ECONOMETRICS MID TERM 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

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 1

Building a Model of U.S Savings and Loan Passbook

Deposits

1

I suppose that all the processes in the 1970s would comply with the common principles of macro-economics, which are inflation effects and real values (not nominal ones)

2

 My set of explanatory variables: QYDUS, QRTB3Y t, QRDPASS t, QYPERM t.

 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.

 My equation: reg qdpass qydus qrtb3y qrdpass qyperm

Section 2

To sum, the variables available for your model are:

 QDPASS t = the aggregate stock of deposits held in passbook accounts in S & Ls in the U.S in quarter t (millions of nominal dollars)

 QYDUS t = U.S disposable income in quarter t (millions of nominal dollars)

 QYPERM t = 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.)

 QRDPASS t = the average rate of return (in percentage points) on passbook accounts in S & Ls

in quarter t.

 QRTB3Y t = the interest rate on three-month Treasury bills in quarter t

 SPREAD t = QRDPASS t – QRTB3Y t

 MMCDUM t = a dummy variable equal to zero before the third-quarter 1978 legalization of money market certificates and equal to one thereafter

 EXPINF t = the expected percentage rate of inflation in quarter t (equal to the previous

quarter's inflation rate)

 BRANCH t = 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 6 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 = 40

-+ - F( 4, 35) = 69.87

Model | 1.3733e+10 4 3.4334e+09 Prob > F = 0.0000

Residual | 1.7198e+09 35 49138541.3 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 106.293

qydus | 205.8982 114.7709 1.79 0.081 -27.09909 438.8955

qrtb3y | -4702.491 728.9878 -6.45 0.000 -6182.415 -3222.568

qrdpass | 11315.92 16531.88 0.68 0.498 -22245.58 44877.42 _cons | 12927.31 77047.91 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

The Demand for Pork Interactive Exercise

Section 1

Building a "Demand-Side" Model for Pork

1 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.

2 My set:

PRIPK t The price of a pound of pork (in dollars per 100 pounds) in quarter t

PRIBF t 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 2

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 = 40

-+ - F( 4, 35) = 500.30

Model | 95.1675796 4 23.7918949 Prob > F = 0.0000

Residual | 1.66442252 35 047554929 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 2.967476 3.61146

pribf | .0037047 .0024383 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

predict e,r

PROPK t Pounds of pork produced (in billions) in the U.S in quarter t

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

1 | 2.323 1 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