|_* 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 |_* |_* Unit Root tests for logarithmic index series |_* |_COINT LNUSA LNFIN LNSWE ...NOTE..SAMPLE RANGE SET TO: 1, 753 REQUIRED MEMORY IS PAR= 320 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 753 VARIABLE : LNUSA DICKEY-FULLER TESTS - NO.LAGS = 19 NO.OBS = 733 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST .84463 -2.57 A(0)=A(1)=0 4.6961 3.78 AIC = -10.141 SC = -10.010 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -3.0588 -3.13 A(0)=A(1)=A(2)=0 6.9022 4.03 A(1)=A(2)=0 5.9519 5.34 AIC = -10.154 SC = -10.016 --------------------------------------------------------------------------- VARIABLE : LNFIN DICKEY-FULLER TESTS - NO.LAGS = 21 NO.OBS = 731 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -1.2518 -2.57 A(0)=A(1)=0 1.2555 3.78 AIC = -8.755 SC = -8.610 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -2.4579 -3.13 A(0)=A(1)=A(2)=0 2.4275 4.03 A(1)=A(2)=0 3.1668 5.34 AIC = -8.759 SC = -8.608 --------------------------------------------------------------------------- VARIABLE : LNSWE DICKEY-FULLER TESTS - NO.LAGS = 20 NO.OBS = 732 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST 1.0085 -2.57 A(0)=A(1)=0 2.3312 3.78 AIC = -9.583 SC = -9.445 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -2.5237 -3.13 A(0)=A(1)=A(2)=0 4.6660 4.03 A(1)=A(2)=0 5.1551 5.34 AIC = -9.594 SC = -9.449 --------------------------------------------------------------------------- |_COINT LNUSA LNFIN LNSWE/TYPE=PP ...NOTE..SAMPLE RANGE SET TO: 1, 753 REQUIRED MEMORY IS PAR= 160 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 753 VARIABLE : LNUSA PHILLIPS-PERRON TESTS - TRUNCATION LAG = 19 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST .74078 -11.2 A(1)=0 T-TEST .75154 -2.57 A(0)=A(1)=0 3.8615 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -13.424 -18.2 A(1)=0 T-TEST -3.3670 -3.13 A(0)=A(1)=A(2)=0 6.9932 4.03 A(1)=A(2)=0 6.9762 5.34 --------------------------------------------------------------------------- VARIABLE : LNFIN PHILLIPS-PERRON TESTS - TRUNCATION LAG = 21 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -3.1698 -11.2 A(1)=0 T-TEST -.94536 -2.57 A(0)=A(1)=0 .81302 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -11.877 -18.2 A(1)=0 T-TEST -2.3777 -3.13 A(0)=A(1)=A(2)=0 2.3633 4.03 A(1)=A(2)=0 3.1964 5.34 --------------------------------------------------------------------------- VARIABLE : LNSWE PHILLIPS-PERRON TESTS - TRUNCATION LAG = 20 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST 1.5932 -11.2 A(1)=0 T-TEST .95148 -2.57 A(0)=A(1)=0 1.9760 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -12.682 -18.2 A(1)=0 T-TEST -2.7802 -3.13 A(0)=A(1)=A(2)=0 5.0199 4.03 A(1)=A(2)=0 6.0486 5.34 --------------------------------------------------------------------------- |_* |_* The DF-GLS test |_* |_* |_* DF-GSL Unit Root tests for logarithmic index series |_* |_* |_* USA |_* _=PROC DFGLS _ =SET NODOECHO NOOUTPUT ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO _ =PROCEND |_* |_* Finland |_* _=PROC DFGLS _ =SET NODOECHO NOOUTPUT ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO _ =PROCEND |_* |_* Sweden |_* _=PROC DFGLS _ =SET NODOECHO NOOUTPUT ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO ..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO _ =PROCEND |_END |_STOP