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600000
gdpconstant2000us
800000 1000000 1200000 1400000
U.K. GDP
10
20
. tsset time
time variable:
delta:
30
40
time, 1 to 51
1 unit
gdpconstant2000us
-1.00
Autocorrelations of gdpconstant2000us
-0.50
0.00
0.50
1.00
. ac
time
10
Lag
15
20
25
gdpconstant2000us
10
Lag
15
20
25
. reg
SS
df
MS
Model
Residual
1.4299e+12
8.5403e+10
1
30
1.4299e+12
2.8468e+09
Total
1.5153e+12
31
4.8881e+10
gdpconstan~s
Coef.
time
_cons
22894.49
401217.8
Std. Err.
1021.536
27704.17
t
22.41
14.48
Number of obs
F( 1,
30)
Prob > F
R-squared
Adj R-squared
Root MSE
=
=
=
=
=
=
32
502.29
0.0000
0.9436
0.9418
53355
P>|t|
0.000
0.000
20808.24
344638.3
24980.75
457797.3
residual
50000
100000
150000
. twoway (line
-50000
. pac
10
20
time
30
40
The residual plot makes clear what is happening; the linear trend is
inadequate, because the actual trend is nonlinear.
To plot the fitted linear time trend and the actual values of the variable we
do:
. predict double rshatlinear, xb
. twoway (scatter gdpconstant2000us time, msize(vsmall)) (line rshatlinear tim
> e) in 10/41, ytitle ( gdpconstant2000us) xtitle(time) title(U.K. GDP: linear t
> rend)
gdpconstant2000us
600000 800000 1000000 1200000 1400000
10
20
30
time
40
Linear prediction
In order to fit a quadratic trend to the data we need first to create variable
time squared (time2) and then regress the dependent variable
gdpconstant2000us on time and time2.
. gen time2=time^2
. reg
SS
df
MS
Model
Residual
1.4864e+12
2.8895e+10
2
29
7.4321e+11
996379727
Total
1.5153e+12
31
4.8881e+10
gdpconstan~s
Coef.
time
time2
_cons
-5253.566
551.9227
713054.1
Std. Err.
3786.257
73.28849
44533.78
t
-1.39
7.53
16.01
Number of obs
F( 2,
29)
Prob > F
R-squared
Adj R-squared
Root MSE
P>|t|
0.176
0.000
0.000
=
=
=
=
=
=
32
745.91
0.0000
0.9809
0.9796
31565
It can be seen that both the linear and quadratic terms are highly
significant. The coefficient of determination is almost 1.
2490.199
701.8145
804135.9
-50000
residual
0
50000
10
20
time
30
40
gdpconstant2000us
600000 800000 1000000 1200000 1400000
10
20
30
time
40
Linear prediction
SS
df
MS
Model
Residual
1.45651784
.025092898
2
29
.728258922
.000865272
Total
1.48161074
31
.047793895
lggdp
Coef.
time
time2
_cons
.009054
.0002734
13.34497
Std. Err.
.0035284
.0000683
.0415005
t
2.57
4.00
321.56
Number of obs
F( 2,
29)
Prob > F
R-squared
Adj R-squared
Root MSE
=
=
=
=
=
=
32
841.65
0.0000
0.9831
0.9819
.02942
P>|t|
0.016
0.000
0.000
.0018377
.0001337
13.26009
.0162703
.0004131
13.42985
The estimation results show that the exponential nonlinear trend model
seems to feet well.
In order to look at the residuals:
. predict double uhatloglinear, residual
. twoway (line uhatloglinear time) in 10/41, ytitle(residual) xtitle(time)
.06
.04
residual
.02
0
-.02
-.04
10
20
time
30
40
In sharp contrast to the results of fitting a linear time trend to gdp, which
were poor, the results of fitting a time trend to the log of gdp seen much
improved.
. predict double rshatloglinear, xb
. twoway (scatter lggdp time, msize(vsmall)) (line rshatloglinear time) in 10/4
> 1, ytitle ( gdpconstant2000us) xtitle(time) title(U.K. GDP: Long Linear Trend)
13.4
gdpconstant2000us
13.6
13.8
14
14.2
10
20
30
time
lggdp
40
Linear prediction
0:
1:
2:
3:
4:
5:
Source
residual
residual
residual
residual
residual
residual
SS
SS
SS
SS
SS
SS
SS
=
=
=
=
=
=
1.52e+12
5.40e+11
9.54e+10
4.22e+10
4.22e+10
4.22e+10
df
MS
Model
Residual
3.2522e+13
4.2163e+10
2
30
1.6261e+13
1.4054e+09
Total
3.2564e+13
32
1.0176e+12
gdpconstan~s
Coef.
/b0
/b1
521484.5
.0239659
Std. Err.
12065.97
.0007537
t
43.22
31.80
Number of obs
R-squared
Adj R-squared
Root MSE
Res. dev.
=
=
=
=
=
32
0.9987
0.9986
37489.31
762.7827
P>|t|
0.000
0.000
496842.5
.0224266
546126.5
.0255051
To look at residuals:
. predict double uhatexponential, residual
. twoway (line uhatexponential time) in 10/41, ytitle (residual) xtitle(time)
100000
50000
residual
0
-50000
10
20
30
time
40
In order to look at how the fitted exponential trend tracks the evolution of
retails sales we do:
. predict double rshatexponential
(option yhat assumed; fitted values)
. twoway (scatter gdpconstant2000us time, msize(vsmall)) (line rshatexponentia
> l time) in 10/41, ytitle ( gdpconstant2000us) xtitle(time) title(U.K. GDP: Exp
> onential Trend)
gdpconstant2000us
600000 800000 1000000 1200000 1400000
10
20
time
30
40
Fitted values
In order to settle on a final model, we examine the AIC and the BIC for the
three and models.
. reg
SS
df
MS
Model
Residual
1.4299e+12
8.5403e+10
1
30
1.4299e+12
2.8468e+09
Total
1.5153e+12
31
4.8881e+10
gdpconstan~s
Coef.
time
_cons
22894.49
401217.8
Std. Err.
1021.536
27704.17
t
22.41
14.48
Number of obs
F( 1,
30)
Prob > F
R-squared
Adj R-squared
Root MSE
=
=
=
=
=
=
32
502.29
0.0000
0.9436
0.9418
53355
P>|t|
0.000
0.000
20808.24
344638.3
24980.75
457797.3
. reg
active
time
_cons
22894.492
401217.8
aic
bic
789.36922
792.30069
SS
df
MS
Model
Residual
1.4864e+12
2.8895e+10
2
29
7.4321e+11
996379727
Total
1.5153e+12
31
4.8881e+10
gdpconstan~s
Coef.
time
time2
_cons
-5253.566
551.9227
713054.1
Std. Err.
3786.257
73.28849
44533.78
t
-1.39
7.53
16.01
Number of obs
F( 2,
29)
Prob > F
R-squared
Adj R-squared
Root MSE
P>|t|
0.176
0.000
0.000
=
=
=
=
=
=
32
745.91
0.0000
0.9809
0.9796
31565
2490.199
701.8145
804135.9
. nl( gdpconstant2000us={b0}*exp({b1}*time))
(obs = 51)
Iteration
Iteration
Iteration
Iteration
Iteration
Iteration
0:
1:
2:
3:
4:
5:
Source
residual
residual
residual
residual
residual
residual
SS
SS
SS
SS
SS
SS
SS
=
=
=
=
=
=
7.69e+12
4.70e+12
1.24e+11
1.13e+11
1.13e+11
1.13e+11
df
MS
Model
Residual
6.4173e+13
1.1321e+11
2
49
3.2086e+13
2.3104e+09
Total
6.4286e+13
51
1.2605e+12
gdpconstan~s
Coef.
/b0
/b1
508319.8
.0253559
Std. Err.
9191.855
.0004748
t
55.30
53.41
Number of obs
R-squared
Adj R-squared
Root MSE
Res. dev.
=
=
=
=
=
51
0.9982
0.9982
48066.58
1242.286
P>|t|
0.000
0.000
489848.1
.0244018
526791.6
.02631
active
_cons
508319.83
_cons
.02535592
Statistics
aic
bic
1246.2864
1250.15
b1
According to our results we chose quadratic trend model, because it has the
lowest AIC and BIC.
. reg
SS
df
MS
Model
Residual
1.4864e+12
2.8895e+10
2
29
7.4321e+11
996379727
Total
1.5153e+12
31
4.8881e+10
gdpconstan~s
Coef.
time
time2
_cons
-5253.566
551.9227
713054.1
Std. Err.
3786.257
73.28849
44533.78
. gen low=rshatquadratic-1.96*e(rmse)
. gen high=rshatquadratic+1.96*e(rmse)
t
-1.39
7.53
16.01
Number of obs
F( 2,
29)
Prob > F
R-squared
Adj R-squared
Root MSE
P>|t|
0.176
0.000
0.000
=
=
=
=
=
=
32
745.91
0.0000
0.9809
0.9796
31565
2490.199
701.8145
804135.9
1400000
gdpconstant2000us
1600000 1800000
2000000
U.K. GDP
40
45
time
GDP (constant 2000 US$)
low
50
Linear prediction
high