Autocorrelation:

Dependent Variable: LCONS

Method: Least Squares
Date: 12/11/12 Time: 11:37
Sample: 1985Q1 1994Q2
Included observations: 38
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LDISP
LPRICE

2.485434
0.529285
-0.064029

0.788349
0.292327
0.146506

3.152708
1.810589
-0.437040

0.0033
0.0788
0.6648

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.234408
0.190660
0.046255
0.074882
64.43946
5.358118
0.009332

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

4.609274
0.051415
-3.233656
-3.104373
-3.187658
0.370186

RES01

RES01
.12

.12

.08

.08

.04

.04

.00

.00
-.04

-.04
-.08
-.08

-.04

.00

.04

.08

.12

-.08
1985

RES01(-1)

1986

1987

1988

1989

Breusch-Godfrey Serial Correlation LM Test:

F-statistic
Obs*R-squared

17.25931
26.22439

Prob. F(4,31)
Prob. Chi-Square(4)

0.0000
0.0000

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 12/11/12 Time: 11:45
Sample: 1985Q1 1994Q2
Included observations: 38
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LDISP

-0.483704
0.178048

0.489336
0.185788

-0.988491
0.958341

0.3306
0.3453

1990

1991

1992

1993

1994

LPRICE
RESID(-1)
RESID(-2)
RESID(-3)
RESID(-4)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

-0.071428
0.840743
-0.340727
0.256762
0.196959
0.690115
0.630138
0.027359
0.023205
86.69901
11.50621
0.000001

0.093945
0.176658
0.233486
0.231219
0.186608

-0.760322
4.759155
-1.459306
1.110471
1.055465

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.4528
0.0000
0.1545
0.2753
0.2994
1.09E-15
0.044987
-4.194685
-3.893024
-4.087356
1.554119

Correction for Autocorrelation: NEWey-West standard errors:

Dependent Variable: LCONS

Method: Least Squares
Date: 12/11/12 Time: 12:21
Sample: 1985Q1 1994Q2
Included observations: 38
HAC standard errors & covariance (Bartlett kernel, Newey-West fixed
bandwidth = 4.0000)
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LDISP
LPRICE

2.485434
0.529285
-0.064029

1.144463
0.393272
0.175553

2.171703
1.345850
-0.364728

0.0367
0.1870
0.7175

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.234408
0.190660
0.046255
0.074882
64.43946
5.358118
0.009332

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

4.609274
0.051415
-3.233656
-3.104373
-3.187658
0.370186