Example 11.1: Static Model
Dataset is not available
Example 11.2: Finite Distributed Lag Model
Dataset is not available
Example 11.3: AR[1] Model
Dataset is not available
Example 11.4: Efficient Market Hypothesis
use http://fmwww.bc.edu/ec-p/data/wooldridge/nyse
summ return
Variable | Obs Mean Std. Dev. Min Max
-------------+-----------------------------------------------------
return | 690 .1957843 2.114532 -15.32173 8.448762
reg return return_1
Source | SS df MS Number of obs = 689
-------------+------------------------------ F( 1, 687) = 2.40
Model | 10.6866237 1 10.6866237 Prob > F = 0.1218
Residual | 3059.73813 687 4.4537673 R-squared = 0.0035
-------------+------------------------------ Adj R-squared = 0.0020
Total | 3070.42476 688 4.46282668 Root MSE = 2.1104
------------------------------------------------------------------------------
return | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
return_1 | .0588984 .0380231 1.55 0.122 -.0157569 .1335538
_cons | .179634 .0807419 2.22 0.026 .0211034 .3381646
------------------------------------------------------------------------------
Example 11.5: Expectation Augmented Phillips Curve
use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips
reg cinf unem
Source | SS df MS Number of obs = 48
-------------+------------------------------ F( 1, 46) = 5.56
Model | 33.3829988 1 33.3829988 Prob > F = 0.0227
Residual | 276.30513 46 6.00663326 R-squared = 0.1078
-------------+------------------------------ Adj R-squared = 0.0884
Total | 309.688129 47 6.58910913 Root MSE = 2.4508
------------------------------------------------------------------------------
cinf | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
unem | -.5425869 .2301559 -2.36 0.023 -1.005867 -.079307
_cons | 3.030581 1.37681 2.20 0.033 .2592061 5.801955
------------------------------------------------------------------------------
Natural rate of unemployment
display _b[_cons]/-_b[unem]
5.5854288
Example 11.6: Fertility Equation
use http://fmwww.bc.edu/ec-p/data/wooldridge/fertil3
reg gfr gfr_1
Source | SS df MS Number of obs = 71
-------------+------------------------------ F( 1, 69) = 1413.53
Model | 25734.824 1 25734.824 Prob > F = 0.0000
Residual | 1256.21904 69 18.2060731 R-squared = 0.9535
-------------+------------------------------ Adj R-squared = 0.9528
Total | 26991.043 70 385.586329 Root MSE = 4.2669
------------------------------------------------------------------------------
gfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
gfr_1 | .9777202 .0260053 37.60 0.000 .925841 1.029599
_cons | 1.304937 2.548821 0.51 0.610 -3.779822 6.389695
------------------------------------------------------------------------------
reg pe pe_1
Source | SS df MS Number of obs = 71
-------------+------------------------------ F( 1, 69) = 895.85
Model | 276585.96 1 276585.96 Prob > F = 0.0000
Residual | 21303.1151 69 308.740798 R-squared = 0.9285
-------------+------------------------------ Adj R-squared = 0.9274
Total | 297889.075 70 4255.55822 Root MSE = 17.571
------------------------------------------------------------------------------
pe | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
pe_1 | .9478853 .0316692 29.93 0.000 .8847069 1.011064
_cons | 6.426196 3.808601 1.69 0.096 -1.171754 14.02415
------------------------------------------------------------------------------
reg cgfr cpe
Source | SS df MS Number of obs = 71
-------------+------------------------------ F( 1, 69) = 2.26
Model | 40.3237245 1 40.3237245 Prob > F = 0.1370
Residual | 1229.25863 69 17.8153424 R-squared = 0.0318
-------------+------------------------------ Adj R-squared = 0.0177
Total | 1269.58235 70 18.1368908 Root MSE = 4.2208
------------------------------------------------------------------------------
cgfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
cpe | -.0426776 .0283672 -1.50 0.137 -.0992686 .0139134
_cons | -.7847796 .5020398 -1.56 0.123 -1.786322 .2167625
------------------------------------------------------------------------------
reg cgfr cpe cpe_1 cpe_2
Source | SS df MS Number of obs = 69
-------------+------------------------------ F( 3, 65) = 6.56
Model | 293.259833 3 97.7532778 Prob > F = 0.0006
Residual | 968.19996 65 14.895384 R-squared = 0.2325
-------------+------------------------------ Adj R-squared = 0.1971
Total | 1261.45979 68 18.5508793 Root MSE = 3.8595
------------------------------------------------------------------------------
cgfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
cpe | -.0362021 .0267737 -1.35 0.181 -.089673 .0172687
cpe_1 | -.0139706 .027554 -0.51 0.614 -.0689997 .0410584
cpe_2 | .1099896 .0268797 4.09 0.000 .0563071 .1636721
_cons | -.9636787 .4677599 -2.06 0.043 -1.89786 -.0294976
------------------------------------------------------------------------------
Example 11.7: Wages and Productivity
use http://fmwww.bc.edu/ec-p/data/wooldridge/earns
reg lhrwage loutphr t
Source | SS df MS Number of obs = 41
-------------+------------------------------ F( 2, 38) = 641.23
Model | 1.04458054 2 .522290269 Prob > F = 0.0000
Residual | .030951697 38 .000814518 R-squared = 0.9712
-------------+------------------------------ Adj R-squared = 0.9697
Total | 1.07553224 40 .026888306 Root MSE = .02854
------------------------------------------------------------------------------
lhrwage | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
loutphr | 1.639637 .093347 17.56 0.000 1.450666 1.828608
t | -.0182299 .0017482 -10.43 0.000 -.021769 -.0146909
_cons | -5.328446 .3744486 -14.23 0.000 -6.086478 -4.570415
------------------------------------------------------------------------------
reg ghrwage goutphr
Source | SS df MS Number of obs = 40
-------------+------------------------------ F( 1, 38) = 21.77
Model | .006255013 1 .006255013 Prob > F = 0.0000
Residual | .010917977 38 .000287315 R-squared = 0.3642
-------------+------------------------------ Adj R-squared = 0.3475
Total | .017172989 39 .000440333 Root MSE = .01695
------------------------------------------------------------------------------
ghrwage | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
goutphr | .8093157 .1734535 4.67 0.000 .4581774 1.160454
_cons | -.0036621 .00422 -0.87 0.391 -.0122051 .0048808
------------------------------------------------------------------------------
Example 11.8: Fertility Equation
use http://fmwww.bc.edu/ec-p/data/wooldridge/fertil3
reg cgfr cpe cpe_1 cpe_2 cgfr_1
Source | SS df MS Number of obs = 69
-------------+------------------------------ F( 4, 64) = 7.46
Model | 401.286124 4 100.321531 Prob > F = 0.0001
Residual | 860.17367 64 13.4402136 R-squared = 0.3181
-------------+------------------------------ Adj R-squared = 0.2755
Total | 1261.45979 68 18.5508793 Root MSE = 3.6661
------------------------------------------------------------------------------
cgfr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
cpe | -.0454721 .0256417 -1.77 0.081 -.0966972 .005753
cpe_1 | .002064 .0267776 0.08 0.939 -.0514303 .0555584
cpe_2 | .1051346 .0255904 4.11 0.000 .054012 .1562572
cgfr_1 | .3002422 .1059034 2.84 0.006 .0886757 .5118086
_cons | -.7021595 .4537988 -1.55 0.127 -1.608727 .2044079
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This page prepared by Oleksandr Talavera (revised 8 Nov 2002)
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