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log: /Volumes/ecxs2/users/baum/compustatcompann/UDCL7B09-2-9210.smcl
log type: smcl
opened on: 17 Feb 2009, 15:34:16
. * read monthly series, fit GARCH(1,1)
. use dlead,clear
. merge ym using infl,unique
. drop _merge
. tsset ym
time variable: ym, 1979m1 to 2006m12
delta: 1 month
. // try fitting to d.dlead rather than detrended dlead
. arch D.dlead LD.dlead, ma(1) arch(1) garch(1 2)
(setting optimization to BHHH)
Iteration 0: log likelihood = -264.30647
Iteration 1: log likelihood = -255.60927
Iteration 2: log likelihood = -249.89833
Iteration 3: log likelihood = -244.44123
Iteration 4: log likelihood = -242.867
(switching optimization to BFGS)
Iteration 5: log likelihood = -240.77876
Iteration 6: log likelihood = -240.27371
Iteration 7: log likelihood = -240.24341
Iteration 8: log likelihood = -240.2046
Iteration 9: log likelihood = -240.19943
Iteration 10: log likelihood = -240.19773
Iteration 11: log likelihood = -240.19753
Iteration 12: log likelihood = -240.19751
Iteration 13: log likelihood = -240.19751
ARCH family regression -- MA disturbances
Sample: 1979m3 - 2006m12 Number of obs = 334
Distribution: Gaussian Wald chi2(2) = 410.57
Log likelihood = -240.1975 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
| OPG
D.dlead | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dlead |
dlead |
LD. | .887449 .0558989 15.88 0.000 .7778892 .9970087
_cons | .0269788 .0146057 1.85 0.065 -.0016478 .0556054
-------------+----------------------------------------------------------------
ARMA |
ma |
L1. | -.7251101 .087835 -8.26 0.000 -.8972636 -.5529566
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .0755524 .0394282 1.92 0.055 -.0017253 .1528302
garch |
L1. | .0497511 .1200645 0.41 0.679 -.1855709 .2850731
L2. | .7959234 .1452379 5.48 0.000 .5112624 1.080585
_cons | .0191234 .0179475 1.07 0.287 -.016053 .0542998
------------------------------------------------------------------------------
. predict double leadinc_v, variance
. arch infl L.infl, arch(1) garch(1) dist(t)
(setting optimization to BHHH)
Iteration 0: log likelihood = 1575.0597
Iteration 1: log likelihood = 1584.0984
Iteration 2: log likelihood = 1588.7043
Iteration 3: log likelihood = 1590.3257
Iteration 4: log likelihood = 1591.1628
(switching optimization to BFGS)
BFGS stepping has contracted, resetting BFGS Hessian (0)
Iteration 5: log likelihood = 1591.4299
Iteration 6: log likelihood = 1591.431 (backed up)
Iteration 7: log likelihood = 1591.4327 (backed up)
Iteration 8: log likelihood = 1591.4988 (backed up)
Iteration 9: log likelihood = 1591.5248 (backed up)
BFGS stepping has contracted, resetting BFGS Hessian (1)
Iteration 10: log likelihood = 1591.5389
Iteration 11: log likelihood = 1591.5462 (backed up)
Iteration 12: log likelihood = 1591.5464 (backed up)
Iteration 13: log likelihood = 1591.5517 (backed up)
BFGS stepping has contracted, resetting BFGS Hessian (2)
Iteration 14: log likelihood = 1591.5558 (backed up)
(switching optimization to BHHH)
Iteration 15: log likelihood = 1591.5558 (backed up)
Iteration 16: log likelihood = 1591.5998
Iteration 17: log likelihood = 1591.6112
Iteration 18: log likelihood = 1591.6136
Iteration 19: log likelihood = 1591.6146
(switching optimization to BFGS)
BFGS stepping has contracted, resetting BFGS Hessian (3)
Iteration 20: log likelihood = 1591.615
Iteration 21: log likelihood = 1591.615 (backed up)
Iteration 22: log likelihood = 1591.6151 (backed up)
Iteration 23: log likelihood = 1591.6152 (backed up)
Iteration 24: log likelihood = 1591.6152 (backed up)
BFGS stepping has contracted, resetting BFGS Hessian (4)
Iteration 25: log likelihood = 1591.6154
Iteration 26: log likelihood = 1591.6154 (backed up)
Iteration 27: log likelihood = 1591.6154 (backed up)
Iteration 28: log likelihood = 1591.6154 (backed up)
Iteration 29: log likelihood = 1591.6154
(switching optimization to BHHH)
Iteration 30: log likelihood = 1591.6154
Iteration 31: log likelihood = 1591.6155
Iteration 32: log likelihood = 1591.6155
ARCH family regression
Sample: 1979m3 - 2006m12 Number of obs = 334
Distribution: t Wald chi2(1) = 112.89
Log likelihood = 1591.615 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
| OPG
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
infl |
infl |
L1. | .512183 .0482055 10.62 0.000 .417702 .606664
_cons | .0012611 .0001618 7.80 0.000 .0009441 .0015782
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .1771953 .0622022 2.85 0.004 .0552813 .2991094
garch |
L1. | .7985925 .0564895 14.14 0.000 .6878752 .9093098
_cons | 2.04e-07 1.21e-07 1.69 0.091 -3.25e-08 4.41e-07
-------------+----------------------------------------------------------------
/lndfm2 | 1.524048 .568836 2.68 0.007 .4091499 2.638946
-------------+----------------------------------------------------------------
df | 6.590771 2.611396 3.505537 15.99844
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. predict double infl_v, variance
. replace infl_v=infl_v*1000
(336 real changes made)
. saveold udcl_irrc_garch, replace
file udcl_irrc_garch.dta saved
. tscollap leadinc_v infl_v, to(y)
Converting from M to Y
time variable: y_y, 1979 to 2006
delta: 1 year
. rename y_y yeara
. tsset yeara
time variable: yeara, 1979 to 2006
delta: 1 year
. keep if tin(1989,)
(10 observations deleted)
. saveold udcl_irrc_macrovar, replace
file udcl_irrc_macrovar.dta saved
. use UDCL_IRRC_2_9210,clear
. sort yeara
. merge yeara using udcl_irrc_macrovar, uniqusing
variable yeara does not uniquely identify observations in the master data
. tab _merge
_merge | Freq. Percent Cum.
------------+-----------------------------------
1 | 1,544 5.75 5.75
3 | 25,287 94.25 100.00
------------+-----------------------------------
Total | 26,831 100.00
. drop _merge
. encode cnum, gen(firmid)
. tsset firmid yeara
panel variable: firmid (unbalanced)
time variable: yeara, 1990 to 2007, but with gaps
delta: 1 unit
. drop if yeara == 1989
(1 observation deleted)
. tab yeara
fiscal year | Freq. Percent Cum.
------------+-----------------------------------
1990 | 1,295 4.83 4.83
1991 | 1,262 4.70 9.53
1992 | 1,241 4.63 14.16
1993 | 1,346 5.02 19.17
1994 | 1,312 4.89 24.06
1995 | 1,365 5.09 29.15
1996 | 1,320 4.92 34.07
1997 | 1,236 4.61 38.68
1998 | 1,677 6.25 44.93
1999 | 1,527 5.69 50.62
2000 | 1,548 5.77 56.39
2001 | 1,457 5.43 61.82
2002 | 1,771 6.60 68.42
2003 | 1,719 6.41 74.83
2004 | 1,847 6.88 81.71
2005 | 1,749 6.52 88.23
2006 | 1,614 6.02 94.25
2007 | 1,544 5.75 100.00
------------+-----------------------------------
Total | 26,830 100.00
. tabstat data1 data6 data12, by(yeara) stat(N mean)
Summary statistics: N, mean
by categories of: yeara (fiscal year)
yeara | data1 data6 data12
---------+------------------------------
1990 | 1295 1295 1294
| 410.5145 5412.505 2785.859
---------+------------------------------
1991 | 1262 1262 1261
| 446.4708 5695.226 2836.501
---------+------------------------------
1992 | 1241 1241 1238
| 512.7269 6099.263 3001.48
---------+------------------------------
1993 | 1346 1346 1343
| 506.9415 6318.806 2925.401
---------+------------------------------
1994 | 1312 1312 1311
| 597.4196 6797.014 3210.411
---------+------------------------------
1995 | 1365 1365 1365
| 644.7314 7382.267 3481.154
---------+------------------------------
1996 | 1320 1320 1318
| 736.4439 8258.801 3842.047
---------+------------------------------
1997 | 1236 1236 1234
| 933.6695 9673.871 4369.542
---------+------------------------------
1998 | 1677 1677 1677
| 732.0968 8382 3610.375
---------+------------------------------
1999 | 1527 1527 1526
| 873.3474 10015.59 4259.678
---------+------------------------------
2000 | 1548 1548 1546
| 914.3891 10756.76 4749.993
---------+------------------------------
2001 | 1457 1457 1456
| 1148.368 12395.02 5025.66
---------+------------------------------
2002 | 1771 1771 1770
| 1201.286 11532.56 4156.732
---------+------------------------------
2003 | 1719 1719 1717
| 1379.393 13118.94 4600.4
---------+------------------------------
2004 | 1847 1847 1846
| 1497.934 14120.49 4927.771
---------+------------------------------
2005 | 1749 1749 1748
| 1706.116 15566.55 5574.3
---------+------------------------------
2006 | 1614 1614 1614
| 1897.003 17827.35 6376.46
---------+------------------------------
2007 | 1544 1544 1544
| 2202.118 21020.7 7126.291
---------+------------------------------
Total | 26830 26830 26808
| 1064.66 10946.58 4358.773
----------------------------------------
. saveold UDCL_IRRC_3_9210,replace
file UDCL_IRRC_3_9210.dta saved
. log close
log: /Volumes/ecxs2/users/baum/compustatcompann/UDCL7B09-2-9210.smcl
log type: smcl
closed on: 17 Feb 2009, 15:34:21
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