|_* |_* Testing for best lag length |_* |_TIME 1952 4 |_SAMPLE 1952.1 1986.4 |_READ (KOPCKE) DATE JS JE F IS IE /SKIPLINES=1 UNIT 88 IS NOW ASSIGNED TO: KOPCKE 6 VARIABLES AND 140 OBSERVATIONS STARTING AT OBS 1 |_GENR FJE=F/JE |_* Set up lagged independent variables |_DO #=1,8 |_GENR FJE#=LAG(FJE,#) |_ENDO _DO #=1,8 ****** EXECUTION BEGINNING FOR DO LOOP # = 1 #_ GENR FJE1=LAG(FJE,1) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO #_ GENR FJE2=LAG(FJE,2) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO #_ GENR FJE3=LAG(FJE,3) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO #_ GENR FJE4=LAG(FJE,4) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO #_ GENR FJE5=LAG(FJE,5) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO #_ GENR FJE6=LAG(FJE,6) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO #_ GENR FJE7=LAG(FJE,7) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO #_ GENR FJE8=LAG(FJE,8) ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO -99999. #_ ENDO ****** EXECUTION FINISHED FOR DO LOOP #= 8 |_* Correct sample to allow for lagged independent variables |_SAMPLE 1954.1 1986.4 |_OLS IE FJE FJE1-FJE8 REQUIRED MEMORY IS PAR= 31 CURRENT PAR= 500 OLS ESTIMATION 132 OBSERVATIONS DEPENDENT VARIABLE= IE ...NOTE..SAMPLE RANGE SET TO: 9, 140 R-SQUARE = 0.9464 R-SQUARE ADJUSTED = 0.9424 VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.31028E+09 STANDARD ERROR OF THE ESTIMATE-SIGMA = 17615. SUM OF SQUARED ERRORS-SSE= 0.37854E+11 MEAN OF DEPENDENT VARIABLE = 0.16547E+06 LOG OF THE LIKELIHOOD FUNCTION = -1472.60 VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY NAME COEFFICIENT ERROR 122 DF P-VALUE CORR. COEFFICIENT AT MEANS FJE 0.37765 0.1675 2.255 0.026 0.200 0.3483 0.5198 FJE1 0.54505E-01 0.2604 0.2093 0.835 0.019 0.0505 0.0744 FJE2 0.11336 0.2610 0.4343 0.665 0.039 0.1052 0.1536 FJE3 0.12383 0.2610 0.4744 0.636 0.043 0.1152 0.1666 FJE4 0.18247 0.2629 0.6940 0.489 0.063 0.1697 0.2437 FJE5 0.12046 0.2656 0.4536 0.651 0.041 0.1116 0.1595 FJE6 0.18707E-01 0.2650 0.7059E-01 0.944 0.006 0.0173 0.0246 FJE7 -0.66356E-01 0.2631 -0.2522 0.801-0.023 -0.0612 -0.0863 FJE8 0.14495 0.1686 0.8597 0.392 0.078 0.1334 0.1870 CONSTANT -73277. 5426. -13.51 0.000-0.774 0.0000 -0.4428 |_* |_* Test for most significant lag length |_* |_test |_test fje8=0 |_test fje7=0 |_test fje6=0 |_end F STATISTIC = 0.54894141 WITH 3 AND 122 D.F. P-VALUE= 0.64980 WALD CHI-SQUARE STATISTIC = 1.6468242 WITH 3 D.F. P-VALUE= 0.64882 UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 1.00000 |_test |_test fje8=0 |_test fje7=0 |_test fje6=0 |_test fje5=0 |_end F STATISTIC = 0.87260154 WITH 4 AND 122 D.F. P-VALUE= 0.48254 WALD CHI-SQUARE STATISTIC = 3.4904062 WITH 4 D.F. P-VALUE= 0.47934 UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 1.00000 |_test |_test fje8=0 |_test fje7=0 |_test fje6=0 |_test fje5=0 |_test fje4=0 |_end F STATISTIC = 2.0649817 WITH 5 AND 122 D.F. P-VALUE= 0.07434 WALD CHI-SQUARE STATISTIC = 10.324909 WITH 5 D.F. P-VALUE= 0.06654 UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.48427 |_test |_test fje8=0 |_test fje7=0 |_test fje6=0 |_test fje5=0 |_test fje4=0 |_test fje3=0 |_end F STATISTIC = 3.9181704 WITH 6 AND 122 D.F. P-VALUE= 0.00129 WALD CHI-SQUARE STATISTIC = 23.509022 WITH 6 D.F. P-VALUE= 0.00064 UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.25522 |_* |_* Calculate Model Selection Statistics |_* |_OLS IE FJE FJE1-FJE3 / ANOVA REQUIRED MEMORY IS PAR= 25 CURRENT PAR= 500 OLS ESTIMATION 132 OBSERVATIONS DEPENDENT VARIABLE= IE ...NOTE..SAMPLE RANGE SET TO: 9, 140 R-SQUARE = 0.9418 R-SQUARE ADJUSTED = 0.9400 VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.32329E+09 STANDARD ERROR OF THE ESTIMATE-SIGMA = 17980. SUM OF SQUARED ERRORS-SSE= 0.41058E+11 MEAN OF DEPENDENT VARIABLE = 0.16547E+06 LOG OF THE LIKELIHOOD FUNCTION = -1477.96 MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242) AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.33553E+09 (FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC) AKAIKE (1973) INFORMATION CRITERION - LOG AIC = 19.631 SCHWARZ (1978) CRITERION - LOG SC = 19.740 MODEL SELECTION TESTS - SEE RAMANATHAN (1992,P.167) CRAVEN-WAHBA (1979) GENERALIZED CROSS VALIDATION - GCV = 0.33602E+09 HANNAN AND QUINN (1979) CRITERION = 0.35075E+09 RICE (1984) CRITERION = 0.33654E+09 SHIBATA (1981) CRITERION = 0.33461E+09 SCHWARZ (1978) CRITERION - SC = 0.37424E+09 AKAIKE (1974) INFORMATION CRITERION - AIC = 0.33552E+09 ANALYSIS OF VARIANCE - FROM MEAN SS DF MS F REGRESSION 0.66488E+12 4. 0.16622E+12 514.151 ERROR 0.41058E+11 127. 0.32329E+09 P-VALUE TOTAL 0.70593E+12 131. 0.53888E+10 0.000 ANALYSIS OF VARIANCE - FROM ZERO SS DF MS F REGRESSION 0.42790E+13 5. 0.85579E+12 2647.154 ERROR 0.41058E+11 127. 0.32329E+09 P-VALUE TOTAL 0.43200E+13 132. 0.32727E+11 0.000 VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY NAME COEFFICIENT ERROR 127 DF P-VALUE CORR. COEFFICIENT AT MEANS FJE 0.41072 0.1696 2.422 0.017 0.210 0.3788 0.5653 FJE1 0.42051E-01 0.2646 0.1589 0.874 0.014 0.0390 0.0574 FJE2 0.11114E-01 0.2628 0.4229E-01 0.966 0.004 0.0103 0.0151 FJE3 0.59301 0.1667 3.557 0.001 0.301 0.5517 0.7979 CONSTANT -72078. 5520. -13.06 0.000-0.757 0.0000 -0.4356 |_OLS IE FJE FJE1-FJE4 / ANOVA REQUIRED MEMORY IS PAR= 26 CURRENT PAR= 500 OLS ESTIMATION 132 OBSERVATIONS DEPENDENT VARIABLE= IE ...NOTE..SAMPLE RANGE SET TO: 9, 140 R-SQUARE = 0.9448 R-SQUARE ADJUSTED = 0.9427 VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.30902E+09 STANDARD ERROR OF THE ESTIMATE-SIGMA = 17579. SUM OF SQUARED ERRORS-SSE= 0.38937E+11 MEAN OF DEPENDENT VARIABLE = 0.16547E+06 LOG OF THE LIKELIHOOD FUNCTION = -1474.46 MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242) AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.32307E+09 (FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC) AKAIKE (1973) INFORMATION CRITERION - LOG AIC = 19.593 SCHWARZ (1978) CRITERION - LOG SC = 19.724 MODEL SELECTION TESTS - SEE RAMANATHAN (1992,P.167) CRAVEN-WAHBA (1979) GENERALIZED CROSS VALIDATION - GCV = 0.32374E+09 HANNAN AND QUINN (1979) CRITERION = 0.34072E+09 RICE (1984) CRITERION = 0.32448E+09 SHIBATA (1981) CRITERION = 0.32179E+09 SCHWARZ (1978) CRITERION - SC = 0.36828E+09 AKAIKE (1974) INFORMATION CRITERION - AIC = 0.32305E+09 ANALYSIS OF VARIANCE - FROM MEAN SS DF MS F REGRESSION 0.66700E+12 5. 0.13340E+12 431.680 ERROR 0.38937E+11 126. 0.30902E+09 P-VALUE TOTAL 0.70593E+12 131. 0.53888E+10 0.000 ANALYSIS OF VARIANCE - FROM ZERO SS DF MS F REGRESSION 0.42811E+13 6. 0.71352E+12 2308.931 ERROR 0.38937E+11 126. 0.30902E+09 P-VALUE TOTAL 0.43200E+13 132. 0.32727E+11 0.000 VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY NAME COEFFICIENT ERROR 126 DF P-VALUE CORR. COEFFICIENT AT MEANS FJE 0.37096 0.1665 2.228 0.028 0.195 0.3421 0.5106 FJE1 0.83012E-01 0.2592 0.3203 0.749 0.029 0.0769 0.1133 FJE2 0.10728 0.2596 0.4133 0.680 0.037 0.0996 0.1454 FJE3 0.70028E-01 0.2577 0.2717 0.786 0.024 0.0651 0.0942 FJE4 0.43043 0.1643 2.620 0.010 0.227 0.4003 0.5749 CONSTANT -72530. 5399. -13.43 0.000-0.767 0.0000 -0.4383 |_OLS IE FJE FJE1-FJE5 / ANOVA REQUIRED MEMORY IS PAR= 27 CURRENT PAR= 500 OLS ESTIMATION 132 OBSERVATIONS DEPENDENT VARIABLE= IE ...NOTE..SAMPLE RANGE SET TO: 9, 140 R-SQUARE = 0.9457 R-SQUARE ADJUSTED = 0.9430 VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.30692E+09 STANDARD ERROR OF THE ESTIMATE-SIGMA = 17519. SUM OF SQUARED ERRORS-SSE= 0.38365E+11 MEAN OF DEPENDENT VARIABLE = 0.16547E+06 LOG OF THE LIKELIHOOD FUNCTION = -1473.48 MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242) AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.32320E+09 (FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC) AKAIKE (1973) INFORMATION CRITERION - LOG AIC = 19.594 SCHWARZ (1978) CRITERION - LOG SC = 19.747 MODEL SELECTION TESTS - SEE RAMANATHAN (1992,P.167) CRAVEN-WAHBA (1979) GENERALIZED CROSS VALIDATION - GCV = 0.32411E+09 HANNAN AND QUINN (1979) CRITERION = 0.34388E+09 RICE (1984) CRITERION = 0.32513E+09 SHIBATA (1981) CRITERION = 0.32147E+09 SCHWARZ (1978) CRITERION - SC = 0.37654E+09 AKAIKE (1974) INFORMATION CRITERION - AIC = 0.32316E+09 ANALYSIS OF VARIANCE - FROM MEAN SS DF MS F REGRESSION 0.66757E+12 6. 0.11126E+12 362.510 ERROR 0.38365E+11 125. 0.30692E+09 P-VALUE TOTAL 0.70593E+12 131. 0.53888E+10 0.000 ANALYSIS OF VARIANCE - FROM ZERO SS DF MS F REGRESSION 0.42817E+13 7. 0.61167E+12 1992.917 ERROR 0.38365E+11 125. 0.30692E+09 P-VALUE TOTAL 0.43200E+13 132. 0.32727E+11 0.000 VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY NAME COEFFICIENT ERROR 125 DF P-VALUE CORR. COEFFICIENT AT MEANS FJE 0.36834 0.1659 2.220 0.028 0.195 0.3397 0.5070 FJE1 0.67015E-01 0.2586 0.2592 0.796 0.023 0.0621 0.0915 FJE2 0.12830 0.2591 0.4951 0.621 0.044 0.1191 0.1739 FJE3 0.11511 0.2590 0.4445 0.657 0.040 0.1071 0.1549 FJE4 0.15750 0.2584 0.6094 0.543 0.054 0.1465 0.2103 FJE5 0.22873 0.1675 1.365 0.175 0.121 0.2119 0.3029 CONSTANT -72876. 5387. -13.53 0.000-0.771 0.0000 -0.4404 |_OLS IE FJE FJE1-FJE6 / ANOVA REQUIRED MEMORY IS PAR= 28 CURRENT PAR= 500 OLS ESTIMATION 132 OBSERVATIONS DEPENDENT VARIABLE= IE ...NOTE..SAMPLE RANGE SET TO: 9, 140 R-SQUARE = 0.9459 R-SQUARE ADJUSTED = 0.9428 VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.30814E+09 STANDARD ERROR OF THE ESTIMATE-SIGMA = 17554. SUM OF SQUARED ERRORS-SSE= 0.38210E+11 MEAN OF DEPENDENT VARIABLE = 0.16547E+06 LOG OF THE LIKELIHOOD FUNCTION = -1473.21 MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242) AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.32682E+09 (FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC) AKAIKE (1973) INFORMATION CRITERION - LOG AIC = 19.605 SCHWARZ (1978) CRITERION - LOG SC = 19.779 MODEL SELECTION TESTS - SEE RAMANATHAN (1992,P.167) CRAVEN-WAHBA (1979) GENERALIZED CROSS VALIDATION - GCV = 0.32802E+09 HANNAN AND QUINN (1979) CRITERION = 0.35081E+09 RICE (1984) CRITERION = 0.32939E+09 SHIBATA (1981) CRITERION = 0.32455E+09 SCHWARZ (1978) CRITERION - SC = 0.38915E+09 AKAIKE (1974) INFORMATION CRITERION - AIC = 0.32677E+09 ANALYSIS OF VARIANCE - FROM MEAN SS DF MS F REGRESSION 0.66772E+12 7. 0.95389E+11 309.563 ERROR 0.38210E+11 124. 0.30814E+09 P-VALUE TOTAL 0.70593E+12 131. 0.53888E+10 0.000 ANALYSIS OF VARIANCE - FROM ZERO SS DF MS F REGRESSION 0.42818E+13 8. 0.53523E+12 1736.950 ERROR 0.38210E+11 124. 0.30814E+09 P-VALUE TOTAL 0.43200E+13 132. 0.32727E+11 0.000 VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY NAME COEFFICIENT ERROR 124 DF P-VALUE CORR. COEFFICIENT AT MEANS FJE 0.36395 0.1664 2.188 0.031 0.193 0.3357 0.5009 FJE1 0.69132E-01 0.2591 0.2668 0.790 0.024 0.0641 0.0944 FJE2 0.12078 0.2599 0.4648 0.643 0.042 0.1121 0.1637 FJE3 0.12527 0.2599 0.4821 0.631 0.043 0.1165 0.1685 FJE4 0.18245 0.2613 0.6982 0.486 0.063 0.1697 0.2437 FJE5 0.85797E-01 0.2621 0.3273 0.744 0.029 0.0795 0.1136 FJE6 0.11899 0.1676 0.7101 0.479 0.064 0.1099 0.1562 CONSTANT -72968. 5399. -13.51 0.000-0.772 0.0000 -0.4410 ..INPUT FILE COMPLETED..TYPE A NEW COMMAND OR TYPE: STOP TYPE COMMAND