Batch file run: D:\Documents\Books_other\Lund\code\22_09_DHSY.fl

Autometrics identification block search over regressors
no. initial regressors     80  no. of observations        68
significance level      0.025  block method         standard
extension effort     standard  reduction effort     standard
backtesting              GUM0  backtesting in      A,B,C1,D1

Free variables in the GUM:
 y            y            y            y            y            c            c           
 c            c            c            D4p          D4p          I:1959(1)    I:1959(2)   
 I:1959(3)    I:1959(4)    I:1960(1)    I:1960(2)    I:1960(3)    I:1960(4)    I:1961(1)   
 I:1961(2)    I:1961(3)    I:1961(4)    I:1962(1)    I:1962(2)    I:1962(3)    I:1962(4)   
 I:1963(1)    I:1963(2)    I:1963(3)    I:1963(4)    I:1964(1)    I:1964(2)    I:1964(3)   
 I:1964(4)    I:1965(1)    I:1965(2)    I:1965(3)    I:1965(4)    I:1966(1)    I:1966(2)   
 I:1966(3)    I:1966(4)    I:1967(1)    I:1967(2)    I:1967(3)    I:1967(4)    I:1968(1)   
 I:1968(2)    I:1968(3)    I:1968(4)    I:1969(1)    I:1969(2)    I:1969(3)    I:1969(4)   
 I:1970(1)    I:1970(2)    I:1970(3)    I:1970(4)    I:1971(1)    I:1971(2)    I:1971(3)   
 I:1971(4)    I:1972(1)    I:1972(2)    I:1972(3)    I:1972(4)    I:1973(1)    I:1973(2)   
 I:1973(3)    I:1973(4)    I:1974(1)    I:1974(2)    I:1974(3)    I:1974(4)    I:1975(1)   
 I:1975(2)    I:1975(3)    I:1975(4)   

A. Step 1: block search for omitted regressors
  significance          0.025  diagnostics             off
  no of blocks              4  blocked by         variable
- block   3 size= 25 total=  12  10 added
- block   2 size= 25 total=  12
- block   1 size= 25 total=  12
- block   0 size=  5 total=  13   1 added
A. Step 1 (continued): 
- block   0 size= 11 total=  11   9 added

A. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  9 total=   9 loglik=     179.265 SC=    -4.71402

                 lag  sel count    sel run     in GUM
y                  1          1          1          1
y                  4          1          1          1
c                  1          1          1          1
c                  4          1          1          1
c                  5          1          1          1
I:1959(2)          0          1          1          1
I:1960(2)          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=   9
- block   3 size= 25 total=   9
- block   2 size= 25 total=   9
- block   1 size= 25 total=  10   1 added
- block   0 size=  8 total=  10

B. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  8 total=  10 loglik=     182.893 SC=    -4.75869

                 lag  sel count    sel run     in GUM
y                  1          2          2          1
y                  4          2          2          1
c                  1          2          2          1
c                  4          2          2          1
c                  5          2          2          1
I:1959(2)          0          2          2          1
I:1960(2)          0          2          2          1
I:1972(2)          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  10
- block   3 size= 25 total=  10
- block   2 size= 25 total=  10
- block   1 size= 25 total=  10
- block   0 size= 12 total=  10

                 lag  sel count    sel run     in GUM
y                  1          3          3          1
y                  4          3          3          1
c                  1          3          3          1
c                  4          3          3          1
c                  5          3          3          1
I:1959(2)          0          3          3          1
I:1960(2)          0          3          3          1
I:1972(2)          0          2          2          1


C. Step 1: extended block search for omitted regressors
  significance           0.05  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  10
- block   3 size= 25 total=  10
- block   2 size= 25 total=  11   1 added
- block   1 size= 25 total=  11
- block   0 size= 12 total=  12   1 added

C. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 10 total=  12 loglik=     188.556 SC=    -4.80113

                 lag  sel count    sel run     in GUM
y                  1          2          4          1
y                  4          2          4          1
c                  1          2          4          1
c                  4          2          4          1
c                  5          2          4          1
I:1959(2)          0          2          4          1
I:1960(2)          0          2          4          1
I:1968(2)          0          1          1          1
I:1972(2)          0          2          3          1
I:1975(2)          0          1          1          1


D. Step 1: extended block search for omitted regressors
  significance      0.0930233  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  12
- block   3 size= 25 total=  12
- block   2 size= 25 total=  16   4 added
- block   1 size= 25 total=  16
- block   0 size= 20 total=  19   3 added
D. Step 1 (continued): 
- block   0 size= 17 total=  19   7 added

D. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 17 total=  11 loglik=     191.588 SC=    -4.95238

                 lag  sel count    sel run     in GUM
y                  1          3          5          1
y                  4          2          0          0
c                  1          2          0          0
c                  4          3          5          1
c                  5          3          5          1
I:1959(2)          0          3          5          1
I:1960(2)          0          2          0          0
I:1966(1)          0          1          1          1
I:1966(2)          0          1          1          1
I:1968(2)          0          2          2          1
I:1972(2)          0          2          0          0
I:1974(3)          0          1          1          1
I:1975(2)          0          2          2          1


D. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  11
- block   3 size= 25 total=  11
- block   2 size= 25 total=  11
- block   1 size= 25 total=  11
- block   0 size= 16 total=  12   1 added

D. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 10 total=  12 loglik=     195.633 SC=    -5.00928

                 lag  sel count    sel run     in GUM
y                  1          4          6          1
y                  4          2          0          0
c                  1          2          0          0
c                  4          4          6          1
c                  5          4          6          1
I:1959(2)          0          4          6          1
I:1960(2)          0          2          0          0
I:1966(1)          0          2          2          1
I:1966(2)          0          2          2          1
I:1968(2)          0          3          3          1
I:1972(2)          0          2          0          0
I:1974(2)          0          1          1          1
I:1974(3)          0          2          2          1
I:1975(2)          0          3          3          1


D. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  12
- block   3 size= 25 total=  12
- block   2 size= 25 total=  12
- block   1 size= 25 total=  12
- block   0 size= 20 total=  12

                 lag  sel count    sel run     in GUM
y                  1          5          7          1
y                  4          2          0          0
c                  1          2          0          0
c                  4          5          7          1
c                  5          5          7          1
I:1959(2)          0          5          7          1
I:1960(2)          0          2          0          0
I:1966(1)          0          3          3          1
I:1966(2)          0          3          3          1
I:1968(2)          0          4          4          1
I:1972(2)          0          2          0          0
I:1974(2)          0          2          2          1
I:1974(3)          0          3          3          1
I:1975(2)          0          4          4          1


Block search complete, estimated 701 models in  0.41
- final block size= 10 regs= 10 total=  12 loglik=     195.633

GUM(79) Modelling y by OLS
        The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
        The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
y_1                  0.871514    0.07646     11.4  0.0000   0.6988
c_4                  0.429788    0.04574     9.40  0.0000   0.6119
c_5                 -0.489017    0.06557    -7.46  0.0000   0.4983
I:1959(2)           0.0416799    0.01628     2.56  0.0132   0.1048
I:1966(1)           0.0501320    0.01551     3.23  0.0021   0.1572
I:1966(2)          -0.0539925    0.01612    -3.35  0.0015   0.1669
I:1968(2)          -0.0492113    0.01565    -3.14  0.0027   0.1500
I:1974(2)          -0.0418848    0.01575    -2.66  0.0102   0.1122
I:1974(3)           0.0392536    0.01548     2.54  0.0141   0.1030
I:1975(2)          -0.0734310    0.01646    -4.46  0.0000   0.2622
Constant      U       1.62860     0.6995     2.33  0.0235   0.0883
Trend         U    0.00132755  0.0005345     2.48  0.0160   0.0992

sigma               0.0150134  RSS              0.0126225668
R^2                  0.991363  F(11,56) =    584.3 [0.000]**
Adj.R^2              0.989667  log-likelihood        195.633
no. of observations        68  no. of parameters          12
mean(y)               9.01342  se(y)                0.147692

AR 1-5 test:      F(5,51)   =   1.1219 [0.3607]  
ARCH 1-4 test:    F(4,60)   =  0.47486 [0.7540]  
Normality test:   Chi^2(2)  =  0.90314 [0.6366]  
Hetero test:      F(8,52)   =   1.7367 [0.1119]  
Chow test:        F(19,37)  =   1.0403 [0.4438]   for break after 1971(1)


---------- Autometrics: dimensions of initial GUM ----------
no. of observations        68  no. of parameters          12
no. free regressors (k1)   10  no. free components (k2)    0
no. of equations            1  no. diagnostic tests        5
Fixed regressors: 
[0] = Constant
[1] = Trend

[0.2] Presearch reduction of initial GUM

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Presearch reduction in opposite order

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Encompassing test against initial GUM (iGUM) removes: none

Presearch reduction: none removed

[0.3] Testing GUM 0:  LRF(10) [0.0000] kept

[1.0] Start of Autometrics tree search

Searching from GUM 0  k=  10 loglik=     195.633

Searching for contrasting terminals in terminal paths

[2.0] Selection of final model from terminal candidates: terminal 0

p-values in Final GUM and terminal model(s)
                 Final GUM
y_1             0.00000000
c_4             0.00000000
c_5             0.00000000
I:1959(2)       0.01317527
I:1966(1)       0.00206312
I:1966(2)       0.00145158
I:1968(2)       0.00266803
I:1974(2)       0.01018153
I:1974(3)       0.01405656
I:1975(2)       0.00003972
k                       10
parameters              12
loglik              195.63
AIC                -5.4010
HQ                 -5.2458
SC                 -5.0093

coefficients and diagnostic p-values in Final GUM and terminal model(s)
                 Final GUM
y_1                0.87151
c_4                0.42979
c_5               -0.48902
I:1959(2)         0.041680
I:1966(1)         0.050132
I:1966(2)        -0.053992
I:1968(2)        -0.049211
I:1974(2)        -0.041885
I:1974(3)         0.039254
I:1975(2)        -0.073431
k                       10
parameters              12
loglik              195.63
sigma             0.015013
AR(5)              0.36065
ARCH(4)            0.75399
Normality          0.63663
Hetero             0.11187
Chow(70%)          0.44384

p-values of diagnostic checks for model validity
          Initial GUM     cut-off   Final GUM     cut-off Final model
AR(5)         0.36065     0.01000     0.36065     0.01000     0.36065
ARCH(4)       0.75399     0.01000     0.75399     0.01000     0.75399
Normality     0.63663     0.01000     0.63663     0.01000     0.63663
Hetero        0.11187     0.01000     0.11187     0.01000     0.11187
Chow(70%)     0.44384     0.01000     0.44384     0.01000     0.44384


Summary of Autometrics search
initial search space     2^10  final search space       2^10
no. estimated models        5  no. terminal models         0
test form                LR-F  target size      Medium:0.025
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
time                     0.48  Autometrics version      1.5e

EQ(80) Modelling y by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
       The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
y_1                  0.871514    0.07646     11.4  0.0000   0.6988
c_4                  0.429788    0.04574     9.40  0.0000   0.6119
c_5                 -0.489017    0.06557    -7.46  0.0000   0.4983
I:1959(2)           0.0416799    0.01628     2.56  0.0132   0.1048
I:1966(1)           0.0501320    0.01551     3.23  0.0021   0.1572
I:1966(2)          -0.0539925    0.01612    -3.35  0.0015   0.1669
I:1968(2)          -0.0492113    0.01565    -3.14  0.0027   0.1500
I:1974(2)          -0.0418848    0.01575    -2.66  0.0102   0.1122
I:1974(3)           0.0392536    0.01548     2.54  0.0141   0.1030
I:1975(2)          -0.0734310    0.01646    -4.46  0.0000   0.2622
Constant      U       1.62860     0.6995     2.33  0.0235   0.0883
Trend         U    0.00132755  0.0005345     2.48  0.0160   0.0992

sigma               0.0150134  RSS              0.0126225668
R^2                  0.991363  F(11,56) =    584.3 [0.000]**
Adj.R^2              0.989667  log-likelihood        195.633
no. of observations        68  no. of parameters          12
mean(y)               9.01342  se(y)                0.147692

AR 1-5 test:      F(5,51)   =   1.1219 [0.3607]  
ARCH 1-4 test:    F(4,60)   =  0.47486 [0.7540]  
Normality test:   Chi^2(2)  =  0.90314 [0.6366]  
Hetero test:      F(8,52)   =   1.7367 [0.1119]  
Hetero-X test:    F(14,46)  =   2.4044 [0.0129]* 
RESET23 test:     F(2,54)   =  0.23633 [0.7903]  

Autometrics identification block search over regressors
no. initial regressors     78  no. of observations        68
significance level      0.025  block method         standard
extension effort     standard  reduction effort     standard
backtesting              GUM0  backtesting in      A,B,C1,D1

Free variables in the GUM:
 DD4p         Constant     D4c          D4c          D4c          D4c          D4y         
 D4y          D4y          D4y          I:1959(1)    I:1959(2)    I:1959(3)    I:1959(4)   
 I:1960(1)    I:1960(2)    I:1960(3)    I:1960(4)    I:1961(1)    I:1961(2)    I:1961(3)   
 I:1961(4)    I:1962(1)    I:1962(2)    I:1962(3)    I:1962(4)    I:1963(1)    I:1963(2)   
 I:1963(3)    I:1963(4)    I:1964(1)    I:1964(2)    I:1964(3)    I:1964(4)    I:1965(1)   
 I:1965(2)    I:1965(3)    I:1965(4)    I:1966(1)    I:1966(2)    I:1966(3)    I:1966(4)   
 I:1967(1)    I:1967(2)    I:1967(3)    I:1967(4)    I:1968(1)    I:1968(2)    I:1968(3)   
 I:1968(4)    I:1969(1)    I:1969(2)    I:1969(3)    I:1969(4)    I:1970(1)    I:1970(2)   
 I:1970(3)    I:1970(4)    I:1971(1)    I:1971(2)    I:1971(3)    I:1971(4)    I:1972(1)   
 I:1972(2)    I:1972(3)    I:1972(4)    I:1973(1)    I:1973(2)    I:1973(3)    I:1973(4)   
 I:1974(1)    I:1974(2)    I:1974(3)    I:1974(4)    I:1975(1)    I:1975(2)    I:1975(3)   
 I:1975(4)   

A. Step 1: block search for omitted regressors
  significance          0.025  diagnostics             off
  no of blocks              3  blocked by         variable
- block   2 size= 26 total=   5   5 added
- block   1 size= 26 total=   5
- block   0 size= 26 total=   8   3 added
A. Step 1 (continued): 
- block   0 size=  8 total=   8   8 added

A. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  8 total=   6 loglik=     244.010 SC=    -6.80447

                 lag  sel count    sel run     in GUM
DD4p               1          1          1          1
D4y                1          1          1          1
I:1959(2)          0          1          1          1
I:1974(1)          0          1          1          1
I:1974(2)          0          1          1          1
I:1975(2)          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   6
- block   2 size= 26 total=   6
- block   1 size= 26 total=   6
- block   0 size= 18 total=   6

                 lag  sel count    sel run     in GUM
DD4p               1          2          2          1
D4y                1          2          2          1
I:1959(2)          0          2          2          1
I:1974(1)          0          2          2          1
I:1974(2)          0          2          2          1
I:1975(2)          0          2          2          1


C. Step 1: extended block search for omitted regressors
  significance           0.05  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   6
- block   2 size= 26 total=   6
- block   1 size= 26 total=   6
- block   0 size= 18 total=   6

C. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  6 total=   6 loglik=     244.010 SC=    -6.80447

                 lag  sel count    sel run     in GUM
DD4p               1          2          3          1
D4y                1          2          3          1
I:1959(2)          0          2          3          1
I:1974(1)          0          2          3          1
I:1974(2)          0          2          3          1
I:1975(2)          0          2          3          1


D. Step 1: extended block search for omitted regressors
  significance      0.0930233  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   6
- block   2 size= 26 total=  10   4 added
- block   1 size= 26 total=  14   4 added
- block   0 size= 18 total=  16   2 added
D. Step 1 (continued): 
- block   0 size= 16 total=  16  10 added

D. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 16 total=   7 loglik=     246.961 SC=    -6.82919

                 lag  sel count    sel run     in GUM
DD4p               1          3          4          1
D4y                1          3          4          1
I:1959(2)          0          3          4          1
I:1972(2)          0          1          1          1
I:1974(1)          0          3          4          1
I:1974(2)          0          3          4          1
I:1975(2)          0          3          4          1


D. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   7
- block   2 size= 26 total=   7
- block   1 size= 26 total=   7
- block   0 size= 21 total=   7

                 lag  sel count    sel run     in GUM
DD4p               1          4          5          1
D4y                1          4          5          1
I:1959(2)          0          4          5          1
I:1972(2)          0          2          2          1
I:1974(1)          0          4          5          1
I:1974(2)          0          4          5          1
I:1975(2)          0          4          5          1


Block search complete, estimated 604 models in  0.26
- final block size=  7 regs=  7 total=   7 loglik=     246.961

GUM(81) Modelling DD4p by OLS
        The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
        The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
DD4p_1               0.252170    0.09056     2.78  0.0071   0.1128
D4y_1               0.0734733    0.01984     3.70  0.0005   0.1835
I:1959(2)          -0.0190092   0.006775    -2.81  0.0067   0.1143
I:1972(2)          -0.0160405   0.006821    -2.35  0.0219   0.0831
I:1974(1)           0.0209320   0.006814     3.07  0.0032   0.1340
I:1974(2)           0.0221657   0.007125     3.11  0.0028   0.1369
I:1975(2)           0.0174501   0.006924     2.52  0.0144   0.0943

sigma              0.00676228  RSS             0.00278943444
log-likelihood        246.961
no. of observations        68  no. of parameters           7
mean(DD4p)         0.00285302  se(DD4p)           0.00934524

AR 1-5 test:      F(5,56)   =   1.8822 [0.1120]  
ARCH 1-4 test:    F(4,60)   =   1.2622 [0.2948]  
Normality test:   Chi^2(2)  =  0.46029 [0.7944]  
Hetero test:      F(4,58)   =  0.16979 [0.9530]  
Chow test:        F(19,42)  =  0.71206 [0.7858]   for break after 1971(1)


---------- Autometrics: dimensions of initial GUM ----------
no. of observations        68  no. of parameters           7
no. free regressors (k1)    7  no. free components (k2)    0
no. of equations            1  no. diagnostic tests        5

[0.2] Presearch reduction of initial GUM

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Presearch reduction in opposite order

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Encompassing test against initial GUM (iGUM) removes: none

Presearch reduction: none removed

[0.3] Testing GUM 0:  LRF( 7) [0.0000] kept

[1.0] Start of Autometrics tree search

Searching from GUM 0  k=   7 loglik=     246.961

Searching for contrasting terminals in terminal paths

[2.0] Selection of final model from terminal candidates: terminal 0

p-values in Final GUM and terminal model(s)
                 Final GUM
DD4p_1          0.00712915
D4y_1           0.00046054
I:1959(2)       0.00672421
I:1972(2)       0.02194505
I:1974(1)       0.00317814
I:1974(2)       0.00283694
I:1975(2)       0.01435478
k                        7
parameters               7
loglik              246.96
AIC                -7.0577
HQ                 -6.9671
SC                 -6.8292

coefficients and diagnostic p-values in Final GUM and terminal model(s)
                 Final GUM
DD4p_1             0.25217
D4y_1             0.073473
I:1959(2)        -0.019009
I:1972(2)        -0.016040
I:1974(1)         0.020932
I:1974(2)         0.022166
I:1975(2)         0.017450
k                        7
parameters               7
loglik              246.96
sigma            0.0067623
AR(5)              0.11202
ARCH(4)            0.29485
Normality          0.79442
Hetero             0.95295
Chow(70%)          0.78582

p-values of diagnostic checks for model validity
          Initial GUM     cut-off   Final GUM     cut-off Final model
AR(5)         0.11202     0.01000     0.11202     0.01000     0.11202
ARCH(4)       0.29485     0.01000     0.29485     0.01000     0.29485
Normality     0.79442     0.01000     0.79442     0.01000     0.79442
Hetero        0.95295     0.01000     0.95295     0.01000     0.95295
Chow(70%)     0.78582     0.01000     0.78582     0.01000     0.78582


Summary of Autometrics search
initial search space      2^7  final search space        2^7
no. estimated models        6  no. terminal models         0
test form                LR-F  target size      Medium:0.025
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
time                     0.32  Autometrics version      1.5e

EQ(82) Modelling DD4p by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
       The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
DD4p_1               0.252170    0.09056     2.78  0.0071   0.1128
D4y_1               0.0734733    0.01984     3.70  0.0005   0.1835
I:1959(2)          -0.0190092   0.006775    -2.81  0.0067   0.1143
I:1972(2)          -0.0160405   0.006821    -2.35  0.0219   0.0831
I:1974(1)           0.0209320   0.006814     3.07  0.0032   0.1340
I:1974(2)           0.0221657   0.007125     3.11  0.0028   0.1369
I:1975(2)           0.0174501   0.006924     2.52  0.0144   0.0943

sigma              0.00676228  RSS             0.00278943444
log-likelihood        246.961
no. of observations        68  no. of parameters           7
mean(DD4p)         0.00285302  se(DD4p)           0.00934524

AR 1-5 test:      F(5,56)   =   1.8822 [0.1120]  
ARCH 1-4 test:    F(4,60)   =   1.2622 [0.2948]  
Normality test:   Chi^2(2)  =  0.46029 [0.7944]  
Hetero test:      F(4,58)   =  0.16979 [0.9530]  
Hetero-X test:    F(5,57)   =  0.48757 [0.7841]  
RESET23 test:     F(2,59)   =  0.91508 [0.4061]  
Batch file run: D:\Documents\Books_other\Lund\code\22_09_DHSY.fl
DHSY.xlsx loaded from D:\Documents\Books_other\Lund\code\DHSY.xlsx


Autometrics identification block search over regressors
no. initial regressors     80  no. of observations        68
significance level      0.025  block method         standard
extension effort     standard  reduction effort     standard
backtesting              GUM0  backtesting in      A,B,C1,D1

Free variables in the GUM:
 y            y            y            y            y            c            c           
 c            c            c            D4p          D4p          I:1959(1)    I:1959(2)   
 I:1959(3)    I:1959(4)    I:1960(1)    I:1960(2)    I:1960(3)    I:1960(4)    I:1961(1)   
 I:1961(2)    I:1961(3)    I:1961(4)    I:1962(1)    I:1962(2)    I:1962(3)    I:1962(4)   
 I:1963(1)    I:1963(2)    I:1963(3)    I:1963(4)    I:1964(1)    I:1964(2)    I:1964(3)   
 I:1964(4)    I:1965(1)    I:1965(2)    I:1965(3)    I:1965(4)    I:1966(1)    I:1966(2)   
 I:1966(3)    I:1966(4)    I:1967(1)    I:1967(2)    I:1967(3)    I:1967(4)    I:1968(1)   
 I:1968(2)    I:1968(3)    I:1968(4)    I:1969(1)    I:1969(2)    I:1969(3)    I:1969(4)   
 I:1970(1)    I:1970(2)    I:1970(3)    I:1970(4)    I:1971(1)    I:1971(2)    I:1971(3)   
 I:1971(4)    I:1972(1)    I:1972(2)    I:1972(3)    I:1972(4)    I:1973(1)    I:1973(2)   
 I:1973(3)    I:1973(4)    I:1974(1)    I:1974(2)    I:1974(3)    I:1974(4)    I:1975(1)   
 I:1975(2)    I:1975(3)    I:1975(4)   

A. Step 1: block search for omitted regressors
  significance          0.025  diagnostics             off
  no of blocks              4  blocked by         variable
- block   3 size= 25 total=  12  10 added
- block   2 size= 25 total=  12
- block   1 size= 25 total=  12
- block   0 size=  5 total=  13   1 added
A. Step 1 (continued): 
- block   0 size= 11 total=  11   9 added

A. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  9 total=   9 loglik=     179.265 SC=    -4.71402

                 lag  sel count    sel run     in GUM
y                  1          1          1          1
y                  4          1          1          1
c                  1          1          1          1
c                  4          1          1          1
c                  5          1          1          1
I:1959(2)          0          1          1          1
I:1960(2)          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=   9
- block   3 size= 25 total=   9
- block   2 size= 25 total=   9
- block   1 size= 25 total=  10   1 added
- block   0 size=  8 total=  10

B. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  8 total=  10 loglik=     182.893 SC=    -4.75869

                 lag  sel count    sel run     in GUM
y                  1          2          2          1
y                  4          2          2          1
c                  1          2          2          1
c                  4          2          2          1
c                  5          2          2          1
I:1959(2)          0          2          2          1
I:1960(2)          0          2          2          1
I:1972(2)          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  10
- block   3 size= 25 total=  10
- block   2 size= 25 total=  10
- block   1 size= 25 total=  10
- block   0 size= 12 total=  10

                 lag  sel count    sel run     in GUM
y                  1          3          3          1
y                  4          3          3          1
c                  1          3          3          1
c                  4          3          3          1
c                  5          3          3          1
I:1959(2)          0          3          3          1
I:1960(2)          0          3          3          1
I:1972(2)          0          2          2          1


C. Step 1: extended block search for omitted regressors
  significance           0.05  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  10
- block   3 size= 25 total=  10
- block   2 size= 25 total=  11   1 added
- block   1 size= 25 total=  11
- block   0 size= 12 total=  12   1 added

C. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 10 total=  12 loglik=     188.556 SC=    -4.80113

                 lag  sel count    sel run     in GUM
y                  1          2          4          1
y                  4          2          4          1
c                  1          2          4          1
c                  4          2          4          1
c                  5          2          4          1
I:1959(2)          0          2          4          1
I:1960(2)          0          2          4          1
I:1968(2)          0          1          1          1
I:1972(2)          0          2          3          1
I:1975(2)          0          1          1          1


D. Step 1: extended block search for omitted regressors
  significance      0.0930233  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  12
- block   3 size= 25 total=  12
- block   2 size= 25 total=  16   4 added
- block   1 size= 25 total=  16
- block   0 size= 20 total=  19   3 added
D. Step 1 (continued): 
- block   0 size= 17 total=  19   7 added

D. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 17 total=  11 loglik=     191.588 SC=    -4.95238

                 lag  sel count    sel run     in GUM
y                  1          3          5          1
y                  4          2          0          0
c                  1          2          0          0
c                  4          3          5          1
c                  5          3          5          1
I:1959(2)          0          3          5          1
I:1960(2)          0          2          0          0
I:1966(1)          0          1          1          1
I:1966(2)          0          1          1          1
I:1968(2)          0          2          2          1
I:1972(2)          0          2          0          0
I:1974(3)          0          1          1          1
I:1975(2)          0          2          2          1


D. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  11
- block   3 size= 25 total=  11
- block   2 size= 25 total=  11
- block   1 size= 25 total=  11
- block   0 size= 16 total=  12   1 added

D. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 10 total=  12 loglik=     195.633 SC=    -5.00928

                 lag  sel count    sel run     in GUM
y                  1          4          6          1
y                  4          2          0          0
c                  1          2          0          0
c                  4          4          6          1
c                  5          4          6          1
I:1959(2)          0          4          6          1
I:1960(2)          0          2          0          0
I:1966(1)          0          2          2          1
I:1966(2)          0          2          2          1
I:1968(2)          0          3          3          1
I:1972(2)          0          2          0          0
I:1974(2)          0          1          1          1
I:1974(3)          0          2          2          1
I:1975(2)          0          3          3          1


D. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              5  blocked by         variable
- block   4 size= 25 total=  12
- block   3 size= 25 total=  12
- block   2 size= 25 total=  12
- block   1 size= 25 total=  12
- block   0 size= 20 total=  12

                 lag  sel count    sel run     in GUM
y                  1          5          7          1
y                  4          2          0          0
c                  1          2          0          0
c                  4          5          7          1
c                  5          5          7          1
I:1959(2)          0          5          7          1
I:1960(2)          0          2          0          0
I:1966(1)          0          3          3          1
I:1966(2)          0          3          3          1
I:1968(2)          0          4          4          1
I:1972(2)          0          2          0          0
I:1974(2)          0          2          2          1
I:1974(3)          0          3          3          1
I:1975(2)          0          4          4          1


Block search complete, estimated 701 models in  0.34
- final block size= 10 regs= 10 total=  12 loglik=     195.633

GUM(83) Modelling y by OLS
        The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
        The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
y_1                  0.871514    0.07646     11.4  0.0000   0.6988
c_4                  0.429788    0.04574     9.40  0.0000   0.6119
c_5                 -0.489017    0.06557    -7.46  0.0000   0.4983
I:1959(2)           0.0416799    0.01628     2.56  0.0132   0.1048
I:1966(1)           0.0501320    0.01551     3.23  0.0021   0.1572
I:1966(2)          -0.0539925    0.01612    -3.35  0.0015   0.1669
I:1968(2)          -0.0492113    0.01565    -3.14  0.0027   0.1500
I:1974(2)          -0.0418848    0.01575    -2.66  0.0102   0.1122
I:1974(3)           0.0392536    0.01548     2.54  0.0141   0.1030
I:1975(2)          -0.0734310    0.01646    -4.46  0.0000   0.2622
Constant      U       1.62860     0.6995     2.33  0.0235   0.0883
Trend         U    0.00132755  0.0005345     2.48  0.0160   0.0992

sigma               0.0150134  RSS              0.0126225668
R^2                  0.991363  F(11,56) =    584.3 [0.000]**
Adj.R^2              0.989667  log-likelihood        195.633
no. of observations        68  no. of parameters          12
mean(y)               9.01342  se(y)                0.147692
I:1959(2) [1957(1) - 1976(2)] saved to DHSY.xlsx
I:1966(1) [1957(1) - 1976(2)] saved to DHSY.xlsx
I:1966(2) [1957(1) - 1976(2)] saved to DHSY.xlsx
I:1968(2) [1957(1) - 1976(2)] saved to DHSY.xlsx
I:1974(2) [1957(1) - 1976(2)] saved to DHSY.xlsx
I:1974(3) [1957(1) - 1976(2)] saved to DHSY.xlsx
I:1975(2) [1957(1) - 1976(2)] saved to DHSY.xlsx

AR 1-5 test:      F(5,51)   =   1.1219 [0.3607]  
ARCH 1-4 test:    F(4,60)   =  0.47486 [0.7540]  
Normality test:   Chi^2(2)  =  0.90314 [0.6366]  
Hetero test:      F(8,52)   =   1.7367 [0.1119]  
Chow test:        F(19,37)  =   1.0403 [0.4438]   for break after 1971(1)


---------- Autometrics: dimensions of initial GUM ----------
no. of observations        68  no. of parameters          12
no. free regressors (k1)   10  no. free components (k2)    0
no. of equations            1  no. diagnostic tests        5
Fixed regressors: 
[0] = Constant
[1] = Trend

[0.2] Presearch reduction of initial GUM

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Presearch reduction in opposite order

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Encompassing test against initial GUM (iGUM) removes: none

Presearch reduction: none removed

[0.3] Testing GUM 0:  LRF(10) [0.0000] kept

[1.0] Start of Autometrics tree search

Searching from GUM 0  k=  10 loglik=     195.633

Searching for contrasting terminals in terminal paths

[2.0] Selection of final model from terminal candidates: terminal 0

p-values in Final GUM and terminal model(s)
                 Final GUM
y_1             0.00000000
c_4             0.00000000
c_5             0.00000000
I:1959(2)       0.01317527
I:1966(1)       0.00206312
I:1966(2)       0.00145158
I:1968(2)       0.00266803
I:1974(2)       0.01018153
I:1974(3)       0.01405656
I:1975(2)       0.00003972
k                       10
parameters              12
loglik              195.63
AIC                -5.4010
HQ                 -5.2458
SC                 -5.0093

coefficients and diagnostic p-values in Final GUM and terminal model(s)
                 Final GUM
y_1                0.87151
c_4                0.42979
c_5               -0.48902
I:1959(2)         0.041680
I:1966(1)         0.050132
I:1966(2)        -0.053992
I:1968(2)        -0.049211
I:1974(2)        -0.041885
I:1974(3)         0.039254
I:1975(2)        -0.073431
k                       10
parameters              12
loglik              195.63
sigma             0.015013
AR(5)              0.36065
ARCH(4)            0.75399
Normality          0.63663
Hetero             0.11187
Chow(70%)          0.44384

p-values of diagnostic checks for model validity
          Initial GUM     cut-off   Final GUM     cut-off Final model
AR(5)         0.36065     0.01000     0.36065     0.01000     0.36065
ARCH(4)       0.75399     0.01000     0.75399     0.01000     0.75399
Normality     0.63663     0.01000     0.63663     0.01000     0.63663
Hetero        0.11187     0.01000     0.11187     0.01000     0.11187
Chow(70%)     0.44384     0.01000     0.44384     0.01000     0.44384


Summary of Autometrics search
initial search space     2^10  final search space       2^10
no. estimated models        5  no. terminal models         0
test form                LR-F  target size      Medium:0.025
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
time                     0.41  Autometrics version      1.5e

EQ(84) Modelling y by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
       The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
y_1                  0.871514    0.07646     11.4  0.0000   0.6988
c_4                  0.429788    0.04574     9.40  0.0000   0.6119
c_5                 -0.489017    0.06557    -7.46  0.0000   0.4983
I:1959(2)           0.0416799    0.01628     2.56  0.0132   0.1048
I:1966(1)           0.0501320    0.01551     3.23  0.0021   0.1572
I:1966(2)          -0.0539925    0.01612    -3.35  0.0015   0.1669
I:1968(2)          -0.0492113    0.01565    -3.14  0.0027   0.1500
I:1974(2)          -0.0418848    0.01575    -2.66  0.0102   0.1122
I:1974(3)           0.0392536    0.01548     2.54  0.0141   0.1030
I:1975(2)          -0.0734310    0.01646    -4.46  0.0000   0.2622
Constant      U       1.62860     0.6995     2.33  0.0235   0.0883
Trend         U    0.00132755  0.0005345     2.48  0.0160   0.0992

sigma               0.0150134  RSS              0.0126225668
R^2                  0.991363  F(11,56) =    584.3 [0.000]**
Adj.R^2              0.989667  log-likelihood        195.633
no. of observations        68  no. of parameters          12
mean(y)               9.01342  se(y)                0.147692

AR 1-5 test:      F(5,51)   =   1.1219 [0.3607]  
ARCH 1-4 test:    F(4,60)   =  0.47486 [0.7540]  
Normality test:   Chi^2(2)  =  0.90314 [0.6366]  
Hetero test:      F(8,52)   =   1.7367 [0.1119]  
Hetero-X test:    F(14,46)  =   2.4044 [0.0129]* 
RESET23 test:     F(2,54)   =  0.23633 [0.7903]  

Autometrics identification block search over regressors
no. initial regressors     78  no. of observations        68
significance level      0.025  block method         standard
extension effort     standard  reduction effort     standard
backtesting              GUM0  backtesting in      A,B,C1,D1

Free variables in the GUM:
 DD4p         Constant     D4c          D4c          D4c          D4c          D4y         
 D4y          D4y          D4y          I:1959(1)    I:1959(2)    I:1959(3)    I:1959(4)   
 I:1960(1)    I:1960(2)    I:1960(3)    I:1960(4)    I:1961(1)    I:1961(2)    I:1961(3)   
 I:1961(4)    I:1962(1)    I:1962(2)    I:1962(3)    I:1962(4)    I:1963(1)    I:1963(2)   
 I:1963(3)    I:1963(4)    I:1964(1)    I:1964(2)    I:1964(3)    I:1964(4)    I:1965(1)   
 I:1965(2)    I:1965(3)    I:1965(4)    I:1966(1)    I:1966(2)    I:1966(3)    I:1966(4)   
 I:1967(1)    I:1967(2)    I:1967(3)    I:1967(4)    I:1968(1)    I:1968(2)    I:1968(3)   
 I:1968(4)    I:1969(1)    I:1969(2)    I:1969(3)    I:1969(4)    I:1970(1)    I:1970(2)   
 I:1970(3)    I:1970(4)    I:1971(1)    I:1971(2)    I:1971(3)    I:1971(4)    I:1972(1)   
 I:1972(2)    I:1972(3)    I:1972(4)    I:1973(1)    I:1973(2)    I:1973(3)    I:1973(4)   
 I:1974(1)    I:1974(2)    I:1974(3)    I:1974(4)    I:1975(1)    I:1975(2)    I:1975(3)   
 I:1975(4)   

A. Step 1: block search for omitted regressors
  significance          0.025  diagnostics             off
  no of blocks              3  blocked by         variable
- block   2 size= 26 total=   5   5 added
- block   1 size= 26 total=   5
- block   0 size= 26 total=   8   3 added
A. Step 1 (continued): 
- block   0 size=  8 total=   8   8 added

A. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  8 total=   6 loglik=     244.010 SC=    -6.80447

                 lag  sel count    sel run     in GUM
DD4p               1          1          1          1
D4y                1          1          1          1
I:1959(2)          0          1          1          1
I:1974(1)          0          1          1          1
I:1974(2)          0          1          1          1
I:1975(2)          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   6
- block   2 size= 26 total=   6
- block   1 size= 26 total=   6
- block   0 size= 18 total=   6

                 lag  sel count    sel run     in GUM
DD4p               1          2          2          1
D4y                1          2          2          1
I:1959(2)          0          2          2          1
I:1974(1)          0          2          2          1
I:1974(2)          0          2          2          1
I:1975(2)          0          2          2          1


C. Step 1: extended block search for omitted regressors
  significance           0.05  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   6
- block   2 size= 26 total=   6
- block   1 size= 26 total=   6
- block   0 size= 18 total=   6

C. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size=  6 total=   6 loglik=     244.010 SC=    -6.80447

                 lag  sel count    sel run     in GUM
DD4p               1          2          3          1
D4y                1          2          3          1
I:1959(2)          0          2          3          1
I:1974(1)          0          2          3          1
I:1974(2)          0          2          3          1
I:1975(2)          0          2          3          1


D. Step 1: extended block search for omitted regressors
  significance      0.0930233  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   6
- block   2 size= 26 total=  10   4 added
- block   1 size= 26 total=  14   4 added
- block   0 size= 18 total=  16   2 added
D. Step 1 (continued): 
- block   0 size= 16 total=  16  10 added

D. Step 2: determination of new candidate set
  significance          0.025  diagnostics              on
- block   0 size= 16 total=   7 loglik=     246.961 SC=    -6.82919

                 lag  sel count    sel run     in GUM
DD4p               1          3          4          1
D4y                1          3          4          1
I:1959(2)          0          3          4          1
I:1972(2)          0          1          1          1
I:1974(1)          0          3          4          1
I:1974(2)          0          3          4          1
I:1975(2)          0          3          4          1


D. Step 1: block search for omitted regressors
  significance          0.025  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 26 total=   7
- block   2 size= 26 total=   7
- block   1 size= 26 total=   7
- block   0 size= 21 total=   7

                 lag  sel count    sel run     in GUM
DD4p               1          4          5          1
D4y                1          4          5          1
I:1959(2)          0          4          5          1
I:1972(2)          0          2          2          1
I:1974(1)          0          4          5          1
I:1974(2)          0          4          5          1
I:1975(2)          0          4          5          1


Block search complete, estimated 604 models in  0.25
- final block size=  7 regs=  7 total=   7 loglik=     246.961

GUM(85) Modelling DD4p by OLS
        The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
        The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
DD4p_1               0.252170    0.09056     2.78  0.0071   0.1128
D4y_1               0.0734733    0.01984     3.70  0.0005   0.1835
I:1959(2)          -0.0190092   0.006775    -2.81  0.0067   0.1143
I:1972(2)          -0.0160405   0.006821    -2.35  0.0219   0.0831
I:1974(1)           0.0209320   0.006814     3.07  0.0032   0.1340
I:1974(2)           0.0221657   0.007125     3.11  0.0028   0.1369
I:1975(2)           0.0174501   0.006924     2.52  0.0144   0.0943

sigma              0.00676228  RSS             0.00278943444
log-likelihood        246.961
no. of observations        68  no. of parameters           7
mean(DD4p)         0.00285302  se(DD4p)           0.00934524

AR 1-5 test:      F(5,56)   =   1.8822 [0.1120]  
ARCH 1-4 test:    F(4,60)   =   1.2622 [0.2948]  
I:1972(2) [1957(1) - 1976(2)] saved to DHSY.xlsx
I:1974(1) [1957(1) - 1976(2)] saved to DHSY.xlsx
Normality test:   Chi^2(2)  =  0.46029 [0.7944]  
Hetero test:      F(4,58)   =  0.16979 [0.9530]  
Chow test:        F(19,42)  =  0.71206 [0.7858]   for break after 1971(1)


---------- Autometrics: dimensions of initial GUM ----------
no. of observations        68  no. of parameters           7
no. free regressors (k1)    7  no. free components (k2)    0
no. of equations            1  no. diagnostic tests        5

[0.2] Presearch reduction of initial GUM

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Presearch reduction in opposite order

Starting common lag reduction at 0.21620 (excluding lagged y's)
Removing lags(#regressors): none

Starting common lag reduction at 0.21620
Removing lags(#regressors): none

Starting closed lag reduction at 0.21620
Removing lags(#regressors): none

Encompassing test against initial GUM (iGUM) removes: none

Presearch reduction: none removed

[0.3] Testing GUM 0:  LRF( 7) [0.0000] kept

[1.0] Start of Autometrics tree search

Searching from GUM 0  k=   7 loglik=     246.961

Searching for contrasting terminals in terminal paths

[2.0] Selection of final model from terminal candidates: terminal 0

p-values in Final GUM and terminal model(s)
                 Final GUM
DD4p_1          0.00712915
D4y_1           0.00046054
I:1959(2)       0.00672421
I:1972(2)       0.02194505
I:1974(1)       0.00317814
I:1974(2)       0.00283694
I:1975(2)       0.01435478
k                        7
parameters               7
loglik              246.96
AIC                -7.0577
HQ                 -6.9671
SC                 -6.8292

coefficients and diagnostic p-values in Final GUM and terminal model(s)
                 Final GUM
DD4p_1             0.25217
D4y_1             0.073473
I:1959(2)        -0.019009
I:1972(2)        -0.016040
I:1974(1)         0.020932
I:1974(2)         0.022166
I:1975(2)         0.017450
k                        7
parameters               7
loglik              246.96
sigma            0.0067623
AR(5)              0.11202
ARCH(4)            0.29485
Normality          0.79442
Hetero             0.95295
Chow(70%)          0.78582

p-values of diagnostic checks for model validity
          Initial GUM     cut-off   Final GUM     cut-off Final model
AR(5)         0.11202     0.01000     0.11202     0.01000     0.11202
ARCH(4)       0.29485     0.01000     0.29485     0.01000     0.29485
Normality     0.79442     0.01000     0.79442     0.01000     0.79442
Hetero        0.95295     0.01000     0.95295     0.01000     0.95295
Chow(70%)     0.78582     0.01000     0.78582     0.01000     0.78582


Summary of Autometrics search
initial search space      2^7  final search space        2^7
no. estimated models        6  no. terminal models         0
test form                LR-F  target size      Medium:0.025
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
time                     0.32  Autometrics version      1.5e

EQ(86) Modelling DD4p by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\DHSY.xlsx
       The estimation sample is: 1959(1) - 1975(4)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
DD4p_1               0.252170    0.09056     2.78  0.0071   0.1128
D4y_1               0.0734733    0.01984     3.70  0.0005   0.1835
I:1959(2)          -0.0190092   0.006775    -2.81  0.0067   0.1143
I:1972(2)          -0.0160405   0.006821    -2.35  0.0219   0.0831
I:1974(1)           0.0209320   0.006814     3.07  0.0032   0.1340
I:1974(2)           0.0221657   0.007125     3.11  0.0028   0.1369
I:1975(2)           0.0174501   0.006924     2.52  0.0144   0.0943

sigma              0.00676228  RSS             0.00278943444
log-likelihood        246.961
no. of observations        68  no. of parameters           7
mean(DD4p)         0.00285302  se(DD4p)           0.00934524

AR 1-5 test:      F(5,56)   =   1.8822 [0.1120]  
ARCH 1-4 test:    F(4,60)   =   1.2622 [0.2948]  
Normality test:   Chi^2(2)  =  0.46029 [0.7944]  
Hetero test:      F(4,58)   =  0.16979 [0.9530]  
Hetero-X test:    F(5,57)   =  0.48757 [0.7841]  
RESET23 test:     F(2,59)   =  0.91508 [0.4061]  
