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Exercício C10.10: Correlação

This document contains the results of regression analyses with the dependent variable I3. The first regression finds inflation (INF) and public debt (DEF) to be statistically significant predictors of I3. The second regression adds lags of INF and DEF as predictors, finding them both statistically significant as well. A Wald test confirms the joint significance of the lagged variables in predicting I3.

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Ricardo Santos
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23 views2 pages

Exercício C10.10: Correlação

This document contains the results of regression analyses with the dependent variable I3. The first regression finds inflation (INF) and public debt (DEF) to be statistically significant predictors of I3. The second regression adds lags of INF and DEF as predictors, finding them both statistically significant as well. A Wald test confirms the joint significance of the lagged variables in predicting I3.

Uploaded by

Ricardo Santos
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Exerccio C10.

10
i)

Dependent Variable: I3
Method: Least Squares
Sample: 1948 2003
Included observations: 56

Variable Coefficient Std. Error t-Statistic Prob.

C 1.733266 0.431967 4.012496 0.0002


INF 0.605866 0.082135 7.376481 0.0000
DEF 0.513058 0.118384 4.333842 0.0001

R-squared 0.602068 Mean dependent var 4.908214


Adjusted R-squared 0.587051 S.D. dependent var 2.868242
S.E. of regression 1.843163 Akaike info criterion 4.112927
Sum squared resid 180.0543 Schwarz criterion 4.221428
Log likelihood -112.1619 Hannan-Quinn criter. 4.154992
F-statistic 40.09424 Durbin-Watson stat 0.716153
Prob(F-statistic) 0.000000

Correlao
INF DEF
INF 1.000000 0.097471
DEF 0.097471 1.000000

ii)

Dependent Variable: I3
Method: Least Squares
Sample (adjusted): 1949 2003
Included observations: 55 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 1.611482 0.400761 4.021050 0.0002


INF 0.342616 0.125397 2.732243 0.0087
INF(-1) 0.381980 0.133585 2.859455 0.0062
DEF -0.189666 0.221284 -0.857116 0.3955
DEF(-1) 0.569273 0.196771 2.893080 0.0056

R-squared 0.685018 Mean dependent var 4.978545


Adjusted R-squared 0.659819 S.D. dependent var 2.845528
S.E. of regression 1.659654 Akaike info criterion 3.937603
Sum squared resid 137.7225 Schwarz criterion 4.120088
Log likelihood -103.2841 Hannan-Quinn criter. 4.008172
F-statistic 27.18481 Durbin-Watson stat 0.763463
Prob(F-statistic) 0.000000
iii)

Wald Test:
Equation: EQUA2

Test Statistic Value df Probability

F-statistic 5.219868 (2, 50) 0.0087


Chi-square 10.43974 2 0.0054

Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

C(3) 0.381980 0.133585


C(5) 0.569273 0.196771

Restrictions are linear in coefficients.

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