Pakistan Institute of

Development Economics

Name Hassan Raza

Department MPhil Economics & Finance (Morning)

Subject Financial Econometrics

Submitted to Dr. Ihsan Ul Haq
NLS and ARMA Model:

Dependent Variable: DATA

Method: Least Squares
Date: 06/25/20 Time: 22:57
Sample (adjusted): 2000M01 2019M09
Included observations: 237 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 220.3388 20.24532 10.88345 0.0000

@TREND 0.001098 0.148427 0.007400 0.9941

R-squared 0.000000 Mean dependent var 220.4684

Adjusted R-squared -0.004255 S.D. dependent var 155.9982
S.E. of regression 156.3298 Akaike info criterion 12.95022
Sum squared resid 5743165. Schwarz criterion 12.97948
Log likelihood -1532.601 Hannan-Quinn criter. 12.96201
F-statistic 5.48E-05 Durbin-Watson stat 1.361014
Prob(F-statistic) 0.994102

Explanation: The data is significant at ‘C’ because the value of ‘C’ is less
than 0.05 while the data is insignificant at ‘Trend’ because the value of trend is
more than 0.05
Unit Root test with Intercept:

Null Hypothesis: DATA has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -11.06822 0.0000

Test critical values: 1% level -3.457984
5% level -2.873596
10% level -2.573270

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DATA)
Method: Least Squares
Date: 06/25/20 Time: 22:59
Sample (adjusted): 2000M02 2019M09
Included observations: 236 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DATA(-1) -0.684149 0.061812 -11.06822 0.0000

C 151.7759 16.67682 9.101005 0.0000

R-squared 0.343628 Mean dependent var 1.144068

Adjusted R-squared 0.340823 S.D. dependent var 182.3747
S.E. of regression 148.0694 Akaike info criterion 12.84168
Sum squared resid 5130346. Schwarz criterion 12.87103
Log likelihood -1513.318 Hannan-Quinn criter. 12.85351
F-statistic 122.5054 Durbin-Watson stat 1.928613
Prob(F-statistic) 0.000000

Explanation: The data is stationary at level form in intercept and also

significant because the value is less than 0.05
Unit Root test with Intercept and Trend:

Null Hypothesis: DATA has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=14)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -11.04527 0.0000

Test critical values: 1% level -3.997418
5% level -3.428981
10% level -3.137946

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DATA)
Method: Least Squares
Date: 06/25/20 Time: 23:26
Sample (adjusted): 2000M02 2019M09
Included observations: 236 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DATA(-1) -0.684172 0.061943 -11.04527 0.0000

C 153.9792 23.72417 6.490393 0.0000
@TREND("2000M01") -0.018551 0.141778 -0.130846 0.8960

R-squared 0.343677 Mean dependent var 1.144068

Adjusted R-squared 0.338043 S.D. dependent var 182.3747
S.E. of regression 148.3814 Akaike info criterion 12.85008
Sum squared resid 5129969. Schwarz criterion 12.89411
Log likelihood -1513.309 Hannan-Quinn criter. 12.86783
F-statistic 61.00399 Durbin-Watson stat 1.928713
Prob(F-statistic) 0.000000

Explanation: The data is stationary at level form in intercept and trend and
also significant because the value is less than 0.05
Correlogram: