Name…Cristina-Lorena Ganea…..

Group…512…….
Master de Aprofundare
Facultatea de Administrare a Afacerilor
Academia de Studii Economice, Bucureşti

Quantitative Methods for Business Decision

Mock of Exam

Explain all the tests performed in the next tables. Identify the relations tested and interpret
them.

Table 1

Null Hypothesis: D(CPI,2) has a unit root

Exogenous: None
Lag Length: 12 (Automatic based on SIC, MAXLAG=15)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -9.607322  0.0000

Test critical values: 1% level -2.574674
5% level -1.942159
10% level -1.615814

The hypothesis of this test are H0: "D(CPI,2) has a unit root" vs. H1: " D(CPI,2) has no unit
root". The test statistic is −9.607322. Since the test statistic is lower than all of the critical
values, we can reject H0 at a significance level <1%. Therefore, we can conclude with a very
low probability of making an error that the time series has no unit root. So, we can reject H0.
The p-value of the hypothesis test is less than α = 0.05 (0.0000 < 0.05), then we can reject the
null hypothesis H0 and conclude that we have sufficient evidence to say that the alternative
hypothesis is true - H1: "D(CPI,2) has no unit root".

Table 2
Null Hypothesis: D(INDUSTRIAL_PRODUCTION,2) has a unit root

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -14.82025  0.0000

Test critical values: 1% level -2.574593

Name…Cristina-Lorena Ganea…..

Group…512…….
Master de Aprofundare
Facultatea de Administrare a Afacerilor
Academia de Studii Economice, Bucureşti
The hypothesis of this test are H0: "D(INDUSTRIAL_PRODUCTION,2) has a unit root"
vs. H1: "D(INDUSTRIAL_PRODUCTION,2) has no unit root". The test statistic
is −14.82025. Since the test statistic is lower than the critical value -2.574593, we can reject
H0 at a significance level <1%. Therefore, we can conclude with a very low probability of
making an error that the time series has no unit root. So, we can reject H0. The p-value of the
hypothesis test is less than α = 0.05 (0.0000 < 0.05), then we can reject the null hypothesis H0
and conclude that we have sufficient evidence to say that the alternative hypothesis is true -
H1: "D(INDUSTRIAL_PRODUCTION,2) has no unit root".

Table 3.

Dependent Variable: DIND_PROD

DIND_PROD=C(1)+C(2)*DCPI

Coefficient Std. Error t-Statistic Prob.  

C(1) 0.059676 0.147588 0.404341 0.6863

C(2) 0.358004 0.244448 1.464537 0.1443

R-squared 0.008473     Mean dependent var 0.198188

Log likelihood -507.0048     Durbin-Watson stat 3.072106

Table 4

Null Hypothesis: STATRESID has a unit root

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -2.533313  0.0112

Test critical values: 1% level -2.574593
5% level -1.942147

The hypothesis of this test are H0: "STATRESID has a unit root" vs. H1: "STATRESID has no
unit root". The test statistic is -2.533313. Since the test statistic is lower than the critical value
-1.942147, we can reject H0 at a significance level <5%. Therefore, we can conclude that the
time series has no unit root. So, we can reject H0. The p-value of the hypothesis test is less
than α = 0.05 (0.0112 < 0.05), then we can reject the null hypothesis H0 and conclude that we
have sufficient evidence to say that the alternative hypothesis is true - H1: " STATRESID has
no unit root".
Name…Cristina-Lorena Ganea…..

Group…512…….
Master de Aprofundare
Facultatea de Administrare a Afacerilor
Academia de Studii Economice, Bucureşti
Table 5.

Dependent Variable: DDIND_PROD

DDIND_PROD=C(1)+C(2)*DDCPI+C(3)*STATRESID(-1)

Coefficient Std. Error t-Statistic Prob.  

C(1) 0.002818 0.094169 0.029924 0.9762

C(2) 0.889812 0.181335 4.907016 0.0000
C(3) -1.559663 0.052821 -29.52748 0.0000

R-squared 0.778639     Mean dependent var -0.007487

Log likelihood -457.3609     Durbin-Watson stat 2.370169

Note: 1 point is granted for your presence at the exam.