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    Regression Results MGT 646-2

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    AMIRUL RAJA ROSMAN
    This document contains output from statistical analyses performed on inflation rate (INF) and various explanatory variables from 1992 to 2017. It includes estimation results, diagnostic tests for issues like multicollinearity and serial correlation, and unit root tests. Key findings are that the oil price, unemployment rate, and lending interest rate variables are statistically significant in explaining inflation in the first difference model, with no evidence of multicollinearity or serial correlation found.

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    Regression Results MGT 646-2

    Uploaded by

    AMIRUL RAJA ROSMAN
    45 views6 pages
    This document contains output from statistical analyses performed on inflation rate (INF) and various explanatory variables from 1992 to 2017. It includes estimation results, diagnostic tests for issues like multicollinearity and serial correlation, and unit root tests. Key findings are that the oil price, unemployment rate, and lending interest rate variables are statistically significant in explaining inflation in the first difference model, with no evidence of multicollinearity or serial correlation found.

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    REGRESSION RESULTS MGT 646-2

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    This document contains output from statistical analyses performed on inflation rate (INF) and various explanatory variables from 1992 to 2017. It includes estimation results, diagnostic tests for issues like multicollinearity and serial correlation, and unit root tests. Key findings are that the oil price, unemployment rate, and lending interest rate variables are statistically significant in explaining inflation in the first difference model, with no evidence of multicollinearity or serial correlation found.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    45 views6 pages

    Regression Results MGT 646-2

    Uploaded by

    AMIRUL RAJA ROSMAN
    This document contains output from statistical analyses performed on inflation rate (INF) and various explanatory variables from 1992 to 2017. It includes estimation results, diagnostic tests for issues like multicollinearity and serial correlation, and unit root tests. Key findings are that the oil price, unemployment rate, and lending interest rate variables are statistically significant in explaining inflation in the first difference model, with no evidence of multicollinearity or serial correlation found.

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    ESTIMATION OUPUT (RAW)

    Dependent Variable: INF


    Method: Least Squares
    Date: 01/24/23 Time: 03:38
    Sample: 1992 2017
    Included observations: 26

    Variable Coefficient Std. Error t-Statistic Prob.

    C -4.146014 2.858790 -1.450269 0.1611


    OIL 0.029046 0.011098 2.617192 0.0157
    UNEMPLOY 0.469322 0.611161 0.767919 0.4507
    LIR 0.565966 0.144775 3.909290 0.0008

    R-squared 0.417436 Mean dependent var 2.743326


    Adjusted R-squared 0.337995 S.D. dependent var 1.268917
    S.E. of regression 1.032437 Akaike info criterion 3.042360
    Sum squared resid 23.45038 Schwarz criterion 3.235913
    Log likelihood -35.55068 Hannan-Quinn criter. 3.098096
    F-statistic 5.254693 Durbin-Watson stat 1.759274
    Prob(F-statistic) 0.006919

    VARIANCE INFLATION FACTOR (VIF) FOR MULTICOLLINEARITY


    Variance Inflation Factors
    Date: 01/21/23 Time: 21:55
    Sample: 1992 2017
    Included observations: 26

    Coefficient Uncentered Centered


    Variable Variance VIF VIF

    C 8.172680 199.3474 NA
    OIL 0.000123 9.672670 2.558349
    UNEMP 0.373518 100.6928 1.128772
    LIR 0.020960 27.06785 2.486716
    HISTOGRAM FOR NORMALITY TEST
    9
    Series: Residuals
    8 Sample 1992 2017
    7 Observations 26
    6
    Mean 1.16e-15
    5 Median 0.027009
    4 Maximum 2.333296
    Minimum -1.665235
    3
    Std. Dev. 0.968512
    2 Skewness 0.383946
    1 Kurtosis 2.594102

    0
    -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 Jarque-Bera 0.817280
    Probability 0.664553

    BREUSCH GODFREY LM SERIAL CORRELATION TEST


    Breusch-Godfrey Serial Correlation LM Test:
    Null hypothesis: No serial correlation at up to 2 lags

    F-statistic 0.084264 Prob. F(2,20) 0.9195


    Obs*R-squared 0.217255 Prob. Chi-Square(2) 0.8971

    Test Equation:
    Dependent Variable: RESID
    Method: Least Squares
    Date: 01/21/23 Time: 21:55
    Sample: 1992 2017
    Included observations: 26
    Presample missing value lagged residuals set to zero.

    Variable Coefficient Std. Error t-Statistic Prob.

    C 0.014504 3.035193 0.004779 0.9962


    OIL -1.27E-05 0.012257 -0.001037 0.9992
    UNEMP 0.019751 0.642480 0.030741 0.9758
    LIR -0.009444 0.155578 -0.060706 0.9522
    RESID(-1) 0.003161 0.274828 0.011500 0.9909
    RESID(-2) 0.111224 0.273452 0.406741 0.6885

    R-squared 0.008356 Mean dependent var 1.16E-15


    Adjusted R-squared -0.239555 S.D. dependent var 0.968512
    S.E. of regression 1.078296 Akaike info criterion 3.187815
    Sum squared resid 23.25443 Schwarz criterion 3.478145
    Log likelihood -35.44159 Hannan-Quinn criter. 3.271419
    F-statistic 0.033706 Durbin-Watson stat 1.830972
    Prob(F-statistic) 0.999314
    UNIT ROOT TEST AUGMENTED DICKEY-FULLER (at 1st Difference, Intercept and Trend)

    VARIABLES LEVEL 1ST DIFFERENCE

    INFLATION RATE (INF) 0.0054 0.0002

    OIL PRICE (OIL) 0.7872 0.0019

    UNEMPLOYMENT RATE (UNEMPLOY) 0.2963 0.0173

    LENDING INTEREST RATE (LIR) 0.4091 0.0001

    UNIT ROOT TEST PHILLIPS-PERRON (at 1st Difference, Intercept and Trend)

    VARIABLES LEVEL 1ST DIFFERENCE

    INFLATION RATE (INF) 0.0054 0.0000

    OIL PRICE (OIL) 0.7872 0.0018

    UNEMPLOYMENT RATE (UNEMPLOY) 0.3439 0.0057

    LENDING INTEREST RATE (LIR) 0.3433 0.0063


    ESTIMATION OUTPUT (1ST DIFFERENCE, 26 OBS 1992-2017, OIL/UNEMP/LIR)
    Dependent Variable: DINF
    Method: Least Squares
    Date: 01/21/23 Time: 22:29
    Sample (adjusted): 1993 2017
    Included observations: 25 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    C 0.074406 0.250155 0.297440 0.7691


    DOIL 0.071081 0.017653 4.026590 0.0006
    DUNEMPLOY 0.758657 0.791092 0.959000 0.3485
    DLIR 0.842097 0.268449 3.136891 0.0050

    R-squared 0.557849 Mean dependent var -0.035841


    Adjusted R-squared 0.494684 S.D. dependent var 1.702593
    S.E. of regression 1.210298 Akaike info criterion 3.365256
    Sum squared resid 30.76122 Schwarz criterion 3.560276
    Log likelihood -38.06570 Hannan-Quinn criter. 3.419346
    F-statistic 8.831688 Durbin-Watson stat 2.323248
    Prob(F-statistic) 0.000555

    VARIANCE INFLATION FACTOR (MULTICOLLINEARITY)


    Variance Inflation Factors
    Date: 01/21/23 Time: 22:29
    Sample: 1992 2017
    Included observations: 25

    Coefficient Uncentered Centered


    Variable Variance VIF VIF

    C 0.062577 1.068005 NA
    DOIL 0.000312 1.177906 1.170134
    DUNEMPLOY 0.625826 1.174219 1.172681
    DLIR 0.072065 1.063070 1.002376
    DESCRIPTIVE ANALYSIS
    DINF DOIL DUNEMPLOY DLIR
    Mean -0.035841 1.208800 -0.012000 -0.222144
    Median 0.037984 3.690000 -0.030000 -0.093333
    Maximum 3.413429 27.33000 0.750000 1.505833
    Minimum -4.857474 -44.51000 -0.630000 -3.570833
    Std. Dev. 1.702593 15.13861 0.338181 0.921381
    Skewness -0.543151 -1.534553 0.211240 -1.640829
    Kurtosis 4.193569 6.041883 2.610501 8.533887

    Jarque-Bera 2.713187 19.45049 0.343957 43.11790


    Probability 0.257537 0.000060 0.841997 0.000000

    Sum -0.896027 30.22000 -0.300000 -5.553589


    Sum Sq. Dev. 69.57173 5500.262 2.744800 20.37463

    Observations 25 25 25 25

    NORMALITY TEST
    6
    Series: Residuals
    Sample 1993 2017
    5
    Observations 25

    4
    Mean -2.66e-17
    Median -0.005205
    3
    Maximum 1.902152
    Minimum -1.985724
    2 Std. Dev. 1.132130
    Skewness 0.001174
    1 Kurtosis 1.943973

    0 Jarque-Bera 1.161665
    -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 Probability 0.559433
    BREUSCH-GODGREY@LM (SERIAL CORRELATION)
    Breusch-Godfrey Serial Correlation LM Test:
    Null hypothesis: No serial correlation at up to 2 lags

    F-statistic 1.060547 Prob. F(2,19) 0.3659


    Obs*R-squared 2.510635 Prob. Chi-Square(2) 0.2850

    Test Equation:
    Dependent Variable: RESID
    Method: Least Squares
    Date: 01/21/23 Time: 22:30
    Sample: 1993 2017
    Included observations: 25
    Presample missing value lagged residuals set to zero.

    Variable Coefficient Std. Error t-Statistic Prob.

    C -0.019397 0.249911 -0.077614 0.9389


    DOIL -0.013626 0.021581 -0.631398 0.5353
    DUNEMPLOY -0.267567 0.810383 -0.330174 0.7449
    DLIR -0.033951 0.285617 -0.118870 0.9066
    RESID(-1) -0.363773 0.278844 -1.304573 0.2076
    RESID(-2) -0.181385 0.238820 -0.759504 0.4569

    R-squared 0.100425 Mean dependent var -2.66E-17


    Adjusted R-squared -0.136305 S.D. dependent var 1.132130
    S.E. of regression 1.206823 Akaike info criterion 3.419423
    Sum squared resid 27.67202 Schwarz criterion 3.711953
    Log likelihood -36.74279 Hannan-Quinn criter. 3.500558
    F-statistic 0.424219 Durbin-Watson stat 1.866551
    Prob(F-statistic) 0.826068

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