hw 7 ecn 102

# hw 7 ecn 102 - A. Augmented Dickey-Fuller test generated...

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A. Augmented Dickey-Fuller test generated from GRETL of ln(M): Augmented Dickey-Fuller test for l_P including 15 lags of (1-L)l_P (max was 19) sample size 617 unit-root null hypothesis: a = 1 test without constant model: (1-L)y = (a-1)*y(-1) + . .. + e 1st-order autocorrelation coeff. for e: 0.004 lagged differences: F(15, 601) = 42.987 [0.0000] estimated value of (a - 1): 6.55852e-005 test statistic: tau_nc(1) = 1.89423 asymptotic p-value 0.9865 Augmented Dickey-Fuller test for l_M1 including 17 lags of (1-L)l_M1 (max was 19) sample size 615 unit-root null hypothesis: a = 1 test without constant model: (1-L)y = (a-1)*y(-1) + . .. + e 1st-order autocorrelation coeff. for e: 0.002 lagged differences: F(17, 597) = 10.363 [0.0000] estimated value of (a - 1): 0.000171344 test statistic: tau_nc(1) = 2.65595 asymptotic p-value 0.9983 Augmented Dickey-Fuller regression OLS, using observations 1960:07-2011:09 (T = 615) Dependent variable: d_l_M1 coefficient std. error t-ratio p-value ------------------------------------------------------------ l_M1_1 0.000171344 6.45134e-05 2.656 0.9983 d_l_M1_1 0.154326 0.0405929 3.802 0.0002 *** d_l_M1_2 0.0796206 0.0422704 1.884 0.0601 * d_l_M1_3 0.166278 0.0426549 3.898 0.0001 *** d_l_M1_4 -0.00397362 0.0429421 -0.09253 0.9263 d_l_M1_5 0.0630738 0.0428037 1.474 0.1411 d_l_M1_6 0.197513 0.0428327 4.611 4.90e-06 *** d_l_M1_7 0.0225582 0.0434822 0.5188 0.6041 d_l_M1_8 0.00312305 0.0435434 0.07172 0.9428 d_l_M1_9 0.0793578 0.0434645 1.826 0.0684 * d_l_M1_10 0.0128379 0.0435595 0.2947 0.7683 d_l_M1_11 -0.0543088 0.0436509 -1.244 0.2139 d_l_M1_12 -0.0725166 0.0429551 -1.688 0.0919 * d_l_M1_13 -0.0871832 0.0430064 -2.027 0.0431 ** d_l_M1_14 0.119518 0.0431531 2.770 0.0058 *** d_l_M1_15 0.0326448 0.0428802 0.7613 0.4468 d_l_M1_16 -0.0660967 0.0427786 -1.545 0.1229 d_l_M1_17 0.136295 0.0426421 3.196 0.0015 *** AIC: -4511.91 BIC: -4432.32 HQC: -4480.96 test with constant model: (1-L)y = b0 + (a-1)*y(-1) + . .. + e 1st-order autocorrelation coeff. for e: 0.002 lagged differences: F(17, 596) = 10.079 [0.0000] estimated value of (a - 1): 6.23701e-005 test statistic: tau_c(1) = 0.206596 asymptotic p-value 0.9731

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Augmented Dickey-Fuller regression OLS, using observations 1960:07-2011:09 (T = 615) Dependent variable: d_l_M1 coefficient std. error t-ratio p-value ------------------------------------------------------------ const 0.000718828 0.00194532 0.3695 0.7119 l_M1_1 6.23701e-05 0.000301894 0.2066 0.9731 d_l_M1_1 0.154162 0.0406247 3.795 0.0002 *** d_l_M1_2 0.0792103 0.0423156 1.872 0.0617 * d_l_M1_3 0.165725 0.0427120 3.880 0.0001 *** d_l_M1_4 -0.00448378 0.0429954 -0.1043 0.9170 d_l_M1_5 0.0626298 0.0428515 1.462 0.1444 d_l_M1_6 0.197186 0.0428729 4.599 5.18e-06 *** d_l_M1_7 0.0223396 0.0435177 0.5133 0.6079 d_l_M1_8 0.00298808 0.0435764 0.06857 0.9454 d_l_M1_9 0.0792234 0.0434975 1.821 0.0691 * d_l_M1_10 0.0128304 0.0435911 0.2943 0.7686 d_l_M1_11 -0.0544089 0.0436833 -1.246 0.2134 d_l_M1_12 -0.0727003 0.0429891 -1.691 0.0913 * d_l_M1_13
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## This note was uploaded on 01/25/2012 for the course ECN 102 taught by Professor Saler during the Fall '11 term at University of Colorado Denver.

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hw 7 ecn 102 - A. Augmented Dickey-Fuller test generated...

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