econometrics_complete

econometrics_complete - 1 US-GDP The US-GDP data has been...

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1. US-GDP The US-GDP data has been downloaded with GDP, M1,M2 and t-bill and these had been declared as time series. The natural logs for all variables except t-bill has been taken, After that the lag values has been calculated. THe data has been detrended for GDP, M1 and T- bill. Aftewr that the line plot of Detrended log values of GDP, M1 and IPI had been created in a single window as shown below. 60 120 180 240 300 360 420 480 Month 2 2.2 2.4 2.6 2.8 3 3.2 3.4 3.6 3.8 F G H Y Detrended Log(IPI) has been regressed on the Tbill rate. TABLE 1.d : OLS Results for Regression Model 1 (standard error) t p-value IPI growth 0.368 (0.034) 15.78 0.00013 Tbill rate --0.0706 (0.076) -2.86 0.0003 R2 = .28 F-stat. p-value = .0003 AIC = 3.223 SIC = .037543 Durbin-Watson d-statistic( 5, 528) = .2127027 (the 1% critical range is 1.44…1.68) Since DW < 1.44, we strongly reject the no serial correlation null hypothesis at the 1% level The residules has been calculated and regressed on the lagged Tbill value: Table 1.e Source | SS df MS Number of obs = 527 F( 2, 525) = 3452.54 Model | 1373.632 5.332 1536.44269 Prob > F = 4.0000
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Residual | 4345.40457 99 71.16911937 R-squared = 0.9633 Adj R-squared = 0.9625 The results of the LM statistics are as follows: Random Effects Model: v(i,t) = e(i,t) + u(i) | | Estimates: Var[e] = .361260D-02 | | Var[u] = .119159D-01 | | Corr[v(i,t),v(i,s)] = .767356 | | Lagrange Multiplier Test vs. Model (3) = 334.85 | | ( 1 df, prob value = .000000) | | (High values of LM favor FEM/REM over CR model.) | | Fixed vs. Random Effects (Hausman) = .00 | | ( 3 df, prob value = 1.000000) | | (High (low) values of H favor FEM (REM).) | | Reestimated using GLS coefficients: | | Estimates: Var[e] = .362491D-02 | | Var[u] = .392309D-01 | | Sum of Squares .147779D+01 | Here are the parameters of the Cochran-Orcutt parameter estimates Source | SS df MS Number of obs = 527 ---------+------------------------------ F( 2, 525) = 16.31 Model | 29489.1875 2 14744.5937 Prob > F = 0.0000 Residual | 87702.0026 97 904.144357 R-squared = 0.2516 ---------+------------------------------ Adj R-squared = 0.2362 Total | 117191.19 99 1183.74939 Root MSE = 30.069 ------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] ---------+-------------------------------------------------------------------- x1 | 3.406085 1.045157 3.259 0.002 1.331737 5.480433 x2 | -2.209726 .5262174 -4.199 0.000 -3.254122 -1.16533 _cons | -18.47556 8.604419 -2.147 0.034 -35.55295 -1.398172 Figure 2.a
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10 20 30 40 50 60 70 80 90 2 2.4 2.8 3.2 3.6 4 4.4 4.8 5.2 5.6 Y
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econometrics_complete - 1 US-GDP The US-GDP data has been...

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