EC 395 Assinment 3 Assinment 3
Q1
a)
̂ 𝑡 = −0.609 + 0.7851𝑙𝑛_𝑖𝑛𝑐𝑜𝑚𝑒𝑡 + 0.246𝑙𝑛_𝑤𝑒𝑎𝑙𝑡ℎ𝑡 + 𝑢1𝑡
𝑙𝑛_𝑝𝑐𝑒
N=263
R2=0.998
̂ 𝑡 = −2.146 + 0.312𝑙𝑛_𝑔𝑑𝑝𝑡 + 0.877𝑙𝑛_𝑝𝑝𝑖𝑡 − 0.007𝑡𝑏3𝑚𝑠𝑡 + 𝑢2𝑡
𝑙𝑛_𝑐𝑝𝑖
N=288
R2=0.9953
b)
𝜏Stat
Variable name
ln_pce
ln_income
ln_wealth
ln_cpi
ln_ppi
ln_gdp
tb3ms
4.800
5.224
3.153
3.292
3.060
5.944
-1.268
5% Critical
-1.950
-1.950
-1.950
-1.950
-1.950
-1.950
-1.950
Unit Root (not
stationary)
Y
Y
Y
Y
Y
Y
Y
c)
𝜏Stat
Variable name
∆ln_pce
∆ln_income
∆ln_wealth
∆ln_cpi
∆ln_ppi
∆ln_gdp
∆tb3ms
-4.160
-4.574
-5.092
-2.695
-5.295
-4.310
-5.835
5% Critical
-1.950
-1.950
-1.950
-1.950
-1.950
-1.950
-1.950
Unit Root (not
stationary)
N
N
N
N
N
N
N
d)
H0: u has unit root
H1: u has no unit root
Leval of significance = 0.01
T stat is smaller than we reject the null hypothesis an conclude that there is long run
relationship (cointegration)among these variables.
e)
H0: u has unit root
H1: u has no unit root
Leval of significance = 0.01
T stat is bigger than t stat, so we accept the null hypothesis an conclude that there is no
cointegration among these variables.
f)
̂ 𝑡 = 0.690 − 0.1054∆𝑙𝑛_𝑔𝑑𝑝𝑡 + 0.3369∆𝑙𝑛_𝑝𝑝𝑖𝑡 − 0.01578∆𝑡𝑏3𝑚𝑠𝑡 + 𝑢2𝑡
∆𝑙𝑛_𝑐𝑝𝑖
N=287
R2= 0.5403