1)Before you can do anything, you must first create three additional variables. The first new variable you should call TIME which takes a value of 1 for 1983.1 through 120 for 2012.4. The second variable call OILSQ which is the square of the oil price variable. The third variable is LPSQ, which is the square of the LP variable. Then, regress the variable RDPIPC on everything else except the three newly created variables in the data file. Does this process generate the first econometric problem that I recommended that you evaluate first? If so, paste in your proof, if not paste in the regression output. Are you pleased or disappointed with this outcome. EXPLAIN
2)Now run a standard, backward, stepwise regression to identify the variables that belong in the model (pr of 0.3). Has this process changed the regression model at all?
3)Perform the standard test to determine if heteroscedasticity arises in the model from question 1 (in STATA) report the final regression results from the prescribed procedure to fix heteroscedasticity in table form IF AND ONLY IF the correction is necessary. Show the test results that verify that heteroskedastcity does or does not arise. Why do you suppose the results showed (did not show) heteroskedasticity? 4)Using the model for question 2, test for whether or not autocorrelation arises in the model (use the 100 data point row in the DW table). If necessary, perform the proper adjustment to see if you can eliminate the problem (either in EXCEL or STATA ). Make sure you provide your hypotheses. Paste in your evidence and comment on why or why not autocorrelation arose, and why not or why you could solve or reduce it. 5)Comment on what you think of the model from question4? Do you suspect missing variables? EXPLAIN. 6)Now insert TIME, LPSQ, and OILSQ into the model and report the results, adjusting for autocorrelation if necessary. 7)Now create a variable called RECESSION which takes a value of 1 in 1990.2-1992.2, 2001.2-2001.4, and 2007.4-2009.2, zero otherwise. Insert this variable in the regression from question 6 , adjust for econometric problems if necessary, and paste in your results (remove any variables that are not significant AND have partial correlation coefficients with one or more other variables greater than the multiple correlation coefficient). 8)Carefully, interpret each of the variables significant at the 0.11 level or better. 9)Do you see any reason to suspect simultaneity bias? Explain very briefly. 10)If the Federal Reserve board of governors raised interest rates in December 2015 based on our model, what impact would you believe there would be on per-capital disposable income? Explain.11)Without doing the test, do you suspect that RFFR and LP produce joint explanatory power, WHY or WHY NOT?
|
Year |
RDPIPC |
RFFR |
RNGS |
OILPR |
LP |
|
|
1983.1 |
23458.64 |
7.30626 |
-211.39 |
94.68350564 |
-2.6 |
|
|
23550.99 |
7.431645 |
-221.391 |
88.30258758 |
0.8 |
||
|
23830.91 |
5.669178 |
-295.217 |
86.71337217 |
0.7 |
||
|
24268.57 |
6.565798 |
-360.177 |
86.27064188 |
3.5 |
||
|
1984.1 |
24686.88 |
5.040678 |
-355.378 |
78.95268275 |
5 |
|
|
25019.33 |
5.488451 |
-325.738 |
73.6604371 |
9.6 |
||
|
25284.15 |
5.088109 |
-340.498 |
74.68486758 |
3.6 |
||
|
25413.34 |
6.513035 |
-288.253 |
74.15867682 |
1.9 |
||
|
1985.1 |
25274.08 |
4.337039 |
-250.62 |
71.94333125 |
-0.2 |
|
|
25681.95 |
7.260298 |
-259.457 |
72.01818271 |
2.5 |
||
|
25517.1 |
7.084701 |
-282.264 |
70.63505347 |
1.7 |
||
|
25731.77 |
6.883526 |
-293.177 |
69.21413269 |
0.6 |
||
|
1986.1 |
25973.39 |
4.414699 |
-226.849 |
65.49481578 |
0.7 |
|
|
26238.46 |
6.45935 |
-317.037 |
65.46081757 |
1.1 |
||
|
26344.07 |
6.613712 |
-278.638 |
62.90207413 |
5.4 |
||
|
26311.86 |
6.223612 |
-293.595 |
62.56603576 |
1.9 |
||
|
1987.1 |
26448.64 |
6.389046 |
-277.303 |
45.39382709 |
5.2 |
|
|
26113.46 |
5.425754 |
-325.392 |
30.05819087 |
3 |
||
|
26508.3 |
4.064871 |
-328.409 |
27.65379805 |
1.7 |
||
|
26782.9 |
3.723068 |
-284.344 |
31.1346303 |
-1.1 |
||
|
1988.1 |
27092.94 |
3.386245 |
-299.638 |
38.52359688 |
-2.5 |
|
|
27289.83 |
4.855638 |
-184.244 |
41.34770769 |
2.8 |
||
|
27471.17 |
4.061113 |
-216.517 |
42.60121002 |
-0.1 |
||
|
27655.03 |
4.467878 |
-234.321 |
39.82123895 |
3.8 |
||
|
1989.1 |
27914.19 |
3.83746 |
-226.277 |
33.37509467 |
1.1 |
|
|
27750.49 |
3.689199 |
-207.756 |
34.07112964 |
1.4 |
||
|
27857.76 |
3.586562 |
-177.062 |
30.73387236 |
1 |
||
|
27999.83 |
5.812688 |
-186.34 |
28.19402275 |
2.3 |
||
|
1990.1 |
28153.87 |
5.757006 |
-140.957 |
35.21155975 |
-1.8 |
|
|
28240.11 |
6.295512 |
-172.592 |
39.1715709 |
1.5 |
||
|
28169.14 |
7.036819 |
-187.988 |
36.08458332 |
2.4 |
||
|
27865.72 |
6.70154 |
-218.312 |
38.20917267 |
0.4 |
||
|
1991.1 |
27844.67 |
3.793008 |
-241.551 |
39.38132203 |
3.1 |
|
|
27957.36 |
3.914276 |
-256.685 |
31.47417192 |
3.4 |
||
|
27978.7 |
4.940463 |
-254.17 |
44.81697202 |
1.7 |
||
|
28137.53 |
4.8518 |
-285.484 |
56.68333064 |
-3.4 |
||
|
1992.1 |
28660.07 |
2.886852 |
-244.214 |
36.85344792 |
1 |
|
|
28878.03 |
4.520242 |
-332.668 |
34.18082376 |
6.1 |
||
|
28922.28 |
6.363535 |
-356.279 |
34.79617126 |
2.5 |
||
|
28939.75 |
6.757422 |
-386.211 |
34.848167 |
1.9 |
||
|
1993.1 |
29020.7 |
6.655479 |
-430.016 |
29.75054598 |
6.9 |
|
|
28990.14 |
6.524448 |
-436.267 |
34.10152526 |
3 |
||
|
28926.24 |
6.855249 |
-456.296 |
35.23175136 |
4.1 |
||
|
29035.32 |
6.312759 |
-426.031 |
32.85124615 |
3.1 |
||
|
1994.1 |
29157.72 |
5.773645 |
-457.187 |
30.95863313 |
-2.9 |
|
|
29385.05 |
5.76035 |
-393.486 |
31.31593546 |
-1.7 |
||
|
29478.11 |
5.532674 |
-401.335 |
27.51867814 |
1.6 |
||
|
29805.41 |
5.207479 |
-331.929 |
24.65239908 |
2.8 |
||
|
1995.1 |
30007.39 |
1.10663 |
-320.939 |
22.64488417 |
2.2 |
|
|
29993.12 |
2.213405 |
-275.427 |
27.34149637 |
-0.4 |
||
|
30178.96 |
2.470239 |
-282.413 |
28.64710964 |
-2.3 |
||
|
30271.08 |
3.370943 |
-291.461 |
27.56020371 |
3.7 |
||
|
1996.1 |
30477.44 |
3.765654 |
-286.193 |
28.76891452 |
-1.3 |
|
|
30685.58 |
4.665357 |
-282.214 |
30.56316263 |
0.6 |
||
|
30846.61 |
4.529126 |
-271.052 |
27.70508972 |
0.6 |
||
|
30924.06 |
4.039056 |
-225.013 |
27.86479487 |
3.1 |
||
|
1997.1 |
31150.96 |
3.519813 |
-231.803 |
30.31565369 |
3.5 |
|
|
31332.66 |
4.152656 |
-174.079 |
33.02276052 |
4.5 |
||
|
31621.43 |
3.666995 |
-149.816 |
33.57117206 |
1.3 |
||
|
31988.86 |
3.803384 |
-109.251 |
37.08096432 |
0.2 |
||
|
1998.1 |
32583.8 |
3.575625 |
-81.7198 |
33.59537612 |
-1.4 |
|
|
32951.17 |
4.118621 |
-49.4141 |
28.59571539 |
4.8 |
||
|
33199.26 |
4.86327 |
6.240827 |
28.22000935 |
3.4 |
||
|
33380.7 |
4.397398 |
0.129525 |
27.7834387 |
1.6 |
||
|
1999.1 |
33591.18 |
5.425052 |
69.19267 |
21.01745706 |
1.5 |
|
|
33586.05 |
4.97461 |
81.66594 |
19.40092238 |
2.3 |
||
|
33722.51 |
4.44784 |
125.1922 |
18.52569113 |
2.5 |
||
|
34129.15 |
4.193772 |
138.1955 |
16.8768216 |
5.5 |
||
|
2000.1 |
34711.29 |
3.345924 |
157.2717 |
16.89220771 |
2.9 |
|
|
34981.08 |
3.38094 |
169.7067 |
23.74377062 |
3.9 |
||
|
35298.67 |
4.063388 |
183.6814 |
30.05299533 |
0.3 |
||
|
35326.89 |
4.042674 |
202.7377 |
34.88285716 |
3.3 |
||
|
2001.1 |
35536.64 |
2.495787 |
321.028 |
40.2813195 |
3.3 |
|
|
35414.54 |
4.020678 |
283.6533 |
39.53412301 |
-1.5 |
||
|
36158.17 |
4.30845 |
272.825 |
42.95543327 |
9.4 |
||
|
35619.02 |
4.950922 |
248.161 |
41.40099988 |
0.1 |
||
|
2002..1 |
36392.43 |
3.122834 |
213.4198 |
34.97403859 |
3.4 |
|
|
36483.93 |
1.698853 |
137.6908 |
34.38789068 |
-1.3 |
||
|
36343.64 |
2.443607 |
-154.211 |
33.08782482 |
7.4 |
||
|
36426.34 |
1.110458 |
-74.8961 |
24.37368465 |
2.5 |
||
|
2003.1 |
36439.95 |
0.31557 |
-314.513 |
27.57759467 |
2.9 |
|
|
36873.27 |
-0.01178 |
-368.62 |
34.09355528 |
8.8 |
||
|
37383.79 |
-0.0143 |
-369.875 |
36.66004707 |
0.5 |
||
|
37440.98 |
-0.95323 |
-413.544 |
35.77329915 |
3.8 |
||
|
2004.1 |
37619.41 |
-1.72586 |
-449.88 |
42.46240566 |
4.6 |
|
|
37895.83 |
0.096869 |
-501.908 |
35.72486082 |
3.7 |
||
|
38000.82 |
-1.31341 |
-557.209 |
37.89944848 |
5.5 |
||
|
38380.47 |
-1.21929 |
-435.534 |
38.3548619 |
9.5 |
||
|
2005.1 |
37916.32 |
-2.64544 |
-497.767 |
42.43108667 |
3.7 |
|
|
38122.14 |
-2.54784 |
-463.17 |
45.95000048 |
0.6 |
||
|
38224.04 |
-1.65607 |
-414.201 |
51.96643552 |
3.3 |
||
|
38444.14 |
-1.08577 |
-392.606 |
53.12659393 |
0.7 |
||
|
2006.1 |
39225.77 |
-1.36738 |
-294.175 |
54.52459162 |
2.6 |
|
|
39189.04 |
0.298424 |
-298.317 |
60.5456103 |
4.2 |
||
|
39205.46 |
-0.72168 |
-287.492 |
73.57704008 |
-0.8 |
||
|
39620.64 |
0.709226 |
-253.785 |
66.90044479 |
3.1 |
||
|
2007.1 |
39784.53 |
1.647761 |
-156.248 |
70.02577028 |
1.6 |
|
|
39766.66 |
1.519758 |
-177.896 |
80.63775375 |
2.5 |
||
|
39773.47 |
2.459323 |
-183.895 |
80.32492561 |
0.4 |
||
|
39711.78 |
3.763263 |
-134.305 |
67.44527098 |
-2.2 |
||
|
2008.1 |
39903.83 |
0.762722 |
-179.631 |
66.47776896 |
0.9 |
|
|
40643.62 |
2.774228 |
-215.694 |
77.09131545 |
-0.2 |
||
|
39620.81 |
4.115545 |
-264.173 |
86.49099641 |
3.4 |
||
|
39772.9 |
2.881801 |
-306.42 |
100.0087561 |
4.8 |
||
|
2009.1 |
39543.76 |
0.535039 |
-441.627 |
107.6586472 |
1.5 |
|
|
39747.28 |
-0.51716 |
-808.268 |
137.2301537 |
-2.6 |
||
|
39250.71 |
-1.15445 |
-748.322 |
131.624795 |
2.4 |
||
|
39146.89 |
-0.13583 |
-783.375 |
62.41379913 |
-0.8 |
||
|
2010.1 |
39087.99 |
-0.8833 |
-1134.34 |
48.65783098 |
0.6 |
|
|
39507.65 |
1.03548 |
-1434.88 |
68.77444703 |
5.5 |
||
|
39601.17 |
-0.40836 |
-1453.82 |
78.69910772 |
6.8 |
||
|
39767.91 |
-1.30537 |
-1380.06 |
85.96436082 |
5.2 |
||
|
2011.1 |
40165.3 |
-1.51847 |
-1425.86 |
88.40148761 |
2.9 |
|
|
40031.05 |
-1.58704 |
-1421.63 |
87.35076721 |
2.7 |
||
|
40095.28 |
-2.02875 |
-1362.44 |
85.8700291 |
-0.5 |
||
|
39945.6 |
-2.12839 |
-1341.07 |
94.21186989 |
3.3 |
||
|
2012.1 |
40299.52 |
-1.9954 |
-1300.17 |
108.3523397 |
3.1 |
|
|
40385.49 |
-2.72473 |
-1346.75 |
123.6861612 |
-2 |
||
|
40234.43 |
-3.11662 |
-1305.72 |
115.1982298 |
1.2 |
||
|
41013.08 |
-0.3142 |
-1255.35 |
118.5477634 |
0.6 |
||
|
RDPIPC – 1983.1-2012.4 real per capita disposable personal income in dollars |
||||||
|
RFFR – 1983.1-2012.4 real federal funds interest rate in percent (i.e., 5 is 5 percent) |
||||||
|
RNGS – 1983.1-2012.4 real net government savings (the federal deficit) in billions of dollars |
||||||
|
OILPR – 1983.1-2012.4 real oil prices (U.S. markets) in dollars per barrel |
||||||
|
LP – 1983.1-2012.4 labor productivity in percent increase or decrease |
