------------------------------------------------------------------------------------------ . tsset t Time variable: t, 1948m1 to 1999m12 Delta: 1 month . * Osa 3a) . pperron AAA, trend regress Phillips–Perron test for unit root Number of obs = 623 Variable: AAA Newey–West lags = 6 H0: Random walk with or without drift Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -3.666 -29.500 -21.800 -18.300 Z(t) -1.177 -3.960 -3.410 -3.120 -------------------------------------------------------------- MacKinnon approximate p-value for Z(t) = 0.9151. Regression table ------------------------------------------------------------------------------ AAA | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- AAA | L1. | .9968413 .0040312 247.28 0.000 .9889249 1.004758 | _trend | -.0000152 .0000684 -0.22 0.825 -.0001495 .0001192 _cons | .0342161 .0210884 1.62 0.105 -.0071973 .0756294 ------------------------------------------------------------------------------ . pperron TB3M, trend regress Phillips–Perron test for unit root Number of obs = 623 Variable: TB3M Newey–West lags = 6 H0: Random walk with or without drift Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -13.185 -29.500 -21.800 -18.300 Z(t) -2.529 -3.960 -3.410 -3.120 -------------------------------------------------------------- MacKinnon approximate p-value for Z(t) = 0.3138. Regression table ------------------------------------------------------------------------------ TB3M | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- TB3M | L1. | .982512 .0076324 128.73 0.000 .9675235 .9975004 | _trend | .0000983 .000125 0.79 0.432 -.0001473 .0003438 _cons | .0646311 .0411309 1.57 0.117 -.0161416 .1454038 ------------------------------------------------------------------------------ . * Osa 3b) . pperron D.AAA, regress Phillips–Perron test for unit root Number of obs = 622 Variable: D.AAA Newey–West lags = 6 H0: Random walk without drift, d = 0 Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -347.987 -20.700 -14.100 -11.300 Z(t) -16.355 -3.430 -2.860 -2.570 -------------------------------------------------------------- MacKinnon approximate p-value for Z(t) = 0.0000. Regression table ------------------------------------------------------------------------------ D.AAA | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- AAA | LD. | .3715832 .0373112 9.96 0.000 .2983116 .4448547 | _cons | .004868 .0078877 0.62 0.537 -.0106218 .0203578 ------------------------------------------------------------------------------ . pperron D.AAA, noconstant regress Phillips–Perron test for unit root Number of obs = 622 Variable: D.AAA Newey–West lags = 6 H0: Random walk without drift, a = 0, d = 0 Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -348.100 -13.800 -8.100 -5.700 Z(t) -16.359 -2.580 -1.950 -1.620 -------------------------------------------------------------- Regression table ------------------------------------------------------------------------------ D.AAA | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- AAA | LD. | .3723712 .0372707 9.99 0.000 .2991793 .4455631 ------------------------------------------------------------------------------ . pperron D.TB3M, regress Phillips–Perron test for unit root Number of obs = 622 Variable: D.TB3M Newey–West lags = 6 H0: Random walk without drift, d = 0 Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -383.680 -20.700 -14.100 -11.300 Z(t) -18.288 -3.430 -2.860 -2.570 -------------------------------------------------------------- MacKinnon approximate p-value for Z(t) = 0.0000. Regression table ------------------------------------------------------------------------------ D.TB3M | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- TB3M | LD. | .2727565 .0386418 7.06 0.000 .1968719 .3486411 | _cons | .0050188 .0180995 0.28 0.782 -.0305249 .0405625 ------------------------------------------------------------------------------ . pperron D.TB3M, noconstant regress Phillips–Perron test for unit root Number of obs = 622 Variable: D.TB3M Newey–West lags = 6 H0: Random walk without drift, a = 0, d = 0 Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -383.732 -13.800 -8.100 -5.700 Z(t) -18.302 -2.580 -1.950 -1.620 -------------------------------------------------------------- Regression table ------------------------------------------------------------------------------ D.TB3M | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- TB3M | LD. | .2729073 .0386092 7.07 0.000 .1970869 .3487277 ------------------------------------------------------------------------------ . * Osa 4 . regress AAA TB3M Source | SS df MS Number of obs = 624 -------------+---------------------------------- F(1, 622) = 2820.75 Model | 4756.35434 1 4756.35434 Prob > F = 0.0000 Residual | 1048.81924 622 1.68620457 R-squared = 0.8193 -------------+---------------------------------- Adj R-squared = 0.8190 Total | 5805.17358 623 9.31809563 Root MSE = 1.2985 ------------------------------------------------------------------------------ AAA | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- TB3M | .9378468 .0176583 53.11 0.000 .9031696 .972524 _cons | 2.207408 .10334 21.36 0.000 2.00447 2.410345 ------------------------------------------------------------------------------ . predict res, residuals . pperron res, noconstant regress Phillips–Perron test for unit root Number of obs = 623 Variable: res Newey–West lags = 6 H0: Random walk without drift, a = 0, d = 0 Dickey–Fuller Test -------- critical value --------- statistic 1% 5% 10% -------------------------------------------------------------- Z(rho) -26.609 -13.800 -8.100 -5.700 Z(t) -3.672 -2.580 -1.950 -1.620 -------------------------------------------------------------- Regression table ------------------------------------------------------------------------------ res | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- res | L1. | .9630805 .0108034 89.15 0.000 .941865 .984296 ------------------------------------------------------------------------------ . * Osa 5, lisamoodul egranger . ssc install egranger . help egranger . egranger AAA TB3M, regress Engle-Granger test for cointegration N (1st step) = 624 N (test) = 623 ------------------------------------------------------------------------------ Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -3.417 -3.914 -3.346 -3.051 Critical values from MacKinnon (1990, 2010) ------------------------------------------------------------------------------ Engle-Granger 1st-step regression ------------------------------------------------------------------------------ AAA | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- TB3M | .9378468 .0176583 53.11 0.000 .9031696 .972524 _cons | 2.207408 .10334 21.36 0.000 2.00447 2.410345 ------------------------------------------------------------------------------ Engle-Granger test regression ------------------------------------------------------------------------------ D._egresid | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- _egresid | L1. | -.0369195 .0108034 -3.42 0.001 -.058135 -.015704 ------------------------------------------------------------------------------ . * Osa 6, veaparandusmudel ECM . regress D.AAA D. TB3M L.res Source | SS df MS Number of obs = 623 -------------+---------------------------------- F(2, 620) = 207.98 Model | 11.1618837 2 5.58094186 Prob > F = 0.0000 Residual | 16.6367095 620 .026833402 R-squared = 0.4015 -------------+---------------------------------- Adj R-squared = 0.3996 Total | 27.7985933 622 .044692272 Root MSE = .16381 ------------------------------------------------------------------------------ D.AAA | Coefficient Std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- TB3M | D1. | .2772137 .0140308 19.76 0.000 .24966 .3047673 | res | L1. | -.0289456 .0050614 -5.72 0.000 -.0388852 -.0190061 | _cons | .0056122 .0065636 0.86 0.393 -.0072773 .0185017 ------------------------------------------------------------------------------ . * Osa 7 VECM hindamine . varsoc AAA TB3M, maxlag(5) Lag-order selection criteria Sample: 1948m6 thru 1999m12 Number of obs = 619 +---------------------------------------------------------------------------+ | Lag | LL LR df p FPE AIC HQIC SBIC | |-----+---------------------------------------------------------------------| | 0 | -2585.72 14.6611 8.36096 8.36652 8.37526 | | 1 | -164.047 4843.3 4 0.000 .005938 .549425 .56611 .592347 | | 2 | -93.3823 141.33 4 0.000 .004788 .33403 .361839 .405566 | | 3 | -62.2695 62.226 4 0.000 .004386 .246428 .28536* .346579* | | 4 | -55.0368 14.465* 4 0.006 .00434* .235983* .286039 .364749 | | 5 | -51.3929 7.2878 4 0.121 .004346 .237134 .298313 .394514 | +---------------------------------------------------------------------------+ * optimal lag Endogenous: AAA TB3M Exogenous: _cons . vec AAA TB3M, trend(constant) lags(4) Vector error-correction model Sample: 1948m5 thru 1999m12 Number of obs = 620 AIC = .2350469 Log likelihood = -55.86453 HQIC = .2822592 Det(Sigma_ml) = .004105 SBIC = .3565069 Equation Parms RMSE R-sq chi2 P>chi2 ---------------------------------------------------------------- D_AAA 8 .186664 0.2338 186.7435 0.0000 D_TB3M 8 .42185 0.2020 154.9593 0.0000 ---------------------------------------------------------------- ------------------------------------------------------------------------------ | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_AAA | _ce1 | L1. | -.0202312 .0057759 -3.50 0.000 -.0315517 -.0089107 | AAA | LD. | .5343517 .0477114 11.20 0.000 .440839 .6278645 L2D. | -.3724165 .0514321 -7.24 0.000 -.4732215 -.2716115 L3D. | .1046383 .0500752 2.09 0.037 .0064927 .2027839 | TB3M | LD. | -.0496363 .0211878 -2.34 0.019 -.0911636 -.0081091 L2D. | .0475177 .0213722 2.22 0.026 .0056289 .0894065 L3D. | -.0640152 .0209651 -3.05 0.002 -.1051059 -.0229244 | _cons | .0062007 .0075087 0.83 0.409 -.0085162 .0209176 -------------+---------------------------------------------------------------- D_TB3M | _ce1 | L1. | .038186 .0130531 2.93 0.003 .0126023 .0637697 | AAA | LD. | .811034 .1078253 7.52 0.000 .5997003 1.022368 L2D. | -.5879209 .1162337 -5.06 0.000 -.8157348 -.360107 L3D. | .1934352 .1131672 1.71 0.087 -.0283685 .415239 | TB3M | LD. | .1801858 .0478832 3.76 0.000 .0863364 .2740351 L2D. | -.0356666 .0483 -0.74 0.460 -.1303329 .0589997 L3D. | -.030456 .0473799 -0.64 0.520 -.1233189 .0624069 | _cons | .0032852 .0169694 0.19 0.846 -.0299742 .0365445 ------------------------------------------------------------------------------ Cointegrating equations Equation Parms chi2 P>chi2 ------------------------------------------- _ce1 1 308.8029 0.0000 ------------------------------------------- Identification: beta is exactly identified Johansen normalization restriction imposed ------------------------------------------------------------------------------ beta | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- _ce1 | AAA | 1 . . . . . TB3M | -1.147666 .0653093 -17.57 0.000 -1.275669 -1.019662 _cons | -1.145897 . . . . . ------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------