INTRODUCTORY ECONOMETRICS – REPLICATING EXAMPLES
Chapter 10 Time Series
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name: SN
log: ~Wooldridge\intro-econx\iexample10.smcl
log type: smcl
opened on: 14 Jan 2019, 15:34:49
. **********************************************
. * Solomon Negash - Replicating Examples
. * Wooldridge (2016). Introductory Econometrics: A Modern Approach. 6th ed.
. * STATA Program, version 15.1.
. * Chapter 10 Basic Regression Analysis with Time Series Data
. * Computer Exercises (Examples)
. ******************** SETUP *********************
. *Example 10.1. Static Phillips Curve
. u phillips, clear
. 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
------------------------------------------------------------------------------
. *Example 10.2. Effects of Inflation and Deficits on Interest Rates
. bcuse intdef, clear
Contains data from http://fmwww.bc.edu/ec-p/data/wooldridge/intdef.dta
obs: 56
vars: 13 25 Jul 2005 15:25
size: 2,632
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storage display value
variable name type format label variable label
------------------------------------------------------------------------------------------
year int %9.0g 1948 to 2003
i3 float %9.0g 3 month T-bill rate
inf float %9.0g CPI inflation rate
rec float %9.0g federal receipts, % GDP
out float %9.0g federal outlays, % GDP
def float %9.0g out - rec
i3_1 float %9.0g i3[_n-1]
inf_1 float %9.0g inf[_n-1]
def_1 float %9.0g def[_n-1]
ci3 float %9.0g i3 - i3_1
cinf float %9.0g inf - inf_1
cdef float %9.0g def - def_1
y77 byte %9.0g =1 if year >= 1977; change in FY
------------------------------------------------------------------------------------------
Sorted by:
. reg i3 inf def
Source | SS df MS Number of obs = 56
-------------+---------------------------------- F(2, 53) = 40.09
Model | 272.420338 2 136.210169 Prob > F = 0.0000
Residual | 180.054275 53 3.39725047 R-squared = 0.6021
-------------+---------------------------------- Adj R-squared = 0.5871
Total | 452.474612 55 8.22681113 Root MSE = 1.8432
------------------------------------------------------------------------------
i3 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
inf | .6058659 .0821348 7.38 0.000 .4411243 .7706074
def | .5130579 .1183841 4.33 0.000 .2756095 .7505062
_cons | 1.733266 .431967 4.01 0.000 .8668497 2.599682
------------------------------------------------------------------------------
. display _b[inf]
.60586586
. *Example 10.3. Puerto Rican Employment and the Minimum Wage
. u prminwge, clear
. reg lprepop lmincov lusgnp
Source | SS df MS Number of obs = 38
-------------+---------------------------------- F(2, 35) = 34.04
Model | .211258366 2 .105629183 Prob > F = 0.0000
Residual | .108600151 35 .003102861 R-squared = 0.6605
-------------+---------------------------------- Adj R-squared = 0.6411
Total | .319858518 37 .008644825 Root MSE = .0557
------------------------------------------------------------------------------
lprepop | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lmincov | -.1544442 .0649015 -2.38 0.023 -.2862011 -.0226872
lusgnp | -.0121888 .0885134 -0.14 0.891 -.1918806 .167503
_cons | -1.054423 .7654065 -1.38 0.177 -2.60828 .4994351
------------------------------------------------------------------------------
. *Example 10.4. Effects of Personal Exemption on Fertility Rates
. u fertil3, clear
. reg gfr pe ww2 pill
Source | SS df MS Number of obs = 72
-------------+---------------------------------- F(3, 68) = 20.38
Model | 13183.6215 3 4394.54049 Prob > F = 0.0000
Residual | 14664.2739 68 215.651087 R-squared = 0.4734
-------------+---------------------------------- Adj R-squared = 0.4502
Total | 27847.8954 71 392.223879 Root MSE = 14.685
------------------------------------------------------------------------------
gfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
pe | .08254 .0296462 2.78 0.007 .0233819 .1416981
ww2 | -24.2384 7.458253 -3.25 0.002 -39.12111 -9.355684
pill | -31.59403 4.081068 -7.74 0.000 -39.73768 -23.45039
_cons | 98.68176 3.208129 30.76 0.000 92.28003 105.0835
------------------------------------------------------------------------------
. reg gfr pe pe_1 pe_2 ww2 pill
Source | SS df MS Number of obs = 70
-------------+---------------------------------- F(5, 64) = 12.73
Model | 12959.7886 5 2591.95772 Prob > F = 0.0000
Residual | 13032.6443 64 203.635067 R-squared = 0.4986
-------------+---------------------------------- Adj R-squared = 0.4594
Total | 25992.4329 69 376.701926 Root MSE = 14.27
------------------------------------------------------------------------------
gfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
pe | .0726718 .1255331 0.58 0.565 -.1781094 .323453
pe_1 | -.0057796 .1556629 -0.04 0.970 -.316752 .3051929
pe_2 | .0338268 .1262574 0.27 0.790 -.2184013 .286055
ww2 | -22.1265 10.73197 -2.06 0.043 -43.56608 -.6869196
pill | -31.30499 3.981559 -7.86 0.000 -39.25907 -23.35091
_cons | 95.8705 3.281957 29.21 0.000 89.31403 102.427
------------------------------------------------------------------------------
. display _b[pe] + _b[pe_1] + _b[pe_2]
.10071909
. *Example 10.5. Antidumping Filings and Chemical Imports
. u barium, clear
. reg lchnimp lchempi lgas lrtwex befile6 affile6 afdec6
Source | SS df MS Number of obs = 131
-------------+---------------------------------- F(6, 124) = 9.06
Model | 19.4051607 6 3.23419346 Prob > F = 0.0000
Residual | 44.2470875 124 .356831351 R-squared = 0.3049
-------------+---------------------------------- Adj R-squared = 0.2712
Total | 63.6522483 130 .489632679 Root MSE = .59735
------------------------------------------------------------------------------
lchnimp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lchempi | 3.117193 .4792021 6.50 0.000 2.168718 4.065668
lgas | .1963504 .9066172 0.22 0.829 -1.598099 1.9908
lrtwex | .9830183 .4001537 2.46 0.015 .1910022 1.775034
befile6 | .0595739 .2609699 0.23 0.820 -.4569585 .5761064
affile6 | -.0324064 .2642973 -0.12 0.903 -.5555249 .490712
afdec6 | -.565245 .2858352 -1.98 0.050 -1.130993 .0005028
_cons | -17.803 21.04537 -0.85 0.399 -59.45769 23.85169
------------------------------------------------------------------------------
. display 100*(exp(_b[afdec6]) -1)
-43.177908
. *Example 10.6. Election Outcomes and Economic Performance
. u fair, clear
. reg demvote partyWH incum c.partyWH#c.gnew c.partyWH#c.inf if year<1996
Source | SS df MS Number of obs = 20
-------------+---------------------------------- F(4, 15) = 7.37
Model | .072465402 4 .018116351 Prob > F = 0.0017
Residual | .036853881 15 .002456925 R-squared = 0.6629
-------------+---------------------------------- Adj R-squared = 0.5730
Total | .109319283 19 .005753646 Root MSE = .04957
-----------------------------------------------------------------------------------
demvote | Coef. Std. Err. t P>|t| [95% Conf. Interval]
------------------+----------------------------------------------------------------
partyWH | -.0434752 .040459 -1.07 0.300 -.1297114 .0427611
incum | .0543902 .0234166 2.32 0.035 .004479 .1043015
|
c.partyWH#c.gnews | .0108466 .0041267 2.63 0.019 .0020508 .0196424
|
c.partyWH#c.inf | -.0077017 .0032567 -2.36 0.032 -.0146432 -.0007602
|
_cons | .481062 .0122631 39.23 0.000 .4549238 .5072002
-----------------------------------------------------------------------------------
. display _b[_cons] + _b[partyWH] + _b[incum] + _b[c.partyWH#c.gnew]*3 + _b[c.partyWH#c.inf]*3.019.5012655
. *Example 10.7. Housing Investment and Prices
. u hseinv, clear
. reg linvpc lprice
Source | SS df MS Number of obs = 42
-------------+---------------------------------- F(1, 40) = 10.53
Model | .254364468 1 .254364468 Prob > F = 0.0024
Residual | .966255566 40 .024156389 R-squared = 0.2084
-------------+---------------------------------- Adj R-squared = 0.1886
Total | 1.22062003 41 .02977122 Root MSE = .15542
------------------------------------------------------------------------------
linvpc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lprice | 1.240943 .3824192 3.24 0.002 .4680452 2.013841
_cons | -.5502345 .0430266 -12.79 0.000 -.6371945 -.4632746
------------------------------------------------------------------------------
. reg linvpc lprice t
Source | SS df MS Number of obs = 42
-------------+---------------------------------- F(2, 39) = 10.08
Model | .415945108 2 .207972554 Prob > F = 0.0003
Residual | .804674927 39 .02063269 R-squared = 0.3408
-------------+---------------------------------- Adj R-squared = 0.3070
Total | 1.22062003 41 .02977122 Root MSE = .14364
------------------------------------------------------------------------------
linvpc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lprice | -.3809612 .6788352 -0.56 0.578 -1.754035 .9921125
t | .0098287 .0035122 2.80 0.008 .0027246 .0169328
_cons | -.9130595 .1356133 -6.73 0.000 -1.187363 -.6387557
------------------------------------------------------------------------------
. *Example 10.8. Fertility Equation
. u fertil3, clear
. reg gfr pe ww2 pill t
Source | SS df MS Number of obs = 72
-------------+---------------------------------- F(4, 67) = 32.84
Model | 18441.2357 4 4610.30894 Prob > F = 0.0000
Residual | 9406.65967 67 140.397905 R-squared = 0.6622
-------------+---------------------------------- Adj R-squared = 0.6420
Total | 27847.8954 71 392.223879 Root MSE = 11.849
------------------------------------------------------------------------------
gfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
pe | .2788778 .0400199 6.97 0.000 .1989978 .3587578
ww2 | -35.59228 6.297377 -5.65 0.000 -48.1619 -23.02266
pill | .9974479 6.26163 0.16 0.874 -11.50082 13.49571
t | -1.149872 .1879038 -6.12 0.000 -1.524929 -.7748145
_cons | 111.7694 3.357765 33.29 0.000 105.0673 118.4716
------------------------------------------------------------------------------
. reg gfr pe ww2 pill t tsq
Source | SS df MS Number of obs = 72
-------------+---------------------------------- F(5, 66) = 35.09
Model | 20236.3981 5 4047.27961 Prob > F = 0.0000
Residual | 7611.49734 66 115.325717 R-squared = 0.7267
-------------+---------------------------------- Adj R-squared = 0.7060
Total | 27847.8954 71 392.223879 Root MSE = 10.739
------------------------------------------------------------------------------
gfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
pe | .3478126 .0402599 8.64 0.000 .2674311 .428194
ww2 | -35.88028 5.707921 -6.29 0.000 -47.27651 -24.48404
pill | -10.11972 6.336094 -1.60 0.115 -22.77014 2.530696
t | -2.531426 .3893863 -6.50 0.000 -3.308861 -1.753991
tsq | .0196126 .004971 3.95 0.000 .0096876 .0295377
_cons | 124.0919 4.360738 28.46 0.000 115.3854 132.7984
------------------------------------------------------------------------------
. *Example 10.9. Puerto Rican Employment
. u prminwge, clear
. reg lprepop lmincov lusgnp t
Source | SS df MS Number of obs = 38
-------------+---------------------------------- F(3, 34) = 62.78
Model | .270948453 3 .090316151 Prob > F = 0.0000
Residual | .048910064 34 .001438531 R-squared = 0.8471
-------------+---------------------------------- Adj R-squared = 0.8336
Total | .319858518 37 .008644825 Root MSE = .03793
------------------------------------------------------------------------------
lprepop | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lmincov | -.1686949 .0442463 -3.81 0.001 -.2586142 -.0787757
lusgnp | 1.057351 .1766369 5.99 0.000 .6983813 1.41632
t | -.0323542 .0050227 -6.44 0.000 -.0425616 -.0221468
_cons | -8.696298 1.295764 -6.71 0.000 -11.32961 -6.062988
------------------------------------------------------------------------------
. *Example 10.10. Housing Investment
. u hseinv, clear
. reg linvpc lprice t
Source | SS df MS Number of obs = 42
-------------+---------------------------------- F(2, 39) = 10.08
Model | .415945108 2 .207972554 Prob > F = 0.0003
Residual | .804674927 39 .02063269 R-squared = 0.3408
-------------+---------------------------------- Adj R-squared = 0.3070
Total | 1.22062003 41 .02977122 Root MSE = .14364
------------------------------------------------------------------------------
linvpc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lprice | -.3809612 .6788352 -0.56 0.578 -1.754035 .9921125
t | .0098287 .0035122 2.80 0.008 .0027246 .0169328
_cons | -.9130595 .1356133 -6.73 0.000 -1.187363 -.6387557
------------------------------------------------------------------------------
. qui reg linvpc t
. predict uh, res
. eststo Detrended: qui reg uh lprice t
. eststo Trended: qui reg linvpc lprice t
. estout , cells(b(nostar fmt(4)) se(par fmt(4))) stats(r2 r2_a N, fmt(%9.3f %9.3f %9.0g) ///
labels(R-squared Adj-R-squared N)) varlabels(_cons intercept) varwidth(20) ti(Dependent ///
Variables: log(invpc))
Dependent Variables: log(invpc)
----------------------------------------------
Detrended Trended
b/se b/se
----------------------------------------------
lprice -0.3810 -0.3810
(0.6788) (0.6788)
t 0.0017 0.0098
(0.0035) (0.0035)
intercept -0.0718 -0.9131
(0.1356) (0.1356)
----------------------------------------------
R-squared 0.008 0.341
Adj-R-squared -0.043 0.307
N 42 42
----------------------------------------------
. est clear
. *Example 10.11. Effects of Antidumping Filings
. u barium, clear
. reg lchnimp lchempi lgas lrtwex befile6 affile6 afdec6 feb-dec
Source | SS df MS Number of obs = 131
-------------+---------------------------------- F(17, 113) = 3.71
Model | 22.8083523 17 1.34166778 Prob > F = 0.0000
Residual | 40.843896 113 .361450407 R-squared = 0.3583
-------------+---------------------------------- Adj R-squared = 0.2618
Total | 63.6522483 130 .489632679 Root MSE = .60121
------------------------------------------------------------------------------
lchnimp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lchempi | 3.26506 .4929302 6.62 0.000 2.288476 4.241644
lgas | -1.278121 1.389008 -0.92 0.359 -4.029997 1.473755
lrtwex | .6630496 .4713038 1.41 0.162 -.2706882 1.596787
befile6 | .1397024 .2668075 0.52 0.602 -.3888914 .6682962
affile6 | .0126317 .2786866 0.05 0.964 -.5394967 .5647601
afdec6 | -.5213006 .30195 -1.73 0.087 -1.119518 .0769168
feb | -.4177089 .3044445 -1.37 0.173 -1.020868 .1854505
mar | .0590528 .2647308 0.22 0.824 -.4654266 .5835322
apr | -.4514825 .2683865 -1.68 0.095 -.9832046 .0802396
may | .0333085 .2692425 0.12 0.902 -.5001093 .5667264
jun | -.2063321 .2692515 -0.77 0.445 -.7397679 .3271038
jul | .0038354 .2787665 0.01 0.989 -.5484513 .5561222
aug | -.1570652 .2779928 -0.56 0.573 -.7078191 .3936887
sep | -.1341606 .2676556 -0.50 0.617 -.6644348 .3961135
oct | .0516921 .2668512 0.19 0.847 -.4769883 .5803725
nov | -.24626 .2628272 -0.94 0.351 -.766968 .274448
dec | .1328368 .2714234 0.49 0.626 -.4049019 .6705755
_cons | 16.77877 32.42865 0.52 0.606 -47.46824 81.02577
------------------------------------------------------------------------------
. test feb mar apr may jun jul aug sep oct nov dec
( 1) feb = 0
( 2) mar = 0
( 3) apr = 0
( 4) may = 0
( 5) jun = 0
( 6) jul = 0
( 7) aug = 0
( 8) sep = 0
( 9) oct = 0
(10) nov = 0
(11) dec = 0
F( 11, 113) = 0.86
Prob > F = 0.5852
. reg lchnimp lchempi lgas lrtwex befile6 affile6 afdec6 spr sum fall
Source | SS df MS Number of obs = 131
-------------+---------------------------------- F(9, 121) = 6.03
Model | 19.7126415 9 2.19029349 Prob > F = 0.0000
Residual | 43.9396068 121 .363137247 R-squared = 0.3097
-------------+---------------------------------- Adj R-squared = 0.2583
Total | 63.6522483 130 .489632679 Root MSE = .60261
------------------------------------------------------------------------------
lchnimp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lchempi | 3.077933 .4861354 6.33 0.000 2.1155 4.040367
lgas | .5650851 1.000208 0.56 0.573 -1.41509 2.54526
lrtwex | 1.101474 .4246085 2.59 0.011 .2608498 1.942099
befile6 | .0766913 .2650022 0.29 0.773 -.4479504 .6013329
affile6 | -.0832898 .2728272 -0.31 0.761 -.6234233 .4568437
afdec6 | -.6211993 .2954242 -2.10 0.038 -1.206069 -.0363292
spr | -.0412246 .1511745 -0.27 0.786 -.3405145 .2580652
sum | -.1519034 .169261 -0.90 0.371 -.4870002 .1831935
fall | -.0672783 .1544774 -0.44 0.664 -.373107 .2385504
_cons | -26.52188 23.29748 -1.14 0.257 -72.64538 19.60162
------------------------------------------------------------------------------
. test spr sum fall
( 1) spr = 0
( 2) sum = 0
( 3) fall = 0
F( 3, 121) = 0.28
Prob > F = 0.8381
. log close
name: SN
log: ~Wooldridge\intro-econx\iexample10.smcl
log type: smcl
closed on: 14 Jan 2019, 15:34:50
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