|_* 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 |_* |_* Unit Root tests |_* |_COINT USA FIN SWE ...NOTE..SAMPLE RANGE SET TO: 1, 752 REQUIRED MEMORY IS PAR= 296 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 752 VARIABLE : USA DICKEY-FULLER TESTS - NO.LAGS = 20 NO.OBS = 731 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -6.4186 -2.57 A(0)=A(1)=0 20.600 3.78 AIC = -.929 SC = -.791 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -6.5710 -3.13 A(0)=A(1)=A(2)=0 14.428 4.03 A(1)=A(2)=0 21.642 5.34 AIC = -.930 SC = -.785 --------------------------------------------------------------------------- VARIABLE : FIN DICKEY-FULLER TESTS - NO.LAGS = 26 NO.OBS = 725 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -4.0999 -2.57 A(0)=A(1)=0 8.4087 3.78 AIC = .458 SC = .635 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -4.1487 -3.13 A(0)=A(1)=A(2)=0 5.7413 4.03 A(1)=A(2)=0 8.6079 5.34 AIC = .461 SC = .644 --------------------------------------------------------------------------- VARIABLE : SWE DICKEY-FULLER TESTS - NO.LAGS = 26 NO.OBS = 725 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -5.5102 -2.57 A(0)=A(1)=0 15.201 3.78 AIC = -.368 SC = -.191 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -5.8728 -3.13 A(0)=A(1)=A(2)=0 11.510 4.03 A(1)=A(2)=0 17.245 5.34 AIC = -.371 SC = -.188 --------------------------------------------------------------------------- |_COINT USA FIN SWE/NDIFF=1 ...NOTE..SAMPLE RANGE SET TO: 1, 752 DEGREE OF DIFFERENCING = 1 REQUIRED MEMORY IS PAR= 296 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 751 VARIABLE : (1-B) USA DICKEY-FULLER TESTS - NO.LAGS = 20 NO.OBS = 730 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -9.6912 -2.57 A(0)=A(1)=0 46.960 3.78 AIC = -.872 SC = -.734 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -9.6919 -3.13 A(0)=A(1)=A(2)=0 31.312 4.03 A(1)=A(2)=0 46.967 5.34 AIC = -.870 SC = -.725 --------------------------------------------------------------------------- VARIABLE : (1-B) FIN DICKEY-FULLER TESTS - NO.LAGS = 27 NO.OBS = 723 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -8.5797 -2.57 A(0)=A(1)=0 36.806 3.78 AIC = .483 SC = .667 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -8.5732 -3.13 A(0)=A(1)=A(2)=0 24.503 4.03 A(1)=A(2)=0 36.754 5.34 AIC = .486 SC = .676 --------------------------------------------------------------------------- VARIABLE : (1-B) SWE DICKEY-FULLER TESTS - NO.LAGS = 21 NO.OBS = 729 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 T-TEST -9.6086 -2.57 A(0)=A(1)=0 46.164 3.78 AIC = -.331 SC = -.186 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 T-TEST -9.6016 -3.13 A(0)=A(1)=A(2)=0 30.733 4.03 A(1)=A(2)=0 46.098 5.34 AIC = -.328 SC = -.177 --------------------------------------------------------------------------- |_COINT USA FIN SWE/TYPE=PP ...NOTE..SAMPLE RANGE SET TO: 1, 752 REQUIRED MEMORY IS PAR= 136 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 752 VARIABLE : USA PHILLIPS-PERRON TESTS - TRUNCATION LAG = 20 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -616.56 -11.2 A(1)=0 T-TEST -25.110 -2.57 A(0)=A(1)=0 315.14 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -601.16 -18.2 A(1)=0 T-TEST -25.208 -3.13 A(0)=A(1)=A(2)=0 211.67 4.03 A(1)=A(2)=0 317.49 5.34 --------------------------------------------------------------------------- VARIABLE : FIN PHILLIPS-PERRON TESTS - TRUNCATION LAG = 26 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -698.86 -11.2 A(1)=0 T-TEST -26.006 -2.57 A(0)=A(1)=0 338.15 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -691.59 -18.2 A(1)=0 T-TEST -26.012 -3.13 A(0)=A(1)=A(2)=0 225.50 4.03 A(1)=A(2)=0 338.26 5.34 --------------------------------------------------------------------------- VARIABLE : SWE PHILLIPS-PERRON TESTS - TRUNCATION LAG = 26 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -650.58 -11.2 A(1)=0 T-TEST -24.917 -2.57 A(0)=A(1)=0 310.39 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -612.93 -18.2 A(1)=0 T-TEST -25.049 -3.13 A(0)=A(1)=A(2)=0 209.04 4.03 A(1)=A(2)=0 313.56 5.34 --------------------------------------------------------------------------- |_COINT USA FIN SWE/TYPE=PP/NDIFF=1 ...NOTE..SAMPLE RANGE SET TO: 1, 752 DEGREE OF DIFFERENCING = 1 REQUIRED MEMORY IS PAR= 136 CURRENT PAR= 1500 ...NOTE..TEST LAG ORDER AUTOMATICALLY SET TOTAL NUMBER OF OBSERVATIONS = 751 VARIABLE : (1-B) USA PHILLIPS-PERRON TESTS - TRUNCATION LAG = 20 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -849.79 -11.2 A(1)=0 T-TEST -113.18 -2.57 A(0)=A(1)=0 6398.2 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -849.75 -18.2 A(1)=0 T-TEST -113.19 -3.13 A(0)=A(1)=A(2)=0 4263.5 4.03 A(1)=A(2)=0 6395.3 5.34 --------------------------------------------------------------------------- VARIABLE : (1-B) FIN PHILLIPS-PERRON TESTS - TRUNCATION LAG = 27 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -854.28 -11.2 A(1)=0 T-TEST -138.01 -2.57 A(0)=A(1)=0 9513.4 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -854.28 -18.2 A(1)=0 T-TEST -137.89 -3.13 A(0)=A(1)=A(2)=0 6327.5 4.03 A(1)=A(2)=0 9491.3 5.34 --------------------------------------------------------------------------- VARIABLE : (1-B) SWE PHILLIPS-PERRON TESTS - TRUNCATION LAG = 21 NULL TEST ASY. CRITICAL HYPOTHESIS STATISTIC VALUE 10% --------------------------------------------------------------------------- CONSTANT, NO TREND A(1)=0 Z-TEST -854.55 -11.2 A(1)=0 T-TEST -118.17 -2.57 A(0)=A(1)=0 6974.7 3.78 --------------------------------------------------------------------------- CONSTANT, TREND A(1)=0 Z-TEST -854.54 -18.2 A(1)=0 T-TEST -118.07 -3.13 A(0)=A(1)=A(2)=0 4639.1 4.03 A(1)=A(2)=0 6958.7 5.34 --------------------------------------------------------------------------- |_* |_* The DF-GLS test |_* |_* |_* DF-GSL Unit Root tests |_* |_* |_* 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 |_* |_* DF-GLS -test for differenced series |_* |_GENR DUSA = USA-LAG(USA) |_GENR DFIN = FIN-LAG(FIN) |_GENR DSWE = SWE-LAG(SWE) |_* |_* USA |_* _=PROC DFGLS _ =SET NODOECHO NOOUTPUT _ =PROCEND |_* |_* Finland |_* _=PROC DFGLS _ =SET NODOECHO NOOUTPUT _ =PROCEND |_* |_* Sweden |_* _=PROC DFGLS _ =SET NODOECHO NOOUTPUT _ =PROCEND |_* |_END |_STOP