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    HW 9

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    Ганболд БЯМБАДАЛАЙ

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    HW 9

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    Ганболд БЯМБАДАЛАЙ
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    14 views6 pages

    HW 9

    Uploaded by

    Ганболд БЯМБАДАЛАЙ

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    Null Hypothesis: D(DOLLAR) has a unit root

    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=0)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -4.488588 0.0013


    Test critical values: 1% level -3.679322
    5% level -2.967767
    10% level -2.622989

    *MacKinnon (1996) one-sided p-values.

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(DOLLAR,2)
    Method: Least Squares
    Date: 11/08/21 Time: 23:07
    Sample (adjusted): 1992 2020
    Included observations: 29 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    D(DOLLAR(-1)) -0.852301 0.189882 -4.488588 0.0001


    C 82.48688 26.93224 3.062756 0.0049

    R-squared 0.427328 Mean dependent var 4.310345


    Adjusted R-squared 0.406118 S.D. dependent var 143.5512
    S.E. of regression 110.6259 Akaike info criterion 12.31666
    Sum squared resid 330428.3 Schwarz criterion 12.41095
    Log likelihood -176.5915 Hannan-Quinn criter. 12.34619
    F-statistic 20.14742 Durbin-Watson stat 2.019386
    Prob(F-statistic) 0.000120
    Null Hypothesis: D(GDP) has a unit root
    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=7)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -2.650128 0.0949


    Test critical values: 1% level -3.679322
    5% level -2.967767
    10% level -2.622989

    *MacKinnon (1996) one-sided p-values.

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(GDP,2)
    Method: Least Squares
    Date: 11/08/21 Time: 23:08
    Sample (adjusted): 1992 2020
    Included observations: 29 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    D(GDP(-1)) -0.420814 0.158790 -2.650128 0.0133


    C 535246.9 325329.3 1.645247 0.1115

    R-squared 0.206423 Mean dependent var -13646.44


    Adjusted R-squared 0.177032 S.D. dependent var 1489268.
    S.E. of regression 1351028. Akaike info criterion 31.13710
    Sum squared resid 4.93E+13 Schwarz criterion 31.23140
    Log likelihood -449.4880 Hannan-Quinn criter. 31.16663
    F-statistic 7.023178 Durbin-Watson stat 1.677320
    Prob(F-statistic) 0.013289
    Vector Autoregression Estimates
    Date: 11/08/21 Time: 23:10
    Sample (adjusted): 1993 2020
    Included observations: 28 after adjustments
    Standard errors in ( ) & t-statistics in [ ]

    DDOLLAR RGDP

    DDOLLAR(-1) -0.275869 -0.103617


    (0.24110) (0.10859)
    [-1.14419] [-0.95422]

    DDOLLAR(-2) 0.821930 0.349204


    (0.12013) (0.05410)
    [ 6.84214] [ 6.45450]

    RGDP(-1) 1.498660 0.664876


    (0.48977) (0.22058)
    [ 3.05993] [ 3.01422]

    RGDP(-2) -1.907763 -0.651252


    (0.28061) (0.12638)
    [-6.79862] [-5.15314]

    C 0.154180 0.170205
    (0.14837) (0.06682)
    [ 1.03918] [ 2.54720]

    R-squared 0.875259 0.877712


    Adj. R-squared 0.853564 0.856445
    Sum sq. resids 5.179842 1.050665
    S.E. equation 0.474564 0.213731
    F-statistic 40.34537 41.27021
    Log likelihood -16.10626 6.228659
    Akaike AIC 1.507590 -0.087761
    Schwarz SC 1.745484 0.150132
    Mean dependent 0.324830 0.320850
    S.D. dependent 1.240141 0.564103

    Determinant resid covariance (dof adj.) 0.004718


    Determinant resid covariance 0.003183
    Log likelihood 1.037983
    Akaike information criterion 0.640144
    Schwarz criterion 1.115931
    Number of coefficients 10
    VAR Lag Order Selection Criteria
    Endogenous variables: DDOLLAR RGDP
    Exogenous variables: C
    Date: 11/08/21 Time: 23:22
    Sample: 1990 2020
    Included observations: 28

    Lag LogL LR FPE AIC SC HQ

    0 -36.60213 NA 0.054020 2.757295 2.852452 2.786385


    1 -19.82026 29.96762 0.021714 1.844304 2.129777 1.931576
    2 1.037983 34.26711* 0.006553* 0.640144* 1.115931* 0.785597*

    * indicates lag order selected by the criterion


    LR: sequential modified LR test statistic (each test at 5% level)
    FPE: Final prediction error
    AIC: Akaike information criterion
    SC: Schwarz information criterion
    HQ: Hannan-Quinn information criterion

    VAR Granger Causality/Block Exogeneity Wald Tests


    Date: 11/08/21 Time: 23:30
    Sample: 1990 2020
    Included observations: 28

    Dependent variable: DDOLLAR

    Excluded Chi-sq df Prob.

    RGDP 78.58197 2 0.0000

    All 78.58197 2 0.0000

    Dependent variable: RGDP

    Excluded Chi-sq df Prob.

    DDOLLAR 114.0632 2 0.0000

    All 114.0632 2 0.0000


    Response to Cholesky One S.D. (d.f. adjusted) Innovations ± 2 S.E.
    Response of DDOLLAR to DDOLLAR Response of DDOLLAR to RGDP
    .6 .6

    .4 .4

    .2 .2

    .0 .0

    -.2 -.2

    1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

    Response of RGDP to DDOLLAR Response of RGDP to RGDP

    .2 .2

    .1 .1

    .0 .0

    -.1 -.1
    1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
    Variance Decomposition of DDOLLAR:
    Period S.E. DDOLLAR RGDP

    1 0.474564 100.0000 0.000000


    2 0.532199 83.38953 16.61047
    3 0.583757 75.40606 24.59394
    4 0.589328 75.58379 24.41621
    5 0.591593 75.01342 24.98658
    6 0.594027 74.40079 25.59921
    7 0.594423 74.42516 25.57484
    8 0.594762 74.43357 25.56643
    9 0.594861 74.44028 25.55972
    10 0.594941 74.43579 25.56421

    Variance Decomposition of RGDP:


    Period S.E. DDOLLAR RGDP

    1 0.213731 54.14494 45.85506


    2 0.240851 47.92739 52.07261
    3 0.262223 52.02275 47.97725
    4 0.266054 53.38784 46.61216
    5 0.268210 52.81924 47.18076
    6 0.269432 52.40489 47.59511
    7 0.269653 52.37585 47.62415
    8 0.269862 52.36386 47.63614
    9 0.269928 52.38668 47.61332
    10 0.269971 52.39891 47.60109

    Cholesky Ordering: DDOLLAR RGDP

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