---------------------------------------- name: log: C:\Users\acer\Desktop\426 2 > .2.log log type: text opened on: 3 Feb 2021, 21:44:19 . use "C:\Users\acer\Desktop\assign2.dta", clear . gen ldt = ln(dt) . gen lgdp = ln(gdp) . gen lpx2 = ln(px2) . . . . gen lpx3 = ln(px3) . . . . gen lpx4 = ln(px4) . gen lst = ln(st) . gen pd = pm+t . gen lpd = ln(pd) . reg3 (lst lpd lpx2 lpx3 lpx4) (ldt lpd > lgdp), ols Multivariate regression ---------------------------------------- > ---------------------------------- Equation Obs Parms > RMSE "R-sq" F-Stat P ---------------------------------------- > ---------------------------------- lst 22 4 .165 > 2258 0.9103 43.14 0.0000 ldt 22 2 .139 > 1259 0.9069 92.53 0.0000 ---------------------------------------- > ---------------------------------- ---------------------------------------- > -------------------------------------- | Coef. Std. Err. > t > P>|t| > [95% Con > f. Interval] -------------+---------------------------------------------------------------- lst | lpd | -1.111835 .4515147 -2.46 0.019 -2.027549 -.1961207 lpx2 | -.4189546 .1431634 -2.93 0.006 -.7093034 -.1286059 lpx3 | -.9424196 .2585266 -3.65 0.001 -1.466736 -.4181034 lpx4 | -.521346 .3441643 -1.51 0.139 -1.219344 .1766516 _cons | 41.4946 3.661911 11.33 0.000 34.0679 48.9213 -------------+---------------------------------------------------------------- ldt | lpd | -2.181329 .2946999 -7.40 0.000 -2.779008 -1.58365 lgdp | .5776586 .0887536 6.51 0.000 .397658 .7576593 _cons | 31.03578 3.761201 8.25 0.000 23.40771 38.66385 ------------------------------------------------------------------------------ . reg3 (lst lpd lpx2 lpx3 lpx4) (ldt lpd lgdp), 2sls nodfk inst(lpx2 lpx3 lpx4 lgdp) Two-stage least-squares regression -------------------------------------------------------------------------- Equation Obs Parms RMSE "R-sq" F-Stat P -------------------------------------------------------------------------- lst 22 4 .329951 0.6424 13.81 0.0000 ldt 22 2 .1454858 0.8982 89.20 0.0000 -------------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lst | lpd | 2.10611 1.926677 1.09 0.282 -1.801371 6.013591 lpx2 | -.7279628 .3026471 -2.41 0.021 -1.34176 -.114166 lpx3 | -1.122146 .464304 -2.42 0.021 -2.063798 -.180494 lpx4 | -1.428722 .7811544 -1.83 0.076 -3.012977 .1555325 _cons | 18.59914 14.05113 1.32 0.194 -9.897873 47.09616 -------------+---------------------------------------------------------------- ldt | lpd | -2.574157 .4046743 -6.36 0.000 -3.394875 -1.75344 lgdp | .5212921 .0955104 5.46 0.000 .327588 .7149961 _cons | 35.93499 5.106302 7.04 0.000 25.57893 46.29105 ------------------------------------------------------------------------------ Endogenous variables: lst lpd ldt Exogenous variables: lpx2 lpx3 lpx4 lgdp ------------------------------------------------------------------------------ . reg3 (lst lpd lpx2 lpx3 lpx4) (ldt lpd lgdp), 3sls inst(lpx2 lpx3 lpx4 lgdp) Three-stage least-squares regression -------------------------------------------------------------------------- Equation Obs Parms RMSE "R-sq" chi2 P -------------------------------------------------------------------------- lst 22 4 .2963642 0.6266 57.47 0.0000 ldt 22 2 .135203 0.8982 178.41 0.0000 -------------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lst | lpd | 2.171576 1.926095 1.13 0.260 -1.603501 5.946652 lpx2 | -.7990055 .2985983 -2.68 0.007 -1.384247 -.2137635 lpx3 | -1.329743 .4560002 -2.92 0.004 -2.223487 -.4359989 lpx4 | -1.171403 .775654 -1.51 0.131 -2.691657 .348851 _cons | 17.84948 14.04122 1.27 0.204 -9.670808 45.36976 -------------+---------------------------------------------------------------- ldt | lpd | -2.574157 .4046743 -6.36 0.000 -3.367304 -1.78101 lgdp | .5212921 .0955104 5.46 0.000 .3340951 .708489 _cons | 35.93499 5.106302 7.04 0.000 25.92682 45.94316 ------------------------------------------------------------------------------ Endogenous variables: lst lpd ldt Exogenous variables: lpx2 lpx3 lpx4 lgdp ------------------------------------------------------------------------------ . reg3 (lst lpd lpx2 lpx3 lpx4) (ldt lpd lgdp), 3sls ireg3 inst(lpx2 lpx3 lpx4 lgdp) Iteration 1: tolerance = .1059484 Iteration 2: tolerance = .04569793 Iteration 3: tolerance = .01846611 Iteration 4: tolerance = .00725496 Iteration 5: tolerance = .00281814 Iteration 6: tolerance = .00108981 Iteration 7: tolerance = .00042072 Iteration 8: tolerance = .00016231 Iteration 9: tolerance = .0000626 Iteration 10: tolerance = .00002414 Iteration 11: tolerance = 9.310e-06 Iteration 12: tolerance = 3.590e-06 Iteration 13: tolerance = 1.384e-06 Iteration 14: tolerance = 5.339e-07 Three-stage least-squares regression, iterated -------------------------------------------------------------------------- Equation Obs Parms RMSE "R-sq" chi2 P -------------------------------------------------------------------------- lst 22 4 .3022006 0.6117 54.83 0.0000 ldt 22 2 .135203 0.8982 178.41 0.0000 -------------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lst | lpd | 2.212666 2.005956 1.10 0.270 -1.718936 6.144268 lpx2 | -.8435967 .3049354 -2.77 0.006 -1.441259 -.2459342 lpx3 | -1.460044 .4623671 -3.16 0.002 -2.366267 -.5538216 lpx4 | -1.009892 .7998393 -1.26 0.207 -2.577548 .557764 _cons | 17.37893 14.61488 1.19 0.234 -11.26571 46.02357 -------------+---------------------------------------------------------------- ldt | lpd | -2.574157 .4046743 -6.36 0.000 -3.367304 -1.78101 lgdp | .5212921 .0955104 5.46 0.000 .3340951 .708489 _cons | 35.93499 5.106302 7.04 0.000 25.92682 45.94316 ------------------------------------------------------------------------------ Endogenous variables: lst lpd ldt Exogenous variables: lpx2 lpx3 lpx4 lgdp ------------------------------------------------------------------------------ . reg lst lpd lpx2 lpx3 lpx4 Source | SS df MS Number of obs = 22 -------------+---------------------------------- F(4, 17) = 43.14 Model | 4.71070935 4 1.17767734 Prob > F = 0.0000 Residual | .464092568 17 .027299563 R-squared = 0.9103 -------------+---------------------------------- Adj R-squared = 0.8892 Total | 5.17480192 21 .246419139 Root MSE = .16523 ------------------------------------------------------------------------------ lst | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lpd | -1.111835 .4515147 -2.46 0.025 -2.064448 -.1592222 lpx2 | -.4189546 .1431634 -2.93 0.009 -.7210029 -.1169063 lpx3 | -.9424196 .2585266 -3.65 0.002 -1.487863 -.3969762 lpx4 | -.521346 .3441643 -1.51 0.148 -1.247469 .2047773 _cons | 41.4946 3.661911 11.33 0.000 33.76865 49.22056 ------------------------------------------------------------------------------ . estimate store ols . ivregress 2sls lst lpx2 lpx3 lpx4 (lpd=lgdp) Instrumental variables (2SLS) regression Number of obs = 22 Wald chi2(4) = 55.22 Prob > chi2 = 0.0000 R-squared = 0.6424 Root MSE = .29004 ------------------------------------------------------------------------------ lst | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lpd | 2.10611 1.926677 1.09 0.274 -1.670107 5.882327 lpx2 | -.7279628 .3026471 -2.41 0.016 -1.32114 -.1347853 lpx3 | -1.122146 .464304 -2.42 0.016 -2.032165 -.212127 lpx4 | -1.428722 .7811544 -1.83 0.067 -2.959757 .1023125 _cons | 18.59914 14.05113 1.32 0.186 -8.940569 46.13886 ------------------------------------------------------------------------------ Instrumented: lpd Instruments: lpx2 lpx3 lpx4 lgdp . estimate store iv . hausman iv ols ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | iv ols Difference S.E. -------------+---------------------------------------------------------------- lpd | 2.10611 -1.111835 3.217945 1.873023 lpx2 | -.7279628 -.4189546 -.3090082 .266645 lpx3 | -1.122146 -.9424196 -.1797266 .3856712 lpx4 | -1.428722 -.521346 -.907376 .7012511 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from ivregress B = inconsistent under Ha, efficient under Ho; obtained from regress Test: Ho: difference in coefficients not systematic chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 2.95 Prob>chi2 = 0.5659 . reg ldt lpd lgdp Source | SS df MS Number of obs = 22 -------------+---------------------------------- F(2, 19) = 92.53 Model | 3.58210899 2 1.79105449 Prob > F = 0.0000 Residual | .367764099 19 .019356005 R-squared = 0.9069 -------------+---------------------------------- Adj R-squared = 0.8971 Total | 3.94987309 21 .188089195 Root MSE = .13913 ------------------------------------------------------------------------------ ldt | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lpd | -2.181329 .2946999 -7.40 0.000 -2.798143 -1.564515 lgdp | .5776586 .0887536 6.51 0.000 .3918952 .7634221 _cons | 31.03578 3.761201 8.25 0.000 23.1635 38.90807 ------------------------------------------------------------------------------ . estimate store ols . ivregress 2sls ldt lgdp (lpd=lpx2 lpx3 lpx4) Instrumental variables (2SLS) regression Number of obs = 22 Wald chi2(2) = 178.41 Prob > chi2 = 0.0000 R-squared = 0.8982 Root MSE = .1352 ------------------------------------------------------------------------------ ldt | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lpd | -2.574157 .4046743 -6.36 0.000 -3.367304 -1.78101 lgdp | .5212921 .0955104 5.46 0.000 .3340951 .708489 _cons | 35.93499 5.106302 7.04 0.000 25.92682 45.94316 ------------------------------------------------------------------------------ Instrumented: lpd Instruments: lgdp lpx2 lpx3 lpx4 . hausman iv ols ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | iv ols Difference S.E. -------------+---------------------------------------------------------------- lpd | 2.10611 -2.181329 4.287439 1.904005 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from ivregress B = inconsistent under Ha, efficient under Ho; obtained from regress Test: Ho: difference in coefficients not systematic chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 5.07 Prob>chi2 = 0.0243 . . ivregress 2sls ldt lgdp (lpd=lpx2 lpx3 lpx4) Instrumental variables (2SLS) regression Number of obs = 22 Wald chi2(2) = 178.41 Prob > chi2 = 0.0000 R-squared = 0.8982 Root MSE = .1352 ------------------------------------------------------------------------------ ldt | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lpd | -2.574157 .4046743 -6.36 0.000 -3.367304 -1.78101 lgdp | .5212921 .0955104 5.46 0.000 .3340951 .708489 _cons | 35.93499 5.106302 7.04 0.000 25.92682 45.94316 ------------------------------------------------------------------------------ Instrumented: lpd Instruments: lgdp lpx2 lpx3 lpx4 . estimate store iv . hausman iv ols ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | iv ols Difference S.E. -------------+---------------------------------------------------------------- lpd | -2.574157 -2.181329 -.3928286 .2773324 lgdp | .5212921 .5776586 -.0563666 .035285 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from ivregress B = inconsistent under Ha, efficient under Ho; obtained from regress Test: Ho: difference in coefficients not systematic chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 2.01 Prob>chi2 = 0.3667 (V_b-V_B is not positive definite) . gen lqt = ldt . reg3 (lqt lpd lpx2 lpx3 lpx4) (lqt lpd lgdp), ols Multivariate regression -------------------------------------------------------------------------- Equation Obs Parms RMSE "R-sq" F-Stat P -------------------------------------------------------------------------- lqt 22 4 .136235 0.9201 48.95 0.0000 2lqt 22 2 .1391259 0.9069 92.53 0.0000 -------------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lqt | lpd | -1.353506 .3722912 -3.64 0.001 -2.108548 -.5984645 lpx2 | -.3864994 .1180437 -3.27 0.002 -.6259031 -.1470957 lpx3 | -.6782817 .2131651 -3.18 0.003 -1.110601 -.2459629 lpx4 | -.3606189 .2837767 -1.27 0.212 -.9361448 .2149069 _cons | 40.10218 3.019386 13.28 0.000 33.97858 46.22578 -------------+---------------------------------------------------------------- 2lqt | lpd | -2.181329 .2946999 -7.40 0.000 -2.779008 -1.58365 lgdp | .5776586 .0887536 6.51 0.000 .397658 .7576593 _cons | 31.03578 3.761201 8.25 0.000 23.40771 38.66385 ------------------------------------------------------------------------------ . reg3 (lqt lpd lpx2 lpx3 lpx4) (lqt lpd lgdp), 2sls nodfk inst(lpx2 lpx3 lpx4 lgdp) Two-stage least-squares regression -------------------------------------------------------------------------- Equation Obs Parms RMSE "R-sq" F-Stat P -------------------------------------------------------------------------- lqt 22 4 .2329302 0.7665 20.29 0.0000 2lqt 22 2 .1454858 0.8982 89.20 0.0000 -------------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lqt | lpd | .7752765 1.360145 0.57 0.572 -1.983225 3.533778 lpx2 | -.5909191 .2136549 -2.77 0.009 -1.024231 -.1576068 lpx3 | -.7971771 .3277773 -2.43 0.020 -1.46194 -.132414 lpx4 | -.9608797 .551459 -1.74 0.090 -2.079291 .1575311 _cons | 24.95604 9.919453 2.52 0.016 4.838457 45.07362 -------------+---------------------------------------------------------------- 2lqt | lpd | -2.574157 .4046743 -6.36 0.000 -3.394875 -1.75344 lgdp | .5212921 .0955104 5.46 0.000 .327588 .7149961 _cons | 35.93499 5.106302 7.04 0.000 25.57893 46.29105 ------------------------------------------------------------------------------ Endogenous variables: lqt lpd Exogenous variables: lpx2 lpx3 lpx4 lgdp ------------------------------------------------------------------------------ . reg3 (lqt lpd lpx2 lpx3 lpx4) (lqt lpd lgdp), 3sls inst(lpx2 lpx3 lpx4 lgdp) Three-stage least-squares regression -------------------------------------------------------------------------- Equation Obs Parms RMSE "R-sq" chi2 P -------------------------------------------------------------------------- lqt 22 4 .2056595 0.7644 81.74 0.0000 2lqt 22 2 .135203 0.8982 178.41 0.0000 -------------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- lqt | lpd | .7879239 1.360114 0.58 0.562 -1.877851 3.453699 lpx2 | -.6046439 .2134422 -2.83 0.005 -1.022983 -.1863049 lpx3 | -.8372831 .3273419 -2.56 0.011 -1.478861 -.1957047 lpx4 | -.9111679 .5511692 -1.65 0.098 -1.99144 .1691039 _cons | 24.81121 9.918929 2.50 0.012 5.370467 44.25195 -------------+---------------------------------------------------------------- 2lqt | lpd | -2.574157 .4046743 -6.36 0.000 -3.367304 -1.78101 lgdp | .5212921 .0955104 5.46 0.000 .3340951 .708489 _cons | 35.93499 5.106302 7.04 0.000 25.92682 45.94316 ------------------------------------------------------------------------------ Endogenous variables: lqt lpd Exogenous variables: lpx2 lpx3 lpx4 lgdp ------------------------------------------------------------------------------ . exit, clear