Dependent Variable: Y
Method: Least Squares
Date: 03/13/24 Time: 08:59
Sample (adjusted): 2013Q2 2021Q4
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 8.783670 1.502946 5.844303 0.0000
D(X1) 15.72483 4.265760 3.686291 0.0009
D(X2) -5.266456 1.485255 -3.545826 0.0013
X3 -1.521049 0.259894 -5.852579 0.0000
R-squared 0.828090 Mean dependent var 4.439143
Adjusted R-squared 0.811453 S.D. dependent var 2.166411
S.E. of regression 0.940699 Akaike info criterion 2.822823
Sum squared resid 27.43234 Schwarz criterion 3.000577
Log likelihood -45.39940 Hannan-Quinn criter. 2.884184
F-statistic 49.77547 Durbin-Watson stat 0.871533
Prob(F-statistic) 0.000000
Variance Inflation Factors
Date: 03/13/24 Time: 08:59
Sample: 2013Q1 2021Q4
Included observations: 35
Coefficient Uncentered Centered
Variable Variance VIF VIF
C 2.258846 89.34155 NA
D(X1) 18.19670 16.45150 1.483065
D(X2) 2.205983 1.719837 1.407228
X3 0.067545 56.71199 1.297107
10
Series: Residuals
Sample 2013Q2 2021Q4
8 Observations 35
Mean 3.11e-15
6
Median 0.285404
Maximum 2.224880
4 Minimum -2.108337
Std. Dev. 0.898239
Skewness -0.298274
2 Kurtosis 3.558012
Jarque-Bera 0.973067
0
-2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 Probability 0.614754
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags
F-statistic 8.277910 Prob. F(2,29) 0.0014
Obs*R-squared 12.71964 Prob. Chi-Square(2) 0.0017
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 03/13/24 Time: 09:00
Sample: 2013Q2 2021Q4
Included observations: 35
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C 0.037541 1.248423 0.030071 0.9762
D(X1) 0.233770 3.533999 0.066149 0.9477
D(X2) 0.400409 1.268187 0.315734 0.7545
X3 -0.009024 0.215041 -0.041964 0.9668
RESID(-1) 0.718183 0.178513 4.023134 0.0004
RESID(-2) -0.288182 0.186155 -1.548075 0.1324
R-squared 0.363418 Mean dependent var 3.11E-15
Adjusted R-squared 0.253663 S.D. dependent var 0.898239
S.E. of regression 0.775996 Akaike info criterion 2.485466
Sum squared resid 17.46292 Schwarz criterion 2.752097
Log likelihood -37.49566 Hannan-Quinn criter. 2.577507
F-statistic 3.311164 Durbin-Watson stat 1.973987
Prob(F-statistic) 0.017371
Heteroskedasticity Test: Breusch-Pagan-Godfrey
Null hypothesis: Homoskedasticity
F-statistic 5.069676 Prob. F(3,31) 0.0057
Obs*R-squared 11.51974 Prob. Chi-Square(3) 0.0092
Scaled explained SS 11.55853 Prob. Chi-Square(3) 0.0091
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 03/13/24 Time: 09:00
Sample: 2013Q2 2021Q4
Included observations: 35
Variable Coefficient Std. Error t-Statistic Prob.
C -0.922681 1.743048 -0.529349 0.6003
D(X1) -4.825510 4.947234 -0.975396 0.3369
D(X2) 2.337292 1.722531 1.356894 0.1846
X3 0.558198 0.301413 1.851938 0.0736
R-squared 0.329135 Mean dependent var 0.783781
Adjusted R-squared 0.264213 S.D. dependent var 1.271864
S.E. of regression 1.090980 Akaike info criterion 3.119240
Sum squared resid 36.89733 Schwarz criterion 3.296994
Log likelihood -50.58669 Hannan-Quinn criter. 3.180600
F-statistic 5.069676 Durbin-Watson stat 1.868239
Prob(F-statistic) 0.005678
