(Tiểu luận FTU) ECONOMETRICS MID TERM ASSIGNMENT

Econometrics – Midterm Assignment

ECONOMETRICS
MID-TERM
ASSIGNMENT
STUDENT’S INFORMATION
Name: Phung Thi Thuy Duong
Student’s ID: 1211110152
Email:
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 macroeconomics, which are inflation effects and real values (not nominal ones)
2.
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My set of explanatory variables: QYDUS, QRTB3Yt, QRDPASSt, QYPERMt. 
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.

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Econometrics – Midterm Assignment


My equation: reg qdpass qydus qrtb3y qrdpass qyperm

Section 2
To sum, the variables available for your model are:

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QDPASSt = the aggregate stock of deposits held in passbook accounts in S & Ls in the U.S. in
quarter t (millions of nominal dollars)
QYDUSt = U.S. disposable income in quarter t (millions of nominal dollars)
QYPERMt = 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.)
QRDPASSt = the average rate of return (in percentage points) on passbook accounts in S & Ls
in quarter t.
QRTB3Yt = the interest rate on three-month Treasury bills in quarter t
SPREADt = QRDPASSt – QRTB3Yt
MMCDUMt = a dummy variable equal to zero before the third-quarter 1978 legalization of
money market certificates and equal to one thereafter
EXPINFt = the expected percentage rate of inflation in quarter t (equal to the previous
quarter's inflation rate)
BRANCHt = 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:
/>reg qdpass qyperm qydus qrtb3y qrdpass

Source |

SS

df

MS

Number of obs =

-------------+-----------------------------Model | 1.3733e+10

F( 4, 35) = 69.87

4 3.4334e+09

Residual | 1.7198e+09 35 49138541.3
-------------+------------------------------

40

Prob > F

= 0.0000

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
qydus | 205.8982 114.7709

106.293

1.79 0.081 -27.09909 438.8955

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Econometrics – Midterm Assignment
qrtb3y | -4702.491 728.9878 -6.45 0.000 -6182.415 -3222.568
qrdpass | 11315.92 16531.88
_cons | 12927.31 77047.91

0.68 0.498 -22245.58 44877.42
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

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Econometrics – Midterm Assignment

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:
PROPKt Pounds of pork produced (in billions) in the U.S. in quarter t
PRIPKt The price of a pound of pork (in dollars per 100 pounds) in quarter t
PRIBFt 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:
/>reg conpk pripk propk pribf ydusp
Source |

SS

df

MS

Number of obs =

-------------+-----------------------------Model | 95.1675796

F( 4, 35) = 500.30

4 23.7918949

Prob > F

Residual | 1.66442252 35 .047554929
-------------+------------------------------

40

= 0.0000

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
pribf | .0037047 .0024383

2.967476

3.61146

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

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Econometrics – Midterm Assignment
predict e,r
. 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

-------------+-------------------------------------------------------------

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Econometrics – Midterm Assignment
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.

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