Ox version 2.20 (Sun) (C) J.A. Doornik, 1994-2000
Arfima package version 1.00, object created on 20-09-2000
---- Database information ----
6 variables, 115 observations
name sample period min mean max stddev
Dsde 1979 (5) 1988 (11) -1.68 -0.0047826 1.18 0.39588
Dsbe 1979 (5) 1988 (11) -1.09 -0.013652 1.32 0.34664
Ddfr 1979 (5) 1988 (11) -1.63 0.0093913 3.02 0.61302
Ddir 1979 (5) 1988 (11) -2.93 -0.031043 3.2 0.90494
Ddit 1979 (5) 1988 (11) -1.51 -0.0043478 2.7 0.55317
Ddnl 1979 (5) 1988 (11) -3.47 -0.012522 2.17 0.66384
var: Dsde 1979 (5) - 1988 (11)
---- Maximum likelihood estimation of ARIMA(0,d,0) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter 0.234639 0.07846 2.99 0.003
log-likelihood -51.4406991
no. of observations 115 no. of parameters 2
AIC 106.881398 AIC/T 0.929403463
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.142726
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.34825
---- Maximum likelihood estimation of ARIMA(0,d,1) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter 0.165763 0.1203 1.38 0.171
MA-1 0.100146 0.1376 0.728 0.468
log-likelihood -51.1957824
no. of observations 115 no. of parameters 3
AIC 108.391565 AIC/T 0.942535347
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.142337
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.39458
---- Maximum likelihood estimation of ARIMA(0,d,2) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter 0.0866720 0.1438 0.603 0.548
MA-1 0.178159 0.1630 1.09 0.277
MA-2 0.0965652 0.1147 0.842 0.402
log-likelihood -50.8570679
no. of observations 115 no. of parameters 4
AIC 109.714136 AIC/T 0.954035964
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.141621
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.28378 0.23358
---- Maximum likelihood estimation of ARIMA(0,d,3) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter 0.0278430 0.1762 0.158 0.875
MA-1 0.236030 0.1925 1.23 0.223
MA-2 0.143116 0.1514 0.945 0.347
MA-3 0.0583704 0.1116 0.523 0.602
log-likelihood -50.7182041
no. of observations 115 no. of parameters 5
AIC 111.436408 AIC/T 0.969012245
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.141312
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.26211 0.20609 0.13378
---- Maximum likelihood estimation of ARIMA(1,d,0) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter 0.104354 0.1975 0.528 0.598
AR-1 0.177646 0.2393 0.742 0.459
log-likelihood -51.0713638
no. of observations 115 no. of parameters 3
AIC 108.142728 AIC/T 0.940371545
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.142139
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.30147
---- Maximum likelihood estimation of ARIMA(1,d,1) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.626681 0.3568 -1.76 0.082
AR-1 0.916154 0.1154 7.94 0.000
MA-1 -0.0391186 0.2671 -0.146 0.884
log-likelihood -50.0430749
no. of observations 115 no. of parameters 4
AIC 108.08615 AIC/T 0.939879564
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.138852
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.61205 -0.41020
---- Maximum likelihood estimation of ARIMA(1,d,2) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.702263 0.4212 -1.67 0.098
AR-1 0.932464 0.1043 8.94 0.000
MA-1 0.0189538 0.3366 0.0563 0.955
MA-2 0.0307168 0.1553 0.198 0.844
log-likelihood -50.0249729
no. of observations 115 no. of parameters 5
AIC 110.049946 AIC/T 0.956956051
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.138709
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.57653 -0.31035 0.014391
---- Maximum likelihood estimation of ARIMA(1,d,3) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.708845 0.5435 -1.30 0.195
AR-1 0.933599 0.1184 7.89 0.000
MA-1 0.0242909 0.4384 0.0554 0.956
MA-2 0.0329781 0.1981 0.166 0.868
MA-3 0.00219821 0.1192 0.0184 0.985
log-likelihood -50.0248028
no. of observations 115 no. of parameters 6
AIC 112.049606 AIC/T 0.974344397
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.138699
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.77790 -0.51306 -0.043053 -0.043638
---- Maximum likelihood estimation of ARIMA(2,d,0) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.624472 0.3276 -1.91 0.059
AR-1 0.874118 0.3363 2.60 0.011
AR-2 0.0377259 0.2190 0.172 0.864
log-likelihood -50.0413584
no. of observations 115 no. of parameters 4
AIC 108.082717 AIC/T 0.939849711
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.138849
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.27042 0.10299
---- Maximum likelihood estimation of ARIMA(2,d,1) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.624382 0.1529 -4.08 0.000
AR-1 0.0168311 0.1402 0.120 0.905
AR-2 0.818195 0.1311 6.24 0.000
MA-1 0.854163 0.1366 6.25 0.000
log-likelihood -49.64074
no. of observations 115 no. of parameters 5
AIC 109.28148 AIC/T 0.950273739
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.13783
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.54205 0.021101 -0.30873
---- Maximum likelihood estimation of ARIMA(2,d,2) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.729958 0.2487 -2.94 0.004
AR-1 0.0457664 0.1349 0.339 0.735
AR-2 0.839566 0.1228 6.84 0.000
MA-1 0.944780 0.2428 3.89 0.000
MA-2 0.0896162 0.2066 0.434 0.665
log-likelihood -49.5667231
no. of observations 115 no. of parameters 6
AIC 111.133446 AIC/T 0.966377793
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.137537
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.27042 0.10299 0.0045609 -0.031078
---- Maximum likelihood estimation of ARIMA(2,d,3) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.593723 0.5136 -1.16 0.250
AR-1 0.0213214 0.1728 0.123 0.902
AR-2 0.815301 0.1546 5.27 0.000
MA-1 0.840035 0.4038 2.08 0.040
MA-2 -0.0670270 0.4565 -0.147 0.884
MA-3 -0.0718503 0.1553 -0.463 0.645
log-likelihood -49.4638444
no. of observations 115 no. of parameters 7
AIC 112.927689 AIC/T 0.981979902
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.137454
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.27042 0.10299 0.0052041 -0.031190 0.022433
---- Maximum likelihood estimation of ARIMA(3,d,0) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.730489 0.5756 -1.27 0.207
AR-1 0.979561 0.5825 1.68 0.095
AR-2 0.00124696 0.2999 0.00416 0.997
AR-3 -0.0381238 0.1893 -0.201 0.841
log-likelihood -50.0208159
no. of observations 115 no. of parameters 5
AIC 110.041632 AIC/T 0.956883755
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.138663
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.26751 0.095344 0.028275
---- Maximum likelihood estimation of ARIMA(3,d,1) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.719764 0.3075 -2.34 0.021
AR-1 0.131496 0.3657 0.360 0.720
AR-2 0.834076 0.1315 6.34 0.000
AR-3 -0.0748724 0.2375 -0.315 0.753
MA-1 0.844254 0.1377 6.13 0.000
log-likelihood -49.5872595
no. of observations 115 no. of parameters 6
AIC 111.174519 AIC/T 0.966734947
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.137595
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.26751 0.095344 0.028275 0.012461
---- Maximum likelihood estimation of ARIMA(3,d,2) model ----
The estimation sample is 1979 (5) - 1988 (11)
The dependent variable is: Dsde
(in deviation from sample mean)
Coefficient Std.Error t-value t-prob
d parameter -0.806157 1.723 -0.468 0.641
AR-1 0.508299 3.761 0.135 0.893
AR-2 0.824874 0.1943 4.24 0.000
AR-3 -0.387588 3.143 -0.123 0.902
MA-1 0.545708 2.302 0.237 0.813
MA-2 -0.262564 2.096 -0.125 0.901
log-likelihood -49.614272
no. of observations 115 no. of parameters 7
AIC 113.228544 AIC/T 0.984596036
mean(Dsde) -0.0047826 var(Dsde) 0.156718
sigma^2 0.137535
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
Strong convergence
Used starting values:
0.0000 0.26751 0.095344 0.028275 0.011187 -0.021693
---- Maximum likelihood estimation of ARIMA(3,d,3) model ----
The estimation sample is 1979 (5) - 1988 (11)
Model estimation failed: No convergence (no improvement in line search)
Free coefficients:
// [0][0]...[0][6]
-1.0000 0.82138 0.80751 -0.64734 0.43788 -0.43450
-0.088768
BFGS estimation using numerical derivatives (eps1=0.0001; eps2=0.005):
No convergence (no improvement in line search)
Used starting values:
// [0][0]...[0][6]
0.0000 0.26751 0.095344 0.028275 0.011040 -0.021617
-0.0094748
time: 11.83