* Osa 4 . label variable C "SKP ahelväärtus, mln eur" . rename C SKPahelv * osa 5 . ssc install tsmktim . help tsmktim . tsmktim kvartal, start(1996q1) Time variable: kvartal, 1996q1 to 2021q4 Delta: 1 quarter * osa 7 . twoway (tsline SKPahelv) #osa 8 . pperron SKPahelv, trend regress Phillips–Perron test for unit root Number of obs = 103 Variable: SKPahelv Newey–West lags = 4 H0: Random walk with or without drift Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -8.046 -27.420 -20.712 -17.510 Z(t) -2.019 -4.039 -3.450 -3.150 -------------------------------------------------------------- MacKinnon approximate p-value for Z(t) = 0.5908. Regression table ------------------------------------------------------------------------------ SKPahelv | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- SKPahelv | L1. | .9558843 .0289103 33.06 0.000 .8985271 1.013241 | _trend | 1.523741 1.070839 1.42 0.158 -.6007719 3.648255 _cons | 159.9668 79.2539 2.02 0.046 2.729287 317.2042 ------------------------------------------------------------------------------ . pperron SKPahelv, regress Phillips–Perron test for unit root Number of obs = 103 Variable: SKPahelv Newey–West lags = 4 H0: Random walk without drift, d = 0 Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -0.843 -19.810 -13.706 -11.004 Z(t) -0.683 -3.509 -2.890 -2.580 -------------------------------------------------------------- MacKinnon approximate p-value for Z(t) = 0.8510. Regression table ------------------------------------------------------------------------------ SKPahelv | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- SKPahelv | L1. | .9949695 .0090633 109.78 0.000 .9769904 1.012949 | _cons | 63.99891 41.835 1.53 0.129 -18.99046 146.9883 ------------------------------------------------------------------------------ . pperron SKPahelv, noconstant regress Phillips–Perron test for unit root Number of obs = 103 Variable: SKPahelv Newey–West lags = 4 H0: Random walk without drift, a = 0, d = 0 Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) 0.849 -13.306 -7.902 -5.602 Z(t) 2.828 -2.600 -1.950 -1.610 -------------------------------------------------------------- Regression table ------------------------------------------------------------------------------ SKPahelv | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- SKPahelv | L1. | 1.008434 .0021765 463.32 0.000 1.004117 1.012751 ------------------------------------------------------------------------------ * osa 9 . zandrews SKPahelv, break(both) Zivot-Andrews unit root test for SKPahelv Allowing for break in both intercept and trend Lag selection via TTest: lags of D.SKPahelv included = 3 Minimum t-statistic -7.159 at 2008q4 (obs 52) Critical values: 1%: -5.57 5%: -5.08 10%: -4.82 * osa 10 . by kvartal: generate byte D = (kvartal > q(2008q4)) . gen t= _n . regress SKPahelv D t D#c.t Source | SS df MS Number of obs = 104 -------------+---------------------------------- F(3, 100) = 1563.31 Model | 126711362 3 42237120.7 Prob > F = 0.0000 Residual | 2701766.88 100 27017.6688 R-squared = 0.9791 -------------+---------------------------------- Adj R-squared = 0.9785 Total | 129413129 103 1256438.15 Root MSE = 164.37 ------------------------------------------------------------------------------ SKPahelv | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- D | -252.9463 129.8964 -1.95 0.054 -510.657 4.764409 t | 59.49259 1.518762 39.17 0.000 56.47941 62.50577 | D#c.t | 1 | -16.29477 2.147855 -7.59 0.000 -20.55605 -12.03349 | _cons | 2145.731 46.25374 46.39 0.000 2053.965 2237.497 ------------------------------------------------------------------------------ * osa 11 . predict SKP_trend, xb (option xb assumed; fitted values) . twoway (tsline SKPahelv) (tsline SKP_trend)