(Tiểu luận FTU) ECONOMETRICS MID TERM ASSIGNMENT

Econometrics – Midterm Assignment ECONOMETRICS MID-TERM ASSIGNMENT STUDENT’S INFORMATION Name: Phung Thi Thuy Duong Student’s ID: 1211110152 Email: duong.phung@aiesec.net Skype: duongphung61 Mobile no: +84 934 312 475 ASSIGNMENT The Passbook Deposits Interactive Exercise Section Building a Model of U.S Savings and Loan Passbook Deposits I suppose that all the processes in the 1970s would comply with the common principles of macroeconomics, which are inflation effects and real values (not nominal ones)     My set of explanatory variables: QYDUS, QRTB3Yt, QRDPASSt, QYPERMt.  I choose the two rate variables because over the SPREAD because the SPREAD cannot show all the absolute and relative values of income and profits and it is not flexible enough It makes sense because it is stated that: “ Passbook savings accounts bear a lower rate of interest and are more liquid than almost any other financial asset except demand deposits” I think we should because it is the real value of income Including it along with the two interest rates and help solve the errors in calculating LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Econometrics – Midterm Assignment  My equation: reg qdpass qydus qrtb3y qrdpass qyperm Section To sum, the variables available for your model are:          QDPASSt = the aggregate stock of deposits held in passbook accounts in S & Ls in the U.S in quarter t (millions of nominal dollars) QYDUSt = U.S disposable income in quarter t (millions of nominal dollars) QYPERMt = U.S "permanent" income in quarter t (millions of nominal dollars) (This variable was formed by taking a four-quarter declining weighted moving average of disposable income in previous quarters.) QRDPASSt = the average rate of return (in percentage points) on passbook accounts in S & Ls in quarter t QRTB3Yt = the interest rate on three-month Treasury bills in quarter t SPREADt = QRDPASSt – QRTB3Yt MMCDUMt = a dummy variable equal to zero before the third-quarter 1978 legalization of money market certificates and equal to one thereafter EXPINFt = the expected percentage rate of inflation in quarter t (equal to the previous quarter's inflation rate) BRANCHt = the number of S & L branches operating in the U.S in quarter t In section 2: Since I choose the two interest rates over SPREAD, I jump to Q4 and then since I choose QYPERM, I jump to Finally, I include none the third set, I jump to regression number 16: http://wps.aw.com/aw_studenmund_useecon_6/140/35970/9208570.cw/index.html reg qdpass qyperm qydus qrtb3y qrdpass Source | SS df MS Number of obs = -+ -Model | 1.3733e+10 F( 4, 35) = 69.87 3.4334e+09 Residual | 1.7198e+09 35 49138541.3 -+ 40 Prob > F = 0.0000 R-squared = 0.8887 Adj R-squared = 0.8760 Total | 1.5453e+10 39 396239615 Root MSE = 7009.9 -qdpass | Coef Std Err t P>|t| [95% Conf Interval] -+ -qyperm | -146.5876 124.5651 -1.18 0.247 -399.4681 qydus | 205.8982 114.7709 106.293 1.79 0.081 -27.09909 438.8955 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Econometrics – Midterm Assignment qrtb3y | -4702.491 728.9878 -6.45 0.000 -6182.415 -3222.568 qrdpass | 11315.92 16531.88 _cons | 12927.31 77047.91 0.68 0.498 -22245.58 44877.42 0.17 0.868 -143488.3 169342.9 -Evaluation: hettest Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance Variables: fitted values of qdpass chi2(1) = 0.77 Prob > chi2 = 0.3799 vif Variable | VIF 1/VIF -+ -qyperm | 1019.64 0.000981 qydus | 987.77 0.001012 qrdpass | 4.44 0.225184 qrtb3y | 1.64 0.611065 -+ -Mean VIF | 503.37 swilk e Shapiro-Wilk W test for normal data Variable | Obs W V z Prob>z -+ -expinf | 40 0.96916 1.219 0.416 0.33853 Cannot omit expinf Error: omitted variables LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Econometrics – Midterm Assignment The Demand for Pork Interactive Exercise Section Building a "Demand-Side" Model for Pork The Demand of Pork will be affected by the price of other product (in this case: beef) and pounds of pork produced (judging by the demand-supply principle) Also the price of the pork will also affect since the consumption of one piece of product will always be determined by the demand of pork, which in turn is determined by the selected explanatory variables according to the micro-economics principle My set: PROPKt Pounds of pork produced (in billions) in the U.S in quarter t PRIPKt The price of a pound of pork (in dollars per 100 pounds) in quarter t PRIBFt The price of a pound of beef (in dollars per 100 pounds) in quarter t YDUSPt Per capita disposable income in the U.S in quarter t (current dollars) Section As the result, I get the regression run: http://wps.aw.com/aw_studenmund_useecon_6/140/35971/9208587.cw/index.html reg conpk pripk propk pribf ydusp Source | SS df MS Number of obs = -+ -Model | 95.1675796 F( 4, 35) = 500.30 23.7918949 Prob > F Residual | 1.66442252 35 047554929 -+ 40 = 0.0000 R-squared = 0.9828 Adj R-squared = 0.9808 Total | 96.8320021 39 2.48287185 Root MSE = 21807 -conpk | Coef Std Err t P>|t| [95% Conf Interval] -+ -pripk | -.011906 0041724 -2.85 0.007 -.0203764 -.0034357 propk | 3.289468 1586083 20.74 0.000 pribf | 0037047 0024383 2.967476 3.61146 1.52 0.138 -.0012453 0086548 ydusp | 0298289 0439014 0.68 0.501 -.0592957 1189535 _cons | 4.016223 6520508 6.16 0.000 2.692489 5.339956 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Econometrics – Midterm Assignment predict e,r swilk e Shapiro-Wilk W test for normal data Variable | Obs W V z Prob>z -+ -e| 40 0.97814 0.864 -0.308 0.62092 hettest Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance Variables: fitted values of conpk chi2(1) = 0.79 Prob > chi2 = 0.3740 Evaluation: vif Variable | VIF 1/VIF -+ -pribf | 8.12 0.123158 ydusp | 6.03 0.165882 pripk | 4.78 0.209192 propk | 4.02 0.248725 -+ -Mean VIF | 5.74 VIF < 10  Not dismiss Ho estat bgodfrey Breusch-Godfrey LM test for autocorrelation lags(p) | chi2 df Prob > chi2 -+ - LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Econometrics – Midterm Assignment | 2.323 0.1275 H0: no serial correlation Dear Sir, Due to my health condition, I am still not OK but I cannot cancel my subject registration so I am trying to study on my own and I know if I submit this thing to you it would be really disrespectful Hence, I am just writing this with the hope of you letting me take the final exam and I’ll try my best to get a D so that I can study this subject again without affecting my final result at school (because as you know an F is really dreadful to the academic result) Thank you so much! Best Regards, Your student LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com .. .Econometrics – Midterm Assignment  My equation: reg qdpass qydus qrtb3y qrdpass qyperm Section To sum, the... 1.79 0.081 -27.09909 438.8955 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Econometrics – Midterm Assignment qrtb3y | -4702.491 728.9878 -6.45 0.000 -6182.415 -3222.568 qrdpass | 11315.92... expinf Error: omitted variables LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Econometrics – Midterm Assignment The Demand for Pork Interactive Exercise Section Building a "Demand-Side"