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Examp1112 - Examples Chapters 11-12 Examples from the...

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Examples: Chapters 11-12 1 Examples from the Textbook Chapters 11-12
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Examples: Chapters 11-12 2 Chapter 11 Example 11.4: Efficient Market Hypothesis use NYSE sum return Variable | Obs Mean Std. Dev. Min Max -------------+----------------------------------------------------- return | 690 .1957843 2.114532 -15.32173 8.448762 reg return return_1 Source | SS df MS Number of obs = 689 -------------+------------------------------ F( 1, 687) = 2.40 Model | 10.6866237 1 10.6866237 Prob > F = 0.1218 Residual | 3059.73813 687 4.4537673 R-squared = 0.0035 -------------+------------------------------ Adj R-squared = 0.0020 Total | 3070.42476 688 4.46282668 Root MSE = 2.1104 ------------------------------------------------------------------------------ return | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- return_1 | .0588984 .0380231 1.55 0.122 -.0157569 .1335538 _cons | .179634 .0807419 2.22 0.026 .0211034 .3381646 --------------------------------------------------------------------------- E xample 11.5: Expectation Augmented Phillips Curve use PHILLIPS reg cinf unem Source | SS df MS Number of obs = 48 -------------+------------------------------ F( 1, 46) = 5.56 Model | 33.3829988 1 33.3829988 Prob > F = 0.0227 Residual | 276.30513 46 6.00663326 R-squared = 0.1078 -------------+------------------------------ Adj R-squared = 0.0884 Total | 309.688129 47 6.58910913 Root MSE = 2.4508 ------------------------------------------------------------------------------ cinf | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- unem | -.5425869 .2301559 -2.36 0.023 -1.005867 -.079307 _cons | 3.030581 1.37681 2.20 0.033 .2592061 5.801955 ------------------------------------------------------------------------------ Natural rate of unemployment display _b[_cons]/-_b[unem] 5.5854288
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