Ekonometrika 2

Program S1 Ilmu Ekonomi FEUI

Maret 2012
Lab ke -3
Analisis Time Series 1
Gunakan data PHILLIPS.dta dengan deskripsi variable di PHILLIPS.txt.
. use http://fmwww.bc.edu/ec-p/data/wooldridge/PHILLIPS.dta
. *Lakukan set time data terlebih dahulu sebelum melakukan estimasi times series
. tsset year
time variable: year, 1948 to 1996
delta: 1 unit

SOAL A

Estimasi persamaan statis kurva Phllips (1) dengan metode OLS:

inft=b0+b1unemt+ut

. reg

(1)

inf unem

Source |
SS
df
MS
-------------+-----------------------------Model | 25.6369575
1 25.6369575
Residual |
460.61979
47 9.80042107
-------------+-----------------------------Total | 486.256748
48 10.1303489

Number of obs
F( 1,
47)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

49
2.62
0.1125
0.0527
0.0326
3.1306

-----------------------------------------------------------------------------inf |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem |
.4676257
.2891262
1.62
0.112
-.1140213
1.049273
_cons |
1.42361
1.719015
0.83
0.412
-2.034602
4.881822
------------------------------------------------------------------------------

Jelaskan parameter-parameter
(signifikansi, arah dan besaran)
Prob > F

| R-squared

yang

diestimasi

dari

persamaan

(1)

P>|t|

Estimasi persamaan dinamik kurva Phillips (kurva Philips dengan asumsi

angkapengangguran alamiah konstan) (2) dengan metode OLS
cinf=d0+d1unem+e

(2)

. reg cinf unem

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Source |
SS
df
MS
-------------+-----------------------------Model | 33.3829988
1 33.3829988
Residual |
276.30513
46 6.00663326
-------------+-----------------------------Total | 309.688129
47 6.58910913

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

=
=
=
=
=
=

48
5.56
0.0227
0.1078
0.0884
2.4508

-----------------------------------------------------------------------------cinf |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem | -.5425869
.2301559
-2.36
0.023
-1.005867
-.079307
_cons |
3.030581
1.37681
2.20
0.033
.259206
5.801955
------------------------------------------------------------------------------

Jelaskan parameter-parameter
(signifikansi, arah dan besaran)
Prob > F

| R-squared

yang

diestimasi

dari

persamaan

(2)

P>|t|

Bandingkan hasil regresi kedua persamaan di atas, model yang mana yang
anda anggap sesuai untuk menjelaskan trade off antara inflasi dan
pengangguran dalam jangka pendek? Jelaskan
. quietly reg inf unem
. estimates store inf
. quietly reg cinf unem
. estimates store cinf
. estimates table inf cinf, stat(N r2 r2_a aic bic)
0.05 0.01)
---------------------------------------Variable |
inf
cinf
-------------+-------------------------unem | 0.4676
-0.5426**
_cons | 1.4236
3.0306**
-------------+-------------------------N |
49
48
r2 | .05272
.1078
r2_a | .03257
.0884
aic |
252.9
224.2
bic |
256.6
228
---------------------------------------legend: * p<.1; ** p<.05; *** p<.01

b(%7.4f) stfmt(%7.4g) star(0.1

Estimasi persamaan dinamik kurva Phillips (kurva Philips dengan asumsi

angka pengangguran merupakan fungsi dari angka pengangguran pada
periode sebelumnya) (3) dengan metode OLS
cinf=q0+q1cunem+e
. reg

(3)

cinf cunem

Source |
SS
df
MS
-------------+-----------------------------Model | 41.8221976
1 41.8221976
Residual | 267.865931
46 5.82317242

Number of obs =
F( 1,
46) =
Prob > F
=
R-squared
=

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48
7.18
0.0102
0.1350

-------------+-----------------------------Total | 309.688129
47 6.58910913

Adj R-squared =
Root MSE
=

0.1162
2.4131

-----------------------------------------------------------------------------cinf |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------cunem | -.8421707
.3142509
-2.68
0.010
-1.474725
-.2096165
_cons | -.0781776
.3484621
-0.22
0.823
-.7795954
.6232401
------------------------------------------------------------------------------

Jelaskan parameter-parameter
(signifikansi, arah dan besaran)
Prob > F

| R-squared

yang

diestimasi

dari

persamaan

(2)

P>|t|

Bandingkan hasil regresi persamaan (2) dan (3) di atas, model yang mana
yang anda anggap sesuai dengan data? Jelaskan
. quietly reg cinf cunem
. estimates store cinf2
. estimates table cinf cinf2 , stat(N r2 r2_a aic bic)
star(0.1 0.05 0.01)
---------------------------------------Variable |
cinf
cinf2
-------------+-------------------------unem | -0.5426**
cunem |
-0.8422**
_cons | 3.0306**
-0.0782
-------------+-------------------------N |
48
48
r2 |
.1078
.135
r2_a |
.0884
.1162
aic |
224.2
222.7
bic |
228
226.5
---------------------------------------legend: * p<.1; ** p<.05; *** p<.01

b(%7.4f) stfmt(%7.4g)

Bandingkan hasil regresi persamaan (1), (2), dan (3) di atas, model yang mana
yang anda anggap sesuai dengan data? Jelaskan
. estimates table inf cinf cinf2 , stat(N r2 r2_a aic bic)
star(0.1 0.05 0.01)

b(%7.4f) stfmt(%7.4g)

----------------------------------------------------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

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SOAL B
Estimasi angka penggangguran alamiah berdasarkan hasil regresi persamaan
(2) dan (3) pada soal A.
.
.
.
.
.

*
*
*
*
*

Diketahui inft - infte = b1 (unemt - um) + et

dimana infte = inft-1
jadi, inft - inft-1 = b1.um + b1.unwmt + et
Dinft = b0 + b1.unwmt + et
dimana: b0 = b1.um

. reg cinf

unem

Source |
SS
df
MS
-------------+-----------------------------Model | 33.3829988
1 33.3829988
Residual |
276.30513
46 6.00663326
-------------+-----------------------------Total | 309.688129
47 6.58910913

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

=
=
=
=
=
=

48
5.56
0.0227
0.1078
0.0884
2.4508

-----------------------------------------------------------------------------cinf |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem | -.5425869
.2301559
-2.36
0.023
-1.005867
-.079307
_cons |
3.030581
1.37681
2.20
0.033
.259206
5.801955
-----------------------------------------------------------------------------. * Jadi um (unemplaymet rate estimastion)
. display 3.030581 / -.5425869
-5.5854297

Estimasi first order autocorrelation dari unem dengan menggunakan angka

korelasi sample dari (unemt,unemt-1) , Berdasarkan angka korelasi sampel;
apakah unit root tsb mendekati satu?Apa artinya jika unit root mendekati
satu?
.
.
.
.
.

*
*
*
*
*

diketahui dalam pengujian Dickey-Fuller unit-root test

yt = p yt-1 + e
yt - yt-1 = p yt-1 - yt-1 + e
dyt = (p-1) yt-1 + e
dimana q = (p-1)

.
.
.
.

*
*
*
*

diketahui dyt = b0
jika b0 signifikan
jika q = 0 artinya
jika b1 signifikan

+ q yt-1 + b1 year + e
artinya random walk dengan drift
tidak random walk atau no statisioner
artinya random walk dengan trend waktu

. * DF memiliki hipotesis, H0: p=1 ==> q=0 ==> no statisioner || H1: p!=1 ==> q!=0
==> stasioner
. * jadi dalam pengujian Dickey-Fuller unit-root test untuk varibel unemt kita dapat
melakukan regres dengan persamaan seperti berikut:
. * diketahui dyt = q yt-1 +

. reg cunem unem_1, noc

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Source |
SS
df
MS
-------------+-----------------------------Model | .288097988
1 .288097988
Residual | 58.7318998
47 1.24961489
-------------+-----------------------------Total | 59.0199978
48 1.22958329

Number of obs
F( 1,
47)
Prob > F
R-squared
Adj R-squared
Root MSE

=
48
=
0.23
= 0.6333
= 0.0049
= -0.0163
= 1.1179

-----------------------------------------------------------------------------cunem |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem_1 | -.0130067
.0270885
-0.48
0.633
-.0675017
.0414883
-----------------------------------------------------------------------------. dfuller unem, regres nocon
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)
-0.480
-2.623
-1.950
-1.609
-----------------------------------------------------------------------------D.unem |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem |
L1. | -.0130067
.0270885
-0.48
0.633
-.0675017
.0414883
-----------------------------------------------------------------------------. * diketahui dyt = b0 + q yt-1 + e
. reg cunem unem_1
Source |
SS
df
MS
-------------+-----------------------------Model | 8.38981516
1 8.38981516
Residual | 50.5768493
46 1.09949672
-------------+-----------------------------Total | 58.9666644
47 1.25460988

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

=
=
=
=
=
=

48
7.63
0.0082
0.1423
0.1236
1.0486

-----------------------------------------------------------------------------cunem |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem_1 | -.2676462
.0968906
-2.76
0.008
-.4626769
-.0726154
_cons |
1.571741
.5771181
2.72
0.009
.4100628
2.73342
-----------------------------------------------------------------------------. dfuller unem, regres
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)
-2.762
-3.594
-2.936
-2.602
-----------------------------------------------------------------------------MacKinnon approximate p-value for Z(t) = 0.0639
-----------------------------------------------------------------------------D.unem |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+----------------------------------------------------------------

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unem |
L1. | -.2676462
.0968906
-2.76
0.008
-.462677
-.0726155
|
_cons |
1.571741
.5771181
2.72
0.009
.4100629
2.73342
------------------------------------------------------------------------------

. * diketahui dyt = b0 + q yt-1 + b1 year + e

. reg cunem unem_1 year
Source |
SS
df
MS
-------------+-----------------------------Model |
10.074198
2 5.03709899
Residual | 48.8924664
45 1.08649925
-------------+-----------------------------Total | 58.9666644
47 1.25460988

Number of obs
F( 2,
45)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

48
4.64
0.0148
0.1708
0.1340
1.0424

-----------------------------------------------------------------------------cunem |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------unem_1 | -.3507137
.1171655
-2.99
0.004
-.5866972
-.1147303
year |
.0164492
.0132111
1.25
0.220
-.0101593
.0430576
_cons | -30.39676
25.68177
-1.18
0.243
-82.12249
21.32898
-----------------------------------------------------------------------------. 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: unem random walk dengan drift

Bandingkan R-squares pada hasil estimasi persamaan (2) dan (3) pada soal
A, manakah yang lebih tinggi? Apakah hal ini terkait dengan adanya first
order autocorrelation dari unem? Jelaskan
. estimates table cinf cinf2 , stat(N r2 r2_a aic bic)

b(%7.4f) stfmt(%7.4g)

star(0.1 0.05 0.01)

---------------------------------------Variable |
cinf
cinf2
-------------+-------------------------unem | -0.5426**
cunem |
-0.8422**

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_cons | 3.0306**
-0.0782
-------------+-------------------------N |
48
48
r2 |
.1078
.135
r2_a |
.0884
.1162
aic |
224.2
222.7
bic |
228
226.5
---------------------------------------legend: * p<.1; ** p<.05; *** p<.01
. * cek serial correlation
. * Persamaan ke dua (2)
. quietly reg cinf unem
. dwstat
Durbin-Watson d-statistic(

2,

48) =

1.769648

. bgodfrey
Breusch-Godfrey LM test for autocorrelation
--------------------------------------------------------------------------lags(p) |
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
|
0.062
1
0.8039
--------------------------------------------------------------------------H0: no serial correlation
. * Persamaan ke dua (3)
. quietly reg cinf cunem
. dwstat
Durbin-Watson d-statistic(

2,

48) =

1.849401

. bgodfrey
Breusch-Godfrey LM test for autocorrelation
--------------------------------------------------------------------------lags(p) |
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
|
0.042
1
0.8385
--------------------------------------------------------------------------H0: no serial correlation

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