21.

19a
Dependent Variable: LOG_DIVIDEND
Method: Least Squares
Date: 12/24/21 Time: 23:10
Sample: 1947 2007
Included observations: 61

Variable Coefficient Std. Error t-Statistic Prob.

C -0.582932 0.042356 -13.76258 0.0000

LOGCP 1.128660 0.019920 56.66073 0.0000

R-squared 0.981954 Mean dependent var 1.737055

Adjusted R-squared 0.981648 S.D. dependent var 0.625062
S.E. of regression 0.084676 Akaike info criterion -2.067723
Sum squared resid 0.423035 Schwarz criterion -1.998514
Log likelihood 65.06554 Hannan-Quinn criter. -2.040599
F-statistic 3210.438 Durbin-Watson stat 0.415275
Prob(F-statistic) 0.000000

Regression is spurious because R2 is greater than Durbin-Watson stat.

21.19b
Date: 12/24/21 Time: 23:16
Sample: 1947 2007
Included observations: 60

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |******| . |******| 1 0.764 0.764 36.816 0.000

. |**** | .*| . | 2 0.551 -0.080 56.258 0.000
. |*** | .|. | 3 0.371 -0.054 65.232 0.000
. |** | .|. | 4 0.231 -0.031 68.767 0.000
.|. | .*| . | 5 0.061 -0.181 69.020 0.000
.*| . | .|. | 6 -0.071 -0.062 69.371 0.000
.*| . | .|. | 7 -0.131 0.034 70.580 0.000
.*| . | .*| . | 8 -0.186 -0.090 73.049 0.000
.*| . | .|. | 9 -0.195 0.033 75.836 0.000
**| . | .*| . | 10 -0.212 -0.077 79.173 0.000
.*| . | .|. | 11 -0.172 0.050 81.425 0.000
.*| . | .*| . | 12 -0.163 -0.082 83.487 0.000
**| . | **| . | 13 -0.219 -0.213 87.293 0.000
.*| . | . |*. | 14 -0.196 0.121 90.398 0.000
.*| . | .*| . | 15 -0.186 -0.098 93.245 0.000
.*| . | .|. | 16 -0.168 -0.027 95.641 0.000
.*| . | .|. | 17 -0.185 -0.051 98.591 0.000
.*| . | .*| . | 18 -0.202 -0.154 102.22 0.000
**| . | .*| . | 19 -0.265 -0.191 108.58 0.000
**| . | .*| . | 20 -0.318 -0.117 117.98 0.000
**| . | .|. | 21 -0.299 0.013 126.52 0.000
**| . | .|. | 22 -0.250 0.017 132.66 0.000
.*| . | .*| . | 23 -0.203 -0.108 136.79 0.000
.*| . | . |*. | 24 -0.127 0.087 138.45 0.000
.|. | .|. | 25 -0.037 -0.048 138.60 0.000
.|. | .|. | 26 0.060 -0.035 138.99 0.000
. |*. | .|. | 27 0.135 0.039 141.05 0.000
. |** | . |*. | 28 0.255 0.149 148.61 0.000

Null Hypothesis: RESID1 has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.786240 0.0061

Test critical values: 1% level -2.604746
5% level -1.946447
10% level -1.613238

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID1)
Method: Least Squares
Date: 12/24/21 Time: 23:17
Sample (adjusted): 1948 2006
Included observations: 59 after adjustments
 Variable Coefficient Std. Error t-Statistic Prob.

RESID1(-1) -0.225473 0.080924 -2.786240 0.0072

R-squared 0.117880 Mean dependent var 0.000751

Adjusted R-squared 0.117880 S.D. dependent var 0.055003
S.E. of regression 0.051659 Akaike info criterion -3.071487
Sum squared resid 0.154784 Schwarz criterion -3.036274
Log likelihood 91.60886 Hannan-Quinn criter. -3.057741
Durbin-Watson stat 1.734505
21.19c.
Dependent Variable: DLOG_DIVIDEND
Method: Least Squares
Date: 12/24/21 Time: 23:21
Sample (adjusted): 1948 2007
Included observations: 60 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.028119 0.003186 8.826920 0.0000

DLOGCP 0.225693 0.050540 4.465587 0.0000

R-squared 0.255852 Mean dependent var 0.035018

Adjusted R-squared 0.243022 S.D. dependent var 0.024803
S.E. of regression 0.021580 Akaike info criterion -4.801345
Sum squared resid 0.027010 Schwarz criterion -4.731533
Log likelihood 146.0403 Hannan-Quinn criter. -4.774038
F-statistic 19.94147 Durbin-Watson stat 1.961992
Prob(F-statistic) 0.000037

21.19d At level logdividend

Null Hypothesis: LOG_DIVIDEND has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 10.97173 1.0000

Test critical values: 1% level -2.604073
5% level -1.946348
10% level -1.613293

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LOG_DIVIDEND)
Method: Least Squares
Date: 12/24/21 Time: 23:23
Sample (adjusted): 1948 2007
Included observations: 60 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LOG_DIVIDEND(-1) 0.019245 0.001754 10.97173 0.0000

R-squared 0.004360 Mean dependent var 0.035018

Adjusted R-squared 0.004360 S.D. dependent var 0.024803
S.E. of regression 0.024749 Akaike info criterion -4.543532
Sum squared resid 0.036138 Schwarz criterion -4.508626
Log likelihood 137.3060 Hannan-Quinn criter. -4.529879
Durbin-Watson stat 1.828278

At first difference logdividend

Null Hypothesis: D(LOG_DIVIDEND) has a unit root
Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.555625 0.1117
Test critical values: 1% level -2.605442
5% level -1.946549
10% level -1.613181

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LOG_DIVIDEND,2)
Method: Least Squares
Date: 12/24/21 Time: 23:24
Sample (adjusted): 1950 2007
Included observations: 58 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LOG_DIVIDEND(-1)) -0.147724 0.094961 -1.555625 0.1254

D(LOG_DIVIDEND(-1),2) -0.442882 0.120580 -3.672933 0.0005

R-squared 0.304652 Mean dependent var 0.000781

Adjusted R-squared 0.292235 S.D. dependent var 0.033332
S.E. of regression 0.028042 Akaike info criterion -4.276371
Sum squared resid 0.044035 Schwarz criterion -4.205321
Log likelihood 126.0148 Hannan-Quinn criter. -4.248696
Durbin-Watson stat 1.980424

at level logcp.
Null Hypothesis: LOGCP has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 4.425819 1.0000

Test critical values: 1% level -2.604073
5% level -1.946348
10% level -1.613293

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LOGCP)
Method: Least Squares
Date: 12/24/21 Time: 23:26
Sample (adjusted): 1948 2007
Included observations: 60 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LOGCP(-1) 0.014948 0.003378 4.425819 0.0000

R-squared 0.018393 Mean dependent var 0.030567

Adjusted R-squared 0.018393 S.D. dependent var 0.055588
S.E. of regression 0.055075 Akaike info criterion -2.943722
Sum squared resid 0.178961 Schwarz criterion -2.908817
Log likelihood 89.31167 Hannan-Quinn criter. -2.930069
Durbin-Watson stat 1.926119
at first difference logcp
Null Hypothesis: D(LOGCP) has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.739654 0.0000

Test critical values: 1% level -2.604746
5% level -1.946447
10% level -1.613238

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LOGCP,2)
Method: Least Squares
Date: 12/24/21 Time: 23:26
Sample (adjusted): 1949 2007
Included observations: 59 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LOGCP(-1)) -0.718812 0.125236 -5.739654 0.0000

R-squared 0.362200 Mean dependent var -0.000620

Adjusted R-squared 0.362200 S.D. dependent var 0.076509
S.E. of regression 0.061102 Akaike info criterion -2.735748
Sum squared resid 0.216539 Schwarz criterion -2.700536
Log likelihood 81.70458 Hannan-Quinn criter. -2.722003
Durbin-Watson stat 1.983268

As in both cases we didn’t rejected the null hypothesis when at level and rejected the null
hypothesis on first ddifference,so it means that there is stochastic trend in our regression model.
21.19e
Dependent Variable: LOGCP
Method: Least Squares
Date: 12/24/21 Time: 23:29
Sample: 1947 2007
Included observations: 61

Variable Coefficient Std. Error t-Statistic Prob.

C 0.544255 0.028320 19.21812 0.0000

LOG_DIVIDEND 0.870018 0.015355 56.66073 0.0000

R-squared 0.981954 Mean dependent var 2.055524

Adjusted R-squared 0.981648 S.D. dependent var 0.548789
S.E. of regression 0.074344 Akaike info criterion -2.327995
Sum squared resid 0.326093 Schwarz criterion -2.258786
Log likelihood 73.00385 Hannan-Quinn criter. -2.300871
F-statistic 3210.438 Durbin-Watson stat 0.423780
Prob(F-statistic) 0.000000

The regression is spurious and it is not valid because profit is independent variable.
21.26.
21.28a

Dependent Variable: LOGCPE

Method: Least Squares
Date: 12/24/21 Time: 23:47
Sample: 1947 2007
Included observations: 61

Variable Coefficient Std. Error t-Statistic Prob.

C -0.084640 0.020053 -4.220805 0.0001

LOGDPI 1.011432 0.005679 178.1024 0.0000

R-squared 0.998143 Mean dependent var 3.476786

Adjusted R-squared 0.998112 S.D. dependent var 0.270302
S.E. of regression 0.011745 Akaike info criterion -6.018551
Sum squared resid 0.008139 Schwarz criterion -5.949342
Log likelihood 185.5658 Hannan-Quinn criter. -5.991427
F-statistic 31720.48 Durbin-Watson stat 0.186818
Prob(F-statistic) 0.000000

Date: 12/24/21 Time: 23:48

Sample: 1947 2007
Included observations: 61

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |******| . |******| 1 0.840 0.840 45.210 0.000

. |******| . |*. | 2 0.764 0.199 83.256 0.000
. |***** | .*| . | 3 0.652 -0.104 111.43 0.000
. |**** | .|. | 4 0.580 0.036 134.14 0.000
. |**** | . |*. | 5 0.526 0.074 153.14 0.000
. |**** | . |*. | 6 0.501 0.091 170.65 0.000
. |*** | .*| . | 7 0.439 -0.101 184.38 0.000
. |*** | .*| . | 8 0.382 -0.067 194.98 0.000
. |** | .*| . | 9 0.297 -0.103 201.51 0.000
. |** | .|. | 10 0.254 0.060 206.36 0.000
. |*. | .*| . | 11 0.184 -0.081 208.96 0.000
. |*. | **| . | 12 0.085 -0.248 209.53 0.000
.|. | .|. | 13 0.008 -0.055 209.53 0.000
.*| . | .|. | 14 -0.067 -0.013 209.90 0.000
.*| . | .*| . | 15 -0.146 -0.100 211.68 0.000
.*| . | .|. | 16 -0.169 0.054 214.11 0.000
.*| . | .|. | 17 -0.201 -0.003 217.64 0.000
**| . | .*| . | 18 -0.250 -0.118 223.24 0.000
**| . | .|. | 19 -0.299 -0.045 231.42 0.000
***| . | .|. | 20 -0.355 -0.053 243.21 0.000
***| . | .*| . | 21 -0.402 -0.074 258.76 0.000
***| . | .|. | 22 -0.422 0.030 276.31 0.000
***| . | .|. | 23 -0.450 -0.065 296.78 0.000
***| . | .|. | 24 -0.445 -0.007 317.36 0.000
***| . | .|. | 25 -0.439 0.066 337.95 0.000
***| . | .|. | 26 -0.437 -0.036 358.88 0.000
***| . | . |*. | 27 -0.388 0.088 375.87 0.000
***| . | .|. | 28 -0.354 0.050 390.46 0.000