EXAMPLETHREE.RPF

EXAMPLETHREE.RPF is the example from Section 1.4 in the Introduction. This generates several series from the original data on the data file (including some which require lags), then runs two linear regressions (with LINREG). It also uses the TABLE and STATISTICS instructions to show basic statistics on the full set of series (with TABLE) and a larger set of statistics (with STATISTICS).

Full Program

calendar(m) 1959:1
open data ExampleThree.xls
data(format=xls,org=columns) 1959:1 1996:2 rate m1 m2 ip ppi

**********************************************************************
* Generating statistics
**********************************************************************
table
statistics rate

**********************************************************************
* Data transformations and new series
**********************************************************************
set ppidiff = ppi-ppi{1}
set m1diff = m1-m1{3}
set grm2 = (m2-m2{1})/m2{1}
set grppi = (ppi-ppi{1})/ppi{1}
set pratio = ppidiff/ppi
set ppisum = pratio + pratio{1} + pratio{2}

**********************************************************************
* Linear regressions
**********************************************************************
linreg rate
# constant ip m1diff ppisum

linreg rate
# constant ip grm2 grppi{1}

@regactfit

Output

Series Obs Mean Std Error Minimum Maximum

RATE 446 6.05858744 2.77510466 2.27000000 16.29000000

M1 446 448.06255605 312.00002739 138.90000000 1152.30000000

M2 446 1577.37847534 1141.42636764 286.60000000 3673.10000000

IP 446 57.46704036 16.87177721 27.40000000 91.30000000

PPI 446 71.52242152 34.84734464 31.30000000 126.30000000

Statistics on Series RATE

Monthly Data From 1959:01 To 1996:02

Observations 446

Sample Mean 6.058587 Variance 7.701206

Standard Error 2.775105 SE of Sample Mean 0.131405

t-Statistic (Mean=0) 46.106212 Signif Level (Mean=0) 0.000000

Skewness 1.186328 Signif Level (Sk=0) 0.000000

Kurtosis (excess) 1.587381 Signif Level (Ku=0) 0.000000

Jarque-Bera 151.440700 Signif Level (JB=0) 0.000000

Linear Regression - Estimation by Least Squares

Dependent Variable RATE

Monthly Data From 1959:04 To 1996:02

Usable Observations 443

Degrees of Freedom 439

Centered R^2 0.2526958

R-Bar^2 0.2475890

Uncentered R^2 0.8717009

Mean of Dependent Variable 6.0806546275

Std Error of Dependent Variable 2.7714419161

Standard Error of Estimate 2.4039938631

Sum of Squared Residuals 2537.0628709

Regression F(3,439) 49.4816

Significance Level of F 0.0000000

Log Likelihood -1015.1499

Durbin-Watson Statistic 0.0816

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 2.11841571 0.42030566 5.04018 0.00000068

2. IP 0.06417324 0.00768853 8.34662 0.00000000

3. M1DIFF -0.04183328 0.01485687 -2.81575 0.00508547

4. PPISUM 58.26459284 8.01033322 7.27368 0.00000000

Linear Regression - Estimation by Least Squares

Dependent Variable RATE

Monthly Data From 1959:03 To 1996:02

Usable Observations 444

Degrees of Freedom 440

Centered R^2 0.2215769

R-Bar^2 0.2162694

Uncentered R^2 0.8660034

Mean of Dependent Variable 6.0733783784

Std Error of Dependent Variable 2.7725545963

Standard Error of Estimate 2.4545026092

Sum of Squared Residuals 2650.8165458

Regression F(3,440) 41.7484

Significance Level of F 0.0000000

Log Likelihood -1026.6780

Durbin-Watson Statistic 0.1730

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 1.20988109 0.52637190 2.29853 0.02199968

2. IP 0.06525852 0.00727000 8.97641 0.00000000

3. GRM2 136.19299812 34.77735583 3.91614 0.00010426

4. GRPPI{1} 101.94478474 17.17615119 5.93525 0.00000001

Graphs

This is created by the @RegActFit procedure based upon the second regression.