Welcome to SHAZAM - Version 10.0 - APR 2007 SYSTEM=WIN-XP
PAR= 11000
CURRENT WORKING DIRECTORY IS: C:\Econ399F12\web2012
|_* the location of the data file will need to be changed before running the
program
|_READ (c:\Econ399F12\Web2012\Asst2.txt) year location MapleQ MapleV unsug CPI
wage / skiplines=1
UNIT 88 IS NOW ASSIGNED TO: c:\Econ399F12\Web2012\Asst2.txt
...SAMPLE RANGE IS NOW SET TO:
1
|_* obtain statistics .... look at these
|_* in reading the data set
|_STAT / ALL
NAME
N
MEAN
ST. DEV
YEAR
62
1996.0
9.0173
LOCATION
62
3.5000
0.50408
MAPLEQ
62
2206.3
2397.9
MAPLEV
62
61830.
73352.
UNSUG
62
8.9681
2.2541
CPI
62
87.937
19.382
WAGE
62
79.135
18.213
|_genr maplep=maplev/mapleq
|_genr rmaplep=100*maplep/cpi
|_genr rcwage=100*wage/cpi
|_genr lq=log(mapleq)
|_genr lpr=log(rmaplep)
|_genr lwg=log(rcwage)
|_smpl 1 31
62
to check for obvious errors
VARIANCE
81.311
0.25410
0.57498E+07
0.53805E+10
5.0812
375.66
331.72
MINIMUM
1981.0
3.0000
118.00
3192.0
5.0500
48.200
42.400
|_ols lq lpr lwg unsug /dwpvalue resid=uhat
REQUIRED MEMORY IS PAR=
17 CURRENT PAR=
11000
OLS ESTIMATION
31 OBSERVATIONS
DEPENDENT VARIABLE= LQ
...NOTE..SAMPLE RANGE SET TO:
1,
31
DURBIN-WATSON STATISTIC =
0.82414
DURBIN-WATSON POSITIVE AUTOCORRELATION TEST P-VALUE =
NEGATIVE AUTOCORRELATION TEST P-VALUE =
0.000018
0.999982
R-SQUARE =
0.7193
R-SQUARE ADJUSTED =
0.6881
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.72906E-01
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.27001
SUM OF SQUARED ERRORS-SSE=
1.9685
MEAN OF DEPENDENT VARIABLE =
8.2313
LOG OF THE LIKELIHOOD FUNCTION = -1.25769
MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)
AKAIKE (1969) FINAL PREDICTION ERROR - FPE =
0.82313E-01
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -2.4987
SCHWARZ (1978) CRITERION - LOG SC =
-2.3136
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV =
0.83707E-01
HANNAN AND QUINN (1979) CRITERION =
0.87304E-01
RICE (1984) CRITERION =
0.85585E-01
SHIBATA (1981) CRITERION =
0.79885E-01
SCHWARZ (1978) CRITERION - SC =
0.98901E-01
AKAIKE (1974) INFORMATION CRITERION - AIC =
0.82194E-01
MAXIMUM
2011.0
4.0000
8141.0
0.30488E+06
14.700
120.10
111.10
REGRESSION
ERROR
TOTAL
ANALYSIS OF VARIANCE - FROM MEAN
SS
DF
MS
5.0445
3.
1.6815
1.9685
27.
0.72906E-01
7.0130
30.
0.23377
F
23.064
P-VALUE
0.000
REGRESSION
ERROR
TOTAL
ANALYSIS OF VARIANCE - FROM ZERO
SS
DF
MS
2105.4
4.
526.36
1.9685
27.
0.72906E-01
2107.4
31.
67.981
F
7219.696
P-VALUE
0.000
VARIABLE
ESTIMATED STANDARD
T-RATIO
NAME
COEFFICIENT
ERROR
27 DF
LPR
-0.77448
0.2414
-3.208
LWG
3.1883
1.836
1.736
UNSUG
-0.19157
0.2632E-01 -7.279
CONSTANT -1.4917
8.255
-0.1807
PARTIAL STANDARDIZED ELASTICITY
P-VALUE CORR. COEFFICIENT AT MEANS
0.003-0.525
-0.3388
-0.3133
0.094 0.317
0.1867
1.7332
0.000-0.814
-0.7945
-0.2386
0.858-0.035
0.0000
-0.1812
DURBIN-WATSON = 0.8241
VON NEUMANN RATIO = 0.8516
RHO = 0.57104
RESIDUAL SUM = 0.27756E-16 RESIDUAL VARIANCE = 0.72906E-01
SUM OF ABSOLUTE ERRORS=
6.3868
R-SQUARE BETWEEN OBSERVED AND PREDICTED = 0.7193
RUNS TEST:
8 RUNS,
17 POS,
0 ZERO,
14 NEG NORMAL STATISTIC = -3.0823
COEFFICIENT OF SKEWNESS =
0.0771 WITH STANDARD DEVIATION OF 0.4205
COEFFICIENT OF EXCESS KURTOSIS = -0.7888 WITH STANDARD DEVIATION OF 0.8208
JARQUE-BERA NORMALITY TEST- CHI-SQUARE(2 DF)=
0.9713 P-VALUE= 0.615
GOODNESS OF FIT TEST FOR NORMALITY OF RESIDUALS - 10 GROUPS
OBSERVED 0.0 0.0 4.0 5.0 5.0 10.0 3.0 3.0 1.0 0.0
EXPECTED 0.3 0.9 2.5 4.9 7.0 7.0 4.9 2.5 0.9 0.3
CHI-SQUARE =
5.1019 WITH 4 DEGREES OF FREEDOM, P-VALUE= 0.277
|_diagnos / reset
REQUIRED MEMORY IS PAR=
13 CURRENT PAR=
11000
DEPENDENT VARIABLE = LQ
31 OBSERVATIONS
REGRESSION COEFFICIENTS
-0.774478553787
3.18829207856
-0.191565542302
RAMSEY RESET
RESET(2)=
RESET(3)=
RESET(4)=
SPECIFICATION
0.51129
0.26786
0.25974
-
-1.49167862234
TESTS USING POWERS OF YHAT
F WITH DF1=
1 AND DF2= 26 P-VALUE= 0.481
F WITH DF1=
2 AND DF2= 25 P-VALUE= 0.767
F WITH DF1=
3 AND DF2= 24 P-VALUE= 0.854
DEBENEDICTIS-GILES FRESET SPECIFICATION TESTS USING FRESETL
FRESET(1)= 0.10007
- F WITH DF1=
2 AND DF2= 25 P-VALUE= 0.905
FRESET(2)=
1.8263
- F WITH DF1=
4 AND DF2= 23 P-VALUE= 0.158
FRESET(3)=
1.7090
- F WITH DF1=
6 AND DF2= 21 P-VALUE= 0.168
DEBENEDICTIS-GILES FRESET SPECIFICATION TESTS USING FRESETS
FRESET(1)= 0.14274
- F WITH DF1=
2 AND DF2= 25 P-VALUE= 0.868
FRESET(2)= 0.57569
- F WITH DF1=
4 AND DF2= 23 P-VALUE= 0.683
FRESET(3)= 0.43354
- F WITH DF1=
6 AND DF2= 21 P-VALUE= 0.848
|_* BG test including first observation (make sure to set the missing ulag value
to zero)
|_genr ulag1=lag(uhat,1)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_smpl 1 1
|_genr ulag1=0
|_smpl 1 31
|_stat uhat ulag1 lpr lwg unsug
NAME
N
MEAN
ST. DEV
VARIANCE
MINIMUM
UHAT
31 0.89534E-18 0.25615
0.65615E-01 -0.41118
ULAG1
31 -0.41044E-02 0.25507
0.65058E-01 -0.41118
LPR
31
3.3303
0.21151
0.44738E-01
2.8998
LWG
31
4.4747
0.28305E-01 0.80118E-03
4.4405
UNSUG
31
10.254
2.0052
4.0210
7.2250
|_?ols uhat ulag1 lpr lwg unsug
|_gen1 bg=$n*$r2
..NOTE..CURRENT VALUE OF $N
=
31.000
..NOTE..CURRENT VALUE OF $R2 = 0.35621
|_print bg
BG
11.04252
|_* BG test dropping first observation
|_smpl 2 31
|_stat uhat ulag1 lpr lwg unsug
NAME
N
MEAN
ST. DEV
VARIANCE
MINIMUM
UHAT
30 0.87431E-02 0.25579
0.65426E-01 -0.41118
ULAG1
30 -0.42412E-02 0.25942
0.67301E-01 -0.41118
LPR
30
3.3325
0.21476
0.46121E-01
2.8998
LWG
30
4.4752
0.28648E-01 0.82073E-03
4.4405
UNSUG
30
10.257
2.0394
4.1593
7.2250
|_?ols uhat ulag1 lpr lwg unsug
|_gen1 bg=$n*$r2
..NOTE..CURRENT VALUE OF $N
=
30.000
..NOTE..CURRENT VALUE OF $R2 = 0.36368
|_print bg
BG
10.91035
|_* make sure to reset sample before using auto command
|_smpl 1 31
|_auto lq lpr lwg unsug / rstat resid=newuhat
REQUIRED MEMORY IS PAR=
11 CURRENT PAR=
11000
DEPENDENT VARIABLE = LQ
..NOTE..R-SQUARE,ANOVA,RESIDUALS DONE ON ORIGINAL VARS
LEAST SQUARES ESTIMATION
31 OBSERVATIONS
BY COCHRANE-ORCUTT TYPE PROCEDURE WITH CONVERGENCE = 0.00100
ITERATION
1
2
3
4
5
6
LOG L.F. =
RHO
RHO
0.00000
0.57104
0.64798
0.66407
0.66737
0.66804
5.94009
ESTIMATE
0.66804
LOG L.F.
-1.25769
5.76603
5.93972
5.94158
5.94040
5.94009
AT RHO =
ASYMPTOTIC
VARIANCE
0.01786
0.66804
ASYMPTOTIC
ST.ERROR
0.13365
ASYMPTOTIC
T-RATIO
4.99849
SSE
1.9685
1.2354
1.2157
1.2141
1.2139
1.2139
MAXIMUM
0.50265
0.50265
3.7558
4.5424
14.700
MAXIMUM
0.50265
0.50265
3.7558
4.5424
14.700
R-SQUARE =
0.8269
R-SQUARE ADJUSTED =
0.8077
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.44958E-01
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.21203
SUM OF SQUARED ERRORS-SSE=
1.2139
MEAN OF DEPENDENT VARIABLE =
8.2313
LOG OF THE LIKELIHOOD FUNCTION = 5.94009
MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)
AKAIKE (1969) FINAL PREDICTION ERROR - FPE =
0.50759E-01
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -2.9821
SCHWARZ (1978) CRITERION - LOG SC =
-2.7971
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV =
0.51618E-01
HANNAN AND QUINN (1979) CRITERION =
0.53837E-01
RICE (1984) CRITERION =
0.52777E-01
SHIBATA (1981) CRITERION =
0.49262E-01
SCHWARZ (1978) CRITERION - SC =
0.60988E-01
AKAIKE (1974) INFORMATION CRITERION - AIC =
0.50686E-01
REGRESSION
ERROR
TOTAL
ANALYSIS OF VARIANCE - FROM MEAN
SS
DF
MS
5.7991
3.
1.9330
1.2139
27.
0.44958E-01
7.0130
30.
0.23377
REGRESSION
ERROR
TOTAL
ANALYSIS OF VARIANCE - FROM ZERO
SS
DF
MS
2106.2
4.
526.55
1.2139
27.
0.44958E-01
2107.4
31.
67.981
VARIABLE
ESTIMATED STANDARD
T-RATIO
NAME
COEFFICIENT
ERROR
27 DF
LPR
-0.65922
0.2571
-2.564
LWG
5.5088
2.169
2.540
UNSUG
-0.14880
0.3758E-01 -3.960
CONSTANT -12.706
9.845
-1.291
PARTIAL STANDARDIZED ELASTICITY
P-VALUE CORR. COEFFICIENT AT MEANS
0.016-0.442
-0.2884
-0.2667
0.017 0.439
0.3225
2.9946
0.000-0.606
-0.6171
-0.1854
0.208-0.241
0.0000
-1.5436
DURBIN-WATSON = 2.2028
VON NEUMANN RATIO = 2.2762
RHO = -0.12189
RESIDUAL SUM = 0.13785
RESIDUAL VARIANCE = 0.45662E-01
SUM OF ABSOLUTE ERRORS=
5.0926
R-SQUARE BETWEEN OBSERVED AND PREDICTED = 0.8244
RUNS TEST:
16 RUNS,
17 POS,
0 ZERO,
14 NEG NORMAL STATISTIC = -0.1309
DURBIN H STATISTIC (ASYMPTOTIC NORMAL) = -1.0159
MODIFIED FOR AUTO ORDER=1
|_* when using the auto command, use the test command for all F tests
|_test
|_test lpr=0
|_test lwg=0
|_test unsug=0
|_end
F STATISTIC =
8.5141123
WITH
3 AND
27 D.F. P-VALUE= 0.00038
WALD CHI-SQUARE STATISTIC =
25.542337
WITH
3 D.F. P-VALUE= 0.00001
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.11745
|_* double check to make sure that there is no autocorrelation in your
transformed model
|_genr newulag1=lag(newuhat,1)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_smpl 1 1
|_genr newulag1=0
|_* BG test including first observation
|_smpl 1 31
|_?ols newuhat newulag1 lpr lwg unsug
|_gen1 bg=$n*$r2
..NOTE..CURRENT VALUE OF $N
=
31.000
..NOTE..CURRENT VALUE OF $R2 = 0.17331E-01
|_print bg
BG
0.5372603
|_* BG test dropping first observation
|_smpl 2 31
|_?ols newuhat newulag1 lpr lwg unsug
|_gen1 bg=$n*$r2
..NOTE..CURRENT VALUE OF $N
=
30.000
..NOTE..CURRENT VALUE OF $R2 = 0.17949E-01
|_print bg
BG
0.5384604
|_stop