----------------------------------------------------------------------------------------------------------------------- name: log: C:\Users\stata10\Documents\Philips.log log type: text opened on: 22 Nov 2022, 15:24:55 . reg inf unem Source | SS df MS Number of obs = 49 -------------+---------------------------------- F(1, 47) = 2.62 Model | 25.6369575 1 25.6369575 Prob > F = 0.1125 Residual | 460.61979 47 9.80042107 R-squared = 0.0527 -------------+---------------------------------- Adj R-squared = 0.0326 Total | 486.256748 48 10.1303489 Root MSE = 3.1306 ------------------------------------------------------------------------------ inf | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- unem | .4676257 .2891262 1.62 0.112 -.1140213 1.049273 _cons | 1.42361 1.719015 0.83 0.412 -2.034602 4.881822 ------------------------------------------------------------------------------ . predict u, res . reg u l.u time variable not set r(111); . tsset year time variable: year, 1948 to 1996 delta: 1 unit . reg u l.u Source | SS df MS Number of obs = 48 -------------+---------------------------------- F(1, 46) = 24.34 Model | 150.91704 1 150.91704 Prob > F = 0.0000 Residual | 285.198412 46 6.19996547 R-squared = 0.3460 -------------+---------------------------------- Adj R-squared = 0.3318 Total | 436.115452 47 9.27905217 Root MSE = 2.49 ------------------------------------------------------------------------------ u | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u | L1. | .5729695 .1161334 4.93 0.000 .3392052 .8067338 | _cons | -.1133967 .359404 -0.32 0.754 -.8368393 .610046 ------------------------------------------------------------------------------ . reg u l.u unem Source | SS df MS Number of obs = 48 -------------+---------------------------------- F(2, 45) = 13.83 Model | 166.049527 2 83.0247634 Prob > F = 0.0000 Residual | 270.065925 45 6.001465 R-squared = 0.3807 -------------+---------------------------------- Adj R-squared = 0.3532 Total | 436.115452 47 9.27905217 Root MSE = 2.4498 ------------------------------------------------------------------------------ u | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u | L1. | .6449037 .1229119 5.25 0.000 .3973463 .8924611 | unem | -.392975 .247479 -1.59 0.119 -.8914233 .1054734 _cons | 2.157068 1.472917 1.46 0.150 -.8095398 5.123676 ------------------------------------------------------------------------------ . newey inf unem, lag(1) Regression with Newey-West standard errors Number of obs = 49 maximum lag: 1 F( 1, 47) = 2.70 Prob > F = 0.1069 ------------------------------------------------------------------------------ | Newey-West inf | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- unem | .4676257 .2844517 1.64 0.107 -.1046173 1.039869 _cons | 1.42361 1.556447 0.91 0.365 -1.707558 4.554778 ------------------------------------------------------------------------------ . reg cinf unem Source | SS df MS Number of obs = 48 -------------+---------------------------------- F(1, 46) = 5.56 Model | 33.3830007 1 33.3830007 Prob > F = 0.0227 Residual | 276.305134 46 6.00663335 R-squared = 0.1078 -------------+---------------------------------- Adj R-squared = 0.0884 Total | 309.688135 47 6.58910925 Root MSE = 2.4508 ------------------------------------------------------------------------------ cinf | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- unem | -.5425869 .2301559 -2.36 0.023 -1.005867 -.079307 _cons | 3.030581 1.37681 2.20 0.033 .2592061 5.801955 ------------------------------------------------------------------------------ . predict u2, res (1 missing value generated) . reg u2 l.u2 unem Source | SS df MS Number of obs = 47 -------------+---------------------------------- F(2, 44) = 0.04 Model | .376722851 2 .188361426 Prob > F = 0.9575 Residual | 190.810683 44 4.33660644 R-squared = 0.0020 -------------+---------------------------------- Adj R-squared = -0.0434 Total | 191.187406 46 4.15624796 Root MSE = 2.0825 ------------------------------------------------------------------------------ u2 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u2 | L1. | -.0365715 .1259013 -0.29 0.773 -.290309 .2171659 | unem | .0154213 .1965401 0.08 0.938 -.3806792 .4115218 _cons | .1050481 1.175695 0.09 0.929 -2.264409 2.474505 ------------------------------------------------------------------------------ . prais inf unem, lag(1) option lag() not allowed r(198); . prais inf unem, lags(1) option lags() not allowed r(198); . prais inf unem Iteration 0: rho = 0.0000 Iteration 1: rho = 0.5727 Iteration 2: rho = 0.7307 Iteration 3: rho = 0.7719 Iteration 4: rho = 0.7792 Iteration 5: rho = 0.7803 Iteration 6: rho = 0.7805 Iteration 7: rho = 0.7805 Iteration 8: rho = 0.7805 Iteration 9: rho = 0.7805 Prais-Winsten AR(1) regression -- iterated estimates Source | SS df MS Number of obs = 49 -------------+---------------------------------- F(1, 47) = 7.39 Model | 37.9720609 1 37.9720609 Prob > F = 0.0092 Residual | 241.618458 47 5.14081826 R-squared = 0.1358 -------------+---------------------------------- Adj R-squared = 0.1174 Total | 279.590519 48 5.82480248 Root MSE = 2.2673 ------------------------------------------------------------------------------ inf | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- unem | -.715659 .3134522 -2.28 0.027 -1.346244 -.0850744 _cons | 8.295912 2.23143 3.72 0.001 3.806854 12.78497 -------------+---------------------------------------------------------------- rho | .7805446 ------------------------------------------------------------------------------ Durbin-Watson statistic (original) 0.802700 Durbin-Watson statistic (transformed) 1.909865 . log close name: log: C:\Users\stata10\Documents\Philips.log log type: text closed on: 22 Nov 2022, 15:54:56 -----------------------------------------------------------------------------------------------------------------------