Ekonometrika 2

Program S1 Ilmu Ekonomi FEUI

Maret 2012
Lab ke-4
Analisis Time Series 2
SOAL A
Gunakan data PHILLIPS.dat dengan deskripsi variable di PHILLIPS.txt.
. use http://fmwww.bc.edu/ec-p/data/wooldridge/PHILLIPS.dta
. *Lakukan set time data terlebih dahulu
series
. tsset year
time variable: year, 1948 to 1996
delta: 1 unit

sebelum

melakukan

estimasi

times

Lakukan pengujian apakah terdapat serial correlation pada masing

masing model di bawah ini
(i)
model statis statis kurva Phllips (1)
inft=b0+b1unemt+ut
(1)

. quietly reg inf unem

. dwstat
Durbin-Watson d-statistic(

2,

49) =

.8027005

. bgodfrey
Breusch-Godfrey LM test for autocorrelation
--------------------------------------------------------------------------lags(p) |
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
|
18.472
1
0.0000
--------------------------------------------------------------------------H0: no serial correlation
. predict u1, resid
. reg u1 L.u1
Source |
SS
df
MS
-------------+-----------------------------Model |
150.91704
1
150.91704
Residual | 285.198412
46 6.19996547
-------------+-----------------------------Total | 436.115452
47 9.27905217

Number of obs
F( 1,
46)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

48
24.34
0.0000
0.3460
0.3318
2.49

-----------------------------------------------------------------------------u1 |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------u1 |

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L1. |
.5729695
.1161334
4.93
0.000
.3392052
.8067338
|
_cons | -.1133967
.359404
-0.32
0.754
-.8368393
.610046
------------------------------------------------------------------------------

(ii)

dinamik kurva Phillips-1 (kurva Philips dengan asumsi angka

pengangguran alamiah konstan) (2)
cinf=d0+d1unem+e
(2)

. quietly reg cinf unem

. dwstat
Durbin-Watson d-statistic(
. bgodfrey

2,

48) =

1.769648

Breusch-Godfrey LM test for autocorrelation

--------------------------------------------------------------------------lags(p) |
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
|
0.062
1
0.8039
--------------------------------------------------------------------------H0: no serial correlation
. predict u2, resid
(1 missing value generated)
. reg u2 L.u2
Source |
SS
df
MS
-------------+-----------------------------Model | .350023904
1 .350023904
Residual | 190.837373
45 4.24083051
-------------+-----------------------------Total | 191.187397
46 4.15624776

Number of obs
F( 1,
45)
Prob > F
R-squared
Adj R-squared
Root MSE

=
47
=
0.08
= 0.7752
= 0.0018
= -0.0204
= 2.0593

-----------------------------------------------------------------------------u2 |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------u2 |
L1. | -.0355928
.1238908
-0.29
0.775
-.2851216
.213936
|
_cons |
.1941655
.3003839
0.65
0.521
-.4108387
.7991698
------------------------------------------------------------------------------

(iii) dinamik kurva Phillips-2 (kurva Philips dengan asumsi angka

pengangguran merupakan fungsi dari angka pengangguran pada
periode sebelumnya) (3)
cinf=q0+q1cunem+e
(3)
. quietly reg cinf cunem
. dwstat
Durbin-Watson d-statistic(

2,

48) =

1.849401

. bgodfrey

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Breusch-Godfrey LM test for autocorrelation

--------------------------------------------------------------------------lags(p) |
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
|
0.042
1
0.8385
--------------------------------------------------------------------------H0: no serial correlation
. predict u3, resid
(1 missing value generated)
. reg u3 L.u3
Source |
SS
df
MS
-------------+-----------------------------Model | .215297942
1 .215297942
Residual | 210.917548
45 4.68705663
-------------+-----------------------------Total | 211.132846
46 4.58984449

Number of obs
F( 1,
45)
Prob > F
R-squared
Adj R-squared
Root MSE

=
47
=
0.05
= 0.8313
= 0.0010
= -0.0212
=
2.165

-----------------------------------------------------------------------------u3 |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------u3 |
L1. | -.0283512
.1322822
-0.21
0.831
-.2947812
.2380788
|
_cons |
.1585139
.3157922
0.50
0.618
-.4775242
.794552
------------------------------------------------------------------------------

Bandingkan hasil pengujian dari ketiga model di atas, dan beri analisis
anda tentang persamaan dan/atau perbedaan hasil pengujian di atas.
. quietly reg inf unem
. estimates store inf
. quietly reg cinf unem
. estimates store cinf
. quietly reg cinf cunem
. estimates store cinf2
. estimates table inf cinf cinf2 , stat(N r2 r2_a aic bic)
stfmt(%7.4g) star(0.1 0.05 0.01)

b(%7.4f)

----------------------------------------------------Variable |
inf
cinf
cinf2
-------------+--------------------------------------unem | 0.4676
-0.5426**
cunem |
-0.8422**
_cons | 1.4236
3.0306**
-0.0782
-------------+--------------------------------------N |
49
48
48
r2 | .05272
.1078
.135
r2_a | .03257
.0884
.1162
aic |
252.9
224.2
222.7
bic |
256.6
228
226.5
----------------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

Lakukan pengujian Unit Root untuk mendeteksi stationaritas data

inflasi dan data pengangguran dengan menggunakan regresi ADF
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model. Beri intrepretasi terhadap hasil pengujian anda!. Berdasarkan

hasil pengujian ini, apakah anda mendeteksi adanya regresi palsu
(spurious regression)?
. * Lakukan pengujian Unit Root untuk mendeteksi stationaritas data inflasi dan
data pengangguran dengan menggunakan regresi ADF
. dfuller inf, regres trend
Dickey-Fuller test for unit root

Number of obs

48

---------- Interpolated Dickey-Fuller --------Test

1% Critical
5% Critical
10% Critical
Statistic
Value
Value
Value
-----------------------------------------------------------------------------Z(t)
-3.449
-4.168
-3.508
-3.185
-----------------------------------------------------------------------------MacKinnon approximate p-value for Z(t) = 0.0452
-----------------------------------------------------------------------------D.inf
|
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------inf |
L1. | -.3856691
.1118259
-3.45
0.001
-.6108981
-.1604402
_trend |
.0362198
.0256589
1.41
0.165
-.0154598
.0878995
_cons |
.5996598
.7310425
0.82
0.416
-.8727353
2.072055
-----------------------------------------------------------------------------. dfuller unem, regres trend
Dickey-Fuller test for unit root

Number of obs

48

---------- Interpolated Dickey-Fuller --------Test

1% Critical
5% Critical
10% Critical
Statistic
Value
Value
Value
-----------------------------------------------------------------------------Z(t)
-2.993
-4.168
-3.508
-3.185
-----------------------------------------------------------------------------MacKinnon approximate p-value for Z(t) = 0.1340
-----------------------------------------------------------------------------D.unem
|
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem |
L1. | -.3507138
.1171655
-2.99
0.004
-.5866972
-.1147303
_trend |
.0164492
.0132111
1.25
0.220
-.0101593
.0430576
_cons |
1.646202
.5768054
2.85
0.007
.4844567
2.807948
-----------------------------------------------------------------------------. * kesimpulannya: data inflasi dan data pengangguran tidak stasioner
. * uji spurious regression
. quietly reg inf unem
. predict error, resid
. dfuller error, regres trend
Dickey-Fuller test for unit root
Test

Number of obs

48

---------- Interpolated Dickey-Fuller --------1% Critical

5% Critical
10% Critical

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Statistic
Value
Value
Value
-----------------------------------------------------------------------------Z(t)
-3.846
-4.168
-3.508
-3.185
-----------------------------------------------------------------------------MacKinnon approximate p-value for Z(t) = 0.0144
-----------------------------------------------------------------------------D.error
|
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------error |
L1. | -.4539094
.1180233
-3.85
0.000
-.6916206
-.2161982
_trend |
.0304812
.026365
1.16
0.254
-.0226207
.0835831
_cons | -.8596548
.7381616
-1.16
0.250
-2.346388
.627079
-----------------------------------------------------------------------------. * kesimpulannya: tidak spurious regression atau nenilkik kointergarsi karen
nilai error stasioner

SOAL B
Gunakan data Okun.dta
. use http://fmwww.bc.edu/ec-p/data/wooldridge/okun.dta
. *Lakukan set time data terlebih dahulu sebelum melakukan estimasi times
series
. tsset year
time variable: year, 1959 to 2005
delta: 1 unit

Estimasi persamaan di bawah ini dengan metode OLS

pcrgdpt=b0+b1unemt+ut
. reg

(4)

pcrgdp cunem

Source |
SS
df
MS
-------------+-----------------------------Model | 131.353664
1 131.353664
Residual | 53.5559029
44 1.21717961
-------------+-----------------------------Total | 184.909567
45 4.10910148

Number of obs
F( 1,
44)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

46
107.92
0.0000
0.7104
0.7038
1.1033

-----------------------------------------------------------------------------pcrgdp |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------cunem | -1.890915
.1820239
-10.39
0.000
-2.25776
-1.52407
_cons |
3.344427
.1626743
20.56
0.000
3.016578
3.672275
------------------------------------------------------------------------------

Lakukan pengujian AR (1) serial correlation dan berikan interpretasi

anda terhadap hasil pengujian ini dan dikaitkan dengan estimasi
parameter persamaan (4).
. quietly reg

pcrgdp cunem

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. dwstat
Durbin-Watson d-statistic(

2,

46) =

1.856618

. bgodfrey
Breusch-Godfrey LM test for autocorrelation
--------------------------------------------------------------------------lags(p) |
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
|
0.193
1
0.6601
--------------------------------------------------------------------------H0: no serial correlation
. predict error, resid
(1 missing value generated)
. reg error L.error
Source |
SS
df
MS
-------------+-----------------------------Model | .177626827
1 .177626827
Residual | 52.6493732
43 1.22440403
-------------+-----------------------------Total |
52.827
44 1.20061364

Number of obs
F( 1,
43)
Prob > F
R-squared
Adj R-squared
Root MSE

=
45
=
0.15
= 0.7052
= 0.0034
= -0.0198
= 1.1065

-----------------------------------------------------------------------------error |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------error |
L1. |
.0580417
.1523871
0.38
0.705
-.2492761
.3653595
|
_cons |
.0176032
.1649796
0.11
0.916
-.31511
.3503163
------------------------------------------------------------------------------

Hitung residual dari hasil estimasi di atas dan pangkatkan 2 (t 2 ) dan

lakukan pengujian untuk mendeteksi masalah heterokedastisitas
dengan Breusch-Pagan test (run t 2 terhadap unemt ) dan berikan
interprerasi anda
. gen error2 = error^2
(1 missing value generated)
. reg error2 cunem
Source |
SS
df
MS
-------------+-----------------------------Model | 7.50942413
1 7.50942413
Residual | 77.3669243
44 1.75833919
-------------+-----------------------------Total | 84.8763484
45 1.88614108

Number of obs
F( 1,
44)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

46
4.27
0.0447
0.0885
0.0678
1.326

-----------------------------------------------------------------------------error2 |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------cunem |
.4521206
.2187773
2.07
0.045
.0112039
.8930373
_cons |
1.16819
.1955208
5.97
0.000
.774144
1.562237
-----------------------------------------------------------------------------. quietly reg pcrgdp cunem

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. hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of pcrgdp
chi2(1)
Prob > chi2

=
=

2.77
0.0960

Estimasi kembali persaman (4) dengan menggunakan metode WLS

dan bandingkan hasil regresinya dengan hasil regresi dengan metode
OLS, berikan analisis anda dikaitkan dengan pengujian untuk
mendeteksi masalah heteroskedastis di atas.
. reg pcrgdp cunem [w=error2]
(analytic weights assumed)
(sum of wgt is
5.3556e+01)
Source |
SS
df
MS
-------------+-----------------------------Model | 153.069146
1 153.069146
Residual |
125.24728
44 2.84652908
-------------+-----------------------------Total | 278.316426
45 6.18480946

Number of obs
F( 1,
44)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

46
53.77
0.0000
0.5500
0.5398
1.6872

-----------------------------------------------------------------------------pcrgdp |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------cunem | -1.740022
.2372842
-7.33
0.000
-2.218237
-1.261807
_cons |
3.334796
.2588378
12.88
0.000
2.813143
3.856449
-----------------------------------------------------------------------------. hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of pcrgdp
chi2(1)
Prob > chi2

=
=

0.08
0.7808

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