Null Hypothesis: Unit root (individual unit root process)

Series: DATE, GOLD_PRICE_$_, G5_CURRENCY_INDEXCY,

CONSUMER_INDEX, SERIES01, DATE01, LN_ST__ST_1,
LN_GT__GT_1, LN_CT__CT_1, DESCRIPTION, DATE02,
LN_ST_1__ST_2_, LN_GT_1__GT_2, LN_CT_1__CT_2
Date: 08/02/13 Time: 20:47
Sample: 1/02/2006 12/31/2012
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Total number of observations: 16416
Cross-sections included: 9 (5 dropped)
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
135.820
-7.26352

Prob.**
0.0000
0.0000

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results UNTITLED

Series
DATE
GOLD_PRICE_$_
G5_CURRENCY_I
NDEXCY
CONSUMER_INDE
X
SERIES01
DATE01
LN_ST__ST_1
LN_GT__GT_1
LN_CT__CT_1
DESCRIPTION
DATE02
LN_ST_1__ST_2_
LN_GT_1__GT_2
LN_CT_1__CT_2

Prob.
0.8199

Lag
Max Lag
Dropped from Test
0
24

0.8528
0.9170

0.0000
0.0000
0.0001

0.0000
0.0000
0.0001

0
0
Dropped from Test
Dropped from Test
0
0
0
Dropped from Test
Dropped from Test
0
0
0

Obs
1825

24

1825

24

1825

24
24
24

1824
1824
1824

24
24
24

1823
1823
1823

Dependent Variable: LN_ST__ST_1

Method: Least Squares
Date: 08/02/13 Time: 20:49
Sample (adjusted): 1/03/2006 12/31/2012
Included observations: 1825 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LN_GT__GT_1
LN_CT__CT_1

0.829885
0.224637

0.017292
0.016898

47.99340
13.29376

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.963180
0.963160
0.002559
0.011940
8303.103
1.946062

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.000643
0.013334
-9.097099
-9.091061
-9.094872

Dependent Variable: LN_ST__ST_1

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 08/02/13 Time: 20:50
Sample (adjusted): 1/03/2006 12/31/2012
Included observations: 1825 after adjustments
Convergence achieved after 11 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

LN_GT__GT_1
LN_CT__CT_1

0.799136
0.269115

0.013163
0.012374

60.71135
21.74882

0.0000
0.0000

2.585415
6.989244
125.9761

0.0097
0.0000
0.0000

Variance Equation
C
RESID(-1)^2
GARCH(-1)

3.38E-08
0.047620
0.946768

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.962894
0.962874
0.002569
0.012033
8482.311
1.943811

1.31E-08
0.006813
0.007515

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.000643
0.013334
-9.290203
-9.275109
-9.284636

Date: 08/02/13 Time: 20:51

Sample: 1/03/2006 12/31/2012
Included observations: 1825
Autocorrelation
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Partial Correlation
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1
2
3
4
5
6
7
8
9

AC

PAC

-0.038
-0.006
-0.016
0.022
0.024
0.016
-0.015
-0.015
0.039

-0.038
-0.008
-0.017
0.021
0.025
0.018
-0.013
-0.016
0.037

Q-Stat
2.7058
2.7724
3.2387
4.1375
5.1933
5.6688
6.0977
6.5140
9.2512

Prob
0.100
0.250
0.356
0.388
0.393
0.461
0.528
0.590
0.414

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10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36

0.026
-0.045
-0.000
0.006
-0.035
0.006
0.033
0.017
-0.023
0.032
-0.036
-0.005
0.022
-0.030
-0.004
0.027
0.043
0.038
0.024
0.011
-0.012
0.014
-0.005
-0.023
-0.006
0.007
0.001

0.027
-0.044
-0.001
0.006
-0.039
0.003
0.036
0.022
-0.022
0.030
-0.031
-0.010
0.018
-0.027
-0.002
0.022
0.043
0.046
0.028
0.015
-0.006
0.005
-0.011
-0.021
-0.013
0.000
0.001

10.450
14.204
14.204
14.272
16.510
16.587
18.612
19.155
20.135
22.047
24.470
24.516
25.415
27.040
27.065
28.382
31.842
34.465
35.552
35.785
36.046
36.387
36.432
37.412
37.488
37.567
37.570

0.402
0.222
0.288
0.355
0.283
0.344
0.289
0.320
0.325
0.282
0.222
0.269
0.278
0.254
0.301
0.291
0.198
0.153
0.154
0.180
0.207
0.232
0.270
0.274
0.312
0.352
0.397

Heteroskedasticity Test: ARCH

F-statistic
Obs*R-squared

2.701665
2.700626

Prob. F(1,1822)
Prob. Chi-Square(1)

0.1004
0.1003

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 08/02/13 Time: 20:51
Sample (adjusted): 1/04/2006 12/31/2012
Included observations: 1824 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
WGT_RESID^2(-1)

1.034218
-0.038479

0.044843
0.023410

23.06311
-1.643674

0.0000
0.1004

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.001481
0.000933
1.635443
4873.254
-3484.394
2.701665
0.100416

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.995864
1.636206
3.822800
3.828840
3.825028
2.000550