Stata Output

4-07Thursday August 18 17:53:31 2011 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 t 3 . tsset t time variable: t, 1978m1 to 2003m12 4 . tsline tenn missouri kentucky indiana 5 . *from the tsline we can see all the data is similar, the question is whethe > r this is stationary nor not? 6 . dfuller tenn, lags(1) reg constant trend Augmented Dickey-Fuller test for unit root > 0 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. t P>|t| [95% Conf. Interval > 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 > 176 1% : 0.129 .191 -3.122 .277 .428 -3.116 11 .349 -14.147 . *trend is not significant 8 . lags(1) reg constant trend Augmented Dickey-Fuller test for unit root > 0 Number of obs = 31 Interpolated Dickey-Fuller > Test 1% Critical 5% Critical 10% Critica > l Statistic Value Value Value > Z(t) > 0 -2.542 . pperron tenn 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 -2.13 . dfuller kentucky. 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%: 0.869 -20.000 -11.239 .409 .138 .455 -2.159 .5%: 0.19 .6773 9 . * we cannt reject unit root 10 .119 Lag order 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 5% : 0.57 > Z(rho) > 0 Z(t) > 0 > MacKinnon approximate p-value for Z(t) = 0.988 > MacKinnon approximate p-value for Z(t) = 0.216 Test statistic 1.4-07 Thursday August 18 17:53:31 2011 Page 2 7 .33 .173 .211 .3109 -3.535 -3.6 .146 2.878 -2.20 -1.807 . 64 0.6148 14 .331 -3. Interval > kentucky L1.247 .056275 1.119 Lag order 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 5% : 0.20 -1.24 . 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 -3.176 Test statistic 2.000 -11.0609868 .216 .202 .509 . * seems that the trend is significant 13 .0076985 -2.631 .4-07 Thursday August 18 17:53:31 2011 > D. .53 0.878 -2.222357 _trend -.0346616 -.0743693 2.006 . kpss kentucky KPSS test for kentucky Maxlag = 15 chosen by Schwert criterion Autocovariances weighted by Bartlett kernel Critical values for H0: kentucky is trend stationary 10%: 0. Err.269 . t P>|t| [95% Conf.455 -2.98 0.349 -14.2073268 .835 .146 2.182 1% : 0.215 .428 -20.328 .0008062 -.000118 _cons .0004621 .0008879 .191 . -.5%: 0.0001748 -2.kentucky > ] Coef.004364 LD.23 .57 > Z(rho) > 0 Z(t) > 0 > MacKinnon approximate p-value for Z(t) = 0.79 0.295 .019513 .1116228 . * 15 .009 -.371 . Page 3 Std.012 -.048 .353666 > 3 > 8 > 1 > 8 > 12 .46 1.429 . 5837 3.41 5.76 3 .41 1.05051 eigenvalue .4967 15. vecrank tenn missouri kentucky illinois Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 3 Lags = > maximum rank 0 1 2 3 4 parms 20 27 32 35 36 LL 417.1388 15.90146 469.04737 0. * here 'star' marks tells about the last rejection 25 .3115 3. vecrank tenn missouri kentucky illinois arkansas Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 Lags = > maximum rank 0 1 2 3 4 5 > parms 30 39 46 51 54 55 LL 660.01828 5% trace critical statistic value 55.03606 0.5047 432.04599 0.77697 456.68 14. .76 > 27 .80214 438.68 11.9393 47. *null hypotheis is that.39476 690.7204 3.76 > 20 .9694 47. *we need to look at trace statistics 21 .51334 466.35599 425.7337 29.08923 0.887 671.00830 5% trace critical statistic value 44. 0.8948 29. *now we need to test the co-intregrated stationarity .21 22.21 27.52 37.9936* 29.3270* 68. *that means no co-integration relationship 24 .68 13. the rank is zero 23 .29493 689. *because the sum is still greater than the critical value 26 .41 2.03951 0. *if trace statistics is less than critical value we reject the null hyypoth > esis 22 .02791 0.03237 0.08085 678.03348 0.5112 15.26487 462. vecrank tenn missouri kentucky indiana Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 3 Lags = > maximum rank 0 1 2 3 4 parms 20 27 32 35 36 LL 441.05121 0.37153 eigenvalue .07968 439. 0.4-07 16 17 18 19 Thursday August 18 17:53:31 2011 Page 4 .60311 684.21 26.06365 0.76168 eigenvalue .00422 5% trace critical statistic value 58. 0. *non stationary .0311* 47. 04573 0.68348 818.04147 0.04082 818.41 2.68 13.8391 68.76 > 30 .00498 5% trace critical statistic value 93. 0. * seems there is no co-integrated relationship at all 29 .7733 47.81471 eigenvalue .68 10.76 > 32 .5478 3.72399 346.92443 786.16269 369. 0.04533 0.2957* 15. * seems there is no co-integrated relationship at all 31 .7806* 94. 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 350.3915 29.00819 5% trace critical statistic value 28.89514 799.41 3.08065 0.76 3 .08081 363.4-07 Thursday August 18 17:53:31 2011 Page 5 28 . *lets do the test for two variables 35 .08091 0.2882 3.2625 15.52 37. 0.21 23. * so only if we include indiana there is con-integrated relationship for mo > re than two variables 34 .09207 0.4520 29.11894 813.46828 340.01055 5% trace critical statistic value 39.92805 807.80679 eigenvalue .5488 3. vecrank tenn missouri kentucky indiana illinois arkansas Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 3 Lags = > maximum rank 0 1 2 3 4 5 6 parms 42 53 62 69 74 77 78 LL 771.0000* 29. vecrank tenn missouri kentucky Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 3 Lags = > maximum rank 0 1 2 3 parms 12 17 20 21 LL 333.03177 0.4886 15.41 1.46829 eigenvalue .03467 0.02772 0.15896 368.68 13.19387 347.15 63. * seems there is no co-integrated relationship either 33 . 2 6.85 6. vecrank tenn missouri Page 6 indiana arkansas 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 587.38 66.56 2.64 0.53 4.24 77.91 19.56 1.6311 15.21 1.17 3.7 5.4 4.9224* 29.24 2.60 2.21 30.09 8.3 6.5 6.56 0.00558 5% trace critical statistic value 50.32 0.45 57.92 0.88 55.96 3.60 1.56 2.92 3.95 18.87 21.96 2.4 5.2 5.9 6 6.60 2.17449 600.6 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 1.59035 612.96 0.92 2.8 4.6 6.32 0.64 0.7 4.64 0.64 52.18 14.3 4.32 0.96 0.29 60.99656 608.64 0.31 71.4 3.42 65.8 3.9 5 5.1 3.7 6.6 4.24 2.32 0.8 2. tab indiana indiana Freq.28 2.60 2.32 1.74 15.2 4.5 3.56 0.64 0.1 6.76 75.59 18.5 4.9 4 4.18 41.55 19.24 0.3 5.13 33.24 2.64 0.04505 0.41 1.7348 3.7 3.45775 eigenvalue .68 8.64 28.76 > 37 .56 3.56 1.1 5.00 75.69 59.9 7 7.14221 611.08 25. * hence we can say for these 4 states the unemployement rate looks similar 38 .8 6.60 1.32 1.2 7.60 77.56 77.64 1.4 7.38 16.96 76.3 7.1 4.02200 0.21 22.96 0.88 3 .6 5.65 37.15 71.83 49.33 10.49 4.8 5. 2.47 23.24 1.79 72.96 0.08531 0.46 63. Percent Cum.4 6.5665 47.28 0.90 63.5 5.78 64.64 1. 0.28 2.53 3.3 3.6 3.4-07 Thursday August 18 17:53:31 2011 36 .2 3.67 45.35 67.99 17.04 50.67 16.90 12.85 0.9 3 3. 27 93.7 6.32 1.01 83.32 0.64 1.64 1.12 98.9 12 12.58 85.32 0.4-07 Thursday August 18 17:53:31 2011 7.5 10.74 90. sum 42 .7 2.32 0.78109 6.64 0.65 84.6 12.64 0.32 0.32 0.7 11.71 91.64 0.54 87.8 527 12.8 9.3 12.2 8.6 11.28 0.1 4.2 12.91 94.94 85.9 3.865064 6.04 99.4 8.5 .64 0. vecrank tenn indiana Std.32 0.21086 2.7 9. Dev.2 10.85 79.029192 2.32 0. edit . set more off 40 .64 0.68 100.4 12.8 11.4 9.9 10 10.96 0.8 10.965563 1.4 10.32 Total 312 100.32 0.28 0.64 0.5 11.63 93.40 99.73 83.64 0.03 91.32 0.17 79.9 10.591313 2.55 95.96 0.6 12.64 0.32 0.3 11.32 0.00 39 .9 11 11.5 9.7 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 0.106731 90.6 8.62 84.32 0.32 0.1 10.1 8.28 0.31 92.33 83.8 10.51 96.833974 1.64 1.35 92.2 12.867949 6.075308 1.5 6. Min Max 371.9 9 9.64 0.08 98.10 89.90 86.676967 4.32 0.3 8.00 Variable Obs Mean t tenn missouri kentucky indiana 312 312 312 312 312 illinois arkansas 312 312 Page 7 78.36 99.preserve 41 .9 8 8.82 88.32 0.81 81.5 8.32 0.21 78.64 0.09 81.7 8.64 0.28 0.6 9.79 97.413917 216 3.06 90.19 95.8 2.29 84.339744 5.46 89.8 8.8 7.23 94.1 11. 41 3.16562 eigenvalue .07360 0.66303 eigenvalue . vecrank kentucky indiana Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 3 Lags = > maximum rank 0 1 2 parms 6 9 10 LL 132.76 > 43 .1578 6. 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 132.76 > 44 .41 3.13704 148.9869 eigenvalue .06162 0.08672 145.41 2. 0.0572 5% critical value 15.67538 211.00968 5% trace critical statistic value 22.7296 15.08075 0.2749* 3. 0.0572 5% critical value 15.1578 6.52558 212.76 3 .4-07 Thursday August 18 17:53:31 2011 Page 8 Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 3 Lags = > maximum rank 0 1 2 parms 6 9 10 LL 214.0149* 3.76 > 45 .62212 224.13704 148. 0.01935 trace statistic 32.08075 0.16562 eigenvalue .00731 5% trace critical statistic value 25.01935 trace statistic 32. 0.41 3.08672 145. vecrank missouri indiana Johansen tests for cointegration > Trend: constant > 10 1978m3 Sample: > 2 Number of obs = 2003m12 3 Lags = > maximum rank 0 1 2 parms 6 9 10 LL 199.9753 15.47944 225. 07.4-07 Thursday August 18 17:53:31 2011 Page 9 46 . * that means if we put them togather they are stationary 47 . log close log: G:\ECON-1096\04.smcl log type: smcl 4 Jul 2011. 10:18:21 closed on: .