You are on page 1of 4

Dependent Variable: INFLAT

Method: ARMA Maximum Likelihood (OPG - BHHH)


Date: 07/16/17 Time: 15:19
Sample: 1953Q1 1992Q3
Included observations: 159
Convergence achieved after 10 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

AR(1) 1.611017 0.055433 29.06223 0.0000


AR(2) -0.649307 0.055710 -11.65522 0.0000
SIGMASQ 0.141504 0.013825 10.23531 0.0000

R-squared 0.914458 Mean dependent var 1.799664


Adjusted R-squared 0.913361 S.D. dependent var 1.290225
S.E. of regression 0.379770 Akaike info criterion 0.946455
Sum squared resid 22.49920 Schwarz criterion 1.004359
Log likelihood -72.24318 Hannan-Quinn criter. 0.969969
Durbin-Watson stat 2.031635

Inverted AR Roots .81+.02i .81-.02i

Dependent Variable: INFLAT


Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 07/16/17 Time: 15:45
Sample: 1953Q1 1992Q3
Included observations: 159
Convergence achieved after 29 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

AR(1) 0.965470 0.020081 48.07924 0.0000


MA(1) 0.527160 0.068397 7.707336 0.0000
SIGMASQ 0.165476 0.014720 11.24142 0.0000

R-squared 0.899967 Mean dependent var 1.799664


Adjusted R-squared 0.898684 S.D. dependent var 1.290225
S.E. of regression 0.410680 Akaike info criterion 1.100827
Sum squared resid 26.31072 Schwarz criterion 1.158731
Log likelihood -84.51578 Hannan-Quinn criter. 1.124342
Durbin-Watson stat 1.691131

Inverted AR Roots .97


Inverted MA Roots -.53

Dependent Variable: INC


Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 07/16/17 Time: 15:57
Sample: 1953Q1 1992Q3
Included observations: 159
Convergence achieved after 6 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 891.8430 5.142468 173.4270 0.0000


AR(1) 0.903214 0.081422 11.09293 0.0000
AR(2) 0.056510 0.083485 0.676894 0.4995
SIGMASQ 10.97663 1.444685 7.597942 0.0000

R-squared 0.904567 Mean dependent var 891.6857


Adjusted R-squared 0.902719 S.D. dependent var 10.75856
S.E. of regression 3.355577 Akaike info criterion 5.299612
Sum squared resid 1745.284 Schwarz criterion 5.376817
Log likelihood -417.3192 Hannan-Quinn criter. 5.330964
F-statistic 489.7229 Durbin-Watson stat 2.021790
Prob(F-statistic) 0.000000

Inverted AR Roots .96 -.06

Dependent Variable: INC


Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 07/16/17 Time: 15:57
Sample: 1953Q1 1992Q3
Included observations: 159
Convergence achieved after 6 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 891.8430 5.142468 173.4270 0.0000


AR(1) 0.903214 0.081422 11.09293 0.0000
AR(2) 0.056510 0.083485 0.676894 0.4995
SIGMASQ 10.97663 1.444685 7.597942 0.0000

R-squared 0.904567 Mean dependent var 891.6857


Adjusted R-squared 0.902719 S.D. dependent var 10.75856
S.E. of regression 3.355577 Akaike info criterion 5.299612
Sum squared resid 1745.284 Schwarz criterion 5.376817
Log likelihood -417.3192 Hannan-Quinn criter. 5.330964
F-statistic 489.7229 Durbin-Watson stat 2.021790
Prob(F-statistic) 0.000000

Inverted AR Roots .96 -.06

Dependent Variable: CONS


Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 07/16/17 Time: 16:26
Sample: 1953Q1 1992Q3
Included observations: 159
Convergence achieved after 33 iterations
Coefficient covariance computed using outer product of gradients
Variable Coefficient Std. Error t-Statistic Prob.

C 875.5437 8.559628 102.2876 0.0000


AR(1) 1.155779 0.073631 15.69683 0.0000
AR(2) -0.040631 0.118629 -0.342504 0.7325
AR(3) -0.009583 0.107938 -0.088785 0.9294
AR(4) 0.016783 0.115275 0.145594 0.8844
AR(5) -0.360230 0.120880 -2.980068 0.0034
AR(6) 0.229481 0.124449 1.843981 0.0672
AR(7) -0.007334 0.081698 -0.089774 0.9286
SIGMASQ 4.247026 0.617775 6.874709 0.0000

R-squared 0.976685 Mean dependent var 875.9399


Adjusted R-squared 0.975442 S.D. dependent var 13.53929
S.E. of regression 2.121756 Akaike info criterion 4.424485
Sum squared resid 675.2771 Schwarz criterion 4.598196
Log likelihood -342.7465 Hannan-Quinn criter. 4.495027
F-statistic 785.4571 Durbin-Watson stat 2.013068
Prob(F-statistic) 0.000000

Inverted AR Roots .98 .65-.27i .65+.27i .03


-.20-.73i -.20+.73i -.77

Dependent Variable: CONS


Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 07/16/17 Time: 16:46
Sample: 1953Q1 1985Q3
Included observations: 131
Convergence achieved after 30 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 877.6474 8.575858 102.3393 0.0000


AR(1) 1.209223 0.078415 15.42083 0.0000
AR(2) -0.056658 0.129998 -0.435837 0.6637
AR(3) -0.133085 0.126111 -1.055301 0.2934
AR(4) 0.068206 0.127322 0.535700 0.5931
AR(5) -0.234066 0.137880 -1.697604 0.0921
AR(6) 0.152558 0.138152 1.104274 0.2716
AR(7) -0.024867 0.089856 -0.276747 0.7824
SIGMASQ 4.213818 0.695811 6.055978 0.0000

R-squared 0.973997 Mean dependent var 879.0995


Adjusted R-squared 0.972292 S.D. dependent var 12.77885
S.E. of regression 2.127128 Akaike info criterion 4.445262
Sum squared resid 552.0102 Schwarz criterion 4.642794
Log likelihood -282.1646 Hannan-Quinn criter. 4.525528
F-statistic 571.2253 Durbin-Watson stat 2.005308
Prob(F-statistic) 0.000000

Inverted AR Roots .97 .54+.14i .54-.14i .27


-.18+.63i -.18-.63i -.74