UNIVERSITY OF CALIFORNIA, LOS ANGELES
Department of Economics
Economics 143 (Cameron) - Applied Regression
Analysis
Fall 1997
Final Exam Exhibits
EXHIBIT 1
|_sample 1 50
|_read(qdata.dat) q p inc
|_* STATISTICS 1
|_stat / pcor
NAME N MEAN ST. DEV VARIANCE MINIMUM MAXIMUM
Q 50 130.90 12.254 150.15 111.49 162.89
P 50 1.4100 0.23496 0.55204E-01 1.1000 1.8000
INC 50 45.720 15.740 247.76 21.000 69.000
CORRELATION MATRIX OF VARIABLES - 50 OBSERVATIONS
Q 1.0000
P -0.58038 1.0000
INC -0.28910 -0.69862E-01 1.0000
Q P INC
|_* REGRESSION 1A
|_ols q p inc
R-SQUARE = 0.4460 R-SQUARE ADJUSTED = 0.4225
VARIANCE OF THE ESTIMATE-SIGMA**2 = 86.717
STANDARD ERROR OF THE ESTIMATE-SIGMA = 9.3122
SUM OF SQUARED ERRORS-SSE= 4075.7
MEAN OF DEPENDENT VARIABLE = 130.90
LOG OF THE LIKELIHOOD FUNCTION = -180.966
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 3281.7 2. 1640.8 18.922
ERROR 4075.7 47. 86.717 P-VALUE
TOTAL 7357.4 49. 150.15 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 47 DF P-VALUE CORR. COEFFICIENT AT MEANS
P -31.475 5.676 -5.545 0.000-0.629 -0.6035 -0.3390
INC -0.25789 0.8472E-01 -3.044 0.004-0.406 -0.3313 -0.0901
CONSTANT 187.07 9.226 20.28 0.000 0.947 0.0000 1.4291
|_genr inc2=inc*inc
|_* REGRESSION 1B
|_ols q p inc inc2 / resid=e coef=b
R-SQUARE = 0.4920 R-SQUARE ADJUSTED = 0.4588
VARIANCE OF THE ESTIMATE-SIGMA**2 = 81.256
STANDARD ERROR OF THE ESTIMATE-SIGMA = 9.0142
SUM OF SQUARED ERRORS-SSE= 3737.8
MEAN OF DEPENDENT VARIABLE = 130.90
LOG OF THE LIKELIHOOD FUNCTION = -178.803
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 3619.6 3. 1206.5 14.848
ERROR 3737.8 46. 81.256 P-VALUE
TOTAL 7357.4 49. 150.15 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
P -36.124 5.948 -6.073 0.000-0.667 -0.6927 -0.3891
INC 1.1961 0.7177 1.667 0.102 0.239 1.5365 0.4178
INC2 -0.15837E-01 0.7766E-02 -2.039 0.047-0.288 -1.8883 -0.2823
CONSTANT 164.09 14.38 11.41 0.000 0.860 0.0000 1.2536
|_test
|_test inc=0
|_test inc2=0
|_end
F STATISTIC = 7.0231510 WITH 2 AND 46 D.F. P-VALUE= 0.00218
WALD CHI-SQUARE STATISTIC = 14.046302 WITH 2 D.F. P-VALUE= 0.00089
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.14239
|_gen1 incstar=-(b:2)/(2*(b:3))
|_print incstar
INCSTAR
37.76432
|_genr e2=e*e
|_* REGRESSION 1C
|_ols e2 p inc inc2
R-SQUARE = 0.2988 R-SQUARE ADJUSTED = 0.2530
VARIANCE OF THE ESTIMATE-SIGMA**2 = 7832.9
STANDARD ERROR OF THE ESTIMATE-SIGMA = 88.504
SUM OF SQUARED ERRORS-SSE= 0.36031E+06
MEAN OF DEPENDENT VARIABLE = 74.756
LOG OF THE LIKELIHOOD FUNCTION = -293.015
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.15352E+06 3. 51174. 6.533
ERROR 0.36031E+06 46. 7832.9 P-VALUE
TOTAL 0.51384E+06 49. 10486. 0.001
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
P -220.44 58.40 -3.775 0.000-0.486 -0.5058 -4.1579
INC 3.6760 7.047 0.5217 0.604 0.077 0.5650 2.2482
INC2 -0.25198E-01 0.7625E-01 -0.3305 0.743-0.049 -0.3595 -0.7864
CONSTANT 276.31 141.1 1.958 0.056 0.277 0.0000 3.6961
|_genr lq=log(q)
|_genr lp=log(p)
|_genr linc=log(inc)
|_genr linc2=linc*linc
|_* REGRESSION 1D
|_ols lq lp linc linc2 / resid=le loglog
R-SQUARE = 0.4662 R-SQUARE ADJUSTED = 0.4314
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.47303E-02
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.68777E-01
SUM OF SQUARED ERRORS-SSE= 0.21759
MEAN OF DEPENDENT VARIABLE = 4.8703
LOG OF THE LIKELIHOOD FUNCTION(IF DEPVAR LOG) = -178.531
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.19003 3. 0.63343E-01 13.391
ERROR 0.21759 46. 0.47303E-02 P-VALUE
TOTAL 0.40762 49. 0.83188E-02 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
LP -0.35719 0.6273E-01 -5.694 0.000-0.643 -0.6539 -0.3572
LINC 1.2889 0.6928 1.861 0.069 0.265 5.2139 1.2889
LINC2 -0.18398 0.9340E-01 -1.970 0.055-0.279 -5.5209 -0.1840
CONSTANT 2.7674 1.267 2.184 0.034 0.307 0.0000 2.7674
|_test
|_test linc=0
|_test linc2=0
|_end
F STATISTIC = 5.8710552 WITH 2 AND 46 D.F. P-VALUE= 0.00536
WALD CHI-SQUARE STATISTIC = 11.742110 WITH 2 D.F. P-VALUE= 0.00282
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.17033
|_genr lele=le*le
|_* REGRESSION 1E
|_ols lele lp linc linc2
R-SQUARE = 0.2913 R-SQUARE ADJUSTED = 0.2451
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.29658E-04
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.54459E-02
SUM OF SQUARED ERRORS-SSE= 0.13643E-02
MEAN OF DEPENDENT VARIABLE = 0.43519E-02
LOG OF THE LIKELIHOOD FUNCTION = 191.782
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.56085E-03 3. 0.18695E-03 6.304
ERROR 0.13643E-02 46. 0.29658E-04 P-VALUE
TOTAL 0.19251E-02 49. 0.39288E-04 0.001
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
LP -0.17949E-01 0.4967E-02 -3.614 0.001-0.470 -0.4781 -1.3609
LINC 0.85572E-02 0.5485E-01 0.1560 0.877 0.023 0.5037 7.3914
LINC2 -0.56970E-03 0.7396E-02 -0.7703E-01 0.939-0.011 -0.2488 -1.8672
CONSTANT -0.13766E-01 0.1003 -0.1372 0.891-0.020 0.0000 -3.1634
|_genr wt1=1/p
|_genr wt2=p
|_genr wt3=1/inc
|_genr wt4=1/lp
|_genr wt5=lp
|_genr wt6=1/linc
|_* REGRESSION 1F
|_ols q p inc inc2 / weight=wt1
SUM OF LOG(SQRT(ABS(WEIGHT))) = -0.34012
R-SQUARE = 0.4731 R-SQUARE ADJUSTED = 0.4387
VARIANCE OF THE ESTIMATE-SIGMA**2 = 90.282
STANDARD ERROR OF THE ESTIMATE-SIGMA = 9.5017
SUM OF SQUARED ERRORS-SSE= 4153.0
MEAN OF DEPENDENT VARIABLE = 132.04
LOG OF THE LIKELIHOOD FUNCTION = -181.776
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 3728.2 3. 1242.7 13.765
ERROR 4153.0 46. 90.282 P-VALUE
TOTAL 7881.2 49. 160.84 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
P -36.385 6.406 -5.680 0.000-0.642 -0.6608 -0.3781
INC 1.3911 0.7581 1.835 0.073 0.261 1.7672 0.4828
INC2 -0.18085E-01 0.8196E-02 -2.207 0.032-0.309 -2.1318 -0.3225
CONSTANT 160.80 14.97 10.74 0.000 0.846 0.0000 1.2178
|_test
|_test inc=0
|_test inc2=0
|_end
F STATISTIC = 7.6198901 WITH 2 AND 46 D.F. P-VALUE= 0.00139
WALD CHI-SQUARE STATISTIC = 15.239780 WITH 2 D.F. P-VALUE= 0.00049
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.13124
|_* REGRESSION 1G
|_ols q p inc inc2 / weight=wt2
SUM OF LOG(SQRT(ABS(WEIGHT))) = -0.34082
R-SQUARE = 0.5104 R-SQUARE ADJUSTED = 0.4785
VARIANCE OF THE ESTIMATE-SIGMA**2 = 71.954
STANDARD ERROR OF THE ESTIMATE-SIGMA = 8.4826
SUM OF SQUARED ERRORS-SSE= 3309.9
MEAN OF DEPENDENT VARIABLE = 129.73
LOG OF THE LIKELIHOOD FUNCTION = -176.104
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 3451.0 3. 1150.3 15.987
ERROR 3309.9 46. 71.954 P-VALUE
TOTAL 6760.9 49. 137.98 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
P -35.925 5.567 -6.454 0.000-0.689 -0.7203 -0.4011
INC 1.0336 0.6723 1.537 0.131 0.221 1.3522 0.3628
INC2 -0.13934E-01 0.7287E-02 -1.912 0.062-0.271 -1.6916 -0.2476
CONSTANT 166.82 13.74 12.14 0.000 0.873 0.0000 1.2859
|_test
|_test inc=0
|_test inc2=0
|_end
F STATISTIC = 6.5338261 WITH 2 AND 46 D.F. P-VALUE= 0.00318
WALD CHI-SQUARE STATISTIC = 13.067652 WITH 2 D.F. P-VALUE= 0.00145
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.15305
|_* REGRESSION 1H
|_ols q p inc inc2 / weight=wt3
SUM OF LOG(SQRT(ABS(WEIGHT))) = -1.7025
R-SQUARE = 0.5494 R-SQUARE ADJUSTED = 0.5200
VARIANCE OF THE ESTIMATE-SIGMA**2 = 72.354
STANDARD ERROR OF THE ESTIMATE-SIGMA = 8.5061
SUM OF SQUARED ERRORS-SSE= 3328.3
MEAN OF DEPENDENT VARIABLE = 132.22
LOG OF THE LIKELIHOOD FUNCTION = -177.604
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 4057.2 3. 1352.4 18.692
ERROR 3328.3 46. 72.354 P-VALUE
TOTAL 7385.5 49. 150.72 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
P -36.487 5.310 -6.871 0.000-0.712 -0.7234 -0.3884
INC 0.97852 0.6355 1.540 0.130 0.221 1.2104 0.2966
INC2 -0.13479E-01 0.7091E-02 -1.901 0.064-0.270 -1.4936 -0.1868
CONSTANT 169.05 12.43 13.60 0.000 0.895 0.0000 1.2785
|_test
|_test inc=0
|_test inc2=0
|_end
F STATISTIC = 5.5719860 WITH 2 AND 46 D.F. P-VALUE= 0.00681
WALD CHI-SQUARE STATISTIC = 11.143972 WITH 2 D.F. P-VALUE= 0.00380
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.17947
|_* REGRESSION 1I
|_ols lq lp linc linc2 / weight=wt4 loglog
SUM OF LOG(SQRT(ABS(WEIGHT))) = -5.1969
R-SQUARE = 0.3961 R-SQUARE ADJUSTED = 0.3567
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.66989E-02
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.81847E-01
SUM OF SQUARED ERRORS-SSE= 0.30815
MEAN OF DEPENDENT VARIABLE = 4.8994
LOG OF THE LIKELIHOOD FUNCTION(IF DEPVAR LOG) = -193.882
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.20212 3. 0.67374E-01 10.058
ERROR 0.30815 46. 0.66989E-02 P-VALUE
TOTAL 0.51027 49. 0.10414E-01 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
LP -0.34805 0.8161E-01 -4.265 0.000-0.532 -0.5261 -0.3480
LINC 2.0937 0.8408 2.490 0.016 0.345 8.3408 2.0937
LINC2 -0.29463 0.1135 -2.597 0.013-0.358 -8.6920 -0.2946
CONSTANT 1.3172 1.534 0.8585 0.395 0.126 0.0000 1.3172
|_test
|_test linc=0
|_test linc2=0
|_end
F STATISTIC = 8.0778685 WITH 2 AND 46 D.F. P-VALUE= 0.00098
WALD CHI-SQUARE STATISTIC = 16.155737 WITH 2 D.F. P-VALUE= 0.00031
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.12380
|_* REGRESSION 1J
|_ols lq lp linc linc2 / weight=wt5 loglog
SUM OF LOG(SQRT(ABS(WEIGHT))) = -4.1070
R-SQUARE = 0.5164 R-SQUARE ADJUSTED = 0.4848
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.30329E-02
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.55072E-01
SUM OF SQUARED ERRORS-SSE= 0.13951
MEAN OF DEPENDENT VARIABLE = 4.8443
LOG OF THE LIKELIHOOD FUNCTION(IF DEPVAR LOG) = -170.227
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.14896 3. 0.49654E-01 16.372
ERROR 0.13951 46. 0.30329E-02 P-VALUE
TOTAL 0.28848 49. 0.58873E-02 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
LP -0.38154 0.5640E-01 -6.765 0.000-0.706 -0.7230 -0.3815
LINC 0.90820 0.5328 1.705 0.095 0.244 4.0411 0.9082
LINC2 -0.13076 0.7194E-01 -1.818 0.076-0.259 -4.3145 -0.1308
CONSTANT 3.4503 0.9743 3.541 0.001 0.463 0.0000 3.4503
|_test
|_test linc=0
|_test linc2=0
|_end
F STATISTIC = 4.9088697 WITH 2 AND 46 D.F. P-VALUE= 0.01169
WALD CHI-SQUARE STATISTIC = 9.8177394 WITH 2 D.F. P-VALUE= 0.00738
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.20371
|_* REGRESSION 1K
|_ols lq lp linc linc2 / weight=wt6 loglog
SUM OF LOG(SQRT(ABS(WEIGHT))) = -0.12455
R-SQUARE = 0.4858 R-SQUARE ADJUSTED = 0.4523
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.45619E-02
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.67542E-01
SUM OF SQUARED ERRORS-SSE= 0.20985
MEAN OF DEPENDENT VARIABLE = 4.8730
LOG OF THE LIKELIHOOD FUNCTION(IF DEPVAR LOG) = -177.886
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.19826 3. 0.66087E-01 14.487
ERROR 0.20985 46. 0.45619E-02 P-VALUE
TOTAL 0.40811 49. 0.83287E-02 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 46 DF P-VALUE CORR. COEFFICIENT AT MEANS
LP -0.36009 0.6067E-01 -5.935 0.000-0.659 -0.6648 -0.3601
LINC 1.2235 0.6566 1.863 0.069 0.265 5.0114 1.2235
LINC2 -0.17517 0.8881E-01 -1.972 0.055-0.279 -5.3034 -0.1752
CONSTANT 2.8883 1.197 2.413 0.020 0.335 0.0000 2.8883
|_test
|_test linc=0
|_test linc2=0
|_end
F STATISTIC = 5.6831756 WITH 2 AND 46 D.F. P-VALUE= 0.00623
WALD CHI-SQUARE STATISTIC = 11.366351 WITH 2 D.F. P-VALUE= 0.00340
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 0.17596
|_stop
EXHIBIT 2
|_sample 1 148
|_format(f8.2,f12.3,f8.1,f9.4,f6.1,4f3.0)
|_read(carcred.dat) date autocred yp r autoinv qtr1 &
| qtr2 qtr3 qtr4 / format
|_* STATISTICS 2
|_stat / pcor
NAME N MEAN ST. DEV VARIANCE MINIMUM MAXIMUM
DATE 148 1978.4 10.717 114.85 1960.0 1996.8
AUTOCRED 148 61460. 44913. 0.20172E+10 8127.7 0.15453E+06
YP 148 2998.6 2244.8 0.50392E+07 527.30 7796.1
R 148 6.7822 2.8681 8.2260 2.8600 16.213
AUTOINV 148 29.878 25.214 635.72 3.6000 86.000
QTR1 148 0.25000 0.43448 0.18878 0.00000 1.0000
QTR2 148 0.25000 0.43448 0.18878 0.00000 1.0000
QTR3 148 0.25000 0.43448 0.18878 0.00000 1.0000
QTR4 148 0.25000 0.43448 0.18878 0.00000 1.0000
CORRELATION MATRIX OF VARIABLES - 148 OBSERVATIONS
DATE 1.0000
AUTOCRED 0.96418 1.0000
YP 0.96677 0.98670 1.0000
R 0.26221 0.15445 0.10599 1.0000
AUTOINV 0.94918 0.98727 0.99191 0.57952E-01
1.0000
QTR1 -0.20271E-01 -0.26267E-01 -0.18395E-01 -0.24838E-01
-0.18878E-01 1.0000
QTR2 -0.67569E-02 -0.10482E-01 -0.60888E-02 -0.75242E-02
-0.42847E-02 -0.33333 1.0000
QTR3 0.67569E-02 0.12964E-01 0.56937E-02 0.24964E-01
-0.49678E-03 -0.33333 -0.33333 1.0000
QTR4 0.20271E-01 0.23785E-01 0.18790E-01 0.73981E-02
0.23659E-01 -0.33333 -0.33333 -0.33333 1.0000
DATE AUTOCRED YP R
AUTOINV QTR1 QTR2 QTR3 QTR4
|_* REGRESSION 2A
|_ols autocred date
R-SQUARE = 0.9296 R-SQUARE ADJUSTED = 0.9292
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.14289E+09
STANDARD ERROR OF THE ESTIMATE-SIGMA = 11953.
SUM OF SQUARED ERRORS-SSE= 0.20861E+11
MEAN OF DEPENDENT VARIABLE = 61460.
LOG OF THE LIKELIHOOD FUNCTION = -1598.54
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.27566E+12 1. 0.27566E+12 1929.236
ERROR 0.20861E+11 146. 0.14289E+09 P-VALUE
TOTAL 0.29652E+12 147. 0.20172E+10 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 146 DF P-VALUE CORR. COEFFICIENT AT MEANS
DATE 4040.7 91.99 43.92 0.000 0.964 0.9642 130.0691
CONSTANT -0.79325E+07 0.1820E+06 -43.58 0.000-0.964 0.0000 -129.0691
|_* REGRESSION 2B
|_ols autocred yp r autoinv qtr2 qtr3 qtr4 / auxrsqr exactdw &
| predict=fitols2 resid=e
DURBIN-WATSON STATISTIC = 0.30614
DURBIN-WATSON P-VALUE = 0.000000
R-SQUARE OF YP ON OTHER INDEPENDENT VARIABLES = 0.9863
R-SQUARE OF R ON OTHER INDEPENDENT VARIABLES = 0.1502
R-SQUARE OF AUTOINV ON OTHER INDEPENDENT VARIABLES = 0.9862
R-SQUARE OF QTR2 ON OTHER INDEPENDENT VARIABLES = 0.3336
R-SQUARE OF QTR3 ON OTHER INDEPENDENT VARIABLES = 0.3342
R-SQUARE OF QTR4 ON OTHER INDEPENDENT VARIABLES = 0.3348
R-SQUARE OF CONSTANT ON OTHER INDEPENDENT VARIABLES = 0.0000
R-SQUARE = 0.9848 R-SQUARE ADJUSTED = 0.9842
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.31912E+08
STANDARD ERROR OF THE ESTIMATE-SIGMA = 5649.0
SUM OF SQUARED ERRORS-SSE= 0.44995E+10
MEAN OF DEPENDENT VARIABLE = 61460.
LOG OF THE LIKELIHOOD FUNCTION = -1485.02
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.29202E+12 6. 0.48670E+11 1525.168
ERROR 0.44995E+10 141. 0.31912E+08 P-VALUE
TOTAL 0.29652E+12 147. 0.20172E+10 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 141 DF P-VALUE CORR. COEFFICIENT AT MEANS
YP 3.8617 1.773 2.179 0.031 0.180 0.1930 0.1884
R 1375.6 176.2 7.806 0.000 0.549 0.0878 0.1518
AUTOINV 1408.3 157.2 8.959 0.000 0.602 0.7906 0.6846
QTR2 27.230 1314. 0.2073E-01 0.983 0.002 0.0003 0.0001
QTR3 1215.1 1314. 0.9246 0.357 0.078 0.0118 0.0049
QTR4 497.10 1315. 0.3781 0.706 0.032 0.0048 0.0020
CONSTANT -1963.0 1517. -1.294 0.198-0.108 0.0000 -0.0319
|_test
|_test qtr2=0
|_test qtr3=0
|_test qtr4=0
|_end
F STATISTIC = 0.37349315 WITH 3 AND 141 D.F. P-VALUE= 0.77225
WALD CHI-SQUARE STATISTIC = 1.1204794 WITH 3 D.F. P-VALUE= 0.77213
UPPER BOUND ON P-VALUE BY CHEBYCHEV INEQUALITY = 1.00000
|_genr elag1=lag(e,1)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_genr elag2=lag(e,2)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_genr elag3=lag(e,3)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_genr elag4=lag(e,4)
..NOTE.LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_sample 5 148
|_* REGRESSION 2C
|_ols e elag1 elag2 elag3 elag4 / auxrsqr
REQUIRED MEMORY IS PAR= 27 CURRENT PAR= 500
OLS ESTIMATION
144 OBSERVATIONS DEPENDENT VARIABLE = E
...NOTE..SAMPLE RANGE SET TO: 5, 148
R-SQUARE OF ELAG1 ON OTHER INDEPENDENT VARIABLES = 0.7370
R-SQUARE OF ELAG2 ON OTHER INDEPENDENT VARIABLES = 0.8444
R-SQUARE OF ELAG3 ON OTHER INDEPENDENT VARIABLES = 0.8454
R-SQUARE OF ELAG4 ON OTHER INDEPENDENT VARIABLES = 0.7395
R-SQUARE OF CONSTANT ON OTHER INDEPENDENT VARIABLES = 0.0000
R-SQUARE = 0.7356 R-SQUARE ADJUSTED = 0.7280
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.84815E+07
STANDARD ERROR OF THE ESTIMATE-SIGMA = 2912.3
SUM OF SQUARED ERRORS-SSE= 0.11789E+10
MEAN OF DEPENDENT VARIABLE = 85.336
LOG OF THE LIKELIHOOD FUNCTION = -1350.43
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.32795E+10 4. 0.81988E+09 96.666
ERROR 0.11789E+10 139. 0.84815E+07 P-VALUE
TOTAL 0.44584E+10 143. 0.31178E+08 0.000
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 139 DF P-VALUE CORR. COEFFICIENT AT MEANS
ELAG1 0.87517 0.8501E-01 10.30 0.000 0.658 0.8756 0.7105
ELAG2 -0.25137 0.1105 -2.274 0.024-0.189 -0.2515 -0.2076
ELAG3 0.31332 0.1108 2.829 0.005 0.233 0.3138 0.1836
ELAG4 -0.60121E-01 0.8517E-01 -0.7059 0.481-0.060 -0.0603 -0.0193
CONSTANT 28.402 242.7 0.1170 0.907 0.010 0.0000 0.3328
|_sample 1 148
|_* REGRESSION 2D
|_auto autocred yp r autoinv qtr2 qtr3 qtr4 / &
| drop predict=fitauto
REQUIRED MEMORY IS PAR= 33 CURRENT PAR= 500
DEPENDENT VARIABLE = AUTOCRED
..NOTE..R-SQUARE,ANOVA,RESIDUALS DONE ON ORIGINAL VARS
LEAST SQUARES ESTIMATION 147 OBSERVATIONS
BY COCHRANE-ORCUTT TYPE PROCEDURE WITH CONVERGENCE = 0.00100
ITERATION RHO LOG L.F. SSE
1 0.00000 -1475.49 0.44995E+10
2 0.84499 -1309.48 0.47014E+09
3 0.97134 -1289.41 0.35780E+09
4 0.97335 -1289.40 0.35777E+09
5 0.97354 -1289.40 0.35777E+09
LOG L.F. = -1289.40 AT RHO = 0.97354
ASYMPTOTIC ASYMPTOTIC ASYMPTOTIC
ESTIMATE VARIANCE ST.ERROR T-RATIO
RHO 0.97354 0.00036 0.01885 51.65428
R-SQUARE = 0.9988 R-SQUARE ADJUSTED = 0.9987
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.25555E+07
STANDARD ERROR OF THE ESTIMATE-SIGMA = 1598.6
SUM OF SQUARED ERRORS-SSE= 0.35777E+09
MEAN OF DEPENDENT VARIABLE = 61460.
LOG OF THE LIKELIHOOD FUNCTION = -1289.40
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS
REGRESSION 0.29616E+12 6. 0.49361E+11
ERROR 0.35777E+09 140. 0.25555E+07
TOTAL 0.29652E+12 146. 0.20310E+10
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 140 DF P-VALUE CORR. COEFFICIENT AT MEANS
YP 17.504 1.701 10.29 0.000 0.656 0.8749 0.8540
R 210.84 139.6 1.510 0.133 0.127 0.0135 0.0233
AUTOINV 136.62 76.02 1.797 0.074 0.150 0.0767 0.0664
QTR2 233.25 231.4 1.008 0.315 0.085 0.0023 0.0009
QTR3 1145.7 270.3 4.238 0.000 0.337 0.0111 0.0047
QTR4 922.72 234.7 3.931 0.000 0.315 0.0089 0.0038
CONSTANT 4736.8 8795. 0.5386 0.591 0.045 0.0000 0.0771
|_* REGRESSION 2E
|_auto autocred yp r autoinv qtr2 qtr3 qtr4 / &
| drop order=4 predict=fitauto
..NOTE..R-SQUARE,ANOVA,RESIDUALS DONE ON ORIGINAL VARS
AUTOREGRESSIVE ERROR MODEL, ORDER= 4
...
ITERATION 7 ESTIMATES AND ERROR SUM OF SQUARES
19.569 40.541 45.786 287.69 1203.2
993.50 -2332.3 -1.6166 0.83795 -0.51148
0.33958 0.16863E+09
RESIDUAL CORRELOGRAM
LM-TEST FOR HJ:RHO (J)=0,STATISTIC IS CHI-SQUARE(1)
LAG RHO STD ERR T-STAT LM-STAT
1 -0.0457 0.0822 -0.5560 2.8162
2 0.0039 0.0822 0.0468 0.0211
3 -0.0200 0.0822 -0.2433 0.1263
4 0.0769 0.0822 0.9358 1.2209
5 0.1584 0.0822 1.9264 4.5205
6 -0.1369 0.0822 -1.6655 3.4012
7 -0.0247 0.0822 -0.3001 0.1177
8 0.0052 0.0822 0.0633 0.0056
9 0.0571 0.0822 0.6941 0.6838
10 -0.0174 0.0822 -0.2112 0.0647
11 0.0593 0.0822 0.7220 0.7066
12 -0.0470 0.0822 -0.5718 0.4428
13 -0.0808 0.0822 -0.9834 1.3638
14 -0.1273 0.0822 -1.5491 3.5867
15 0.0488 0.0822 0.5939 0.5504
CHISQUARE WITH 15 D.F. IS 12.919
ASYMPTOTIC
ESTIMATE VARIANCE ST.ERROR T-RATIO
RHO 1 1.61664 0.00616 0.07847 20.60085
RHO 2 -0.83795 0.02249 0.14998 -5.58708
RHO 3 0.51148 0.02251 0.15002 3.40936
RHO 4 -0.33958 0.00615 0.07843 -4.32953
R-SQUARE = 0.9994 R-SQUARE ADJUSTED = 0.9994
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.11959E+07
STANDARD ERROR OF THE ESTIMATE-SIGMA = 1093.6
SUM OF SQUARED ERRORS-SSE= 0.16863E+09
MEAN OF DEPENDENT VARIABLE = 61460.
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 141 DF P-VALUE CORR. COEFFICIENT AT MEANS
YP 19.569 0.6974 28.06 0.000 0.921 0.9781 0.9548
R 40.541 96.09 0.4219 0.674 0.036 0.0026 0.0045
AUTOINV 45.786 41.97 1.091 0.277 0.091 0.0257 0.0223
QTR2 287.69 153.8 1.871 0.063 0.156 0.0028 0.0012
QTR3 1203.2 210.8 5.708 0.000 0.433 0.0116 0.0049
QTR4 993.50 156.0 6.370 0.000 0.473 0.0096 0.0040
CONSTANT -2332.3 1081. -2.157 0.033-0.179 0.0000 -0.0379
|_stop
Updated: February 18, 1998
Prepared by: Trudy Ann Cameron