
Ox Professional version 7.01 (Windows_64/U/MT) (C) J.A. Doornik, 1994-2013
PcNaive 6.00 experiment started on 22-07-2013 at 10:47:32
PcGive package version 14.0B3, object created on 22-07-2013
(C) Jurgen A Doornik - requires a licensed version of PcGive Professional
PcNaive run: D:\Waste\pcnaive_HP2.ox

---- PcNaive (2.00) DGP ----
y is (1 x 1), z is (0 x 1) and fixed.

y[t] = e[t] + A1 y[t-1] + A2 z[t]
A1 = 
      0.75000
A2 = 
<>

e ~ N(0,7394.28)

Companion matrix:
Ya        0.75         0
Ya_1         1         0

Variance matrix of companion form:
Ya   7.39e+003         0
Ya_1         0         0

eigenvalues of companion matrix:
      real      imag   modulus
      0.75         0      0.75
         0         0         0
The DGP is stationary.

Long-run mean of y_t:
           Ya
      0.00000
M matrix
           Ya         Ya_1
       16901.       12676.
       12676.       16901.
Plims for OLS estimates of linear model, T=139:
                      Ya_1
beta               0.75000
SE[beta]          0.056102
sigma^2 = 7394.28

Long-run matrix Pi(1)-I = Po:
     -0.25000
rank of long-run matrix: 1
Mean-lag matrix sum pi_i:
      0.75000
This DGP is I(0).
20 observations discarded

EQ( 0) Modelling Ya by OLS
The available estimation sample is 2 - 140 (T=139)
Ya           lag 0 status Y
Ya           lag 1 status Y
Constant     lag 0 status U

---- PcNaive Monte Carlo results ----
T=140, M=100000, RNG=MWC_52, common seed=-1

moments of test statistics
                      mean      std.dev     skewness  ex.kurtosis
t-Ya_1              12.666       2.1877      0.29271      0.18047
t-Constant       0.0051502       1.0458   -0.0015449    0.0018978

critical values (two sided: left tail quantiles)
                        5%         2.5%
t-Ya_1              9.2586       8.6618
t-Constant         -1.7189      -2.0374

critical values (two sided: right tail quantiles)
                        5%         2.5%
t-Ya_1              16.413       17.243
t-Constant          1.7287       2.0597

rejection frequencies
                       10%           5%
t-Ya_1              1.0000       1.0000
t-Constant         0.11401     0.057860
[ASE]           0.00094868   0.00068920

moments of estimates
                      mean         MCSD
Ya_1               0.72638     0.059748
Constant          0.039267       8.1338
sigma^2             7392.4       895.71
R^2                0.53115     0.084739

biases of estimates
                 mean bias         MCSE         RMSE   true value
Ya_1               0.72638   0.00018894      0.72883      0.00000
Constant          0.039267     0.025721       8.1339      0.00000
sigma^2             7392.4       2.8325       7446.4      0.00000
R^2                0.53115   0.00026797      0.53787      0.00000

Total time for experiment:11.76
