Econometric views

Indici di borsa di Londra (IBLON) e New York (IBNY) Indici di borsa di Londra (iblon) e New York (ibny) genr dl=d(iblon) Estimation Command: LS DL C DL(-1) Estimation Equation: DL = C(1) + C(2)*DL(-1) Substituted Coefficients: DL = 6.53+ 0.23*DL(-1) Estimation Command: LS DL C AR(1) Estimation Equation: DL = C(1) + [AR(1)=C(2)] Substituted Coefficients: DL = 8.53+ [AR(1)=0.23] Estimation Command: LS DL C AR(1) AR(2) MA(1) MA(2) Estimation Equation: DL = C(1) + [AR(1)=C(2),AR(2)=C(3),MA(1)=C(4),MA(2)=C(5)] Substituted Coefficients: DL = 7.73+ [AR(1)=-0.94,AR(2)=0.59,MA(1)=1.28,MA(2)=0.78,BACKCAST=1987:08] Wald Test: Null Hypothesis: C(1)=0 F-statistic 0.783942 Probability 0.378151 Chi-square 0.783942 Probability 0.375938 Stima di modelli uniequazionali Indici di borsa di Londra (iblon) e New York (ibny) genr dl=d(iblon) genr dn=d(ibny) GRAFICO DUE SERIE IN DIFFERENZE CORRELATION 0.59 genr ll=log(iblon) genr ln=log(ibny) genr dll=d(ll) genr dln=d(ln) GRAFICO DELLE DIFFERENZE DELLE TRASFORMATE LOGARITMICHE (RENDIMENTI) Quick … Estimate Equation … Least Squares Specifica equazione Options metodi di stima disponibili per la stima della matrice delle varianze e covarianze Estimation Command: LS DLL C DLN AR(1) AR(2) MA(1) MA(2) Estimation Equation: DLL = C(1) + C(2)*DLN + [AR(1)=C(3),AR(2)=C(4),MA(1)=C(5),MA(2)=C(6)] Substituted Coefficients: DLL = -0.0021867979 + 0.90766751*DLN + [AR(1)=-0.65806186,AR(2)=-0.53444961,MA(1)=0.79377829,MA(2)=0.52545108,BACKCAST=1987:08] Coefficient test Wald coefficient restrictions test su vincoli sui parametri Wald Test: Equation: Untitled Null Hypothesis: C(1)=0 F-statistic 0.417680 Probability 0.519655 Chi-square 0.417680 Probability 0.518097 Wald Test: Equation: Untitled Null Hypothesis: C(1)=0 C(2)=C(3) F-statistic 85.76722 Probability 0.000000 Chi-square 171.5344 Probability 0.000000 Coefficient test Redundant Variables test su inclusione di variabile irrilevante Redundant Variables: AR(2) MA(2) F-statistic 12.00036 Probability 0.000023 Log likelihood 22.75052 Probability 0.000011 Coefficient test Omitted Variables test su omissione di variabile irrilevante Omitted Variables: MA(3) F-statistic 3.697309 Probability 0.057527 Log likelihood 3.896502 Probability 0.048387 Residual Tests Correlogram Q- Statistics test su correlazione seriale in errore Residual Tests Histogram and Normality Test test su normalit?istributiva Residual Tests Serial correlation LM Test test su correlazione seriale in errore Breusch-Godfrey Serial Correlation LM Test: F-statistic 3.379318 Probability 0.038305 Obs*R-squared 6.841423 Probability 0.032689 Residual Tests White'Heteroskedasticity Test test su eteroschedasticit?/p> White Heteroskedasticity Test: F-statistic 0.516799 Probability 0.598043 Obs*R-squared 1.054121 Probability 0.590338 Continua »