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4-07

Thursday August 18 17:53:31 2011

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Statistics/Data Analysis
User: sohan
Project: stata

G:\ECON-1096\04.07.smcl
smcl
4 Jul 2011, 09:46:58

log:
log type:
opened on:

1 . webuse urates
2 . des
Contains data from http://www.stata-press.com/data/r9/urates.dta
312
obs:
7
1 May 2005 12:58
vars:
9,360 (99.9% of memory free)
size:
(_dta has notes)
>
variable name
>
t
tenn
missouri
kentucky
indiana
illinois
arkansas

storage
type

int
float
float
float
float
float
float

>
Sorted by:

display
format

value
label

variable label

%tm
%9.0g
%9.0g
%9.0g
%9.0g
%9.0g
%9.0g

3 . tsset t
time variable:

t, 1978m1 to 2003m12

4 . tsline tenn missouri kentucky indiana


5 . *from the tsline we can see all the data is similar, the question is whethe
> r this is stationary nor not?
6 . dfuller tenn, lags(1) reg constant trend
Augmented Dickey-Fuller test for unit root
> 0

Number of obs

31

Interpolated Dickey-Fuller
>
Test

1% Critical

5% Critical

10% Critica

> l
Statistic

Value

Value

Value

>
-1.807

Z(t)
> 0

-3.988

-3.428

-3.13

>
MacKinnon approximate p-value for Z(t) = 0.7015

>
D.tenn
> ]

Coef.

Std. Err.

P>|t|

[95% Conf. Interval

>
tenn
L1.

-.0110596

.0061215

-1.81

0.072

-.0231052

.000985

LD.

.337513

.0536331

6.29

0.000

.2319766

.443049

_trend

-.000219

.0001421

-1.54

0.124

-.0004986

.000060

_cons

.1038882

.0569852

1.82

0.069

-.0082443

.216020

> 9
> 4
> 6
> 6
>

4-07

Thursday August 18 17:53:31 2011

Page 2

7 . *trend is not significant


8 . pperron tenn
Phillips-Perron test for unit root
> 1

Number of obs

31

Newey-West lags =
> 5
Interpolated Dickey-Fuller
>
Test

1% Critical

5% Critical

10% Critica

> l
Statistic

Value

Value

Value

-2.869

-20.349

-14.000

-11.20

-1.191

-3.455

-2.878

-2.57

>
Z(rho)
> 0
Z(t)
> 0

>
MacKinnon approximate p-value for Z(t) = 0.6773
9 . * we cannt reject unit root
10 . kpss tenn
KPSS test for tenn
Maxlag = 15 chosen by Schwert criterion
Autocovariances weighted by Bartlett kernel
Critical values for H0: tenn is trend stationary
10%: 0.119
Lag order
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

5% : 0.146

2.5%: 0.176

1% : 0.216

Test statistic
1.6
.807
.542
.409
.33
.277
.239
.211
.19
.173
.159
.147
.138
.129
.122
.116

11 . dfuller kentucky, lags(1) reg constant trend


Augmented Dickey-Fuller test for unit root
> 0

Number of obs

31

Interpolated Dickey-Fuller
>
Test

1% Critical

5% Critical

10% Critica

> l
Statistic

Value

Value

Value

>
Z(t)
> 0

-2.535

-3.988

>
MacKinnon approximate p-value for Z(t) = 0.3109

-3.428

-3.13

4-07

Thursday August 18 17:53:31 2011

>
D.kentucky
> ]

Coef.

Page 3

Std. Err.

P>|t|

[95% Conf. Interval

>
kentucky
L1.

-.019513

.0076985

-2.53

0.012

-.0346616

-.004364

LD.

.1116228

.056275

1.98

0.048

.0008879

.222357

_trend

-.0004621

.0001748

-2.64

0.009

-.0008062

-.000118

_cons

.2073268

.0743693

2.79

0.006

.0609868

.353666

> 3
> 8
> 1
> 8
>
12 . * seems that the trend is significant
13 . pperron kentucky
Phillips-Perron test for unit root
> 1

Number of obs

31

Newey-West lags =
> 5
Interpolated Dickey-Fuller
>
Test

1% Critical

5% Critical

10% Critica

> l
Statistic

Value

Value

Value

-3.428

-20.349

-14.000

-11.20

-1.331

-3.455

-2.878

-2.57

>
Z(rho)
> 0
Z(t)
> 0

>
MacKinnon approximate p-value for Z(t) = 0.6148
14 . *
15 . kpss

kentucky

KPSS test for kentucky


Maxlag = 15 chosen by Schwert criterion
Autocovariances weighted by Bartlett kernel
Critical values for H0: kentucky is trend stationary
10%: 0.119
Lag order
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

5% : 0.146

2.5%: 0.176

Test statistic
2.46
1.24
.835
.631
.509
.429
.371
.328
.295
.269
.247
.23
.215
.202
.191
.182

1% : 0.216

4-07
16
17
18
19

Thursday August 18 17:53:31 2011

Page 4

.
. *non stationary
. *now we need to test the co-intregrated stationarity
. vecrank tenn missouri kentucky indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
3
4

parms
20
27
32
35
36

LL
441.77697
456.26487
462.51334
466.90146
469.76168

eigenvalue
.
0.08923
0.03951
0.02791
0.01828

5%
trace
critical
statistic
value
55.9694
47.21
26.9936*
29.68
14.4967
15.41
5.7204
3.76

>
20 . *we need to look at trace statistics
21 . *if trace statistics is less than critical value we reject the null hyypoth
> esis
22 . *null hypotheis is that, the rank is zero
23 . *that means no co-integration relationship
24 . * here 'star' marks tells about the last rejection
25 . *because the sum is still greater than the critical value
26 . vecrank tenn missouri kentucky illinois
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
3
4

parms
20
27
32
35
36

LL
417.35599
425.5047
432.80214
438.07968
439.37153

eigenvalue
.
0.05121
0.04599
0.03348
0.00830

5%
trace
critical
statistic
value
44.0311*
47.21
27.7337
29.68
13.1388
15.41
2.5837
3.76

>
27 . vecrank

tenn missouri kentucky

illinois arkansas

Johansen tests for cointegration


>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
3
4
5
>

parms
30
39
46
51
54
55

LL
660.887
671.08085
678.60311
684.29493
689.39476
690.05051

eigenvalue
.
0.06365
0.04737
0.03606
0.03237
0.00422

5%
trace
critical
statistic
value
58.3270*
68.52
37.9393
47.21
22.8948
29.68
11.5112
15.41
1.3115
3.76

4-07

Thursday August 18 17:53:31 2011

Page 5

28 . * seems there is no co-integrated relationship at all


29 . vecrank tenn missouri kentucky
indiana illinois arkansas
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
3
4
5
6

parms
42
53
62
69
74
77
78

LL
771.92443
786.89514
799.92805
807.11894
813.68348
818.04082
818.81471

eigenvalue
.
0.09207
0.08065
0.04533
0.04147
0.02772
0.00498

5%
trace
critical
statistic
value
93.7806*
94.15
63.8391
68.52
37.7733
47.21
23.3915
29.68
10.2625
15.41
1.5478
3.76

>
30 . * seems there is no co-integrated relationship at all
31 . vecrank tenn missouri kentucky
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
3

parms
12
17
20
21

LL
333.46828
340.72399
346.19387
347.46829

eigenvalue
.
0.04573
0.03467
0.00819

5%
trace
critical
statistic
value
28.0000*
29.68
13.4886
15.41
2.5488
3.76

>
32 . * seems there is no co-integrated relationship either
33 . * so only if we include indiana there is con-integrated relationship for mo
> re than two variables
34 . *lets do the test for two variables
35 . vecrank tenn missouri indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
3
>

parms
12
17
20
21

LL
350.08081
363.15896
368.16269
369.80679

eigenvalue
.
0.08091
0.03177
0.01055

5%
trace
critical
statistic
value
39.4520
29.68
13.2957*
15.41
3.2882
3.76

4-07

Thursday August 18 17:53:31 2011

36 . vecrank

tenn missouri

Page 6

indiana arkansas

Johansen tests for cointegration


>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
3
4

parms
20
27
32
35
36

LL
587.17449
600.99656
608.14221
611.59035
612.45775

eigenvalue
.
0.08531
0.04505
0.02200
0.00558

5%
trace
critical
statistic
value
50.5665
47.21
22.9224*
29.68
8.6311
15.41
1.7348
3.76

>
37 . * hence we can say for these 4 states the unemployement rate looks similar
38 . tab indiana
indiana

Freq.

Percent

Cum.

2.8
2.9
3
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
4
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
4.9
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
5.8
5.9
6
6.1
6.2
6.3
6.4
6.5
6.6
6.7
6.8
6.9
7
7.2
7.3
7.4
7.6

6
2
4
7
7
8
4
8
2
4
1
3
2
1
2
1
5
5
8
8
6
11
11
14
13
10
5
7
8
7
5
5
8
1
2
3
3
3
12
2
3
7
3
2
2
1
1

1.92
0.64
1.28
2.24
2.24
2.56
1.28
2.56
0.64
1.28
0.32
0.96
0.64
0.32
0.64
0.32
1.60
1.60
2.56
2.56
1.92
3.53
3.53
4.49
4.17
3.21
1.60
2.24
2.56
2.24
1.60
1.60
2.56
0.32
0.64
0.96
0.96
0.96
3.85
0.64
0.96
2.24
0.96
0.64
0.64
0.32
0.32

1.92
2.56
3.85
6.09
8.33
10.90
12.18
14.74
15.38
16.67
16.99
17.95
18.59
18.91
19.55
19.87
21.47
23.08
25.64
28.21
30.13
33.65
37.18
41.67
45.83
49.04
50.64
52.88
55.45
57.69
59.29
60.90
63.46
63.78
64.42
65.38
66.35
67.31
71.15
71.79
72.76
75.00
75.96
76.60
77.24
77.56
77.88

4-07

Thursday August 18 17:53:31 2011


7.8
7.9
8
8.1
8.2
8.3
8.4
8.5
8.6
8.7
8.8
8.9
9
9.4
9.5
9.6
9.7
9.8
9.9
10
10.1
10.2
10.4
10.5
10.8
10.9
11
11.1
11.3
11.5
11.6
11.7
11.8
11.9
12
12.2
12.3
12.4
12.7

1
2
1
2
4
2
4
1
1
2
1
1
2
1
2
4
2
2
2
1
2
1
1
3
1
2
2
1
1
2
1
4
1
3
1
2
1
1
1

0.32
0.64
0.32
0.64
1.28
0.64
1.28
0.32
0.32
0.64
0.32
0.32
0.64
0.32
0.64
1.28
0.64
0.64
0.64
0.32
0.64
0.32
0.32
0.96
0.32
0.64
0.64
0.32
0.32
0.64
0.32
1.28
0.32
0.96
0.32
0.64
0.32
0.32
0.32

Total

312

100.00

Variable

Obs

Mean

t
tenn
missouri
kentucky
indiana

312
312
312
312
312

illinois
arkansas

312
312

Page 7
78.21
78.85
79.17
79.81
81.09
81.73
83.01
83.33
83.65
84.29
84.62
84.94
85.58
85.90
86.54
87.82
88.46
89.10
89.74
90.06
90.71
91.03
91.35
92.31
92.63
93.27
93.91
94.23
94.55
95.19
95.51
96.79
97.12
98.08
98.40
99.04
99.36
99.68
100.00

39 . set more off


40 . edit
- preserve
41 . sum

42 . vecrank

tenn

indiana

Std. Dev.

Min

Max

371.5
6.339744
5.78109
6.867949
6.106731

90.21086
2.075308
1.591313
2.029192
2.413917

216
3.7
2.9
3.8
2.8

527
12.8
10.6
12.6
12.7

6.865064
6.833974

1.965563
1.676967

4.1
4.2

12.9
10.5

4-07

Thursday August 18 17:53:31 2011

Page 8

Johansen tests for cointegration


>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2

parms
6
9
10

LL
214.62212
224.47944
225.9869

eigenvalue
.
0.06162
0.00968

5%
trace
critical
statistic
value
22.7296
15.41
3.0149*
3.76

>
43 . vecrank

missouri indiana
Johansen tests for cointegration

>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2

parms
6
9
10

LL
199.67538
211.52558
212.66303

eigenvalue
.
0.07360
0.00731

5%
trace
critical
statistic
value
25.9753
15.41
2.2749*
3.76

>
44 . vecrank

kentucky indiana
Johansen tests for cointegration

>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2

parms
6
9
10

LL
132.08672
145.13704
148.16562

eigenvalue
.
0.08075
0.01935

trace
statistic
32.1578
6.0572

5%
critical
value
15.41
3.76

>
45 . vecrank kentucky indiana
Johansen tests for cointegration
>
Trend: constant
> 10
1978m3
Sample:
> 2

Number of obs =
2003m12

Lags =

>
maximum
rank
0
1
2
>

parms
6
9
10

LL
132.08672
145.13704
148.16562

eigenvalue
.
0.08075
0.01935

trace
statistic
32.1578
6.0572

5%
critical
value
15.41
3.76

4-07

Thursday August 18 17:53:31 2011

Page 9

46 . * that means if we put them togather they are stationary


47 . log close
log: G:\ECON-1096\04.07.smcl
log type: smcl
4 Jul 2011, 10:18:21
closed on:

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