Page 1
___ ____ ____ ____ ____tm
/__
/
____/
/
____/
___/
/
/___/
/
/___/
Statistics/Data Analysis
User: sohan
Project: stata
G:\ECON-1096\04.07.smcl
smcl
4 Jul 2011, 09:46:58
log:
log type:
opened on:
1 . webuse urates
2 . des
Contains data from http://www.stata-press.com/data/r9/urates.dta
312
obs:
7
1 May 2005 12:58
vars:
9,360 (99.9% of memory free)
size:
(_dta has notes)
>
variable name
>
t
tenn
missouri
kentucky
indiana
illinois
arkansas
storage
type
int
float
float
float
float
float
float
>
Sorted by:
display
format
value
label
variable label
%tm
%9.0g
%9.0g
%9.0g
%9.0g
%9.0g
%9.0g
3 . tsset t
time variable:
t, 1978m1 to 2003m12
Number of obs
31
Interpolated Dickey-Fuller
>
Test
1% Critical
5% Critical
10% Critica
> l
Statistic
Value
Value
Value
>
-1.807
Z(t)
> 0
-3.988
-3.428
-3.13
>
MacKinnon approximate p-value for Z(t) = 0.7015
>
D.tenn
> ]
Coef.
Std. Err.
P>|t|
>
tenn
L1.
-.0110596
.0061215
-1.81
0.072
-.0231052
.000985
LD.
.337513
.0536331
6.29
0.000
.2319766
.443049
_trend
-.000219
.0001421
-1.54
0.124
-.0004986
.000060
_cons
.1038882
.0569852
1.82
0.069
-.0082443
.216020
> 9
> 4
> 6
> 6
>
4-07
Page 2
Number of obs
31
Newey-West lags =
> 5
Interpolated Dickey-Fuller
>
Test
1% Critical
5% Critical
10% Critica
> l
Statistic
Value
Value
Value
-2.869
-20.349
-14.000
-11.20
-1.191
-3.455
-2.878
-2.57
>
Z(rho)
> 0
Z(t)
> 0
>
MacKinnon approximate p-value for Z(t) = 0.6773
9 . * we cannt reject unit root
10 . kpss tenn
KPSS test for tenn
Maxlag = 15 chosen by Schwert criterion
Autocovariances weighted by Bartlett kernel
Critical values for H0: tenn is trend stationary
10%: 0.119
Lag order
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
5% : 0.146
2.5%: 0.176
1% : 0.216
Test statistic
1.6
.807
.542
.409
.33
.277
.239
.211
.19
.173
.159
.147
.138
.129
.122
.116
Number of obs
31
Interpolated Dickey-Fuller
>
Test
1% Critical
5% Critical
10% Critica
> l
Statistic
Value
Value
Value
>
Z(t)
> 0
-2.535
-3.988
>
MacKinnon approximate p-value for Z(t) = 0.3109
-3.428
-3.13
4-07
>
D.kentucky
> ]
Coef.
Page 3
Std. Err.
P>|t|
>
kentucky
L1.
-.019513
.0076985
-2.53
0.012
-.0346616
-.004364
LD.
.1116228
.056275
1.98
0.048
.0008879
.222357
_trend
-.0004621
.0001748
-2.64
0.009
-.0008062
-.000118
_cons
.2073268
.0743693
2.79
0.006
.0609868
.353666
> 3
> 8
> 1
> 8
>
12 . * seems that the trend is significant
13 . pperron kentucky
Phillips-Perron test for unit root
> 1
Number of obs
31
Newey-West lags =
> 5
Interpolated Dickey-Fuller
>
Test
1% Critical
5% Critical
10% Critica
> l
Statistic
Value
Value
Value
-3.428
-20.349
-14.000
-11.20
-1.331
-3.455
-2.878
-2.57
>
Z(rho)
> 0
Z(t)
> 0
>
MacKinnon approximate p-value for Z(t) = 0.6148
14 . *
15 . kpss
kentucky
5% : 0.146
2.5%: 0.176
Test statistic
2.46
1.24
.835
.631
.509
.429
.371
.328
.295
.269
.247
.23
.215
.202
.191
.182
1% : 0.216
4-07
16
17
18
19
Page 4
.
. *non stationary
. *now we need to test the co-intregrated stationarity
. vecrank tenn missouri kentucky indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
3
4
parms
20
27
32
35
36
LL
441.77697
456.26487
462.51334
466.90146
469.76168
eigenvalue
.
0.08923
0.03951
0.02791
0.01828
5%
trace
critical
statistic
value
55.9694
47.21
26.9936*
29.68
14.4967
15.41
5.7204
3.76
>
20 . *we need to look at trace statistics
21 . *if trace statistics is less than critical value we reject the null hyypoth
> esis
22 . *null hypotheis is that, the rank is zero
23 . *that means no co-integration relationship
24 . * here 'star' marks tells about the last rejection
25 . *because the sum is still greater than the critical value
26 . vecrank tenn missouri kentucky illinois
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
3
4
parms
20
27
32
35
36
LL
417.35599
425.5047
432.80214
438.07968
439.37153
eigenvalue
.
0.05121
0.04599
0.03348
0.00830
5%
trace
critical
statistic
value
44.0311*
47.21
27.7337
29.68
13.1388
15.41
2.5837
3.76
>
27 . vecrank
illinois arkansas
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
3
4
5
>
parms
30
39
46
51
54
55
LL
660.887
671.08085
678.60311
684.29493
689.39476
690.05051
eigenvalue
.
0.06365
0.04737
0.03606
0.03237
0.00422
5%
trace
critical
statistic
value
58.3270*
68.52
37.9393
47.21
22.8948
29.68
11.5112
15.41
1.3115
3.76
4-07
Page 5
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
3
4
5
6
parms
42
53
62
69
74
77
78
LL
771.92443
786.89514
799.92805
807.11894
813.68348
818.04082
818.81471
eigenvalue
.
0.09207
0.08065
0.04533
0.04147
0.02772
0.00498
5%
trace
critical
statistic
value
93.7806*
94.15
63.8391
68.52
37.7733
47.21
23.3915
29.68
10.2625
15.41
1.5478
3.76
>
30 . * seems there is no co-integrated relationship at all
31 . vecrank tenn missouri kentucky
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
3
parms
12
17
20
21
LL
333.46828
340.72399
346.19387
347.46829
eigenvalue
.
0.04573
0.03467
0.00819
5%
trace
critical
statistic
value
28.0000*
29.68
13.4886
15.41
2.5488
3.76
>
32 . * seems there is no co-integrated relationship either
33 . * so only if we include indiana there is con-integrated relationship for mo
> re than two variables
34 . *lets do the test for two variables
35 . vecrank tenn missouri indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
3
>
parms
12
17
20
21
LL
350.08081
363.15896
368.16269
369.80679
eigenvalue
.
0.08091
0.03177
0.01055
5%
trace
critical
statistic
value
39.4520
29.68
13.2957*
15.41
3.2882
3.76
4-07
36 . vecrank
tenn missouri
Page 6
indiana arkansas
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
3
4
parms
20
27
32
35
36
LL
587.17449
600.99656
608.14221
611.59035
612.45775
eigenvalue
.
0.08531
0.04505
0.02200
0.00558
5%
trace
critical
statistic
value
50.5665
47.21
22.9224*
29.68
8.6311
15.41
1.7348
3.76
>
37 . * hence we can say for these 4 states the unemployement rate looks similar
38 . tab indiana
indiana
Freq.
Percent
Cum.
2.8
2.9
3
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
4
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
4.9
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
5.8
5.9
6
6.1
6.2
6.3
6.4
6.5
6.6
6.7
6.8
6.9
7
7.2
7.3
7.4
7.6
6
2
4
7
7
8
4
8
2
4
1
3
2
1
2
1
5
5
8
8
6
11
11
14
13
10
5
7
8
7
5
5
8
1
2
3
3
3
12
2
3
7
3
2
2
1
1
1.92
0.64
1.28
2.24
2.24
2.56
1.28
2.56
0.64
1.28
0.32
0.96
0.64
0.32
0.64
0.32
1.60
1.60
2.56
2.56
1.92
3.53
3.53
4.49
4.17
3.21
1.60
2.24
2.56
2.24
1.60
1.60
2.56
0.32
0.64
0.96
0.96
0.96
3.85
0.64
0.96
2.24
0.96
0.64
0.64
0.32
0.32
1.92
2.56
3.85
6.09
8.33
10.90
12.18
14.74
15.38
16.67
16.99
17.95
18.59
18.91
19.55
19.87
21.47
23.08
25.64
28.21
30.13
33.65
37.18
41.67
45.83
49.04
50.64
52.88
55.45
57.69
59.29
60.90
63.46
63.78
64.42
65.38
66.35
67.31
71.15
71.79
72.76
75.00
75.96
76.60
77.24
77.56
77.88
4-07
1
2
1
2
4
2
4
1
1
2
1
1
2
1
2
4
2
2
2
1
2
1
1
3
1
2
2
1
1
2
1
4
1
3
1
2
1
1
1
0.32
0.64
0.32
0.64
1.28
0.64
1.28
0.32
0.32
0.64
0.32
0.32
0.64
0.32
0.64
1.28
0.64
0.64
0.64
0.32
0.64
0.32
0.32
0.96
0.32
0.64
0.64
0.32
0.32
0.64
0.32
1.28
0.32
0.96
0.32
0.64
0.32
0.32
0.32
Total
312
100.00
Variable
Obs
Mean
t
tenn
missouri
kentucky
indiana
312
312
312
312
312
illinois
arkansas
312
312
Page 7
78.21
78.85
79.17
79.81
81.09
81.73
83.01
83.33
83.65
84.29
84.62
84.94
85.58
85.90
86.54
87.82
88.46
89.10
89.74
90.06
90.71
91.03
91.35
92.31
92.63
93.27
93.91
94.23
94.55
95.19
95.51
96.79
97.12
98.08
98.40
99.04
99.36
99.68
100.00
42 . vecrank
tenn
indiana
Std. Dev.
Min
Max
371.5
6.339744
5.78109
6.867949
6.106731
90.21086
2.075308
1.591313
2.029192
2.413917
216
3.7
2.9
3.8
2.8
527
12.8
10.6
12.6
12.7
6.865064
6.833974
1.965563
1.676967
4.1
4.2
12.9
10.5
4-07
Page 8
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
parms
6
9
10
LL
214.62212
224.47944
225.9869
eigenvalue
.
0.06162
0.00968
5%
trace
critical
statistic
value
22.7296
15.41
3.0149*
3.76
>
43 . vecrank
missouri indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
parms
6
9
10
LL
199.67538
211.52558
212.66303
eigenvalue
.
0.07360
0.00731
5%
trace
critical
statistic
value
25.9753
15.41
2.2749*
3.76
>
44 . vecrank
kentucky indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
parms
6
9
10
LL
132.08672
145.13704
148.16562
eigenvalue
.
0.08075
0.01935
trace
statistic
32.1578
6.0572
5%
critical
value
15.41
3.76
>
45 . vecrank kentucky indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2
Number of obs =
2003m12
Lags =
>
maximum
rank
0
1
2
>
parms
6
9
10
LL
132.08672
145.13704
148.16562
eigenvalue
.
0.08075
0.01935
trace
statistic
32.1578
6.0572
5%
critical
value
15.41
3.76
4-07
Page 9