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The document presents results from unit root tests on EXR and IHIF, indicating that while D(EXR) and D(IHIF) do not have unit roots, EXR and IHIF do. Additionally, regression analyses reveal low R-squared values for both DEXR and LOGEXR, suggesting weak explanatory power. The document also includes tests for multicollinearity, serial correlation, heteroscedasticity, and non-normality of residuals.

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2 views

Example for Assignment_Eviews Output

The document presents results from unit root tests on EXR and IHIF, indicating that while D(EXR) and D(IHIF) do not have unit roots, EXR and IHIF do. Additionally, regression analyses reveal low R-squared values for both DEXR and LOGEXR, suggesting weak explanatory power. The document also includes tests for multicollinearity, serial correlation, heteroscedasticity, and non-normality of residuals.

Uploaded by

shashithfdo44
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPTX, PDF, TXT or read online on Scribd
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IFM Assignment 2024

Tharindu Ediriwickrama
EXR - Unit Root Test
Null Hypothesis: EXR has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.317623 0.1689


Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626

*MacKinnon (1996) one-sided p-values.


EXR - Unit Root Test
Null Hypothesis: D(EXR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -8.990456 0.0000


Test critical values: 1% level -3.512290
5% level -2.897223
10% level -2.585861

*MacKinnon (1996) one-sided p-values.


EXR - Unit Root Test
Null Hypothesis: D(EXR) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -8.934613 0.0000


Test critical values: 1% level -4.073859
5% level -3.465548
10% level -3.159372

*MacKinnon (1996) one-sided p-values.


IHIF – Unit Root Test
Null Hypothesis: IHIF has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.581099 0.9884


Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626

*MacKinnon (1996) one-sided p-values.


IHIF – Unit Root Test
Null Hypothesis: D(IHIF) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.972611 0.0000


Test critical values: 1% level -3.512290
5% level -2.897223
10% level -2.585861

*MacKinnon (1996) one-sided p-values.


IHIF – Unit Root Test
Null Hypothesis: D(IHIF) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.128070 0.0000


Test critical values: 1% level -4.073859
5% level -3.465548
10% level -3.159372

*MacKinnon (1996) one-sided p-values.


Output 1
Dependent Variable: DEXR
Method: Least Squares
Date: 04/19/23 Time: 12:43
Sample (adjusted): 2016M02 2022M12
Included observations: 83 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.001624 0.002212 0.734176 0.4650


DIHIF -0.002948 0.009088 -0.324370 0.7465

R-squared 0.001297 Mean dependent var 0.001501


Adjusted R-squared -0.011032 S.D. dependent var 0.019748
S.E. of regression 0.019857 Akaike info criterion -4.976746
Sum squared resid 0.031937 Schwarz criterion -4.918460
Log likelihood 208.5349 Hannan-Quinn criter. -4.953330
F-statistic 0.105216 Durbin-Watson stat 1.990898
Prob(F-statistic) 0.746494
Output 2
Dependent Variable: LOGEXR
Method: Least Squares
Date: 04/19/23 Time: 12:46
Sample: 2016M01 2022M12
Included observations: 78

Variable Coefficient Std. Error t-Statistic Prob.

C -0.255385 0.006065 -42.10811 0.0000


LOGIHIF 0.010236 0.002658 3.850640 0.0002

R-squared 0.163248 Mean dependent var -0.265650


Adjusted R-squared 0.152239 S.D. dependent var 0.052255
S.E. of regression 0.048113 Akaike info criterion -3.205218
Sum squared resid 0.175930 Schwarz criterion -3.144790
Log likelihood 127.0035 Hannan-Quinn criter. -3.181028
F-statistic 14.82743 Durbin-Watson stat 0.334041
Prob(F-statistic) 0.000244
Multicollinearity
Variance Inflation Factors
Date: 04/19/23 Time: 12:46
Sample: 2016M01 2022M12
Included observations: 78

Coefficient Uncentered Centered


Variable Variance VIF VIF

C 3.68E-05 1.239448 NA
LOGIHIF 7.07E-06 1.239448 1.000000
Serial Correlation
Breusch-Godfrey Serial Correlation LM Test:

F-statistic 63.04689 Prob. F(2,74) 0.0000


Obs*R-squared 49.15353 Prob. Chi-Square(2) 0.0000
Heteroscedasticity
Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 2.038799 Prob. F(1,76) 0.1574


Obs*R-squared 2.037786 Prob. Chi-Square(1) 0.1534
Scaled explained SS 2.274588 Prob. Chi-Square(1) 0.1315
Non - normality
12
Series: Residuals
Sample 2016M01 2022M12
10
Observations 78

8 Mean -3.42e-17
Median -0.002279
6 Maximum 0.135273
Minimum -0.110414
Std. Dev. 0.047800
4
Skewness 0.104444
Kurtosis 3.351452
2
Jarque-Bera 0.543247
0 Probability 0.762141
-0.10 -0.05 0.00 0.05 0.10

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