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(i) GDP

Null Hypothesis: D(GDP) has a unit root


Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -2.306180  0.0228


Test critical values: 1% level -2.650145
5% level -1.953381
10% level -1.609798

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(GDP,2)
Method: Least Squares
Date: 10/26/10 Time: 11:54
Sample (adjusted): 1982 2009
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

D(GDP(-1)) -0.338686 0.146860 -2.306180 0.0290

R-squared 0.162411    Mean dependent var -814.0357


Adjusted R-squared 0.162411    S.D. dependent var 16328.00
S.E. of regression 14943.37    Akaike info criterion 22.09698
Sum squared resid 6.03E+09    Schwarz criterion 22.14456
Log likelihood -308.3578    Hannan-Quinn criter. 22.11153
Durbin-Watson stat 2.016417
(ii) MS

Null Hypothesis: D(MS) has a unit root


Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -1.104676  0.2376


Test critical values: 1% level -2.650145
5% level -1.953381
10% level -1.609798

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(MS,2)
Method: Least Squares
Date: 10/26/10 Time: 11:57
Sample (adjusted): 1982 2009
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

D(MS(-1)) -0.101152 0.091568 -1.104676 0.2790

R-squared 0.038183    Mean dependent var 1479.964


Adjusted R-squared 0.038183    S.D. dependent var 20726.49
S.E. of regression 20326.94    Akaike info criterion 22.71234
Sum squared resid 1.12E+10    Schwarz criterion 22.75992
Log likelihood -316.9728    Hannan-Quinn criter. 22.72689
Durbin-Watson stat 2.364935

sya:

Null Hypothesis: D(MS) has a unit root


Exogenous: Constant, Linear Trend
Lag Length: 0 (Fixed)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -3.731560  0.0366


Test critical values: 1% level -4.323979
5% level -3.580623
10% level -3.225334

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(MS,2)
Method: Least Squares
Date: 10/26/10 Time: 12:26
Sample (adjusted): 1982 2009
Included observations: 28 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.  

D(MS(-1)) -0.768130 0.205847 -3.731560 0.0010


C -3152.202 7326.557 -0.430243 0.6707
@TREND(1980) 1890.290 687.8979 2.747922 0.0110

R-squared 0.361416    Mean dependent var 1479.964


Adjusted R-squared 0.310329    S.D. dependent var 20726.49
S.E. of regression 17212.61    Akaike info criterion 22.44563
Sum squared resid 7.41E+09    Schwarz criterion 22.58837
Log likelihood -311.2388    Hannan-Quinn criter. 22.48927
F-statistic 7.074555    Durbin-Watson stat 1.917167
Prob(F-statistic) 0.003675

(iii) UHAT

Null Hypothesis: UHAT has a unit root


Exogenous: None
Lag Length: 0 (Fixed)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -6.543963  0.0000


Test critical values: 1% level -2.653401
5% level -1.953858
10% level -1.609571

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(UHAT)
Method: Least Squares
Date: 10/26/10 Time: 11:59
Sample (adjusted): 1983 2009
Included observations: 27 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

UHAT(-1) -1.361653 0.208078 -6.543963 0.0000

R-squared 0.620695    Mean dependent var -1983.070


Adjusted R-squared 0.620695    S.D. dependent var 31790.77
S.E. of regression 19579.21    Akaike info criterion 22.63866
Sum squared resid 9.97E+09    Schwarz criterion 22.68665
Log likelihood -304.6219    Hannan-Quinn criter. 22.65293
Durbin-Watson stat 1.715211

Sya:

Null Hypothesis: UHAT has a unit root


Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)

t-Statistic   Prob.*
Augmented Dickey-Fuller test statistic -0.789414  0.3650
Test critical values: 1% level -2.650145
5% level -1.953381
10% level -1.609798

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(UHAT)
Method: Least Squares
Date: 10/26/10 Time: 12:14
Sample (adjusted): 1982 2009
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

UHAT(-1) -0.083299 0.105519 -0.789414 0.4370


D(UHAT(-1)) 0.535532 0.214473 2.496967 0.0192

R-squared 0.185843    Mean dependent var -1284.826


Adjusted R-squared 0.154529    S.D. dependent var 12108.67
S.E. of regression 11133.86    Akaike info criterion 21.54212
Sum squared resid 3.22E+09    Schwarz criterion 21.63728
Log likelihood -299.5897    Hannan-Quinn criter. 21.57121
Durbin-Watson stat 1.800547

JOHANSAN TEST

Date: 10/26/10 Time: 12:01


Sample (adjusted): 1982 2009
Included observations: 28 after adjustments
Trend assumption: No deterministic trend (restricted constant)
Series: MS GDP 
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05


No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None  0.387484  18.95795  20.26184  0.0748


At most 1  0.170464  5.232884  9.164546  0.2589

 Trace test indicates no cointegration at the 0.05 level


 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05


No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None  0.387484  13.72507  15.89210  0.1063


At most 1  0.170464  5.232884  9.164546  0.2589

 Max-eigenvalue test indicates no cointegration at the 0.05 level


 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

 Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): 

MS GDP C
 1.03E-05 -2.93E-05  2.346836
 5.17E-06  1.91E-06 -1.685565

 Unrestricted Adjustment Coefficients (alpha): 

D(MS) -11031.58  3250.229


D(GDP) -8753.867 -1688.248

1 Cointegrating Equation(s):  Log likelihood -605.3241

Normalized cointegrating coefficients (standard error in parentheses)


MS GDP C
 1.000000 -2.832778  226850.3
 (0.36772)  (68758.7)

Adjustment coefficients (standard error in parentheses)


D(MS) -0.114125
 (0.03300)
D(GDP) -0.090561
 (0.02429)

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