Final - 1 US-GDP The US-GDP data has been downloaded with...

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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. After 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 1. d) Detrended Log(IPI) has been regressed on the Tbill rate. 1.d : Results for Regression Model Estimate (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 R 2 = .28 F-stat. p-value = .0003 Adj. R 2 = ??? AIC = 3.223 SIC = .037543 The regression results are presented in above table. We reject the null hypothesis, so there is a significance difference in both variables IPI growth and Tbill rate and t-statistics values 15.78 and -2.86 and its p-value are 0.00013 and 0,0003 respectively. Here R-square value is 0.28 that is 28 percent of variation explains the model.
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Durbin-Watson d-statistic( 5, 528) = .2127027 (the 1% critical range is 1.44…1.68) (please see your assignment, it is 5% level) Since DW < 1.44, we strongly reject the no serial correlation null hypothesis at the 1% level ( and also 5% level) 1.e : The residules has been calculated and regressed on the lagged Tbill value: Table - 1.e Source SS df MS Model 1373.632 5.332 1536.44269 Residual 4345.40457 99 71.16911937 R 2 = .9633 F-stat (2, 525) = 3452.54 Adj. R 2 = .9625 Prob > F = 4.0000 n=527 LM statistics = 334.85 Null hypothesis: there is no serial correlation at lag order Alternative hypothesis: there is a serial correlation at lag order We reject the null hypothesis, so there is a significantly differ and F-stat 3452.54 with (2, 525) degrees of freedom and its p-value are 0.000. Here R-square value is 0.9633 that is 96.33 percent of variation explains the model. At 1% level of significance, Reject the null Hypothesis, since there is no serial correlation at lag
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This note was uploaded on 11/18/2011 for the course ECON 570 taught by Professor Staff during the Fall '08 term at UNC.

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Final - 1 US-GDP The US-GDP data has been downloaded with...

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