# 334 Assignment

Topics: Roman numerals, Statistical tests, Likelihood-ratio test Pages: 9 (1371 words) Published: April 1, 2013
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Null Hypothesis: MANUF has a unit root| |
Exogenous: Constant| | |
Lag Length: 0 (Automatic - based on SIC, maxlag=21)|
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| | | t-Statistic|   Prob.*|
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Augmented Dickey-Fuller test statistic| -29.65726|  0.0000| Test critical values:| 1% level| | -3.436548| |
| 5% level| | -2.864165| |
| 10% level| | -2.568220| |
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*MacKinnon (1996) one-sided p-values.| |
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Augmented Dickey-Fuller Test Equation| |
Dependent Variable: D(MANUF)| | |
Method: Least Squares| | |
Date: 10/23/12 Time: 18:47| | |
Included observations: 1019 after adjustments| |
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Variable| Coefficient| Std. Error| t-Statistic| Prob.  | | | | | |
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MANUF(-1)| -0.927533| 0.031275| -29.65726| 0.0000|
C| 0.904355| 0.177780| 5.086927| 0.0000|
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R-squared| 0.463764|     Mean dependent var| -0.000177| Adjusted R-squared| 0.463237|     S.D. dependent var| 7.631188| S.E. of regression| 5.590923|     Akaike info criterion| 6.282127| Sum squared resid| 31789.82|     Schwarz criterion| 6.291796| Log likelihood| -3198.744|     Hannan-Quinn criter.| 6.285798| F-statistic| 879.5531|     Durbin-Watson stat| 1.996574| Prob(F-statistic)| 0.000000| | | |

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Null Hypothesis: MANUF is stationary| |
Exogenous: Constant| | |
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel| | | | | |
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| | | | LM-Stat.|
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Kwiatkowski-Phillips-Schmidt-Shin test statistic|  0.027145| Asymptotic critical values*:| 1% level| |  0.739000|
| | 5% level| |  0.463000|
| | 10% level| |  0.347000|
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*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1) |
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Residual variance (no correction)|  31.33172|
HAC corrected variance (Bartlett kernel)|  32.68577|
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KPSS Test Equation| | |
Dependent Variable: MANUF| | |
Method: Least Squares| | |
Date: 10/23/12 Time: 18:51| | |
Sample: 1927M01 2011M12| | |
Included observations: 1020| | |
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Variable| Coefficient| Std. Error| t-Statistic| Prob.  | | | | | |
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C| 0.974196| 0.175350| 5.555733| 0.0000|
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R-squared| 0.000000|     Mean dependent var| 0.974196| Adjusted R-squared| 0.000000|     S.D. dependent var| 5.600220| S.E. of regression| 5.600220|     Akaike info criterion| 6.284469| Sum squared resid| 31958.35|     Schwarz criterion| 6.289300| Log likelihood| -3204.079|     Hannan-Quinn criter.| 6.286303| Durbin-Watson stat| 1.855016| | | |

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Q2 c

Breusch-Godfrey Serial Correlation LM Test:| |
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F-statistic| 1.275227|     Prob. F(8,1000)| 0.2526| Obs*R-squared| 10.04630|     Prob. Chi-Square(8)| 0.2618| | | | | |
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Test Equation:| | | |
Dependent Variable: RESID| | |
Method: Least Squares| | |
Date: 10/23/12 Time: 19:17| | |
Sample: 1927M05 2011M12| | |
Included observations: 1016| | |
Presample missing value lagged residuals set to zero.|
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Variable| Coefficient| Std. Error| t-Statistic| Prob.  | | | | | |
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C| -0.007269| 0.036592| -0.198643| 0.8426|
AR(1)| -2.649612| 2.230490| -1.187906| 0.2352|
AR(2)| 2.018257| 1.506754| 1.339474| 0.1807|
AR(3)| -0.834316| 0.910116| -0.916715|...