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name: <unnamed>
log: /Users/baum/Documents/EC327S2010/327var.smcl
log type: smcl
opened on: 10 Mar 2010, 11:32:44
. * 327 VAR
. webuse lutkepohl,clear
(Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table E.1)
. * estimate a simple 3-variable VAR
. var dlinvestment dlincome dlconsumption if tin(,1978q4), lags(1/4)
Vector autoregression
Sample: 1961q2 - 1978q4 No. of obs = 71
Log likelihood = 598.4567 AIC = -15.75934
FPE = 2.91e-11 HQIC = -15.26509
Det(Sigma_ml) = 9.58e-12 SBIC = -14.51646
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
dlinvestment 13 .045566 0.2231 20.39339 0.0600
dlincome 13 .012288 0.1312 10.72076 0.5530
dlconsumption 13 .009678 0.2942 29.59871 0.0032
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dlinvestment |
dlinvestment |
L1. | -.3097261 .1166643 -2.65 0.008 -.5383839 -.0810683
L2. | -.064884 .1244374 -0.52 0.602 -.3087768 .1790089
L3. | .1773046 .1256907 1.41 0.158 -.0690446 .4236538
L4. | .3308462 .1178554 2.81 0.005 .0998538 .5618385
|
dlincome |
L1. | .2092642 .5274412 0.40 0.692 -.8245016 1.24303
L2. | -.191566 .5576397 -0.34 0.731 -1.28452 .9013877
L3. | -.0507337 .5725192 -0.09 0.929 -1.172851 1.071383
L4. | -.2815694 .5372021 -0.52 0.600 -1.334466 .7713274
|
dlconsumpt~n |
L1. | .7420024 .6963473 1.07 0.287 -.6228133 2.106818
L2. | .7656762 .7693356 1.00 0.320 -.7421939 2.273546
L3. | -.3019971 .6951872 -0.43 0.664 -1.664539 1.060545
L4. | -.6559089 .6142497 -1.07 0.286 -1.859816 .5479984
|
_cons | .0105584 .020222 0.52 0.602 -.0290759 .0501927
-------------+----------------------------------------------------------------
dlincome |
dlinvestment |
L1. | .0474452 .0314626 1.51 0.132 -.0142203 .1091107
L2. | .0492337 .0335588 1.47 0.142 -.0165405 .1150078
L3. | .0130569 .0338968 0.39 0.700 -.0533797 .0794935
L4. | .0015181 .0317838 0.05 0.962 -.060777 .0638131
|
dlincome |
L1. | -.0920232 .1422427 -0.65 0.518 -.3708139 .1867674
L2. | .0521895 .1503868 0.35 0.729 -.2425632 .3469422
L3. | .178493 .1543996 1.16 0.248 -.1241246 .4811106
L4. | -.0222867 .1448751 -0.15 0.878 -.3062367 .2616633
|
dlconsumpt~n |
L1. | .1547785 .1877941 0.82 0.410 -.2132911 .5228482
L2. | -.0927122 .2074779 -0.45 0.655 -.4993615 .313937
L3. | -.0302094 .1874812 -0.16 0.872 -.3976659 .337247
L4. | -.0212085 .1656537 -0.13 0.898 -.3458837 .3034667
|
_cons | .0156082 .0054536 2.86 0.004 .0049194 .026297
-------------+----------------------------------------------------------------
dlconsumpt~n |
dlinvestment |
L1. | -.0027659 .0247788 -0.11 0.911 -.0513315 .0457997
L2. | .031397 .0264298 1.19 0.235 -.0204045 .0831984
L3. | .010819 .026696 0.41 0.685 -.0415041 .0631421
L4. | -.0184341 .0250318 -0.74 0.461 -.0674955 .0306274
|
dlincome |
L1. | .2237116 .1120255 2.00 0.046 .0041457 .4432775
L2. | .3686666 .1184394 3.11 0.002 .1365295 .6008036
L3. | .1765568 .1215998 1.45 0.147 -.0617743 .414888
L4. | .111645 .1140986 0.98 0.328 -.1119842 .3352742
|
dlconsumpt~n |
L1. | -.3632978 .1479002 -2.46 0.014 -.6531768 -.0734189
L2. | -.0710444 .1634024 -0.43 0.664 -.3913073 .2492185
L3. | .0023201 .1476537 0.02 0.987 -.2870759 .2917161
L4. | -.0773523 .1304631 -0.59 0.553 -.3330553 .1783506
|
_cons | .011174 .004295 2.60 0.009 .0027559 .0195921
------------------------------------------------------------------------------
. * check for stability
. varstable
Eigenvalue stability condition
+----------------------------------------+
| Eigenvalue | Modulus |
|--------------------------+-------------|
| -.1644803 + .8137038i | .830161 |
| -.1644803 - .8137038i | .830161 |
| -.7367489 | .736749 |
| -.5297398 + .4252868i | .679333 |
| -.5297398 - .4252868i | .679333 |
| .6637999 + .1027901i | .671711 |
| .6637999 - .1027901i | .671711 |
| -.3538959 + .4409841i | .565428 |
| -.3538959 - .4409841i | .565428 |
| .2557499 + .334021i | .420688 |
| .2557499 - .334021i | .420688 |
| .2288345 | .228834 |
+----------------------------------------+
All the eigenvalues lie inside the unit circle.
VAR satisfies stability condition.
. * perform Granger causality tests
. vargranger
Granger causality Wald tests
+------------------------------------------------------------------+
| Equation Excluded | chi2 df Prob > chi2 |
|--------------------------------------+---------------------------|
| dlinvestment dlincome | .5338 4 0.970 |
| dlinvestment dlconsumption | 2.7095 4 0.608 |
| dlinvestment ALL | 4.9792 8 0.760 |
|--------------------------------------+---------------------------|
| dlincome dlinvestment | 3.5235 4 0.474 |
| dlincome dlconsumption | 1.5569 4 0.817 |
| dlincome ALL | 5.4077 8 0.713 |
|--------------------------------------+---------------------------|
| dlconsumption dlinvestment | 2.8044 4 0.591 |
| dlconsumption dlincome | 11.609 4 0.021 |
| dlconsumption ALL | 15.904 8 0.044 |
+------------------------------------------------------------------+
. * generate eight-step-ahead dynamic forecasts
. fcast compute m1_, step(8)
. * graph the forecasts vs actuals
. fcast graph m1_dlinvestment m1_dlincome m1_dlconsumption, observed saving(327var8,replace)
(note: file 327var8.gph not found)
(file 327var8.gph saved)
. graph export 327var8.pdf,replace
(file /Users/baum/Documents/EC327S2010/327var8.pdf written in PDF format)
. * generate orthogonalized IRFs based on this ordering
. !rm 327irf1.irf
rm: 327irf1.irf: No such file or directory
. irf create order1,step(20) set(327irf1)
(file 327irf1.irf created)
(file 327irf1.irf now active)
(file 327irf1.irf updated)
. irf graph oirf, impulse(dlincome) response(dlconsumption) saving(327irf8,replace)
(note: file 327irf8.gph not found)
(file 327irf8.gph saved)
. graph export 327irf8.pdf, replace
(file /Users/baum/Documents/EC327S2010/327irf8.pdf written in PDF format)
. * generate table of FEVD for innovations in dlinvestment
. irf ctable (order1 dlinvestment dlincome fevd) ///
> (order1 dlinvestment dlconsumption fevd) ///
> (order1 dlinvestment dlinvestment fevd), noci
+--------------------------------------------+
| | (1) | (2) | (3) |
| step | fevd | fevd | fevd |
|--------+-----------+-----------+-----------|
|0 | 0 | 0 | 0 |
|1 | .015684 | .120841 | 1 |
|2 | .055523 | .119687 | .968818 |
|3 | .06197 | .158301 | .966747 |
|4 | .063336 | .160006 | .955585 |
|5 | .065304 | .158634 | .955602 |
|6 | .069096 | .174287 | .94992 |
|7 | .070628 | .174743 | .947248 |
|8 | .070657 | .174539 | .946295 |
|9 | .071497 | .174646 | .94563 |
|10 | .071921 | .175446 | .945563 |
|11 | .071973 | .175467 | .944489 |
|12 | .071981 | .175576 | .944489 |
|13 | .072078 | .175696 | .944229 |
|14 | .072079 | .175793 | .944218 |
|15 | .072097 | .175854 | .944067 |
|16 | .072101 | .175854 | .944015 |
|17 | .072115 | .175884 | .944004 |
|18 | .072122 | .175884 | .943964 |
|19 | .072123 | .175899 | .943963 |
|20 | .072128 | .175901 | .943939 |
+--------------------------------------------+
(1) irfname = order1, impulse = dlinvestment, and response = dlincome
(2) irfname = order1, impulse = dlinvestment, and response = dlconsumption
(3) irfname = order1, impulse = dlinvestment, and response = dlinvestment
. * combined OIRFs
. irf cgraph (order1 dlinvestment dlincome oirf) ///
> (order1 dlinvestment dlconsumption oirf) ///
> (order1 dlinvestment dlinvestment oirf), saving(327irfC,replace)
(note: file 327irfC.gph not found)
(file 327irfC.gph saved)
. graph export 327irfC.pdf, replace
(file /Users/baum/Documents/EC327S2010/327irfC.pdf written in PDF format)
. log close
name: <unnamed>
log: /Users/baum/Documents/EC327S2010/327var.smcl
log type: smcl
closed on: 10 Mar 2010, 11:33:05
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