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By
Ahmad Jawad
BSTF11E091
BS (Hons) in Statistics
Session: 2011-2015
Departement of Statistics
University of Sargodha
i
TIME SERIES MODELING FOR
FORECASTING MAIZE PRODUCTION
OF PAKISTAN
A project submitted to Department of Statistics in partial
fulfillment of the requirement for the Degree of Bachelor
of Science in statistics
By
Ahmad Jawad
BSTF11E091
BS (Hons) in Statistics
Session: 2011-2015
Supervised by
Sir Qaisar Rashid
Departement of Statistics
University of Sargodha
ii
Starting with the name of ALLAH, the most gracious,
the most merciful.
iii
Dedication
I dedicate this thesis to my parents for their
endless love, support and encouragement. This thesis
would be incomplete without the mention of the
support given to me by my friends.
iv
Certificate
TIME SERIES MODELING FOR FORECASTING
MAIZE PRODUCTION OF PAKISTAN
By
Ahmad Jawad
BSTF11E091
A PROJECT SUBMITTED IN THE PARTIAL
FULFILLMENT OF THE REQUIREMENTS FOR THE
DEGREE OF BACHELOR OF SCIENCE IN STATISTICS
We accept this project as confirming to the required standards
1.______________ 2.______________
Prof Dr. Muhammad Iqbal ch. Sir Qaisar Rashid
(Chairman) (Supervisor)
Date___________
Department of statistics
University of Sargodha
2011-2015
v
Declaration
This thesis is a presentation of my original research work.
Wherever contributions of others are involved, every effort is made to
indicate this clearly, with due reference to the literature, and
acknowledgement of collaborative research and discussions. The
work was done under the guidance of Mr. Qaisar Rashid at
Department of statistics. This project is submitted for the award of
B.S HONS.in Statistics.
Ahmad Jawad
___________
_______________
Date:
vi
Acknowledgement:
My first and foremost thank to Almighty ALLAH the Merciful, The
this study.
Ahmad Jawad
vii
Abstract
Since Maize is one of the important crop of Pakistan so for
country planning, forecasting is used for predicting the production of
maize to determine that what would be the value or figures of
production in the upcoming year. In this project I have developed
time series models and selected the best fitted model for the objective
to forecast the maize production of Pakistan.
In this project I have used data of 56 years from 1960 to 2015.
Various time series models are fitted on this data using software
eviews. i have found that the best fitted model is ARIMA (1,1,0). On
the basis of this selected model, i have found that maize production of
Pakistan would become 5492.574 metric tons in 2020.
viii
List of Abbreviations
Auto regressive………………………………………………AR
Jarque-Bera………………………………………………..J.B test
Maximum likelihood………………………………………..MLE
Moving Average………………………………………….......MA
ix
Table of contents
No Chapters Page No
1. Introduction 1
1.1 Maize production overview in Pakistan 1
1.2 Some uses of maize 2
1.3 Maize cultivation in Pakistan 2
1.4 Factors effecting maize production 2
1.5 Types of maize 2
1.6 Suitable environment for maize 2
1.7 Utilization of maize 2
1.7.1 Maize consumption in Pakistan 3
1.8 Objective 3
1.9 Time series 3
2. Literature view 5
3. Methodology 7
3.1 Box-Jenkins Methodology 7
3.2 Time series plot 9
4. Analysis 11
5 Results and discussion 18
6 Conclusion 18
7 References 19
8 Appendix A 20
9 Appendix B 21
x
Chapter 1
Introduction
Maize: tall annual cereal grass bearing kernels on large ears: widely cultivated in whole
world with many varieties.
History of maize:
Maize was first found in Mexico, a country near America approximately 10,000 years
ago. Then it spread in all over America. Maize covers the area of more than one hundred and
eighteen million hectares worldwide and an annual production of about six hundred million
metric tons, it is the 3rd most produced crop in the world.
America is the largest producer of maize with the numbers of 345,486(1000 MT)
China is on 2nd place with 224580(1000 MT) and Brazil on 3rd with 81500(1000 MT).
Pakistan stands at 21 positions with 5100(1000 MT).
3000
2500
2000 punjab
1500
sindh
1000
kpk
500
0 Balochistan
1987-88
1981-82
1984-85
1990-91
1993-94
1996-97
1999-00
2002-03
2005-06
2008-09
1
1.2. Some uses of maize:
Maize has a lot of uses maize flour is used to make breads and a thickening agent for
custards and jellies.
Popcorn a world famous snack is produced when maize is heated at a certain
temperature.
Starch which is extracted from maize is used for making noodles.
The corn syrup of maize has high fructose and works as a sweetener, it also keeps
certain foods moist.
Fabrics and Plastics are made from maize stocks.
Maize is used to feed life stock and as forage after the process of fermentation of corn
stocks.
Maize is a multipurpose food and forage crop, It is cultivated generally by resource poor
farmers using marginal land, with limited resources, less tools and inputs.
2
Approximately forty to fifty percent of corn is consumed on farms, fifteen to twenty
percent of the production is marketed locally and forty percent sold in an organized wholesale
market. The distribution of the Total Maize Produced in Pakistan is given below.
Seed: 0.075
Miscellaneous: 0.075
1.8Objective:
Since Maize is one of the main crops of Pakistan so it is important to keep a track of
its production. For the future growth of maize, forecasting is the main tool for predicting its
production. Forecasting is useful for country planning.
1.9Time series:
A time series is a sequence of data options, measured typically at successive points in
time spaced at uniform time intervals. Examples of time series are daily closing value of the
Doe jones Industrial Average and the annual flow volume of the Nile River at Aswan. Time
series are very frequently plotted via line charts. Time series analysis comprises methods for
analyzing time series data in order to extract meaningful statistics and other characteristics of
the data. Time series forecasting is the use of a model to predict future values based on
previously observed values. While regression analysis is often employed in such a way as to
test theories that the current values of one or more independent time series affect the current
value of another time series, this type of analysis is not called “time series analysis”, which
focuses on comparing values of a single time series at different points in time.
3
How variation in a time series may be recorded for by cyclical components. This may also be
following as “frequency domain”. Frequency domain is used to decay a time series in to an
order of sine and cosine function. Spectral analysis is used on the wave height vs. time to
determine which frequency are causes for the pattern. Spectral plot are used to find the
starting value of frequency.
Forecasting
Is a process of predicting and estimating future values? Forecasting provide
information about possible future events and their effects for the organization. It may be
reduce the uncertainty of future. Forecasting is the basis of preface. E.g. evening news give
weather “forecast” not weather “prediction”.
Forecasting is referring with future events.
Its analysis past and present data.It uses statistical tools.
Intervention analysis
Intervention analysis can explain if there is certain event that occurs that changes a
time series. This technique is used a lot of the time in planned experimental analysis. In other
words, „Is there a change in a time series before and after a certain event?‟
Demographic time series another time series arise in the study of population change.
Examples contain the population of London measured annually, and monthly birth totals in
Canada, monthly death total in Pakistan etc.
4
Chapter 2
Literature view:
Zafar et-al., (1981) Conducted an empirical study to check the effectiveness of
chemical weed control in maize production. 3 chemicals oliogesaprim 200 ec, gesaprim 80
wp, 2,4-D. 50 ec, and afalon 50 wp, was monitored against the normal usuall(cultural)
practices on the yield of maize and weeds. All the herbicides were applied with normal and
intensive hand weeding the yield after applying herbicides was 5222, 5150 and 5108 kg per
ha. It was present in all the herbicidal treatments; the weight of fresh weeds was significantly
less than the control.
Iqbal et-al., (1999) this research was conducted in the irrigated areas of the Punjab to
check factors affecting the adoption of hybrid maize varieties.in this research the impact of
personal characteristics and farm size effects were monitored on cultivating maize hybrids
varieties. The education of the farmers and farm sizes showed positive contribution to maize
hybrid adoption. The farming experience had positive effect on maize hybrid adoption but it
was not significant. Substantial potential for increasing maize production through wider
adoption of hybrid varieties exists in the mixed cropping zone. Reduction in seed price, credit
for inputs and technical guidance can play an important role in this regard. Other farm and
crop management related constraints maybe included in the adoption model through some in-
depth investigations into these factors. Possible effects of expansion of maize cultivation on
wheat production and consumption also need to be studied.
Qureshi et-al., (2002) in this research the area of Azad Jammu Kashmir‟s districts
were selected to find out farmers practices in maize cultivation and consumption it covered
the major maize growing districts of AJK. A 3 stage Stratified random sampling technique
was used and 175 samples were drawn descriptive statistics was used to analyze the data. It
was observed that majority 59 of the farmers was growing traditional varieties. It was
observed that average farmer using seed at the rate of 3.41 kg/kanal. Chemical fertilizers
were used in low quantity and none of the farmers used any pesticides. The average yield was
401 kg per acre. Lodging emerged as the main impediment in achieving higher yield. 82% of
the maize production is used home consumption, 6% is reserved for seed and just10% of the
production was sold to fellow farmers or in the market.
Khan et-al., (2011) studied the various weed control measures in maize kharif crop in
Peshawar. The experiment was conducted out in Randomized Complete Block (RCBD)
design, with 8 treatments and 4 replications. The treatments were taken as saw dust, wheat
straw, polyethylene white and black, newspaper, Primextra Gold 720SC at the rate of 1.0 lit
ha-1, hand weeding and weedy check were also included in the studies. Data were recorded
on number of kernels cob-1,100-kernel weight (g), biological yield of maize (t ha-1) and
grain yield (t ha-1). For controlling weeds, the maximum grain yield was copied in Primextra
Gold 720SC, polyethylene (black), hand weeding and polyethylene (white) with grain yield
5
of 2.98, 2.48, 2.06 and 2.03 tha-1,respectively. Minimum yield (1.36 t ha-1) was found in the
weedy check plots.
Saleem et-al., (2011) conduct study on the effect of split applications of potash
fertilizer on maize and sorghum in Pakistan. Maize hybrid (Pioneer 3062) and sorghum
hybrid (Pioneer MR-Buster) were planted in (RCBD) with three replications having a plot
size of 5m x 3m. The distance between Plants to plant was 25 cm and the distance between
row to row was 75 cm. An experiment was conducted to check the effect of split doses of
potash fertilizer on maize and sorghum.
Potassium fertilizer was used at the rate of 0, 60 and 120 kgha-1 K2O as single, doses of 2
split and 3 split at planting. The yields of these two crops increased significantly at K2O level
of 120 kgha-1with 3 splits. Level of 120 kgha-1with 3 splits was recommended for potash
application in maize and sorghum.
Khaliq et-al., (2012) In this research the researcher have studied the effect of tillage
and fertilizer treatment on maize fodder yield under rain fed conditions of Pakistan. The
effect of shallow and deep tillage and fertilizer treatments i.e., recommended dose of fertilizer
(RF), farm yard manure (FYM) and recommended dose of fertilizer plus farmyard manure
(RF+FYM) on maize fodder yield was studied under rain fed conditions of Pakistan. It was
observed that the effect of deep tillage on maize fodder yield was non-significant.
Memon et-al., (2014) studied the effect of tillage and use of organic and inorganic
fertilizers on growth and yield components of maize. It was conducted in randomized
complete block design (RCBD) with 3 replications. The experiment was conducted during
the spring and autumn crop seasons 2009-2010.The purpose of this research was to compare
the effect of 3 different tillage regimes namely, deep tillage, conventional tillage and zero
tillage, and four fertilizer levels. Results revealed plant height, 1000-grain weight,dry matter
and grain yield were found maximum with deep tillage as compared to 0 tillage. As we
compare the seasons, the best plant height, grain yield, 1000grain weight and dry matter
were achieved during autumn season due to its crop residue effect and supplemental fertilizer.
So, considering the environmental conditions, the deep tillage with recommended dose of
organic and inorganic fertilizer performed best and produced more vegetative growth, grain
yield and dry matter in maize. Residual effects and supplemental fertilizer effect in maize
production were greater as compared to fresh maize production.
6
Chapter 3
Methodology
Required time series data for this research project was collected from a famous
website called www.indexmundi.com and a government organization which is known as
Federal Bureau of Statistics. In time series there are various models available for forecasting,
in this project i will use Box Jenkins Methodology (1976) to estimate the future challenges in
advance. The data selected is first checked in a software called e views. To check stationarity
ADF test is applied with α taken as 0.01, 0.05 and 0.10. the data came stationary at level so i
selected ARIMA (p,d,q) model and made its correlogram. P is the order of autoregressive
model, d is the difference and q is the order of moving average model. After finding out the
values of ACF and PACF from correlogram i made pairs of models.
3.1Box-Jenkins Methodology:
Box - Jenkins Analysis refers to a systematic method of identifying, fitting,
checking, and using integrated autoregressive, moving average (ARIMA) time series
models. The method is appropriate for time series of medium to long length (at least
50 observations). The Box-Jenkins method refers to the iterative application of the
following steps
I. Stationary:
The Box-Jenkins methodology only applies to what are called stationary time
series. Stationary time series have constant means and variances that do not vary over
time. Stationary time series can be correlated, however, and it is this autocorrelation
that the Box-Jenkins methods try to capture. Two techniques are generally used to
transform a trending series to stationary form: linear detrending (regressing on a time
trend) and differencing.
7
properties of the residuals. After fitting a candidate ARIMA specification, you should
check that there are no remaining autocorrelations that your model has not accounted
for. Examine the autocorrelations and the partial autocorrelations of the innovations
(the residuals from the ARIMA model) to see if any important forecasting power has
been overlooked.
V. Forecasting :
After you have estimated an equation with an ARMA error process, you can
make forecasts from the model. Eviews automatically makes use of the ARMA error
model to improve the forecast.
We take data of maize per metric ton from 1960 to 2015 and make a time plot. By plotting
moths on x-axis and price on y-axis.
Thus trend is either upward or downward. It should be clearly understood that trend is
general smooth long-term average tendency. It is not necessary that the increase or decrease
should be in the same direction throughout the given period. With the help of a long term
trend it is possible to determine and present the direction of change.
8
Cyclic variations:
Cyclic variations are oscillatory movements in a time series with period of oscillation
greater than one year. These variations in a time series are due to ups and downs recurring
after a period greater than one year. These are not necessarily uniform periodic which means
they may or may not follow exactly similar pattern after equal interval of times last from 7 to
9 years.
Irregularities:
Irregularities do not exhibit any definite pattern there is no regular period or time of
their occurrence. These are accidental changes which are purely random, unforeseen and
predictable. They turn the series‟ first in one way and then in the other way purely by chance
with irregularity of occurrence e.g. earth quakes, wars, floods etc. normally they are short
term variations but sometimes their effect is so intense that they may give rise to new cyclical
or other movements.
6000
5000
4000
3000
Series1
2000
1000
0
1950 1960 1970 1980 1990 2000 2010 2020
Interp retation:
The graph shows peak value from 2000 and onwards. The production has
continuously increased from 1960 and has some fluctuations in it. Moreover the graph shows
major decline in production 2008 to 2010.
Trend:
Cyclical variations:
9
There are no cyclical variations in the graph.
Seasonal variations:
Irregularities:
Correllogram:
In the analysis of data, a Correllogram is an image of correlation statistics. For
example, in time series analysis, a Correllogram, also known as an autocorrelation plot, is a
plot of the sample autocorrelations versus (the time lags).
10
Chapter 4
Analysis:
J.B test
Checking the normality with J.B test
1) Hypothesis to be stated
Ho : residuals are normal
H1 : residuals are not normal
2) Level of significance α : 0.05
3) Test statistics
( )
JB = n[ ]
4) Calculation
Formulation of Hypothesis:
11
Level of significance:
α=1% 5% 10%
Calculation:
Critical region:
If Augmented Dickey Fuller (ADF) >Mackinnon critical values then do not rejectH_0:
12
ACF: it shows direct exponential decay on positive side till 18 lags and negative side till last
6 lags.
Conclusion
From the provided evidence as t* -2.9157 is greater to ADF 2.911125 so ,we do not
reject our null hypothesis and conclude that our series is not stationary at level.Hence it is
valid to take the 1st or 2nd difference to make the series stationary.From Correllogram we
can predict that our series is not stationary so for mathematically proof we go to unit root test.
Calculation:
13
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y,2)
Method: Least Squares
Date: 05/03/16 Time: 22:50
Sample(adjusted): 1963 2015
Included observations: 53 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(Y(-1)) -1.002332 0.211254 -4.744676 0.0000
D(Y(-1),2) -0.100519 0.146421 -0.686508 0.4956
C 86.61994 34.95181 2.478268 0.0166
R-squared 0.548930 Mean dependent var 7.622642
Adjusted R-squared 0.530887 S.D. dependent var 322.2945
S.E. of regression 220.7454 Akaike info criterion 13.68684
Sum squared resid 2436426. Schwarz criterion 13.79836
Log likelihood -359.7011 F-statistic 30.42374
Durbin-Watson stat 2.030887 Prob(F-statistic) 0.000000
Critical values:
If Augmented Dickey Fuller (ADF) >Mackinnon critical values then do not rejectH_0:
14
ACF: it shows oscillating decay
Conclusion:
Selection of Models: Models are selected from the minimum values of AIC and
SBC
15
(0,1,1) 13.62459 13.69758
(1,1,0) 13.64157 13.71524
(1,1,1) 13.67721 13.78770
(2,1,0) 13.65938 13.73374
(2,1,1) 13.67721 13.78770
Selection of models through SBC and AIC:
Pairs AIC-values SBC-values
(0,1,0) 13.59730 13.63380
(0,1,1) 13.62459 13.69758
(1,1,0) 13.64157 13.71524
Best fitted Model:
ARIMA Model (1,1,0) :
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/04/16 Time: 18:21
Sample(adjusted): 1962 2015
Included observations: 54 after adjusting endpoints
Convergence achieved after 3 iterations
Variable Coefficient Std. Error t-Statistic Prob.
C 84.76415 26.76028 3.167536 0.0026
AR(1) -0.108123 0.140838 -0.767713 0.4461
R-squared 0.011207 Mean dependent var 85.40741
Adjusted R-squared -0.007808 S.D. dependent var 216.9768
S.E. of regression 217.8222 Akaike info criterion 13.64157
Sum squared resid 2467219. Schwarz criterion 13.71524
Log likelihood -366.3224 F-statistic 0.589384
Durbin-Watson stat 1.946662 Prob(F-statistic) 0.446130
Inverted AR Roots -.11
16
Forecasted values for 2020:
year production
2005 4221.112
2006 4305.876
2007 4390.64
2008 4475.405
2009 4560.169
2010 4644.933
2011 4729.697
2012 4814.461
2013 4899.225
2014 4983.989
2015 5068.754
2016 5153.518
2017 5238.282
2018 5323.046
2019 5407.81
2020 5492.574
production
6000
5000
4000
3000
production
2000
1000
0
2000 2005 2010 2015 2020 2025
Interpretation: This graph shows that the maize production will increase in next five
years.
17
Chapter 5
Results and discussion:
In this project, time series models were fitted on maize production data (in metric ton)
of Pakistan. The purpose of fitting different time series models on this data is to obtained
reliable forecasts on the basis of statistical measures.
In the above analysis results are presented with model selection and validity criteria‟s.
Results are obtained by using eviews Software as on the basis of AIC and SBC ranks the best
selected model is ARIMA (1,1,0) and the all possible pairs are shown in table 1 which are:
(0,1,0) (0,1,1) (1,1,0) (1,1,1) (2,1,0) (2,1,1) and the forecasted value for 2020 is 5492.574.
Chapter 6
Conclusions:
We know that population of Pakistan is increasing rapidly, so it is necessary to plan
the future requirements of the country. For this purpose, forecasting is used to find out about
the need of nation in advance. Maize is the basic need of any country all over the world. In
this study, i developed time series models to forecast maize production of Pakistan on the
basis of historical data i.e. 1960-2015. I have developed different time series models on
maize production of Pakistan on this data. Best model is selected on the basis of model
selection criteria which is AIC and SBIC. The main cause of preferring time series model as
other studies is that the model best fitted has also satisfied all the assumptions of residuals
which are, independence, normality and no autocorrelation. On the basis of these model
selection criteria, i have found that best fitted model for maize production forecasting of
Pakistan is ARIMA (1,1,0) because this model has lower values of AIC and SBIC as
compared to other fitted models. On the basis of this model, i have found that wheat
production of Pakistan would become 5492.574 metric tons in 2020.
18
Chapter 7
References:
1. Khan et-al., (2011).Impact of different Mulches on Weed Flora and yield of Maize. Pak.
J. Bot., 43(3), 1601-1602.
2. Bibi et-al., (2010).Maize response to integrated use of NP-Fertilizers and Compost. Pak.
J. Bot., 42(4), 2793-2801.
7. Khaliq et-al., (2012).Effect of tillage and Fertilizer treatments on Maize Fodder yield
under Rainfed conditions of Pakistan. Pakistan J. Agric. Res, 25( 1), 34-43
8. Iqbal et-al., (1999).Factors affecting the Adoption of Hybrid Maize varieties in the
Irrigated Punjab. Int. J. Agri. Biol., 1. No. (3), 149-151
9. http://edu.par.com.pk/wiki/maize/
10. https://en.wikipedia.org/wiki/Maize/
11. http://www.pakissan.com/english/allabout//maize.shtmcropl
12. http://www.indexmundi.com/agriculture/?commodity=corn
13. http://www.dawn.com/news/236949/maize-cereal-with-a-variety-of-uses
19
Chapter 8
Appendix A:
Market Growth Market Growth
Year Production(mt) Rate Year2 Production(mt)3 Rate4
1960 439 NA 1987 1127 1.44%
1961 488 11.16% 1988 1204 6.83%
1962 489 0.20% 1989 1179 -2.08%
1963 526 7.57% 1990 1185 0.51%
1964 528 0.38% 1991 1100 -7.17%
1965 540 2.27% 1992 1100 0.00%
1966 587 8.70% 1993 1213 10.27%
1967 792 34.92% 1994 1318 8.66%
1968 626 -20.96% 1995 1504 14.11%
1969 668 6.71% 1996 1491 -0.86%
1970 717 7.34% 1997 1517 1.74%
1971 705 -1.67% 1998 1665 9.76%
1972 715 1.42% 1999 1652 -0.78%
1973 767 7.27% 2000 1643 -0.54%
1974 747 -2.61% 2001 1664 1.28%
1975 803 7.50% 2002 1737 4.39%
1976 764 -4.86% 2003 1897 9.21%
1977 821 7.46% 2004 2797 47.44%
1978 798 -2.80% 2005 3109 11.15%
1979 875 9.65% 2006 3088 -0.68%
1980 946 8.11% 2007 3605 16.74%
1981 930 -1.69% 2008 3593 -0.33%
1982 1005 8.06% 2009 3262 -9.21%
1983 1013 0.80% 2010 3707 13.64%
1984 1028 1.48% 2011 4338 17.02%
1985 1009 -1.85% 2012 4220 -2.72%
1986 1111 10.11% 2013 4944 17.16%
2014 4695 -5.04%
2015 5100 8.63%
20
Chapter 9
Appendix B
Residuals unit root test:
Model (0,1,0):
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/04/16 Time: 18:12
Sample(adjusted): 1961 2015
Included observations: 55 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 84.74545 28.99254 2.923009 0.0051
R-squared 0.000000 Mean dependent var 84.74545
Adjusted R-squared 0.000000 S.D. dependent var 215.0144
S.E. of regression 215.0144 Akaike info criterion 13.59730
Sum squared resid 2496484. Schwarz criterion 13.63380
Log likelihood -372.9258 Durbin-Watson stat 2.165773
Model (0,1,1):
21
Adjusted R-squared -0.009660 S.D. dependent var 215.0144
S.E. of regression 216.0505 Akaike info criterion 13.62459
Sum squared resid 2473923. Schwarz criterion 13.69758
Log likelihood -372.6761 F-statistic 0.483334
Durbin-Watson stat 1.987694 Prob(F-statistic) 0.489953
Inverted MA Roots .09
Model (1,1,0):
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/04/16 Time: 18:21
Sample(adjusted): 1962 2015
Included observations: 54 after adjusting endpoints
Convergence achieved after 3 iterations
Variable Coefficient Std. Error t-Statistic Prob.
C 84.76415 26.76028 3.167536 0.0026
AR(1) -0.108123 0.140838 -0.767713 0.4461
R-squared 0.011207 Mean dependent var 85.40741
Adjusted R-squared -0.007808 S.D. dependent var 216.9768
S.E. of regression 217.8222 Akaike info criterion 13.64157
Sum squared resid 2467219. Schwarz criterion 13.71524
Log likelihood -366.3224 F-statistic 0.589384
Durbin-Watson stat 1.946662 Prob(F-statistic) 0.446130
Inverted AR Roots -.11
22
At level:
At 1st Difference:
23
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y,2)
Method: Least Squares
Date: 05/03/16 Time: 22:50
Sample(adjusted): 1963 2015
Included observations: 53 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(Y(-1)) -1.002332 0.211254 -4.744676 0.0000
D(Y(-1),2) -0.100519 0.146421 -0.686508 0.4956
C 86.61994 34.95181 2.478268 0.0166
R-squared 0.548930 Mean dependent var 7.622642
Adjusted R-squared 0.530887 S.D. dependent var 322.2945
S.E. of regression 220.7454 Akaike info criterion 13.68684
Sum squared resid 2436426. Schwarz criterion 13.79836
Log likelihood -359.7011 F-statistic 30.42374
Durbin-Watson stat 2.030887 Prob(F-statistic) 0.000000
24