0.021457 Schwarz criterion -4.479535
Log likelihood 91.01449 Hannan-Quinn criter. -4.534237
F-statistic 39.10920 Durbin-Watson stat 2.002206
Prob(F-statistic) 0.000000

it is stationary at level with drift

F part
Dependent Variable: C01
Method: Least Squares
Date: 10/04/18 Time: 12:18
Sample: 1950 1990
Included observations: 41

Variable Coefficient Std. Error t-Statistic Prob.

C -1.981702 0.143089 -13.84944 0.0000

Y 1.102143 0.009697 113.6603 0.0000

R-squared 0.996990 Mean dependent var 14.27687

Adjusted R-squared 0.996913 S.D. dependent var 0.407839
S.E. of regression 0.022660 Akaike info criterion -4.688899
Sum squared resid 0.020025 Schwarz criterion -4.605311
Log likelihood 98.12244 Hannan-Quinn criter. -4.658461
F-statistic 12918.67 Durbin-Watson stat 0.656537
Prob(F-statistic) 0.000000

G
Residual is stationary so
it is cointegrated
Question #2
Part a
Lbq
Augmented Dickey-Fuller (ADF) test
Null Hypothesis: D(LBQ) has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.593948 0.0007

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LBQ,2)
Method: Least Squares
Date: 10/05/18 Time: 21:00
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LBQ(-1)) -0.541907 0.150783 -3.593948 0.0011

R-squared 0.286989 Mean dependent var -0.000751

Adjusted R-squared 0.286989 S.D. dependent var 0.026810
S.E. of regression 0.022638 Akaike info criterion -4.708534
Sum squared resid 0.016399 Schwarz criterion -4.663185
Log likelihood 78.69081 Hannan-Quinn criter. -4.693275
Durbin-Watson stat 1.993600

Lrpb
Null Hypothesis: D(LRPB) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.623786 0.0000

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LRPB,2)
Method: Least Squares
Date: 10/07/18 Time: 09:03
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LRPB(-1)) -1.171841 0.176914 -6.623786 0.0000

C 0.017288 0.008753 1.975193 0.0572
R-squared 0.585974 Mean dependent var -0.000196
Adjusted R-squared 0.572618 S.D. dependent var 0.073330
S.E. of regression 0.047939 Akaike info criterion -3.179086
Sum squared resid 0.071242 Schwarz criterion -3.088388
Log likelihood 54.45491 Hannan-Quinn criter. -3.148569
F-statistic 43.87454 Durbin-Watson stat 1.990098
Prob(F-statistic) 0.000000

It is stationary at 1st difference with drift .

lrps
Null Hypothesis: D(LRPS) has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.820745 0.0000

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LRPS,2)
Method: Least Squares
Date: 10/05/18 Time: 21:08
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LRPS(-1)) -0.838888 0.174016 -4.820745 0.0000

R-squared 0.420455 Mean dependent var -0.001215

Adjusted R-squared 0.420455 S.D. dependent var 0.059441
S.E. of regression 0.045251 Akaike info criterion -3.323334
Sum squared resid 0.065526 Schwarz criterion -3.277986
Log likelihood 55.83501 Hannan-Quinn criter. -3.308076
Durbin-Watson stat 1.972209

it is stationary at 1st difference without drift and

trend.

Lc
Null Hypothesis: D(LC) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.493516 0.0145

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LC,2)
Method: Least Squares
Date: 10/05/18 Time: 21:14
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LC(-1)) -0.576361 0.164980 -3.493516 0.0015

C 0.014290 0.005473 2.611166 0.0138

R-squared 0.282485 Mean dependent var 0.000462

Adjusted R-squared 0.259339 S.D. dependent var 0.025226
S.E. of regression 0.021710 Akaike info criterion -4.763379
Sum squared resid 0.014611 Schwarz criterion -4.672682
Log likelihood 80.59576 Hannan-Quinn criter. -4.732863
F-statistic 12.20466 Durbin-Watson stat 1.728975
Prob(F-statistic) 0.001458

dlbq
Null Hypothesis: DLBQ has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.593948 0.0007

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLBQ)
Method: Least Squares
Date: 10/07/18 Time: 09:48
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments
 Variable Coefficient Std. Error t-Statistic Prob.

DLBQ(-1) -0.541907 0.150783 -3.593948 0.0011

R-squared 0.286989 Mean dependent var -0.000751

Adjusted R-squared 0.286989 S.D. dependent var 0.026810
S.E. of regression 0.022638 Akaike info criterion -4.708534
Sum squared resid 0.016399 Schwarz criterion -4.663185
Log likelihood 78.69081 Hannan-Quinn criter. -4.693275
Durbin-Watson stat 1.993600

dlrpb
Null Hypothesis: DLRPB has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.623786 0.0000

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLRPB)
Method: Least Squares
Date: 10/07/18 Time: 09:58
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DLRPB(-1) -1.171841 0.176914 -6.623786 0.0000

C 0.017288 0.008753 1.975193 0.0572

R-squared 0.585974 Mean dependent var -0.000196

Adjusted R-squared 0.572618 S.D. dependent var 0.073330
S.E. of regression 0.047939 Akaike info criterion -3.179086
Sum squared resid 0.071242 Schwarz criterion -3.088388
Log likelihood 54.45491 Hannan-Quinn criter. -3.148569
F-statistic 43.87454 Durbin-Watson stat 1.990098
Prob(F-statistic) 0.000000

it is stationary at level with drift.

Dlrps
Null Hypothesis: DLRPS has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.820745 0.0000

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLRPS)
Method: Least Squares
Date: 10/05/18 Time: 21:22
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DLRPS(-1) -0.838888 0.174016 -4.820745 0.0000

R-squared 0.420455 Mean dependent var -0.001215

Adjusted R-squared 0.420455 S.D. dependent var 0.059441
S.E. of regression 0.045251 Akaike info criterion -3.323334
Sum squared resid 0.065526 Schwarz criterion -3.277986
Log likelihood 55.83501 Hannan-Quinn criter. -3.308076
Durbin-Watson stat 1.972209

dlc
Null Hypothesis: DLC has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.493516 0.0145

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLC)
Method: Least Squares
Date: 10/07/18 Time: 10:08
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DLC(-1) -0.576361 0.164980 -3.493516 0.0015

C 0.014290 0.005473 2.611166 0.0138

R-squared 0.282485 Mean dependent var 0.000462

Adjusted R-squared 0.259339 S.D. dependent var 0.025226
S.E. of regression 0.021710 Akaike info criterion -4.763379
Sum squared resid 0.014611 Schwarz criterion -4.672682
Log likelihood 80.59576 Hannan-Quinn criter. -4.732863
F-statistic 12.20466 Durbin-Watson stat 1.728975
Prob(F-statistic) 0.001458

Dickey-Fuller (DF)

Lbq
Null Hypothesis: D(LBQ) has a unit root
Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.593948 0.0007

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LBQ,2)
Method: Least Squares
Date: 10/05/18 Time: 21:32
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LBQ(-1)) -0.541907 0.150783 -3.593948 0.0011

R-squared 0.286989 Mean dependent var -0.000751

Adjusted R-squared 0.286989 S.D. dependent var 0.026810
S.E. of regression 0.022638 Akaike info criterion -4.708534
Sum squared resid 0.016399 Schwarz criterion -4.663185
Log likelihood 78.69081 Hannan-Quinn criter. -4.693275
Durbin-Watson stat 1.993600

it is stationary at 1st difference without drift and trend

lrpb
Null Hypothesis: D(LRPB) has a unit root
Exogenous: Constant
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.623786 0.0000

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LRPB,2)
Method: Least Squares
Date: 10/07/18 Time: 10:15
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LRPB(-1)) -1.171841 0.176914 -6.623786 0.0000

C 0.017288 0.008753 1.975193 0.0572

R-squared 0.585974 Mean dependent var -0.000196

Adjusted R-squared 0.572618 S.D. dependent var 0.073330
S.E. of regression 0.047939 Akaike info criterion -3.179086
Sum squared resid 0.071242 Schwarz criterion -3.088388
Log likelihood 54.45491 Hannan-Quinn criter. -3.148569
F-statistic 43.87454 Durbin-Watson stat 1.990098
Prob(F-statistic) 0.000000

it is stationary at 1st difference with trend.

Lrps
Null Hypothesis: D(LRPS) has a unit root
Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.820745 0.0000

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LRPS,2)
Method: Least Squares
Date: 10/05/18 Time: 21:37
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LRPS(-1)) -0.838888 0.174016 -4.820745 0.0000

R-squared 0.420455 Mean dependent var -0.001215

Adjusted R-squared 0.420455 S.D. dependent var 0.059441
S.E. of regression 0.045251 Akaike info criterion -3.323334
Sum squared resid 0.065526 Schwarz criterion -3.277986
Log likelihood 55.83501 Hannan-Quinn criter. -3.308076
Durbin-Watson stat 1.972209

it is stationary at 1st difference without drift and trend.

Lc
Null Hypothesis: D(LC) has a unit root
Exogenous: Constant
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.493516 0.0145

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LC,2)
Method: Least Squares
Date: 10/07/18 Time: 10:31
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LC(-1)) -0.576361 0.164980 -3.493516 0.0015

C 0.014290 0.005473 2.611166 0.0138

R-squared 0.282485 Mean dependent var 0.000462

Adjusted R-squared 0.259339 S.D. dependent var 0.025226
S.E. of regression 0.021710 Akaike info criterion -4.763379
Sum squared resid 0.014611 Schwarz criterion -4.672682
Log likelihood 80.59576 Hannan-Quinn criter. -4.732863
F-statistic 12.20466 Durbin-Watson stat 1.728975
Prob(F-statistic) 0.001458

it is stationary at 1st difference with drift.

Dlbq
Null Hypothesis: DLBQ has a unit root
Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.593948 0.0007

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLBQ)
Method: Least Squares
Date: 10/05/18 Time: 21:44
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DLBQ(-1) -0.541907 0.150783 -3.593948 0.0011

R-squared 0.286989 Mean dependent var -0.000751

Adjusted R-squared 0.286989 S.D. dependent var 0.026810
S.E. of regression 0.022638 Akaike info criterion -4.708534
Sum squared resid 0.016399 Schwarz criterion -4.663185
Log likelihood 78.69081 Hannan-Quinn criter. -4.693275
Durbin-Watson stat 1.993600

it is stationary at level without drift and trend.

Dlrpb
Null Hypothesis: DLRPB has a unit root
Exogenous: Constant
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.623786 0.0000

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLRPB)
Method: Least Squares
Date: 10/07/18 Time: 10:39
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DLRPB(-1) -1.171841 0.176914 -6.623786 0.0000

C 0.017288 0.008753 1.975193 0.0572

R-squared 0.585974 Mean dependent var -0.000196

Adjusted R-squared 0.572618 S.D. dependent var 0.073330
S.E. of regression 0.047939 Akaike info criterion -3.179086
Sum squared resid 0.071242 Schwarz criterion -3.088388
Log likelihood 54.45491 Hannan-Quinn criter. -3.148569
F-statistic 43.87454 Durbin-Watson stat 1.990098
Prob(F-statistic) 0.000000

it is stationary at level with drift.

Dlrps
Null Hypothesis: DLRPS has a unit root
Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.820745 0.0000

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLRPS)
Method: Least Squares
Date: 10/05/18 Time: 21:48
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DLRPS(-1) -0.838888 0.174016 -4.820745 0.0000

R-squared 0.420455 Mean dependent var -0.001215
Adjusted R-squared 0.420455 S.D. dependent var 0.059441
S.E. of regression 0.045251 Akaike info criterion -3.323334
Sum squared resid 0.065526 Schwarz criterion -3.277986
Log likelihood 55.83501 Hannan-Quinn criter. -3.308076
Durbin-Watson stat 1.972209

it is stationary at level without drift and trend.

Dlc
Null Hypothesis: DLC has a unit root
Exogenous: Constant
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.493516 0.0145

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DLC)
Method: Least Squares
Date: 10/07/18 Time: 10:44
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DLC(-1) -0.576361 0.164980 -3.493516 0.0015

C 0.014290 0.005473 2.611166 0.0138

R-squared 0.282485 Mean dependent var 0.000462

Adjusted R-squared 0.259339 S.D. dependent var 0.025226
S.E. of regression 0.021710 Akaike info criterion -4.763379
Sum squared resid 0.014611 Schwarz criterion -4.672682
Log likelihood 80.59576 Hannan-Quinn criter. -4.732863
F-statistic 12.20466 Durbin-Watson stat 1.728975
Prob(F-statistic) 0.001458

it is stationary at level with drift.

Part b
LBQt = + 1LRPBt + 2LRPSt + 3LCt + ut
Dependent Variable: LBQ
Method: Least Squares
Date: 10/05/18 Time: 21:55
Sample: 1963 1997
Included observations: 35

Variable Coefficient Std. Error t-Statistic Prob.

C 1.714341 1.581112 1.084263 0.2866

LRPB -0.611518 0.140426 -4.354735 0.0001
LRPS -0.280130 0.102310 -2.738054 0.0101
LC 0.295896 0.124402 2.378551 0.0237

R-squared 0.810088 Mean dependent var 5.480876

Adjusted R-squared 0.791709 S.D. dependent var 0.083155
S.E. of regression 0.037951 Akaike info criterion -3.597820
Sum squared resid 0.044649 Schwarz criterion -3.420066
Log likelihood 66.96185 Hannan-Quinn criter. -3.536460
F-statistic 44.07771 Durbin-Watson stat 1.118930
Prob(F-statistic) 0.000000

part c
Augmented Dickey-Fuller (ADF)
Null Hypothesis: RESID04 has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.816549 0.0000

Test critical values: 1% level -2.634731
5% level -1.951000
10% level -1.610907

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID04)
Method: Least Squares
Date: 10/05/18 Time: 21:57
Sample (adjusted): 1964 1997
Included observations: 34 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID04(-1) -0.680355 0.141254 -4.816549 0.0000

R-squared 0.409733 Mean dependent var 0.002764

Adjusted R-squared 0.409733 S.D. dependent var 0.038808
S.E. of regression 0.029816 Akaike info criterion -4.158602
Sum squared resid 0.029336 Schwarz criterion -4.113709
Log likelihood 71.69623 Hannan-Quinn criter. -4.143292
Durbin-Watson stat 2.118554

it is stationary series so it is cointegrated.

Dickey-Fuller (DF)
Null Hypothesis: RESID04 has a unit root
Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.816549 0.0000

Test critical values: 1% level -2.634731
5% level -1.951000
10% level -1.610907

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID04)
Method: Least Squares
Date: 10/05/18 Time: 22:00
Sample (adjusted): 1964 1997
Included observations: 34 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID04(-1) -0.680355 0.141254 -4.816549 0.0000

R-squared 0.409733 Mean dependent var 0.002764

Adjusted R-squared 0.409733 S.D. dependent var 0.038808
S.E. of regression 0.029816 Akaike info criterion -4.158602
Sum squared resid 0.029336 Schwarz criterion -4.113709
Log likelihood 71.69623 Hannan-Quinn criter. -4.143292
Durbin-Watson stat 2.118554

same as adf

part d
DLBQt = + 1DLRPBt + 2DLRPSt + 3DLCt +
4DLBQt-1 + + t 1 t u

Dependent Variable: DLBQ

Method: Least Squares
Date: 10/05/18 Time: 22:20
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C -0.008397 0.005942 -1.413084 0.1691

DLRPB -0.123105 0.146031 -0.843008 0.4066
DLRPS -0.120617 0.169501 -0.711603 0.4828
DLC 0.448316 0.142176 3.153247 0.0039
DLBQ(-1) 0.394526 0.134702 2.928887 0.0068
RESIDUAL1ST(-1) -0.267170 0.127812 -2.090337 0.0461

R-squared 0.558260 Mean dependent var 0.001868

Adjusted R-squared 0.476457 S.D. dependent var 0.025626
S.E. of regression 0.018542 Akaike info criterion -4.974573
Sum squared resid 0.009283 Schwarz criterion -4.702481
Log likelihood 88.08046 Hannan-Quinn criter. -4.883023
F-statistic 6.824392 Durbin-Watson stat 2.069348
Prob(F-statistic) 0.000312

error correction model

part e
DLBQt = + 1DLRPBt + 2DLRPSt + 3DLCt + 0LBQt-1 +
1LRPBt-1 + 2LRPSt-1 + 3LCt-1 + t
Dependent Variable: DLBQ
Method: Least Squares
Date: 10/05/18 Time: 22:08
Sample (adjusted): 1964 1997
Included observations: 34 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C -2.119512 0.744885 -2.845422 0.0085

DLRPB -0.128058 0.118246 -1.082978 0.2888
DLRPS -0.072784 0.134352 -0.541740 0.5926
DLC 0.699263 0.128760 5.430749 0.0000
LBQ(-1) -0.248507 0.086690 -2.866599 0.0081
LRPB(-1) -0.406265 0.079506 -5.109902 0.0000
LRPS(-1) 0.133034 0.054045 2.461556 0.0208
LC(-1) 0.271842 0.060116 4.521967 0.0001

R-squared 0.755944 Mean dependent var 0.003015

Adjusted R-squared 0.690236 S.D. dependent var 0.026106
S.E. of regression 0.014530 Akaike info criterion -5.422927
Sum squared resid 0.005489 Schwarz criterion -5.063783
Log likelihood 100.1898 Hannan-Quinn criter. -5.300448
F-statistic 11.50467 Durbin-Watson stat 2.078620
Prob(F-statistic) 0.000001

Part f
Null Hypothesis: RESID01 has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.885307 0.0000

Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID01)
Method: Least Squares
Date: 10/05/18 Time: 22:36
Sample (adjusted): 1965 1997
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID01(-1) -1.040235 0.176751 -5.885307 0.0000

R-squared 0.519781 Mean dependent var -5.60E-05

Adjusted R-squared 0.519781 S.D. dependent var 0.018882
S.E. of regression 0.013085 Akaike info criterion -5.804874
Sum squared resid 0.005479 Schwarz criterion -5.759525
Log likelihood 96.78041 Hannan-Quinn criter. -5.789615
Durbin-Watson stat 1.877339