Econometric Analysis II Wednesday October 21 12:12:42 2020 Page 1

___ ____ ____ ____ ____(R)

/__ / ____/ / ____/
___/ / /___/ / /___/
Statistics/Data Analysis

User: Pulak Mishra

Project: ECM

1 . tsset time, yearly

time variable: time, 1 to 57 Setting data as time-series
delta: 1 year

2 . generate lngdp_con=ln(gdp_con) Natural logarithm of gdp_con

3 . generate lnsave_con=ln(save_con) Natural logarithm of save_con
4 . reg D.lnsave_con D.lngdp_con L.lngdp_con L.lnsave_con DYt=a+bDXt+cXt-1+dYt-1+ut
Procedure-1 D=First Difference
Source SS df MS Number of obs = 56
F( 3, 52) = 5.58 Statistically
Model .186063024 3 .062021008 Prob > F = 0.0021 significant model
Residual .578118468 52 .011117663 R-squared = 0.2435
Adj R-squared = 0.1998
Total .764181491 55 .013894209 Root MSE = .10544

D.lnsave_con Coef. Std. Err. t P>|t| [95% Conf. Interval]

lngdp_con Estimated
D1. .5344193 .5031591 1.06 0.293 -.4752433 1.544082 coefficient
of Yt-1 is
L1. .6914803 .1815722 3.81 0.000 .327129 1.055832
statistically
lnsave_con significant, negative
L1. -.4176128 .1097294 -3.81 0.000 -.637801 -.1974246
and its absolute
_cons -4.491856 1.206467 -3.72 0.000 -6.912809 -2.070903 value is less than
one. (-1<d-hat<0)
Indicates that the model re-equilibrates
5 . reg lnsave_con lngdp_con Model: Yt=a+bXt+ut
Procedure-2
Source SS df MS Number of obs = 57
F( 1, 55) = 4402.17
Model 77.1001849 1 77.1001849 Prob > F = 0.0000
Residual .963277274 55 .017514132 R-squared = 0.9877
Adj R-squared = 0.9874
Total 78.0634622 56 1.3939904 Root MSE = .13234

lnsave_con Coef. Std. Err. t P>|t| [95% Conf. Interval]

lngdp_con 1.628394 .0245429 66.35 0.000 1.579209 1.677579

_cons -10.50616 .3297599 -31.86 0.000 -11.16702 -9.84531

6 . predict u, res Generation of residual (u)

7 . reg D.lnsave_con D.L.lngdp_con L.u Estimation of Model: DYt=a+bDXt-1+dut-1+vt
Source SS df MS Number of obs = 55
F( 2, 52) = 8.02 Statistically
Model .173969514 2 .086984757 Prob > F = 0.0009 significant model
Residual .564134509 52 .010848741 R-squared = 0.2357
Adj R-squared = 0.2063
Total .738104022 54 .013668593 Root MSE = .10416
 Econometric Analysis II Wednesday October 21 12:12:43 2020 Page 2

D.lnsave_con Coef. Std. Err. t P>|t| [95% Conf. Interval] Estimated

lngdp_con
coefficient of ut-1 is
LD. -.2027837 .4824606 -0.42 0.676 -1.170912 .7653444 statistically
significant, negative
u
L1. -.4414358 .1109608 -3.98 0.000 -.6640949 -.2187767 and its absolute
value is less than
_cons .0857005 .0257899 3.32 0.002 .0339493 .1374517 one. (-1<d-hat<0)

Indicates that the model re-equilibrates

8 . reg D.lnsave_con D.lngdp_con L.u Estimation of Model: DYt=a+bDXt+dut-1+vt
Source SS df MS Number of obs = 56
F( 2, 53) = 8.35 Statistically
Model .183039818 2 .091519909 Prob > F = 0.0007
Residual .581141673 53 .010964937 R-squared = 0.2395
significant model
Adj R-squared = 0.2108
Total .764181491 55 .013894209 Root MSE = .10471

D.lnsave_con Coef. Std. Err. t P>|t| [95% Conf. Interval] Estimated

coefficient of ut-1 is
lngdp_con
D1. .6326403 .4633582 1.37 0.178 -.2967386 1.562019 statistically
significant, negative
u
L1. -.41353 .1086954 -3.80 0.000 -.6315453 -.1955147
and its absolute
value is less than
_cons .0443988 .0252949 1.76 0.085 -.0063363 .0951339 one. (-1<d-hat<0)

Indicates that the model re-equilibrates

9 .