Q.
(a) (i)
Dependent Variable: LOG(B)
Method: Least Squares
Date: 09/02/21 Time: 20:25
Sample (adjusted): 1959Q3 2021Q1
Included observations: 247 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.993581 0.126429 15.76838 0.0000
LOG(D1) 1.019045 0.013407 76.00910 0.0000
R-squared 0.959318 Mean dependent var 11.58518
Adjusted R-squared 0.959152 S.D. dependent var 0.604042
S.E. of regression 0.122082 Akaike info criterion -1.360189
Sum squared resid 3.651464 Schwarz criterion -1.331773
Log likelihood 169.9833 Hannan-Quinn criter. -1.348748
F-statistic 5777.383 Durbin-Watson stat 0.137331
Prob(F-statistic) 0.000000
(a) (ii)
Interpretation
(b) (i)
Vector Autoregression Estimates
Date: 09/02/21 Time: 21:13
Sample (adjusted): 1960Q1 2021Q1
Included observations: 245 after adjustments
Standard errors in ( ) & t-statistics in [ ]
B U
B(-1) 0.892546 -0.272916
(0.06453) (0.05601)
[ 13.8304] [-4.87259]
B(-2) 0.049497 0.374786
(0.06606) (0.05734)
[ 0.74923] [ 6.53651]
U(-1) 0.124893 0.641240
(0.06659) (0.05779)
[ 1.87569] [ 11.0961]
U(-2) -0.071108 0.279533
(0.06660) (0.05780)
[-1.06765] [ 4.83583]
C 124.0167 914.0622
(380.999) (330.673)
[ 0.32550] [ 2.76425]
R-squared 0.998670 0.999240
Adj. R-squared 0.998648 0.999227
Sum sq. resids 1.70E+09 1.28E+09
S.E. equation 2660.764 2309.301
F-statistic 45049.42 78872.25
Log likelihood -2277.274 -2242.566
Akaike AIC 18.63081 18.34747
Schwarz SC 18.70227 18.41893
Mean dependent 128440.8 153239.7
S.D. dependent 72356.08 83069.76
Determinant resid covariance (dof adj.) 3.74E+13
Determinant resid covariance 3.59E+13
Log likelihood -4518.734
Akaike information criterion 36.96926
Schwarz criterion 37.11216
Number of coefficients 10
(b) (ii)
Bayesian VAR Estimates
Date: 09/02/21 Time: 21:20
Sample (adjusted): 1960Q1 2021Q1
Included observations: 245 after adjustments
Prior type: Litterman/Minnesota
Initial residual covariance: Univariate AR
Hyper-parameters: Mu: 0, L1: 0.1, L2: 0.99, L3: 1
Standard errors in ( ) & t-statistics in [ ]
B U D1
B(-1) 0.675841 -0.016741 0.019148
(0.04406) (0.04125) (0.01049)
[ 15.3392] [-0.40582] [ 1.82493]
B(-2) 0.108185 0.139746 -0.003775
(0.03807) (0.03556) (0.00905)
[ 2.84176] [ 3.92949] [-0.41730]
U(-1) 0.121497 0.704576 0.001472
(0.04163) (0.03935) (0.00996)
[ 2.91866] [ 17.9043] [ 0.14785]
U(-2) 0.020950 0.198490 -0.004659
(0.03932) (0.03722) (0.00941)
[ 0.53282] [ 5.33250] [-0.49538]
D1(-1) 0.497593 0.091489 0.868771
(0.17070) (0.16052) (0.04104)
[ 2.91497] [ 0.56995] [ 21.1715]
D1(-2) 0.091900 -0.118949 0.011722
(0.15619) (0.14689) (0.03761)
[ 0.58839] [-0.80980] [ 0.31167]
C -1428.253 976.1424 314.3295
(466.074) (438.227) (111.474)
[-3.06443] [ 2.22748] [ 2.81976]
R-squared 0.998718 0.999177 0.991635
Adj. R-squared 0.998686 0.999156 0.991424
Sum sq. resids 1.64E+09 1.39E+09 1.07E+08
S.E. equation 2622.919 2412.747 669.8470
F-statistic 30907.35 48166.30 4702.309
Mean dependent 128440.8 153239.7 14324.11
S.D. dependent 72356.08 83069.76 7233.292
(c)
Vector Autoregression Estimates
Date: 09/02/21 Time: 21:26
Sample (adjusted): 1976Q2 2021Q1
Included observations: 180 after adjustments
Standard errors in ( ) & t-statistics in [ ]
D(CHANGES_I
N_INVENTORI
ES_CONTRIBU
TION_TO_GDP
_YEAR_ENDE
D_GROWTH_C
D(D1) HA) D(U)
D(D1(-1)) 0.255292 -5.49E-05 0.262972
(0.07708) (8.8E-05) (0.31155)
[ 3.31187] [-0.62423] [ 0.84407]
D(D1(-2)) -0.075120 4.12E-05 0.203683
(0.07712) (8.8E-05) (0.31171)
[-0.97404] [ 0.46812] [ 0.65344]
D(CHANGES_IN_INVENT
ORIES_CONTRIBUTION_
TO_GDP_YEAR_ENDED_
GROWTH_CHA(-1)) 70.22602 -0.337742 -14.75852
(62.9850) (0.07181) (254.569)
[ 1.11496] [-4.70303] [-0.05797]
D(CHANGES_IN_INVENT
ORIES_CONTRIBUTION_
TO_GDP_YEAR_ENDED_
GROWTH_CHA(-2)) 143.2905 -0.108877 226.4019
(62.8568) (0.07167) (254.051)
[ 2.27964] [-1.51919] [ 0.89117]
D(U(-1)) 0.035880 2.08E-05 -0.223457
(0.01932) (2.2E-05) (0.07809)
[ 1.85715] [ 0.94630] [-2.86164]
D(U(-2)) 0.036513 9.48E-06 0.070000
(0.01989) (2.3E-05) (0.08039)
[ 1.83564] [ 0.41813] [ 0.87071]
C -16.62441 -0.034202 1504.309
(69.2018) (0.07890) (279.695)
[-0.24023] [-0.43347] [ 5.37839]
R-squared 0.111230 0.128166 0.077835
Adj. R-squared 0.080406 0.097929 0.045852
Sum sq. resids 89745696 116.6687 1.47E+09
S.E. equation 720.2508 0.821210 2911.064
F-statistic 3.608520 4.238698 2.433657
Log likelihood -1436.167 -216.3833 -1687.568
Akaike AIC 16.03519 2.482036 18.82854
Schwarz SC 16.15936 2.606207 18.95271
Mean dependent 103.7222 -0.001111 1352.217
S.D. dependent 751.0791 0.864637 2980.190
Determinant resid covariance (dof adj.) 2.74E+12
Determinant resid covariance 2.43E+12
Log likelihood -3332.964
Akaike information criterion 37.26626
Schwarz criterion 37.63878
Number of coefficients 21
(d)
Let X = Year-ended household consumption growth
Let Y = Real household disposable income; Year-ended change (in per cent)
Vector Autoregression Estimates
Date: 09/02/21 Time: 22:14
Sample (adjusted): 1961Q1 2021Q1
Included observations: 241 after adjustments
Standard errors in ( ) & t-statistics in [ ]
X Y
X(-1) 0.889047 0.196847
(0.06490) (0.11093)
[ 13.6982] [ 1.77447]
X(-2) -0.171396 -0.098796
(0.06517) (0.11139)
[-2.62995] [-0.88692]
Y(-1) 0.050398 0.492909
(0.03862) (0.06601)
[ 1.30499] [ 7.46724]
Y(-2) 0.017748 0.097210
(0.03899) (0.06664)
[ 0.45519] [ 1.45869]
C 0.708945 1.048419
(0.17674) (0.30210)
[ 4.01113] [ 3.47047]
R-squared 0.633998 0.357603
Adj. R-squared 0.627795 0.346714
Sum sq. resids 444.5915 1298.859
S.E. equation 1.372539 2.345984
F-statistic 102.2013 32.84346
Log likelihood -415.7534 -544.9397
Akaike AIC 3.491730 4.563815
Schwarz SC 3.564029 4.636114
Mean dependent 3.319917 3.335685
S.D. dependent 2.249745 2.902508
Determinant resid covariance (dof adj.) 10.00047
Determinant resid covariance 9.589821
Log likelihood -956.3430
Akaike information criterion 8.019444
Schwarz criterion 8.164041
Number of coefficients 10
