Welcome to SHAZAM - Version 10

Welcome to SHAZAM - Version 10.0 - APR 2007 SYSTEM=WIN-XP PAR= 11000

CURRENT WORKING DIRECTORY IS: C:\Econ399F09

|_READ (c:\Econ399F09\chowurates.txt) YEAR GROUP UR BR ER WTI/ skiplines=1

UNIT 88 IS NOW ASSIGNED TO: c:\Econ399F09\chowurates.txt

...SAMPLERANGE IS NOW SET TO: 1 99

|_* we will look at autocrrelation and dynamic models for

|_* alberta - overall unemployment (observations 34 to 66)

|_* first we'll check the summary stats for alberta

|_smpl 34 66

|_STAT / ALL

NAME N MEAN ST. DEV VARIANCE MINIMUM MAXIMUM

YEAR 33 1992.0 9.6695 93.500 1976.0 2008.0

GROUP 33 2.0000 0.0000 0.0000 2.0000 2.0000

UR 33 6.4727 2.4544 6.0239 3.4000 11.300

BR 33 7.6212 3.8640 14.930 2.5000 17.900

ER 33 1.2742 0.14805 0.21920E-01 0.98600 1.5700

WTI 33 29.649 19.016 361.62 12.230 100.06

|_* check for functional form (before checking for autocorrelation)

|_* alberta

|_?ols ur br er wti

|_diagnos / reset

RAMSEY RESET SPECIFICATION TESTS USING POWERS OF YHAT

RESET(2)= 0.70175 - F WITH DF1= 1 AND DF2= 28 P-VALUE= 0.409

RESET(3)= 0.37245 - F WITH DF1= 2 AND DF2= 27 P-VALUE= 0.693

RESET(4)= 0.24042 - F WITH DF1= 3 AND DF2= 26 P-VALUE= 0.867

|_* next we'll do dw and bg tests

|_ols ur br er wti / dwpvalue resid=ehat

DURBIN-WATSON STATISTIC = 0.35981

DURBIN-WATSON POSITIVE AUTOCORRELATION TEST P-VALUE = 0.000000

NEGATIVE AUTOCORRELATION TEST P-VALUE = 1.000000

R-SQUARE = 0.2345 R-SQUARE ADJUSTED = 0.1554

SUM OF SQUARED ERRORS-SSE= 147.55

ANALYSIS OF VARIANCE - FROM MEAN

SS DF MS F

REGRESSION 45.211 3. 15.070 2.962

ERROR 147.55 29. 5.0881 P-VALUE

TOTAL 192.77 32. 6.0239 0.049

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY

NAME COEFFICIENT ERROR 29 DF P-VALUE CORR. COEFFICIENT AT MEANS

BR 0.13409 0.1241 1.081 0.289 0.197 0.2111 0.1579

ER 3.3325 3.316 1.005 0.323 0.183 0.2010 0.6560

WTI -0.41256E-01 0.2486E-01 -1.660 0.108-0.295 -0.3197 -0.1890

CONSTANT 2.4278 5.209 0.4661 0.645 0.086 0.0000 0.3751

|_genr lagehat=lag(ehat)

..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO

|_* bg test option 1 --- use 0 for lagehat in 1st observations

|_smpl 34 34

|_genr lagehat=0

|_smpl 34 66

|_?ols ehat lagehat br er wti

|_gen1 bg1=$n*$r2

|_*option 2 --- drop the 1st observation

|_smpl 35 66

|_?ols ehat lagehat br er wti

|_gen1 bg2=$n*$r2

|_print bg1 bg2

BG1 21.91203 BG2 22.22092

|_* since our dw and bg tests indicate problems

|_* with auto we re-estimate the model

|_* and see if this fixes things

|_smpl 34 66

|_auto ur br er wti / rstat resid=ehat2

DEPENDENT VARIABLE = UR

..NOTE..R-SQUARE,ANOVA,RESIDUALS DONE ON ORIGINAL VARS

LEAST SQUARES ESTIMATION 33 OBSERVATIONS

BY COCHRANE-ORCUTT TYPE PROCEDURE WITH CONVERGENCE = 0.00100

ITERATION RHO LOG L.F. SSE

1 0.00000 -71.5369 147.55

2 0.80149 -46.5483 31.456

3 0.93059 -44.1539 26.409

4 0.95307 -44.2218 26.215

5 0.95711 -44.2602 26.206

6 0.95789 -44.2687 26.205

LOG L.F. = -44.2687 AT RHO = 0.95789

ASYMPTOTIC ASYMPTOTIC ASYMPTOTIC

ESTIMATE VARIANCE ST.ERROR T-RATIO

RHO 0.95789 0.00250 0.04999 19.16294

R-SQUARE = 0.8641 R-SQUARE ADJUSTED = 0.8500

SUM OF SQUARED ERRORS-SSE= 26.205

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY

NAME COEFFICIENT ERROR 29 DF P-VALUE CORR. COEFFICIENT AT MEANS

BR -0.29539 0.8265E-01 -3.574 0.001-0.553 -0.4650 -0.3478

ER 1.7985 2.879 0.6246 0.537 0.115 0.1085 0.3540

WTI -0.17551E-01 0.2201E-01 -0.7976 0.432-0.147 -0.1360 -0.0804

CONSTANT 5.6677 4.571 1.240 0.225 0.224 0.0000 0.8756

DURBIN-WATSON = 0.9161 VON NEUMANN RATIO = 0.9448 RHO = 0.53563

|_genr lagehat2=lag(ehat2)

..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO

|_* bg test option 1 --- use 0 for lagehat in 1st observations

|_smpl 34 34

|_genr lagehat2=0

|_smpl 34 66

|_?ols ehat2 lagehat2 br er wti

|_gen1 bg1=$n*$r2

..NOTE..CURRENT VALUE OF $N = 33.000

..NOTE..CURRENT VALUE OF $R2 = 0.42196

|_*option 2 --- drop the 1st observation

|_smpl 35 66

|_?ols ehat2 lagehat2 br er wti

|_gen1 bg2=$n*$r2

..NOTE..CURRENT VALUE OF $N = 32.000

..NOTE..CURRENT VALUE OF $R2 = 0.42840

|_print bg1 bg2

BG1 13.92462 BG2 13.70892

|_* try dynamic models

|_* generate lags of our variables

|_genr urlag=lag(ur)

|_genr wtilag=lag(wti)

|_genr brlag=lag(br)

|_genr erlag=lag(er)

|_smpl 35 66

|_* model with a lagged dependent variable (can't use dw test)

|_ols ur urlag br er wti / resid=ehat3

R-SQUARE = 0.8059 R-SQUARE ADJUSTED = 0.7772

SUM OF SQUARED ERRORS-SSE= 36.090

ANALYSIS OF VARIANCE - FROM MEAN

SS DF MS F

REGRESSION 149.85 4. 37.462 28.027

ERROR 36.090 27. 1.3367 P-VALUE

TOTAL 185.94 31. 5.9981 0.000

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY

NAME COEFFICIENT ERROR 27 DF P-VALUE CORR. COEFFICIENT AT MEANS

URLAG 0.87001 0.9940E-01 8.753 0.000 0.860 0.8661 0.8713

BR 0.68410E-01 0.6553E-01 1.044 0.306 0.197 0.1093 0.0790

ER -0.52568 1.949 -0.2697 0.789-0.052 -0.0303 -0.1029

WTI -0.41128E-02 0.1500E-01 -0.2742 0.786-0.053 -0.0320 -0.0189

CONSTANT 1.1246 3.128 0.3595 0.722 0.069 0.0000 0.1716

|_genr lagehat3=lag(ehat3)

..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO

|_* bg test option 1 --- use 0 for lagehat in 1st observations

|_smpl 35 35

|_genr lagehat3=0

|_smpl 35 66

|_?ols ehat3 lagehat3 urlag br er wti

|_gen1 bg1=$n*$r2

|_*option 2 --- drop the 1st observation

|_smpl 36 66

|_?ols ehat3 lagehat3 urlag br er wti

|_gen1 bg2=$n*$r2

|_print bg1 bg2

BG1 7.517235 BG2 7.395659

|_* model with lagged X's (can use dw test)

|_smpl 35 66

|_ols ur br brlag er erlag wti wtilag / dwpvalue

DURBIN-WATSON STATISTIC = 0.78447

DURBIN-WATSON POSITIVE AUTOCORRELATION TEST P-VALUE = 0.000002

NEGATIVE AUTOCORRELATION TEST P-VALUE = 0.999998

R-SQUARE = 0.4880 R-SQUARE ADJUSTED = 0.3651

SUM OF SQUARED ERRORS-SSE= 95.208

ANALYSIS OF VARIANCE - FROM MEAN

SS DF MS F

REGRESSION 90.731 6. 15.122 3.971

ERROR 95.208 25. 3.8083 P-VALUE

TOTAL 185.94 31. 5.9981 0.006

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY

NAME COEFFICIENT ERROR 25 DF P-VALUE CORR. COEFFICIENT AT MEANS

BR -0.29282 0.1783 -1.642 0.113-0.312 -0.4680 -0.3382

BRLAG 0.45920 0.1859 2.470 0.021 0.443 0.7204 0.5437

ER -0.60956 6.804 -0.8959E-01 0.929-0.018 -0.0351 -0.1194

ERLAG 1.6799 6.128 0.2741 0.786 0.055 0.0999 0.3283

WTI -0.13134 0.6170E-01 -2.129 0.043-0.392 -1.0220 -0.6052

WTILAG 0.11197 0.7315E-01 1.531 0.138 0.293 0.6600 0.4690

CONSTANT 4.7293 5.356 0.8830 0.386 0.174 0.0000 0.7217

|_* model with a lagged dependent variable and lagged x's (can't use dw test)

|_ols ur urlag br brlag er erlag wti wtilag / resid=ehat4

R-SQUARE = 0.9332 R-SQUARE ADJUSTED = 0.9137

SUM OF SQUARED ERRORS-SSE= 12.423

ANALYSIS OF VARIANCE - FROM MEAN

SS DF MS F

REGRESSION 173.52 7. 24.788 47.888

ERROR 12.423 24. 0.51763 P-VALUE

TOTAL 185.94 31. 5.9981 0.000

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY

NAME COEFFICIENT ERROR 24 DF P-VALUE CORR. COEFFICIENT AT MEANS

URLAG 0.80141 0.6337E-01 12.65 0.000 0.932 0.7978 0.8026

BR -0.24915 0.6583E-01 -3.785 0.001-0.611 -0.3982 -0.2878

BRLAG 0.38696 0.6879E-01 5.625 0.000 0.754 0.6071 0.4582

ER 0.64460 2.510 0.2568 0.800 0.052 0.0371 0.1262

ERLAG -0.63452 2.267 -0.2799 0.782-0.057 -0.0377 -0.1240

WTI -0.38686E-01 0.2390E-01 -1.619 0.119-0.314 -0.3010 -0.1782

WTILAG 0.52081E-01 0.2738E-01 1.902 0.069 0.362 0.3070 0.2181

CONSTANT -0.98996E-01 2.011 -0.4922E-01 0.961-0.010 0.0000 -0.0151

|_genr lagehat4=lag(ehat4)

|_smpl 35 35

|_genr lagehat4=0

|_smpl 35 66

|_?ols ehat4 lagehat4 urlag br brlag er erlag wti wtilag

|_gen1 bg1=$n*$r2

|_smpl 36 66

|_?ols ehat4 lagehat4 urlag br brlag er erlag wti wtilag

|_gen1 bg2=$n*$r2

|_print bg1 bg2

BG1 0.1231635 BG2 0.4234580

|_* test for joint significance of er and wti terms

|_smpl 35 66

|_?ols ur urlag br brlag er erlag wti wtilag

|_test

|_test er = 0

|_test erlag=0

|_test wti=0

|_test wtilag=0

|_end

F STATISTIC = 1.0529290 WITH 4 AND 24 D.F. P-VALUE= 0.40106

|_* re-estimate model without er and wti variables

|_ols ur urlag br brlag / resid=ehat5

R-SQUARE = 0.9215 R-SQUARE ADJUSTED = 0.9130

SUM OF SQUARED ERRORS-SSE= 14.603

ANALYSIS OF VARIANCE - FROM MEAN

SS DF MS F

REGRESSION 171.34 3. 57.112 109.506

ERROR 14.603 28. 0.52154 P-VALUE

TOTAL 185.94 31. 5.9981 0.000

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY

NAME COEFFICIENT ERROR 28 DF P-VALUE CORR. COEFFICIENT AT MEANS

URLAG 0.82477 0.5424E-01 15.21 0.000 0.944 0.8210 0.8259

BR -0.26891 0.6368E-01 -4.223 0.000-0.624 -0.4297 -0.3106

BRLAG 0.42145 0.6546E-01 6.438 0.000 0.773 0.6612 0.4990

CONSTANT -0.94288E-01 0.4281 -0.2202 0.827-0.042 0.0000 -0.0144

DURBIN-WATSON = 1.8046 VON NEUMANN RATIO = 1.8628 RHO = 0.08802

|_genr lagehat5=lag(ehat5)

|_* bg test option 1 --- use 0 for lagehat in 1st observations

|_smpl 35 35

|_genr lagehat5=0

|_smpl 35 66

|_?ols ehat5 lagehat5 urlag br brlag

|_gen1 bg1=$n*$r2

|_*option 2 --- drop the 1st observation

|_smpl 36 66

|_?ols ehat5 lagehat5 urlag br brlag

|_gen1 bg2=$n*$r2

|_print bg1 bg2

BG1 0.2725421 BG2 0.3394586

* test for the significance of the long-rum impact of br

|_test br+brlag=0

TEST VALUE = 0.15254 STD. ERROR OF TEST VALUE 0.35268E-01

T STATISTIC = 4.3251576 WITH 28 D.F. P-VALUE= 0.00017

F STATISTIC = 18.706988 WITH 1 AND 28 D.F. P-VALUE= 0.00017

WALD CHI-SQUARE STATISTIC = 18.706988 WITH 1 D.F. P-VALUE= 0.00002

UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.05346

|_stop