Batch file run: D:\Documents\Books_other\Lund\code\18_05_dataz.fl

Ox Professional version 7.00 (Windows_64/U/MT) (C) J.A. Doornik, 1994-2013

---- PcGive 14.0B3 session started at 14:56:57 on 20-02-2014 ----

EQ( 1) Modelling CONS by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\dataz.in7
       The estimation sample is: 1955(3) - 1992(3)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
CONS_1               0.979509    0.02894     33.8  0.0000   0.8877
Constant              2.13136      11.74    0.181  0.8562   0.0002
INC                  0.498287    0.03963     12.6  0.0000   0.5216
INC_1               -0.480709    0.04341    -11.1  0.0000   0.4582

sigma                 1.50881  RSS                330.092692
R^2                  0.988109  F(3,145) =     4016 [0.000]**
Adj.R^2              0.987863  log-likelihood       -270.681
no. of observations       149  no. of parameters           4
mean(CONS)             875.24  se(CONS)              13.6954

AR 1-5 test:      F(5,140)  =   7.3997 [0.0000]**
ARCH 1-4 test:    F(4,141)  =   5.8519 [0.0002]**
Normality test:   Chi^2(2)  =   6.5834 [0.0372]* 
Hetero test:      F(6,142)  =   1.0887 [0.3720]  
Hetero-X test:    F(9,139)  =   1.0331 [0.4169]  
RESET23 test:     F(2,143)  =   2.7899 [0.0648]  

EQ( 2) Modelling DCONS by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\dataz.in7
       The estimation sample is: 1955(3) - 1992(3)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
DCONS_1              0.234036    0.05190     4.51  0.0000   0.1215
DINC                 0.503323    0.03474     14.5  0.0000   0.5881

sigma                 1.41489  RSS                294.280959
log-likelihood       -262.126
no. of observations       149  no. of parameters           2
mean(DCONS)         -0.220303  se(DCONS)             2.22777

AR 1-5 test:      F(5,142)  =   3.1937 [0.0092]**
ARCH 1-4 test:    F(4,141)  =   2.2470 [0.0670]  
Normality test:   Chi^2(2)  =   1.8550 [0.3955]  
Hetero test:      F(4,144)  =   2.9765 [0.0213]* 
Hetero-X test:    F(5,143)  =   2.4607 [0.0358]* 
RESET23 test:     F(2,145)  =  0.15087 [0.8601]  

Autometrics identification block search over regressors
no. initial regressors    171  no. of observations       149
significance level      0.005  block method         standard
extension effort     standard  reduction effort     standard
backtesting              GUM0  backtesting in      A,B,C1,D1

Free variables in the GUM:
 CONS         CONS         CONS         CONS         CONS         CONS         CONS        
 CONS         CONS         CONS         Constant     INC          INC          INC         
 INC          INC          INC          INC          INC          INC          INC         
 INC          I:1955(3)    I:1955(4)    I:1956(1)    I:1956(2)    I:1956(3)    I:1956(4)   
 I:1957(1)    I:1957(2)    I:1957(3)    I:1957(4)    I:1958(1)    I:1958(2)    I:1958(3)   
 I:1958(4)    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)    I:1976(1)   
 I:1976(2)    I:1976(3)    I:1976(4)    I:1977(1)    I:1977(2)    I:1977(3)    I:1977(4)   
 I:1978(1)    I:1978(2)    I:1978(3)    I:1978(4)    I:1979(1)    I:1979(2)    I:1979(3)   
 I:1979(4)    I:1980(1)    I:1980(2)    I:1980(3)    I:1980(4)    I:1981(1)    I:1981(2)   
 I:1981(3)    I:1981(4)    I:1982(1)    I:1982(2)    I:1982(3)    I:1982(4)    I:1983(1)   
 I:1983(2)    I:1983(3)    I:1983(4)    I:1984(1)    I:1984(2)    I:1984(3)    I:1984(4)   
 I:1985(1)    I:1985(2)    I:1985(3)    I:1985(4)    I:1986(1)    I:1986(2)    I:1986(3)   
 I:1986(4)    I:1987(1)    I:1987(2)    I:1987(3)    I:1987(4)    I:1988(1)    I:1988(2)   
 I:1988(3)    I:1988(4)    I:1989(1)    I:1989(2)    I:1989(3)    I:1989(4)    I:1990(1)   
 I:1990(2)    I:1990(3)    I:1990(4)    I:1991(1)    I:1991(2)    I:1991(3)    I:1991(4)   
 I:1992(1)    I:1992(2)    I:1992(3)   

A. Step 1: block search for omitted regressors
  significance          0.005  diagnostics             off
  no of blocks              3  blocked by         variable
- block   2 size= 58 total=  11  11 added
- block   1 size= 58 total=  11
- block   0 size= 55 total=  11

A. Step 2: determination of new candidate set
  significance          0.005  diagnostics              on
- block   0 size= 11 total=  10 loglik=    -249.115 SC=     3.67966

            lag  sel count    sel run     in GUM
CONS          1          1          1          1
CONS          3          1          1          1
CONS          5          1          1          1
CONS          8          1          1          1
CONS         10          1          1          1
INC           0          1          1          1
INC           1          1          1          1
INC           3          1          1          1
INC           6          1          1          1
INC           9          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.005  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 58 total=  10
- block   2 size= 58 total=  10
- block   1 size= 58 total=  10
- block   0 size= 27 total=  10
B. Step 1 (continued): 
  significance           0.04  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 58 total=  10
- block   2 size= 58 total=  10
- block   1 size= 58 total=  13   3 added
- block   0 size= 27 total=  13

B. Step 2: determination of new candidate set
  significance          0.005  diagnostics              on
- block   0 size= 13 total=  12 loglik=    -240.931 SC=     3.63698

                 lag  sel count    sel run     in GUM
CONS               1          2          2          1
CONS               3          2          2          1
CONS               5          2          2          1
CONS               8          2          2          1
CONS              10          2          2          1
INC                0          2          2          1
INC                1          2          2          1
INC                3          2          2          1
INC                6          2          2          1
INC                9          1          0          0
I:1981(4)          0          1          1          1
I:1982(2)          0          1          1          1
I:1987(3)          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.005  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 58 total=  12
- block   2 size= 58 total=  12
- block   1 size= 58 total=  12
- block   0 size= 33 total=  12
B. Step 1 (continued): 
  significance           0.04  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 58 total=  12
- block   2 size= 58 total=  17   5 added
- block   1 size= 58 total=  17
- block   0 size= 33 total=  17

B. Step 2: determination of new candidate set
  significance          0.005  diagnostics              on
- block   0 size= 17 total=  14 loglik=    -226.039 SC=     3.50426

                 lag  sel count    sel run     in GUM
CONS               1          3          3          1
CONS               3          2          0          0
CONS               5          3          3          1
CONS               8          3          3          1
CONS              10          3          3          1
INC                0          3          3          1
INC                1          3          3          1
INC                3          2          0          0
INC                6          2          0          0
INC                9          1          0          0
I:1965(2)          0          1          1          1
I:1966(4)          0          1          1          1
I:1972(2)          0          1          1          1
I:1974(1)          0          1          1          1
I:1974(2)          0          1          1          1
I:1981(4)          0          2          2          1
I:1982(2)          0          2          2          1
I:1987(3)          0          2          2          1


B. Step 1: block search for omitted regressors
  significance          0.005  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 58 total=  14
- block   2 size= 58 total=  14
- block   1 size= 58 total=  14
- block   0 size= 39 total=  14

                 lag  sel count    sel run     in GUM
CONS               1          4          4          1
CONS               3          2          0          0
CONS               5          4          4          1
CONS               8          4          4          1
CONS              10          4          4          1
INC                0          4          4          1
INC                1          4          4          1
INC                3          2          0          0
INC                6          2          0          0
INC                9          1          0          0
I:1965(2)          0          2          2          1
I:1966(4)          0          2          2          1
I:1972(2)          0          2          2          1
I:1974(1)          0          2          2          1
I:1974(2)          0          2          2          1
I:1981(4)          0          3          3          1
I:1982(2)          0          3          3          1
I:1987(3)          0          3          3          1


C. Step 1: extended block search for omitted regressors
  significance           0.01  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 58 total=  14
- block   2 size= 58 total=  14
- block   1 size= 58 total=  14
- block   0 size= 39 total=  14

C. Step 2: determination of new candidate set
  significance          0.005  diagnostics              on
- block   0 size= 14 total=   8 loglik=    -244.301 SC=     3.54787

                 lag  sel count    sel run     in GUM
CONS               1          2          5          1
CONS               5          2          5          1
CONS               8          2          5          1
CONS              10          2          5          1
INC                0          2          5          1
INC                1          2          5          1
I:1965(2)          0          1          0          0
I:1966(4)          0          1          0          0
I:1972(2)          0          1          0          0
I:1974(1)          0          2          3          1
I:1974(2)          0          2          3          1
I:1981(4)          0          1          0          0
I:1982(2)          0          1          0          0
I:1987(3)          0          1          0          0


D. Step 1: extended block search for omitted regressors
  significance           0.02  diagnostics         delayed
  no of blocks              4  blocked by         variable
- block   3 size= 58 total=   8
- block   2 size= 58 total=   8
- block   1 size= 58 total=   8
- block   0 size= 21 total=   8

                 lag  sel count    sel run     in GUM
CONS               1          3          6          1
CONS               5          3          6          1
CONS               8          3          6          1
CONS              10          3          6          1
INC                0          3          6          1
INC                1          3          6          1
I:1965(2)          0          1          0          0
I:1966(4)          0          1          0          0
I:1972(2)          0          1          0          0
I:1974(1)          0          3          4          1
I:1974(2)          0          3          4          1
I:1981(4)          0          1          0          0
I:1982(2)          0          1          0          0
I:1987(3)          0          1          0          0


Block search complete, estimated 1482 models in  1.01
- final block size=  8 regs=  8 total=   8 loglik=    -244.301

GUM( 3) Modelling CONS by OLS
        The dataset is: D:\Documents\Books_other\Lund\code\dataz.in7
        The estimation sample is: 1955(3) - 1992(3)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
CONS_1                1.05671    0.02706     39.0  0.0000   0.9153
CONS_5              -0.171577    0.03710    -4.62  0.0000   0.1317
CONS_8              0.0624390    0.04917     1.27  0.2062   0.0113
CONS_10             0.0209889    0.03365    0.624  0.5338   0.0028
INC                  0.496156    0.03251     15.3  0.0000   0.6230
INC_1               -0.465352    0.03527    -13.2  0.0000   0.5525
I:1974(1)            -4.60217      1.291    -3.56  0.0005   0.0826
I:1974(2)            -3.94940      1.310    -3.01  0.0030   0.0606

sigma                 1.28179  RSS                 231.66087
log-likelihood       -244.301
no. of observations       149  no. of parameters           8
mean(CONS)             875.24  se(CONS)              13.6954

AR 1-5 test:      F(5,136)  =   1.0289 [0.4032]  
ARCH 1-4 test:    F(4,141)  =  0.59001 [0.6704]  
Normality test:   Chi^2(2)  = 0.054608 [0.9731]  
Hetero test:      F(12,134) =  0.69260 [0.7564]  
Chow test:        F(44,97)  =   1.1442 [0.2882]   for break after 1981(3)


---------- Autometrics: dimensions of initial GUM ----------
no. of observations       149  no. of parameters           8
no. free regressors (k1)    8  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 0.07213
Removing lags(#regressors): 10(1)

Starting common lag reduction at 0.07213
Removing lags(#regressors): none

Starting common lag reduction at 0.07213 (excluding lagged y's)
Removing lags(#regressors): none

Presearch reduction in opposite order

Starting common lag reduction at 0.07213 (excluding lagged y's)
Removing lags(#regressors): none

Starting common lag reduction at 0.07213
Removing lags(#regressors): 10(1)

Starting closed lag reduction at 0.07213
Removing lags(#regressors): none

Encompassing test against initial GUM (iGUM) removes: none

Presearch reduction: 1 removed,  LRF_iGUM( 1) [0.5338]
Presearch removed:CONS_10

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

[1.0] Start of Autometrics tree search

Searching from GUM 0  k=   7 loglik=    -244.506

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
CONS_1          0.00000000
CONS_5          0.00000055
CONS_8          0.00038143
INC             0.00000000
INC_1           0.00000000
I:1974(1)       0.00041726
I:1974(2)       0.00278187
k                        7
parameters               7
loglik             -244.51
AIC                 3.3759
HQ                  3.4333
SC                  3.5170

coefficients and diagnostic p-values in Final GUM and terminal model(s)
                 Final GUM
CONS_1              1.0592
CONS_5            -0.18022
CONS_8            0.089023
INC                0.49769
INC_1             -0.46638
I:1974(1)          -4.6496
I:1974(2)          -3.9767
k                        7
parameters               7
loglik             -244.51
sigma               1.2790
AR(5)              0.36635
ARCH(4)            0.75397
Normality          0.98781
Hetero             0.89947
Chow(70%)          0.31205

p-values of diagnostic checks for model validity
          Initial GUM     cut-off   Final GUM     cut-off Final model
AR(5)         0.40322     0.01000     0.36635     0.01000     0.36635
ARCH(4)       0.67041     0.01000     0.75397     0.01000     0.75397
Normality     0.97307     0.01000     0.98781     0.01000     0.98781
Hetero        0.75636     0.01000     0.89947     0.01000     0.89947
Chow(70%)     0.28822     0.01000     0.31205     0.01000     0.31205


Summary of Autometrics search
initial search space      2^8  final search space        2^7
no. estimated models        6  no. terminal models         0
test form                LR-F  target size        User:0.005
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
time                     1.04  Autometrics version      1.5e

EQ( 4) Modelling CONS by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\dataz.in7
       The estimation sample is: 1955(3) - 1992(3)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
CONS_1                1.05925    0.02670     39.7  0.0000   0.9172
CONS_5              -0.180216    0.03435    -5.25  0.0000   0.1624
CONS_8              0.0890227    0.02446     3.64  0.0004   0.0853
INC                  0.497693    0.03234     15.4  0.0000   0.6251
INC_1               -0.466382    0.03516    -13.3  0.0000   0.5534
I:1974(1)            -4.64965      1.286    -3.61  0.0004   0.0842
I:1974(2)            -3.97674      1.306    -3.04  0.0028   0.0613

sigma                 1.27903  RSS                232.299982
log-likelihood       -244.506
no. of observations       149  no. of parameters           7
mean(CONS)             875.24  se(CONS)              13.6954

AR 1-5 test:      F(5,137)  =   1.0944 [0.3664]  
ARCH 1-4 test:    F(4,141)  =  0.47508 [0.7540]  
Normality test:   Chi^2(2)  = 0.024524 [0.9878]  
Hetero test:      F(10,136) =  0.48189 [0.8995]  
Hetero-X test:    F(20,126) =  0.62569 [0.8873]  
RESET23 test:     F(2,140)  =  0.26913 [0.7644]  
