|_* MEMORY IS INCREASED TO 1500 KB AND COMMAND ROW LENGTH TO 250 |_ PAR 1500 ..PAR IS 1500 MAXIMUM VARIABLES IS 1000 |_ SET COMLEN=250 |_* READING DATA & TRANSFORMING TO LOGS |_* |_* (1) Dickey-Fuller tests of cointegration |_* |_COINT LNFIN LNSWE/TYPE=RESD ...NOTE..SAMPLE RANGE SET TO: 1, 753 REQUIRED MEMORY IS PAR= 302 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET COINTEGRATING REGRESSION - CONSTANT, NO TREND NO.OBS = 753 REGRESSAND : LNFIN R-SQUARE = .6741 DURBIN-WATSON = .2956E-01 DICKEY-FULLER TESTS ON RESIDUALS - NO.LAGS = 21 M = 2 TEST ASY. CRITICAL STATISTIC VALUE 10% --------------------------------------------------------------------------- NO CONSTANT, NO TREND T-TEST -2.4642 -3.04 AIC = -9.100 SC = -8.962 --------------------------------------------------------------------------- COINTEGRATING REGRESSION - CONSTANT, TREND NO.OBS = 753 REGRESSAND : LNFIN R-SQUARE = .6830 DURBIN-WATSON = .2941E-01 DICKEY-FULLER TESTS ON RESIDUALS - NO.LAGS = 21 M = 2 TEST ASY. CRITICAL STATISTIC VALUE 10% --------------------------------------------------------------------------- NO CONSTANT, NO TREND T-TEST -2.4561 -3.50 AIC = -9.125 SC = -8.987 --------------------------------------------------------------------------- |_* |_* (2) Phillips-Perron tests of cointegration |_* |_COINT LNFIN LNSWE/TYPE=RESP ...NOTE..SAMPLE RANGE SET TO: 1, 753 REQUIRED MEMORY IS PAR= 142 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET COINTEGRATING REGRESSION - CONSTANT, NO TREND NO.OBS = 753 REGRESSAND : LNFIN R-SQUARE = .6741 DURBIN-WATSON = .2956E-01 PHILLIPS TESTS ON RESIDUALS - TRUNCATION LAG = 21 M = 2 TEST ASY. CRITICAL STATISTIC VALUE 10% --------------------------------------------------------------------------- NO CONSTANT, NO TREND Z-TEST -10.437 -17.1 T-TEST -2.2900 -3.04 --------------------------------------------------------------------------- COINTEGRATING REGRESSION - CONSTANT, TREND NO.OBS = 753 REGRESSAND : LNFIN R-SQUARE = .6830 DURBIN-WATSON = .2941E-01 PHILLIPS TESTS ON RESIDUALS - TRUNCATION LAG = 21 M = 2 TEST ASY. CRITICAL STATISTIC VALUE 10% --------------------------------------------------------------------------- NO CONSTANT, NO TREND Z-TEST -10.157 -23.4 T-TEST -2.3170 -3.50 --------------------------------------------------------------------------- |_* |_* (3) Manual Cointegration test (for comparison) |_* |_OLS LNFIN LNSWE/RESID=EPS REQUIRED MEMORY IS PAR= 137 CURRENT PAR= 1500 OLS ESTIMATION 753 OBSERVATIONS DEPENDENT VARIABLE = LNFIN ...NOTE..SAMPLE RANGE SET TO: 1, 753 R-SQUARE = .6741 R-SQUARE ADJUSTED = .6737 VARIANCE OF THE ESTIMATE-SIGMA**2 = .38770E-02 STANDARD ERROR OF THE ESTIMATE-SIGMA = .62265E-01 SUM OF SQUARED ERRORS-SSE= 2.9116 MEAN OF DEPENDENT VARIABLE = 6.5130 LOG OF THE LIKELIHOOD FUNCTION = 1023.13 MODEL SELECTION TESTS - SEE JUDGE ET.AL.(1985, P.242) AKAIKE (1969) FINAL PREDICTION ERROR- FPE = .38873E-02 (FPE ALSO KNOWN AS AMEMIYA PREDICTION CRITERION -PC) AKAIKE (1973) INFORMATION CRITERION- LOG AIC = -5.5501 SCHWARZ(1978) CRITERION-LOG SC = -5.5378 MODEL SELECTION TESTS - SEE RAMANATHAN(1992,P.167) CRAVEN-WAHBA(1979) GENERALIZED CROSS VALIDATION(1979) -GCV= .38873E-02 HANNAN AND QUINN(1979) CRITERION -HQ= .39057E-02 RICE (1984) CRITERION-RICE= .38873E-02 SHIBATA (1981) CRITERION-SHIBATA= .38872E-02 SCHWARTZ (1978) CRITERION-SC= .39353E-02 AKAIKE (1974)INFORMATION CRITERION-AIC= .38873E-02 ANALYSIS OF VARIANCE - FROM MEAN SS DF MS F REGRESSION 6.0227 1. 6.0227 1553.459 ERROR 2.9116 751. .38770E-02 TOTAL 8.9343 752. .11881E-01 ANALYSIS OF VARIANCE - FROM ZERO SS DF MS F REGRESSION 31948. 2. 15974. 4120193.393 ERROR 2.9116 751. .38770E-02 TOTAL 31951. 753. 42.431 VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY NAME COEFFICIENT ERROR 751 DF P-VALUE CORR. COEFFICIENT AT MEANS LNSWE .62904 .1596E-01 39.41 1.000 .821 .8210 .7178 CONSTANT 1.8377 .1186 15.49 1.000 .492 .0000 .2822 |_SAMPLE 2 753 |_GENR EPS_1 = LAG(EPS) |_GENR DEPS = EPS - EPS_1 |_OLS DEPS EPS_1/NOCONST REQUIRED MEMORY IS PAR= 142 CURRENT PAR= 1500 OLS ESTIMATION 752 OBSERVATIONS DEPENDENT VARIABLE = DEPS ...NOTE..SAMPLE RANGE SET TO: 2, 753 R-SQUARE = .0073 R-SQUARE ADJUSTED = .0073 VARIANCE OF THE ESTIMATE-SIGMA**2 = .11376E-03 STANDARD ERROR OF THE ESTIMATE-SIGMA = .10666E-01 SUM OF SQUARED ERRORS-SSE= .85436E-01 MEAN OF DEPENDENT VARIABLE = .68093E-04 LOG OF THE LIKELIHOOD FUNCTION = 2348.06 RAW MOMENT R-SQUARE = .0074 MODEL SELECTION TESTS - SEE JUDGE ET.AL.(1985, P.242) AKAIKE (1969) FINAL PREDICTION ERROR- FPE = .11391E-03 (FPE ALSO KNOWN AS AMEMIYA PREDICTION CRITERION -PC) AKAIKE (1973) INFORMATION CRITERION- LOG AIC = -9.0801 SCHWARZ(1978) CRITERION-LOG SC = -9.0739 MODEL SELECTION TESTS - SEE RAMANATHAN(1992,P.167) CRAVEN-WAHBA(1979) GENERALIZED CROSS VALIDATION(1979) -GCV= .11391E-03 HANNAN AND QUINN(1979) CRITERION -HQ= .11418E-03 RICE (1984) CRITERION-RICE= .11391E-03 SHIBATA (1981) CRITERION-SHIBATA= .11391E-03 SCHWARTZ (1978) CRITERION-SC= .11462E-03 AKAIKE (1974)INFORMATION CRITERION-AIC= .11391E-03 ANALYSIS OF VARIANCE - FROM ZERO SS DF MS F REGRESSION .63439E-03 1. .63439E-03 5.576 ERROR .85436E-01 751. .11376E-03 TOTAL .86070E-01 752. .11446E-03 VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY NAME COEFFICIENT ERROR 751 DF P-VALUE CORR. COEFFICIENT AT MEANS EPS_1 -.14763E-01 .6252E-02 -2.361 .009 -.086 -.0859 .0077 |_COINT EPS ...NOTE..SAMPLE RANGE SET TO: 2, 753 REQUIRED MEMORY IS PAR= 319 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 752 VARIABLE : EPS DICKEY-FULLER TESTS - NO.LAGS = 21 NO.OBS = 730 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -2.4176 -2.57 A(0)=A(1)=0 2.9361 3.78 AIC = -9.104 SC = -8.960 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -2.4249 -3.13 A(0)=A(1)=A(2)=0 1.9692 4.03 A(1)=A(2)=0 2.9401 5.34 AIC = -9.102 SC = -8.951 --------------------------------------------------------------------------- |_COINT EPS/TYPE=PP ...NOTE..SAMPLE RANGE SET TO: 2, 753 REQUIRED MEMORY IS PAR= 160 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 752 VARIABLE : EPS PHILLIPS-PERRON TESTS - TRUNCATION LAG = 21 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -10.404 -11.2 A(1)=0 T-TEST -2.2836 -2.57 A(0)=A(1)=0 2.6219 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -10.444 -18.2 A(1)=0 T-TEST -2.2854 -3.13 A(0)=A(1)=A(2)=0 1.7508 4.03 A(1)=A(2)=0 2.6112 5.34 --------------------------------------------------------------------------- |_* |_STOP