___ ____ ____ ____ ____ (R)

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Statistics/Data Analysis

Copyright 1985-2011 StataCorp LP

StataCorp
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979-696-4601 (fax)

10-student Stata lab perpetual license:

Serial number: 30120544543
Licensed to: Yugenio Paulo
Economics
Notes:
. *(3 variables, 43 observations pasted into data editor)
. label variable year "year"
. label variable exports "xports"
. label variable exports "exports"
. label variable imports "imports"
. sort year
. tsset year
time variable: year, 1970 to 2012
delta: 1 unit
. gen lexp=ln(exports)
. gen limp=ln(imports)
. varbasic

lexp limp, lag(2) fevd

Vector autoregression
Sample: 1972 - 2012
Log likelihood = 54.34157
FPE
= .0003245
Det(Sigma_ml) = .000242

No. of obs
AIC
HQIC
SBIC

=
41
= -2.358126
= -2.26681
= -2.107359

Equation
Parms
RMSE
R-sq
chi2
P>chi2
---------------------------------------------------------------lexp
3
.144895 0.9922 5202.246 0.0000
limp
3
.167982 0.9901 4112.603 0.0000
--------------------------------------------------------------------------------------------------------------------------------------------|
Coef. Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------lexp
|
lexp |
L2. | .8489293 .1553746
5.46 0.000
.5444006
1.153458
|

limp |
L2. | .1094641
.15414
0.71 0.478
-.1926448
.411573
|
_cons | .7477833 .1500947
4.98 0.000
.4536032
1.041963
-------------+---------------------------------------------------------------limp
|
lexp |
L2. | .4958126 .1801316
2.75 0.006
.1427612
.848864
|
limp |
L2. | .4896158 .1787003
2.74 0.006
.1393697
.8398619
|
_cons | .3853983 .1740103
2.21 0.027
.0443443
.7264522
-----------------------------------------------------------------------------. varbasic lexp limp, lags(1/2) step(5) fevd
Vector autoregression
Sample: 1972 - 2012
Log likelihood = 79.38758
FPE
= .0001164
Det(Sigma_ml) = .0000713

No. of obs
AIC
HQIC
SBIC

=
41
= -3.38476
= -3.232568
= -2.966816

Equation
Parms
RMSE
R-sq
chi2
P>chi2
---------------------------------------------------------------lexp
5
.104743 0.9961 10550.14 0.0000
limp
5
.122602 0.9950 8189.791 0.0000
--------------------------------------------------------------------------------------------------------------------------------------------|
Coef. Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------lexp
|
lexp |
L1. | 1.061481 .1964579
5.40 0.000
.6764304
1.446531
L2. | -.1574034 .1976598
-0.80 0.426
-.5448094
.2300027
|
limp |
L1. | -.1163773 .1709403
-0.68 0.496
-.4514141
.2186596
L2. | .1898994 .1599232
1.19 0.235
-.1235443
.5033432
|
_cons | .3998684 .1187606
3.37 0.001
.167102
.6326348
-------------+---------------------------------------------------------------limp
|
lexp |
L1. | .4621283 .2299547
2.01 0.044
.0114254
.9128312
L2. | -.1649087 .2313614
-0.71 0.476
-.6183688
.2885514
|
limp |
L1. | .6756286 .2000862
3.38 0.001
.2834669
1.06779
L2. | .0254992 .1871907
0.14 0.892
-.3413878
.3923863
|
_cons | .1060097 .1390096
0.76 0.446
-.1664441
.3784636
-----------------------------------------------------------------------------. varbasic lexp limp, lags(1/2) step(5) nograph
Vector autoregression

Sample: 1972 - 2012

Log likelihood = 79.38758
FPE
= .0001164
Det(Sigma_ml) = .0000713

No. of obs
AIC
HQIC
SBIC

=
41
= -3.38476
= -3.232568
= -2.966816

Equation
Parms
RMSE
R-sq
chi2
P>chi2
---------------------------------------------------------------lexp
5
.104743 0.9961 10550.14 0.0000
limp
5
.122602 0.9950 8189.791 0.0000
--------------------------------------------------------------------------------------------------------------------------------------------|
Coef. Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------lexp
|
lexp |
L1. | 1.061481 .1964579
5.40 0.000
.6764304
1.446531
L2. | -.1574034 .1976598
-0.80 0.426
-.5448094
.2300027
|
limp |
L1. | -.1163773 .1709403
-0.68 0.496
-.4514141
.2186596
L2. | .1898994 .1599232
1.19 0.235
-.1235443
.5033432
|
_cons | .3998684 .1187606
3.37 0.001
.167102
.6326348
-------------+---------------------------------------------------------------limp
|
lexp |
L1. | .4621283 .2299547
2.01 0.044
.0114254
.9128312
L2. | -.1649087 .2313614
-0.71 0.476
-.6183688
.2885514
|
limp |
L1. | .6756286 .2000862
3.38 0.001
.2834669
1.06779
L2. | .0254992 .1871907
0.14 0.892
-.3413878
.3923863
|
_cons | .1060097 .1390096
0.76 0.446
-.1664441
.3784636
-----------------------------------------------------------------------------. vargranger
Granger causality Wald tests
+------------------------------------------------------------------+
|
Equation
Excluded | chi2
df Prob > chi2 |
|--------------------------------------+---------------------------|
|
lexp
limp | 1.4901
2
0.475
|
|
lexp
ALL | 1.4901
2
0.475
|
|--------------------------------------+---------------------------|
|
limp
lexp | 6.4195
2
0.040
|
|
limp
ALL | 6.4195
2
0.040
|
+------------------------------------------------------------------+
. irf table fevd
Results from varbasic
+-------------------------------------------------------------------------------------------------------------------+
|
|
(1)
(1)
(1)
|
(2)
(2)
(2)
|
(3)
(3)
(3)
|
| step | fevd
Lower
Upper
| fevd
Lower
Upper
| fevd
Lower
Upper
|

|--------+-----------------------------------+----------------------------------+-----------------------------------|
|0
| 0
0
0
| 0
0
0
| 0
0
0
|
|1
| 1
1
1
| .439027
.211479
.666576
| 0
0
0
|
|2
| .994672
.963863
1.02548 | .58438
.350992
.817767
| .005328
-.025481
.036137 |
|3
| .996207
.971934
1.02048 | .666144
.435539
.896749
| .003793
-.02048
.028066 |
|4
| .995529
.980188
1.01087 | .717233
.49482
.939646
| .004471
-.01087
.019812 |
|5
| .993094
.960191
1.026
| .752505
.536724
.968286
| .006906
-.025997
.039809 |
+-------------------------------------------------------------------------------------------------------------------+
+--------------------------------------------+
|
|
(4)
(4)
(4)
|
| step | fevd
Lower
Upper
|
|--------+-----------------------------------|
|0
| 0
0
0
|
|1
| .560973
.333424
.788521 |
|2
| .41562
.182233
.649008 |
|3
| .333856
.103251
.564461 |
|4
| .282767
.060354
.50518
|
|5
| .247495
.031714
.463276 |
+--------------------------------------------+
95% lower and upper bounds reported
(1) irfname = varbasic, impulse = lexp, and response
(2) irfname = varbasic, impulse = lexp, and response
(3) irfname = varbasic, impulse = limp, and response
(4) irfname = varbasic, impulse = limp, and response

=
=
=
=

lexp
limp
lexp
limp

. irf ctable (varbasic lexp lexp fevd, ci stderror) (varbasic lexp limp fevd, ci
stderror) (varbasic limp limp fevd, ci stderror) (varb
> asic limp lexp fevd, ci stderror), individual title("vdc")
vdc
Table 1
+--------------------------------------------------------+
|
|
(1)
(1)
(1)
(1)
|
| step | fevd
Lower
Upper
S.E.
|
|--------+-----------------------------------------------|
|0
| 0
0
0
0
|
|1
| 1
1
1
0
|
|2
| .994672
.963863
1.02548
.015719 |
|3
| .996207
.971934
1.02048
.012385 |
|4
| .995529
.980188
1.01087
.007827 |
|5
| .993094
.960191
1.026
.016787 |
+--------------------------------------------------------+
95% lower and upper bounds reported
(1) irfname = varbasic, impulse = lexp, and response = lexp
Table 2
+--------------------------------------------------------+
|
|
(2)
(2)
(2)
(2)
|

| step | fevd
Lower
Upper
S.E.
|
|--------+-----------------------------------------------|
|0
| 0
0
0
0
|
|1
| .439027
.211479
.666576
.116098 |
|2
| .58438
.350992
.817767
.119077 |
|3
| .666144
.435539
.896749
.117658 |
|4
| .717233
.49482
.939646
.113478 |
|5
| .752505
.536724
.968286
.110094 |
+--------------------------------------------------------+
95% lower and upper bounds reported
(2) irfname = varbasic, impulse = lexp, and response = limp
Table 3
+--------------------------------------------------------+
|
|
(3)
(3)
(3)
(3)
|
| step | fevd
Lower
Upper
S.E.
|
|--------+-----------------------------------------------|
|0
| 0
0
0
0
|
|1
| .560973
.333424
.788521
.116098 |
|2
| .41562
.182233
.649008
.119077 |
|3
| .333856
.103251
.564461
.117658 |
|4
| .282767
.060354
.50518
.113478 |
|5
| .247495
.031714
.463276
.110094 |
+--------------------------------------------------------+
95% lower and upper bounds reported
(3) irfname = varbasic, impulse = limp, and response = limp
Table 4
+--------------------------------------------------------+
|
|
(4)
(4)
(4)
(4)
|
| step | fevd
Lower
Upper
S.E.
|
|--------+-----------------------------------------------|
|0
| 0
0
0
0
|
|1
| 0
0
0
0
|
|2
| .005328
-.025481
.036137
.015719 |
|3
| .003793
-.02048
.028066
.012385 |
|4
| .004471
-.01087
.019812
.007827 |
|5
| .006906
-.025997
.039809
.016787 |
+--------------------------------------------------------+
95% lower and upper bounds reported
(4) irfname = varbasic, impulse = limp, and response = lexp
. rolling _b, window(10) clear : rollreg D.lexp limp, move(10) stub(lexpM) graph
(summary)
rollreg command not found
r(111);
. rolling _b, window(10) clear : rollreg D.lexp limp, move(10) stub(lexpM) graph
(summary)
rollreg command not found
r(111);
. rolling D.lexp limp, move(10) stub(lexpM) graph(summary)
'' found where ':' expected
r(198);
. rolling dlexp limp, move(10) stub(lexpM) graph(summary)
'' found where ':' expected

r(198);
. irf table fevd, irf(varbasic) impulse(lexp) response(limp)
Results from varbasic
+--------------------------------------------+
|
|
(1)
(1)
(1)
|
| step | fevd
Lower
Upper
|
|--------+-----------------------------------|
|0
| 0
0
0
|
|1
| .439027
.211479
.666576 |
|2
| .58438
.350992
.817767 |
|3
| .666144
.435539
.896749 |
|4
| .717233
.49482
.939646 |
|5
| .752505
.536724
.968286 |
+--------------------------------------------+
95% lower and upper bounds reported
(1) irfname = varbasic, impulse = lexp, and response = limp
. irf cgraph (varbasic lexp limp fevd oirf, noci) (varbasic lexp lexp fevd oirf,
noci) (varbasic limp lexp oirf oirf, noci) (varbasic l
> imp limp oirf, noci)
duplicate elements found in oirf oirf
r(198);
. irf graph fevd, irf(varbasic) impulse(lexp) response(limp)
. irf table fevd, irf(varbasic) impulse(lexp) response(limp) individual
Results from varbasic
+--------------------------------------------+
|
|
(1)
(1)
(1)
|
| step | fevd
Lower
Upper
|
|--------+-----------------------------------|
|0
| 0
0
0
|
|1
| .439027
.211479
.666576 |
|2
| .58438
.350992
.817767 |
|3
| .666144
.435539
.896749 |
|4
| .717233
.49482
.939646 |
|5
| .752505
.536724
.968286 |
+--------------------------------------------+
95% lower and upper bounds reported
(1) irfname = varbasic, impulse = lexp, and response = limp
.