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Feri SG Ekonomet

Feri Satrio Gusti conducted an analysis to test for autocorrelation in time series data. The analysis included taking the log of variables, running an OLS regression, and testing for heteroskedasticity. The results showed high R-squared and significant F-statistics, but the Durbin-Watson statistic and tests indicated positive autocorrelation in the residuals. To address this, Feri Satrio Gusti proposed using an autoregressive model.

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wahid kurniawan
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43 views11 pages

Feri SG Ekonomet

Feri Satrio Gusti conducted an analysis to test for autocorrelation in time series data. The analysis included taking the log of variables, running an OLS regression, and testing for heteroskedasticity. The results showed high R-squared and significant F-statistics, but the Durbin-Watson statistic and tests indicated positive autocorrelation in the residuals. To address this, Feri Satrio Gusti proposed using an autoregressive model.

Uploaded by

wahid kurniawan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Nama : Feri Satrio Gusti

NPM : E1D015070
Shift : Kamis, 14.00

OTOKORELASI (autocorrelation)
Intruksi
File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
sample 1 37
read (39)n q hc hk lw/dif
genr lq=log(q)
genr lhc=log(hc)
genr lhk=log(hk)
genr llw=log(lw)
genr lhcl=lag(lhc,1)
stat q hc hk lw
sample 2 36
ols lq lhc lhcl lhk llw/rstat
stop

Output
|_File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
UNIT 39 IS NOW ASSIGNED TO: C:\Ekonometrika Praktikum\Tugas\Feri Satrio
Gusti.dif
|_sample 1 37
|_read (39)n q hc hk lw/dif
..NOTE..DIF FILE HAS 5 COLUMNS AND 37 ROWS
5 VARIABLES AND 37 OBSERVATIONS STARTING AT OBS 1

|_genr lq=log(q)
|_genr lhc=log(hc)
|_genr lhk=log(hk)
|_genr llw=log(lw)
|_genr lhcl=lag(lhc,1)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_stat q hc hk lw
NAME N MEAN ST. DEV VARIANCE MINIMUM MAXIMUM
Q 37 0.14638E+06 0.18736E+06 0.35103E+11 1204.0
0.57264E+06
HC 37 72.676 35.782 1280.3 23.000 172.00
HK 37 2719.9 3228.9 0.10426E+08 110.00 13439.
LW 37 2787.8 4260.4 0.18151E+08 57.000 14765.
|_sample 2 36

|_ols lq lhc lhcl lhk llw/rstat

REQUIRED MEMORY IS PAR= 6 CURRENT PAR= 11000


OLS ESTIMATION
35 OBSERVATIONS DEPENDENT VARIABLE= LQ
...NOTE..SAMPLE RANGE SET TO: 2, 36

R-SQUARE = 0.9412 R-SQUARE ADJUSTED = 0.9334


VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.29319
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.54147
SUM OF SQUARED ERRORS-SSE= 8.7958
MEAN OF DEPENDENT VARIABLE = 10.374
LOG OF THE LIKELIHOOD FUNCTION = -25.4942

MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)


AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.33508
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -1.0954
SCHWARZ (1978) CRITERION - LOG SC = -0.87316
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV = 0.34206
HANNAN AND QUINN (1979) CRITERION = 0.36108
RICE (1984) CRITERION = 0.35183
SHIBATA (1981) CRITERION = 0.32311
SCHWARZ (1978) CRITERION - SC = 0.41763
AKAIKE (1974) INFORMATION CRITERION - AIC = 0.33442

ANALYSIS OF VARIANCE - FROM MEAN


SS DF MS F
REGRESSION 140.80 4. 35.201 120.060
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 149.60 34. 4.4000 0.000
ANALYSIS OF VARIANCE - FROM ZERO
SS DF MS F
REGRESSION 3907.3 5. 781.46 2665.329
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 3916.1 35. 111.89 0.000

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED


ELASTICITY
NAME COEFFICIENT ERROR 30 DF P-VALUE CORR. COEFFICIENT AT
MEANS
LHC -0.66484 0.3965 -1.677 0.104-0.293 -0.1569
-0.2682
LHCL 0.81563E-01 0.3602 0.2265 0.822 0.041 0.0202
0.0326
LHK 0.24604 0.2420 1.017 0.317 0.183 0.1574
0.1703
LLW 1.0926 0.1877 5.822 0.000 0.728 0.8451
0.7108
CONSTANT 3.6767 0.8256 4.453 0.000 0.631 0.0000
0.3544

DURBIN-WATSON = 0.3133 VON NEUMANN RATIO = 0.3225 RHO = 0.85005


RESIDUAL SUM = 0.50515E-13 RESIDUAL VARIANCE = 0.29319
SUM OF ABSOLUTE ERRORS= 13.914
R-SQUARE BETWEEN OBSERVED AND PREDICTED = 0.9412
RUNS TEST: 9 RUNS, 16 POS, 0 ZERO, 19 NEG NORMAL STATISTIC =
-3.2403
COEFFICIENT OF SKEWNESS = 0.4435 WITH STANDARD DEVIATION OF 0.3977
COEFFICIENT OF EXCESS KURTOSIS = 0.0122 WITH STANDARD DEVIATION OF 0.7778
JARQUE-BERA NORMALITY TEST- CHI-SQUARE(2 DF)= 1.0857 P-VALUE= 0.581

GOODNESS OF FIT TEST FOR NORMALITY OF RESIDUALS - 10 GROUPS


OBSERVED 0.0 1.0 0.0 8.0 10.0 8.0 3.0 3.0 2.0 0.0
EXPECTED 0.3 1.0 2.8 5.6 7.9 7.9 5.6 2.8 1.0 0.3
CHI-SQUARE = 7.2661 WITH 3 DEGREES OF FREEDOM, P-VALUE= 0.064
|_stop
TYPE COMMAND

Intruksi Otokorelasi Solusi


File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
sample 1 37
read (39)n q hc hk lw/dif
genr lq=log(q)
genr lhc=log(hc)
genr lhk=log(hk)
genr llw=log(lw)
genr lhcl=lag(lhc,1)
stat q hc hk lw
sample 2 36
ols lq lhc lhcl lhk llw/gf
diagnos/het
**** solusi ********
auto lq lhc lhcl lhk llw
stop

Output
|_File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif UNIT 39 IS NOW
ASSIGNED TO: C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
|_sample 1 37
|_read (39)n q hc hk lw/dif
..NOTE..DIF FILE HAS 5 COLUMNS AND 37 ROWS
5 VARIABLES AND 37 OBSERVATIONS STARTING AT OBS 1

|_genr lq=log(q)
|_genr lhc=log(hc)
|_genr lhk=log(hk)
|_genr llw=log(lw)
|_genr lhcl=lag(lhc,1)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_stat q hc hk lw
NAME N MEAN ST. DEV VARIANCE MINIMUM MAXIMUM
Q 37 0.14638E+06 0.18736E+06 0.35103E+11 1204.0
0.57264E+06
HC 37 72.676 35.782 1280.3 23.000 172.00
HK 37 2719.9 3228.9 0.10426E+08 110.00 13439.
LW 37 2787.8 4260.4 0.18151E+08 57.000 14765.
|_sample 2 36

|_ols lq lhc lhcl lhk llw/gf

REQUIRED MEMORY IS PAR= 6 CURRENT PAR= 11000


OLS ESTIMATION
35 OBSERVATIONS DEPENDENT VARIABLE= LQ
...NOTE..SAMPLE RANGE SET TO: 2, 36

R-SQUARE = 0.9412 R-SQUARE ADJUSTED = 0.9334


VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.29319
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.54147
SUM OF SQUARED ERRORS-SSE= 8.7958
MEAN OF DEPENDENT VARIABLE = 10.374
LOG OF THE LIKELIHOOD FUNCTION = -25.4942

MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)


AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.33508
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -1.0954
SCHWARZ (1978) CRITERION - LOG SC = -0.87316
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV = 0.34206
HANNAN AND QUINN (1979) CRITERION = 0.36108
RICE (1984) CRITERION = 0.35183
SHIBATA (1981) CRITERION = 0.32311
SCHWARZ (1978) CRITERION - SC = 0.41763
AKAIKE (1974) INFORMATION CRITERION - AIC = 0.33442

ANALYSIS OF VARIANCE - FROM MEAN


SS DF MS F
REGRESSION 140.80 4. 35.201 120.060
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 149.60 34. 4.4000 0.000
ANALYSIS OF VARIANCE - FROM ZERO
SS DF MS F
REGRESSION 3907.3 5. 781.46 2665.329
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 3916.1 35. 111.89 0.000

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED


ELASTICITY
NAME COEFFICIENT ERROR 30 DF P-VALUE CORR. COEFFICIENT AT
MEANS
LHC -0.66484 0.3965 -1.677 0.104-0.293 -0.1569
-0.2682
LHCL 0.81563E-01 0.3602 0.2265 0.822 0.041 0.0202
0.0326
LHK 0.24604 0.2420 1.017 0.317 0.183 0.1574
0.1703
LLW 1.0926 0.1877 5.822 0.000 0.728 0.8451
0.7108
CONSTANT 3.6767 0.8256 4.453 0.000 0.631 0.0000
0.3544

DURBIN-WATSON = 0.3133 VON NEUMANN RATIO = 0.3225 RHO = 0.85005


RESIDUAL SUM = 0.50515E-13 RESIDUAL VARIANCE = 0.29319
SUM OF ABSOLUTE ERRORS= 13.914
R-SQUARE BETWEEN OBSERVED AND PREDICTED = 0.9412
RUNS TEST: 9 RUNS, 16 POS, 0 ZERO, 19 NEG NORMAL STATISTIC =
-3.2403
COEFFICIENT OF SKEWNESS = 0.4435 WITH STANDARD DEVIATION OF 0.3977
COEFFICIENT OF EXCESS KURTOSIS = 0.0122 WITH STANDARD DEVIATION OF 0.7778

JARQUE-BERA NORMALITY TEST- CHI-SQUARE(2 DF)= 1.0857 P-VALUE= 0.581

GOODNESS OF FIT TEST FOR NORMALITY OF RESIDUALS - 10 GROUPS


OBSERVED 0.0 1.0 0.0 8.0 10.0 8.0 3.0 3.0 2.0 0.0
EXPECTED 0.3 1.0 2.8 5.6 7.9 7.9 5.6 2.8 1.0 0.3
CHI-SQUARE = 7.2661 WITH 3 DEGREES OF FREEDOM, P-VALUE= 0.064
|_diagnos/het

REQUIRED MEMORY IS PAR= 16 CURRENT PAR= 11000


DEPENDENT VARIABLE = LQ 35 OBSERVATIONS
REGRESSION COEFFICIENTS
-0.664838028871 0.815634430761E-01 0.246035124270 1.09264151084
3.67672758829

HETEROSKEDASTICITY TESTS
CHI-SQUARE D.F. P-VALUE
TEST STATISTIC
E**2 ON YHAT: 7.842 1 0.00510
E**2 ON YHAT**2: 7.675 1 0.00560
E**2 ON LOG(YHAT**2): 7.873 1 0.00502
E**2 ON LAG(E**2) ARCH TEST: 14.222 1 0.00016
LOG(E**2) ON X (HARVEY) TEST: 10.499 4 0.03281
ABS(E) ON X (GLEJSER) TEST: 14.445 4 0.00600
E**2 ON X TEST:
KOENKER(R2): 11.736 4 0.01943
B-P-G (SSR) : 10.819 4 0.02867

E**2 ON X X**2 (WHITE) TEST:


KOENKER(R2): 19.766 8 0.01126
B-P-G (SSR) : 18.222 8 0.01962

E**2 ON X X**2 XX (WHITE) TEST:


KOENKER(R2): 26.540 14 0.02208
B-P-G (SSR) : 24.468 14 0.04020

|_**** solusi ********

|_auto lq lhc lhcl lhk llw

REQUIRED MEMORY IS PAR= 7 CURRENT PAR= 11000

DEPENDENT VARIABLE = LQ
..NOTE..R-SQUARE,ANOVA,RESIDUALS DONE ON ORIGINAL VARS

LEAST SQUARES ESTIMATION 35 OBSERVATIONS


BY COCHRANE-ORCUTT TYPE PROCEDURE WITH CONVERGENCE = 0.00100

ITERATION RHO LOG L.F. SSE


1 0.00000 -25.4942 8.7958
2 0.85005 1.60003 1.8029
3 0.94208 4.30606 1.5053
4 0.97039 5.12028 1.4102
5 0.97838 5.30047 1.3834
6 0.98054 5.33941 1.3762
7 0.98112 5.34890 1.3743

LOG L.F. = 5.34890 AT RHO = 0.98112

ASYMPTOTIC ASYMPTOTIC ASYMPTOTIC


ESTIMATE VARIANCE ST.ERROR T-RATIO
RHO 0.98112 0.00107 0.03269 30.01470

R-SQUARE = 0.9908 R-SQUARE ADJUSTED = 0.9896


VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.45809E-01
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.21403
SUM OF SQUARED ERRORS-SSE= 1.3743
MEAN OF DEPENDENT VARIABLE = 10.374
LOG OF THE LIKELIHOOD FUNCTION = 5.34890

MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)


AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.52354E-01
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -2.9517
SCHWARZ (1978) CRITERION - LOG SC = -2.7295
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV = 0.53444E-01
HANNAN AND QUINN (1979) CRITERION = 0.56416E-01
RICE (1984) CRITERION = 0.54971E-01
SHIBATA (1981) CRITERION = 0.50484E-01
SCHWARZ (1978) CRITERION - SC = 0.65251E-01
AKAIKE (1974) INFORMATION CRITERION - AIC = 0.52251E-01

ANALYSIS OF VARIANCE - FROM MEAN


SS DF MS
REGRESSION 148.22 4. 37.056
ERROR 1.3743 30. 0.45809E-01
TOTAL 149.60 34. 4.4000

ANALYSIS OF VARIANCE - FROM ZERO


SS DF MS
REGRESSION 3914.7 5. 782.95
ERROR 1.3743 30. 0.45809E-01
TOTAL 3916.1 35. 111.89

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED


ELASTICITY
NAME COEFFICIENT ERROR 30 DF P-VALUE CORR. COEFFICIENT AT
MEANS
LHC -0.74713E-01 0.1639 -0.4559 0.652-0.083 -0.0176
-0.0301
LHCL 0.15597 0.1468 1.063 0.296 0.190 0.0386
0.0624
LHK 0.37471E-01 0.9915E-01 0.3779 0.708 0.069 0.0240
0.0259
LLW 0.62584 0.1441 4.343 0.000 0.621 0.4841
0.4071
CONSTANT 5.4335 1.526 3.560 0.001 0.545 0.0000
0.5238
|_stop
TYPE COMMAND

Intruksi Heteroskedastisitas
File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
sample 1 37
read (39)n q hc hk lw/dif
genr lq=log(q)
genr lhc=log(hc)
genr lhk=log(hk)
genr llw=log(lw)
genr lhcl=lag(lhc,1)
stat q hc hk lw
sample 2 36
ols lq lhc lhcl lhk llw
stop

Output
|_File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
UNIT 39 IS NOW ASSIGNED TO: C:\Ekonometrika Praktikum\Tugas\Feri Satrio
Gusti.dif
|_sample 1 37
|_read (39)n q hc hk lw/dif
..NOTE..DIF FILE HAS 5 COLUMNS AND 37 ROWS
5 VARIABLES AND 37 OBSERVATIONS STARTING AT OBS 1

|_genr lq=log(q)
|_genr lhc=log(hc)
|_genr lhk=log(hk)
|_genr llw=log(lw)
|_genr lhcl=lag(lhc,1)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_stat q hc hk lw
NAME N MEAN ST. DEV VARIANCE MINIMUM MAXIMUM
Q 37 0.14638E+06 0.18736E+06 0.35103E+11 1204.0
0.57264E+06
HC 37 72.676 35.782 1280.3 23.000 172.00
HK 37 2719.9 3228.9 0.10426E+08 110.00 13439.
LW 37 2787.8 4260.4 0.18151E+08 57.000 14765.
|_sample 2 36

|_ols lq lhc lhcl lhk llw

REQUIRED MEMORY IS PAR= 6 CURRENT PAR= 11000


OLS ESTIMATION
35 OBSERVATIONS DEPENDENT VARIABLE= LQ
...NOTE..SAMPLE RANGE SET TO: 2, 36
R-SQUARE = 0.9412 R-SQUARE ADJUSTED = 0.9334
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.29319
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.54147
SUM OF SQUARED ERRORS-SSE= 8.7958
MEAN OF DEPENDENT VARIABLE = 10.374
LOG OF THE LIKELIHOOD FUNCTION = -25.4942

MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)


AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.33508
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -1.0954
SCHWARZ (1978) CRITERION - LOG SC = -0.87316
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV = 0.34206
HANNAN AND QUINN (1979) CRITERION = 0.36108
RICE (1984) CRITERION = 0.35183
SHIBATA (1981) CRITERION = 0.32311
SCHWARZ (1978) CRITERION - SC = 0.41763
AKAIKE (1974) INFORMATION CRITERION - AIC = 0.33442

ANALYSIS OF VARIANCE - FROM MEAN


SS DF MS F
REGRESSION 140.80 4. 35.201 120.060
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 149.60 34. 4.4000 0.000
ANALYSIS OF VARIANCE - FROM ZERO
SS DF MS F
REGRESSION 3907.3 5. 781.46 2665.329
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 3916.1 35. 111.89 0.000

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED


ELASTICITY
NAME COEFFICIENT ERROR 30 DF P-VALUE CORR. COEFFICIENT AT
MEANS
LHC -0.66484 0.3965 -1.677 0.104-0.293 -0.1569
-0.2682
LHCL 0.81563E-01 0.3602 0.2265 0.822 0.041 0.0202
0.0326
LHK 0.24604 0.2420 1.017 0.317 0.183 0.1574
0.1703
LLW 1.0926 0.1877 5.822 0.000 0.728 0.8451
0.7108
CONSTANT 3.6767 0.8256 4.453 0.000 0.631 0.0000
0.3544
|_stop
TYPE COMMAND
Intruksi Heteroskedastisitas Solusi
File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
sample 1 37
read (39)n q hc hk lw/dif
genr lq=log(q)
genr lhc=log(hc)
genr lhk=log(hk)
genr llw=log(lw)
genr lhcl=lag(lhc,1)
stat q hc hk lw
sample 2 36
ols lq lhc lhcl lhk llw/gf
diagnos/het
stop

Output
|_File 39 C:\Ekonometrika Praktikum\Tugas\Feri Satrio Gusti.dif
UNIT 39 IS NOW ASSIGNED TO: C:\Ekonometrika Praktikum\Tugas\Feri Satrio
Gusti.dif
|_sample 1 37
|_read (39)n q hc hk lw/dif
..NOTE..DIF FILE HAS 5 COLUMNS AND 37 ROWS
5 VARIABLES AND 37 OBSERVATIONS STARTING AT OBS 1

|_genr lq=log(q)
|_genr lhc=log(hc)
|_genr lhk=log(hk)
|_genr llw=log(lw)
|_genr lhcl=lag(lhc,1)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_stat q hc hk lw
NAME N MEAN ST. DEV VARIANCE MINIMUM MAXIMUM
Q 37 0.14638E+06 0.18736E+06 0.35103E+11 1204.0
0.57264E+06
HC 37 72.676 35.782 1280.3 23.000 172.00
HK 37 2719.9 3228.9 0.10426E+08 110.00 13439.
LW 37 2787.8 4260.4 0.18151E+08 57.000 14765.
|_sample 2 36

|_ols lq lhc lhcl lhk llw/gf

REQUIRED MEMORY IS PAR= 6 CURRENT PAR= 11000


OLS ESTIMATION
35 OBSERVATIONS DEPENDENT VARIABLE= LQ
...NOTE..SAMPLE RANGE SET TO: 2, 36

R-SQUARE = 0.9412 R-SQUARE ADJUSTED = 0.9334


VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.29319
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.54147
SUM OF SQUARED ERRORS-SSE= 8.7958
MEAN OF DEPENDENT VARIABLE = 10.374
LOG OF THE LIKELIHOOD FUNCTION = -25.4942

MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)


AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.33508
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -1.0954
SCHWARZ (1978) CRITERION - LOG SC = -0.87316
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV = 0.34206
HANNAN AND QUINN (1979) CRITERION = 0.36108
RICE (1984) CRITERION = 0.35183
SHIBATA (1981) CRITERION = 0.32311
SCHWARZ (1978) CRITERION - SC = 0.41763
AKAIKE (1974) INFORMATION CRITERION - AIC = 0.33442

ANALYSIS OF VARIANCE - FROM MEAN


SS DF MS F
REGRESSION 140.80 4. 35.201 120.060
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 149.60 34. 4.4000 0.000
ANALYSIS OF VARIANCE - FROM ZERO
SS DF MS F
REGRESSION 3907.3 5. 781.46 2665.329
ERROR 8.7958 30. 0.29319 P-VALUE
TOTAL 3916.1 35. 111.89 0.000

VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED


ELASTICITY
NAME COEFFICIENT ERROR 30 DF P-VALUE CORR. COEFFICIENT AT
MEANS
LHC -0.66484 0.3965 -1.677 0.104-0.293 -0.1569
-0.2682
LHCL 0.81563E-01 0.3602 0.2265 0.822 0.041 0.0202
0.0326
LHK 0.24604 0.2420 1.017 0.317 0.183 0.1574
0.1703
LLW 1.0926 0.1877 5.822 0.000 0.728 0.8451
0.7108
CONSTANT 3.6767 0.8256 4.453 0.000 0.631 0.0000
0.3544

DURBIN-WATSON = 0.3133 VON NEUMANN RATIO = 0.3225 RHO = 0.85005


RESIDUAL SUM = 0.50515E-13 RESIDUAL VARIANCE = 0.29319
SUM OF ABSOLUTE ERRORS= 13.914
R-SQUARE BETWEEN OBSERVED AND PREDICTED = 0.9412
RUNS TEST: 9 RUNS, 16 POS, 0 ZERO, 19 NEG NORMAL STATISTIC =
-3.2403
COEFFICIENT OF SKEWNESS = 0.4435 WITH STANDARD DEVIATION OF 0.3977
COEFFICIENT OF EXCESS KURTOSIS = 0.0122 WITH STANDARD DEVIATION OF 0.7778

JARQUE-BERA NORMALITY TEST- CHI-SQUARE(2 DF)= 1.0857 P-VALUE= 0.581

GOODNESS OF FIT TEST FOR NORMALITY OF RESIDUALS - 10 GROUPS


OBSERVED 0.0 1.0 0.0 8.0 10.0 8.0 3.0 3.0 2.0 0.0
EXPECTED 0.3 1.0 2.8 5.6 7.9 7.9 5.6 2.8 1.0 0.3
CHI-SQUARE = 7.2661 WITH 3 DEGREES OF FREEDOM, P-VALUE= 0.064
|_diagnos/het

REQUIRED MEMORY IS PAR= 16 CURRENT PAR= 11000


DEPENDENT VARIABLE = LQ 35 OBSERVATIONS
REGRESSION COEFFICIENTS
-0.664838028871 0.815634430761E-01 0.246035124270 1.09264151084
3.67672758829

HETEROSKEDASTICITY TESTS
CHI-SQUARE D.F. P-VALUE
TEST STATISTIC
E**2 ON YHAT: 7.842 1 0.00510
E**2 ON YHAT**2: 7.675 1 0.00560
E**2 ON LOG(YHAT**2): 7.873 1 0.00502
E**2 ON LAG(E**2) ARCH TEST: 14.222 1 0.00016
LOG(E**2) ON X (HARVEY) TEST: 10.499 4 0.03281
ABS(E) ON X (GLEJSER) TEST: 14.445 4 0.00600
E**2 ON X TEST:
KOENKER(R2): 11.736 4 0.01943
B-P-G (SSR) : 10.819 4 0.02867

E**2 ON X X**2 (WHITE) TEST:


KOENKER(R2): 19.766 8 0.01126
B-P-G (SSR) : 18.222 8 0.01962

E**2 ON X X**2 XX (WHITE) TEST:


KOENKER(R2): 26.540 14 0.02208
B-P-G (SSR) : 24.468 14 0.04020

|_stop
TYPE COMMAND

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