nic4out - EQ( 5) Modelling DLCE by OLS (using nic4.in7) The...

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EQ( 5) Modelling DLCE by OLS (using nic4.in7) The present sample is: 1970 (1) to 1990 (4) less 8 forecasts The forecast period is: 1989 (1) to 1990 (4) Variable Coefficient Std.Error t-value HCSE PartR^2 Instab DLY 0.28055 0.048721 5.758 0.035557 0.3278 0.09 Constant 0.068577 0.075858 0.904 0.067771 0.0119 0.05 DDLY_1 0.15319 0.028451 5.384 0.031447 0.2989 0.14 DLNW_1 0.14131 0.027616 5.117 0.027760 0.2780 0.04 LY_1 0.12005 0.046745 2.568 0.039743 0.0884 0.05 LNW_1 0.023813 0.0092987 2.561 0.011530 0.0880 0.05 LCE_1 -0.15704 0.054942 -2.858 0.053657 0.1073 0.05 DUM 0.035908 0.0035984 9.979 0.0029772 0.5942 0.04 R^2 = 0.765192 F(7,68) = 31.657 [0.0000] \sigma = 0.00703026 DW = 2.07 RSS = 0.00336087408 for 8 variables and 76 observations Instability tests, variance: 0.330417 joint: 1.14044 Information Criteria: SC = -9.57042 HQ = -9.71771 FPE=5.46272e-005 AIC = -9.81576 Analysis of 1-step forecasts Date Actual Forecast Y-Yhat Forecast SE t-value 1989 1 0.00531363 0.0114582 -0.00614455 0.00750410 -0.818825 1989 2 0.0108239 0.0113728 -0.000548928 0.00754578 -0.0727463 1989 3 -0.000768201 0.00963998 -0.0104082 0.00758383 -1.37242 1989 4 0.00800757 0.00379958 0.00420800 0.00758087 0.555081 1990 1 0.000366423 0.0128111 -0.0124446 0.00753438 -1.65171 1990 2 0.00821730 -0.00354235 0.0117597 0.00797584 1.47441 1990 3 -0.00644550 0.00753858 -0.0139841 0.00751460 -1.86092 1990 4 -0.00635480 -0.000559196 -0.00579561 0.00801832 -0.722796 Tests of parameter constancy over: 1989 (1) to 1990 (4) Forecast Chi^2( 8)= 13.888 [0.0847] Chow F( 8, 68) = 1.5444 [0.1584] AR 1- 5 F( 5, 63) = 1.1128 [0.3627] ARCH 4 F( 4, 60) = 1.7136 [0.1588] Normality Chi^2(2)= 2.0864 [0.3523] Xi^2 F(14, 53) = 1.997 [0.0361] * Xi*Xj F(32, 35) = 1.4832 [0.1280] RESET F( 1, 67) = 0.0033764 [0.9538] Modelling Reduced Form for DLCE Variable Coefficient Std.Error t-value Constant 0.10191 0.098881 1.031 DDLY_1 0.13980 0.034628 4.037 DLNW_1 0.16064 0.033859 4.744 LY_1 0.0069445 0.052028 0.133 LNW_1 0.018052 0.011895 1.518
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nic4out - EQ( 5) Modelling DLCE by OLS (using nic4.in7) The...

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