PROJECT

MANAV ASHRAF
 22-04-2021
—
ECONOMETRICS
—
SANTHOSH KUMAR SIR
-------------------------------------------------------------------------------------------

CROSS SECTIONAL DATA

DATA12-1:
Data represent a random selection of 60 individuals applying to
The University of California, San Diego, School of Medicine for the
year 1988. Compiled by Steven Bramson.
Accept = 1 if granted an acceptance, 0 if otherwise
GPA = Cumulative undergraduate Grade Point Average, Range 1.88 -
2.9.
Bio = Score in Biology portion of the Medical College Admissions
Test (MCAT), Range 2 - 9.
Chem = Score in Chemistry portion of MCAT, Range 2 - 9.
Phy = Score in Physics portion of MCAT, Range 3 - 9.
Red = Score in Reading portion of MCAT, Range 3 - 7.
 Prb = Score in Problem portion of MCAT, Range 2 - 7.
Qnt = Score in Quantitative portion of MCAT, Range 2 - 7.
Age = Age of Applicant, Range 21 - 23.
Gender = 1 if Male, 0 if Female

REGRESSION

Linear regression is the starting point of econometric analysis. The linear

regression model has a dependent variable that is a continuous variable,
while the independent variables can take any form (continuous, discrete, or
indicator variables). The linear regression is typically estimated using OLS
(ordinary least squares).

The estimated equation will be of the form 𝑌 = α + β𝑋, where Y is the

variable being explained (dependent) and X is the variable doing the
explaining (independent). The standard regression equation is the same as
the linear equation with one exception: the error term. Y = α + βX + ε the
error is the difference between the predicted value of Y and the observed
value of Y. This difference is known as the residual 

Model 1: OLS, using observations 1-60

Dependent variable: GPA

coefficient std. error t-ratio p-value

--------------------------------------------------------
const 1.95646 0.272317 7.184 1.44e-09 ***
Bio 0.106465 0.0287181 3.707 0.0005 ***

Mean dependent var 2.934167 S.D. dependent var 0.579606

Sum squared resid 16.02366 S.E. of regression 0.525614
R-squared 0.191568 Adjusted R-squared 0.177629
F(1, 58) 13.74382 P-value(F) 0.000470
Log-likelihood −45.52796 Akaike criterion 95.05591
Schwarz criterion 99.24460 Hannan-Quinn 96.69434
Model 1 depicts the results of regression done by using individuals
applying to The University of California, by GPA as dependent variable and
Bio as independent variable. By analyzing the result,

Dependent variable : GPA

Independent variable: Bio

The value of the constant in regression is 1.95646 and the value of slope
is 0.106465.

HETEROSKADASTICITY

WHITE'S TEST FOR HETEROSKEDASTICITY

White's test for heteroskedasticity

OLS, using observations 1-60
Dependent variable: uhat^2

coefficient std. error t-ratio p-value

--------------------------------------------------------
const −0.0194474 0.408139 −0.04765 0.9622
Bio 0.0806018 0.0923556 0.8727 0.3865
sq_Bio −0.00504561 0.00510134 −0.9891 0.3268

Unadjusted R-squared = 0.021794

Test statistic: TR^2 = 1.307625,

with p-value = P(Chi-square(2) > 1.307625) = 0.520059

BREUSCH-PAGAN TEST FOR HETEROSKEDASTICITY

Breusch-Pagan test for heteroskedasticity
OLS, using observations 1-60
Dependent variable: scaled uhat^2

coefficient std. error t-ratio p-value

-------------------------------------------------------
const 1.31578 0.603661 2.180 0.0334 **
Bio −0.0343862 0.0636609 −0.5401 0.5912

Explained sum of squares = 0.396089

Test statistic: LM = 0.198044,

with p-value = P(Chi-square(1) > 0.198044) = 0.656304

NORMALITY OF RESIDUAL

Frequency distribution for uhat1, obs 1-60

number of bins = 7, mean = -5.18104e-017, sd = 0.525614

interval midpt frequency rel. cum.

< -0.70052 -0.87404 5 8.33% 8.33% ***

-0.70052 - -0.35346 -0.52699 10 16.67% 25.00% ******
-0.35346 - -0.0064080 -0.17994 21 35.00% 60.00% ************
-0.0064080 - 0.34065 0.16712 7 11.67% 71.67% ****
0.34065 - 0.68770 0.51417 10 16.67% 88.33% ******
0.68770 - 1.0348 0.86123 5 8.33% 96.67% ***
>= 1.0348 1.2083 2 3.33% 100.00% *

Test for null hypothesis of normal distribution:

Chi-square(2) = 4.195 with p-value 0.12276
ANOVA
Analysis of Variance:

Sum of squares df Mean square

Regression 3.797 1 3.797

Residual 16.0237 58 0.27627
Total 19.8207 59 0.335943
 R^2 = 3.797 / 19.8207 = 0.191568
F(1, 58) = 3.797 / 0.27627 = 13.7438 [p-value 0.0005]

MULTIPLE LINEAR REGRESSION

Model 2: OLS, using observations 1-60

Dependent variable: GPA

coefficient std. error t-ratio p-value

--------------------------------------------------------
const 1.83284 0.268185 6.834 6.01e-09 ***
Bio 0.0467453 0.0379591 1.231 0.2232
Chem 0.0773948 0.0336219 2.302 0.0250 **

Mean dependent var 2.934167 S.D. dependent var 0.579606

Sum squared resid 14.66076 S.E. of regression 0.507155
R-squared 0.260329 Adjusted R-squared 0.234376
F(2, 57) 10.03065 P-value(F) 0.000185
Log-likelihood −42.86122 Akaike criterion 91.72244
Schwarz criterion 98.00547 Hannan-Quinn 94.18008

MULTI-COLLINEARITY

Variance Inflation Factors

Minimum possible value = 1.0
Values > 10.0 may indicate a collinearity problem

Bio 1.877
Chem 1.877
VIF(j) = 1/(1 - R(j)^2), where R(j) is the multiple correlation coefficient
between variable j and the other independent variables

Belsley-Kuh-Welsch collinearity diagnostics:

variance proportions

lambda cond const Bio Chem

2.933 1.000 0.007 0.004 0.005
0.045 8.085 0.790 0.017 0.392
0.022 11.634 0.203 0.980 0.603

lambda = eigenvalues of inverse covariance matrix (smallest is

0.0216734)
cond = condition index
note: variance proportions columns sum to 1.0

According to BKW, cond >= 30 indicates "strong" near linear dependence,

and cond between 10 and 30 "moderately strong". Parameter estimates
whose
variance is mostly associated with problematic cond values may
themselves
be considered problematic.

Count of condition indices >= 30: 0

Count of condition indices >= 10: 1

Variance proportions >= 0.5 associated with cond >= 10:

Bio Chem
0.980 0.603

TIME SERIES DATA

DATA10-2: Hourly load and temperature data for an electric company
in the Northwest region of the U.S. for the period Jan 1, 1992
through Jan 31, 1992. Data compiled by Casey Brace.
day_hour = Day and hour, Range 1.01 - 31.24.
load = Electricity usage in megawatts, Range 1646 - 3833.
temp = Temperature in Farenheit, Range 27 - 59.

REGRESSION
Linear regression is the starting point of econometric analysis. The linear
regression model has a dependent variable that is a continuous variable,
while the independent variables can take any form (continuous, discrete, or
indicator variables). The linear regression is typically estimated using OLS
(ordinary least squares).

The estimated equation will be of the form 𝑌 = α + β𝑋, where Y is the

variable being explained (dependent) and X is the variable doing the
explaining (independent). The standard regression equation is the same as
the linear equation with one exception: the error term. Y = α + βX + ε the
error is the difference between the predicted value of Y and the observed
value of Y. This difference is known as the residual 
Model 1: OLS, using observations 1:01-31:24 (T = 744)
Dependent variable: load

coefficient std. error t-ratio p-value

---------------------------------------------------------
const 3132.37 142.485 21.98 7.10e-083 ***
temp −11.1331 3.19689 −3.482 0.0005 ***

Mean dependent var 2640.058 S.D. dependent var 489.3606

Sum squared resid 1.75e+08 S.E. of regression 485.7367
R-squared 0.016082 Adjusted R-squared 0.014756
F(1, 742) 12.12768 P-value(F) 0.000526
Log-likelihood −5656.825 Akaike criterion 11317.65
Schwarz criterion 11326.87 Hannan-Quinn 11321.21
rho 0.918926 Durbin-Watson 0.161993

This Is the result of regression done by using hourly load and temperature
data for an electric company. For doing regression here we take load as
dependent variable and temp as independent variable

The value of the constant (α) in this regression is 3132.37 and the slope (β) is
−11.1331 .
t-ratio = coefficient ÷ standard error
3132.37 ÷ 142.485 = 21.98

AUTOCORRELATION

Autocorrelation represents the degree of similarity between a given time

series and a lagged version of itself over successive time intervals.it
measures the relationship between a variable's current value and its past
values.

An autocorrelation of +1 represents a perfect positive correlation, while an

autocorrelation of -1 represents a perfect negative correlation.
Breusch-Godfrey test for first-order autocorrelation
OLS, using observations 1:01-31:24 (T = 744)
Dependent variable: uhat

coefficient std. error t-ratio p-value

---------------------------------------------------------
const 126.142 56.4091 2.236 0.0256 **
temp −2.86984 1.26565 −2.267 0.0236 **
uhat_1 0.920111 0.0145499 63.24 7.79e-301 ***

Unadjusted R-squared = 0.843675

Test statistic: LMF = 3999.112623,

with p-value = P(F(1,741) > 3999.11) = 7.79e-301

Alternative statistic: TR^2 = 627.693903,

with p-value = P(Chi-square(1) > 627.694) = 1.59e-138

Ljung-Box Q' = 628.047,

with p-value = P(Chi-square(1) > 628.047) = 1.33e-138

UNIVARIATE MODEL

ARIMA (Auto Regressive Integrated Moving Average)

ARIMA uses a number of lagged observations of time series data to

forecast observation. Auto regression in ARIMA regress the variable on its
past value and in Moving Average the error terms of previous time points
are used for prediction or forecasting.

AUTO REGRESSION
In an auto regression model, we forecast the variable of interest using a
linear combination of past values of the variable. The term auto regression
indicates that it is a regression of the variable against itself.
 ⮚ yt=c+ϕ1yt−1+ εt This model is called AR (1) Model since there is only
one lag taken.
⮚ yt=c+ϕ1yt−1+ ϕ2yt−2+ εt AR (2) Model
⮚ yt=c+ϕ1yt−1+ϕ2yt−2+⋯+ϕpyt−p+εt AR(p) Model

MOVING AVERAGE

⮚ yt=c+εt+θ1εt−1+ Vt MA (1) Model

⮚ yt=c+εt+θ1εt−1+θ2εt−2+⋯+θqεt−q+Vt MA(q) Model

STATIONARITY
A data is stationary if it is mean reversive with constant variance. A data
should be stationary for doing ARIMA model. There are three types of
stationary data:
o Without constant- Pure stationary data (Mean=0)
o With constant-Stationary with a mean value other than zero.
o With constant and trend-Increase in mean value and then a trend
occurs and become stationary.

Test for stationarity: Unit root test-Augmented Dickey Fuller Test

Unit root test is a test for checking stationarity of a data. Augmented Dickey
Fuller Test is a type of unit root test which consider more than one lag while
doing the test.
Null Hypothesis: Data is not stationary or Ø = 1 or γ=0
Alternative Hypothesis: Data is stationary or Ø! = 1

Order of integration:
o I(0) = Pure stationary data
 o I(1) = Converted to stationary by taking first lag difference.
o I(2) = Explosive data

ARIMA
For doing ARIMA here we taken the variable load from our data 10-2

Step 1

Plotting time series plot of the variable load

Step 2

Now we have to check stationarity of the variable load using Augmented

Dickey-Fuller test from unit root tests
Augmented Dickey-Fuller test for load
testing down from 9 lags, criterion AIC
sample size 734
unit-root null hypothesis: a = 1

test without constant

including 9 lags of (1-L)load
model: (1-L)y = (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.00122522
test statistic: tau_nc(1) = -0.975029
asymptotic p-value 0.2953
1st-order autocorrelation coeff. for e: -0.003
lagged differences: F(9, 724) = 303.149 [0.0000]

test with constant

including 9 lags of (1-L)load
model: (1-L)y = b0 + (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.119022
test statistic: tau_c(1) = -9.79737
asymptotic p-value 1.477e-018
1st-order autocorrelation coeff. for e: -0.034
lagged differences: F(9, 723) = 336.594 [0.0000]

with constant and trend

including 9 lags of (1-L)load
model: (1-L)y = b0 + b1*t + (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.129222
test statistic: tau_ct(1) = -10.3003
asymptotic p-value 5.109e-021
1st-order autocorrelation coeff. for e: -0.039
lagged differences: F(9, 722) = 340.711 [0.0000]

Difference

If we fail to reject the Null Hypothesis, we take the first differences ∆𝑦𝑡 and
test the I (1) series for a unit root. If the I (1) series Δ𝑦𝑡 is stationary then we
say that our series is integrated of order 1
Augmented Dickey-Fuller test for d_load
testing down from 9 lags, criterion AIC
sample size 734
unit-root null hypothesis: a = 1

test without constant

including 8 lags of (1-L)d_load
model: (1-L)y = (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.502395
test statistic: tau_nc(1) = -10.0979
asymptotic p-value 1.039e-019
1st-order autocorrelation coeff. for e: -0.003
lagged differences: F(8, 725) = 81.376 [0.0000]

test with constant

including 8 lags of (1-L)d_load
model: (1-L)y = b0 + (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.502365
test statistic: tau_c(1) = -10.0901
asymptotic p-value 1.705e-019
1st-order autocorrelation coeff. for e: -0.003
lagged differences: F(8, 724) = 81.260 [0.0000]

with constant and trend

including 8 lags of (1-L)d_load
 model: (1-L)y = b0 + b1*t + (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.502633
test statistic: tau_ct(1) = -10.0862
asymptotic p-value 3.821e-020
1st-order autocorrelation coeff. for e: -0.003
lagged differences: F(8, 723) = 81.159 [0.0000]

AR (1) I (1) MA (1)

Function evaluations: 99
Evaluations of gradient: 44

Model 2: ARMAX, using observations 1:03-31:24 (T = 742)

Estimated using AS 197 (exact ML)
Dependent variable: (1-L) d_load
Standard errors based on Hessian

coefficient std. error z p-value

----------------------------------------------------------
const −0.210871 6.72199 −0.03137 0.9750
phi_1 0.0643823 0.0541329 1.189 0.2343
theta_1 0.530169 0.0413111 12.83 1.06e-037 ***
temp −2.48063 2.62678 −0.9444 0.3450

Mean dependent var −0.185984 S.D. dependent var 130.9221

Mean of innovations −0.000390 S.D. of innovations 111.9677
R-squared 0.732255 Adjusted R-squared 0.731531
Log-likelihood −4553.965 Akaike criterion 9117.931
Schwarz criterion 9140.978 Hannan-Quinn 9126.816

Real Imaginary Modulus Frequency

-----------------------------------------------------------
AR
Root 1 15.5322 0.0000 15.5322 0.0000
MA
Root 1 -1.8862 0.0000 1.8862 0.5000
-----------------------------------------------------------
AR (2) I (1) MA (1)

Function evaluations: 106

Evaluations of gradient: 30

Model 3: ARMAX, using observations 1:03-31:24 (T = 742)

Estimated using AS 197 (exact ML)
Dependent variable: (1-L) d_load
Standard errors based on Hessian

coefficient std. error z p-value

-----------------------------------------------------------
const 0.0140571 0.0542684 0.2590 0.7956
phi_1 1.23232 0.0297454 41.43 0.0000 ***
phi_2 −0.586577 0.0297764 −19.70 2.18e-086 ***
theta_1 −1.00000 0.00337485 −296.3 0.0000 ***
temp −2.01690 1.81887 −1.109 0.2675

Mean dependent var −0.185984 S.D. dependent var 130.9221

Mean of innovations −0.741009 S.D. of innovations 99.49915
R-squared 0.742027 Adjusted R-squared 0.740978
Log-likelihood −4469.315 Akaike criterion 8950.630
Schwarz criterion 8978.286 Hannan-Quinn 8961.291

Real Imaginary Modulus Frequency

-----------------------------------------------------------
AR
Root 1 1.0504 -0.7755 1.3057 -0.1012
Root 2 1.0504 0.7755 1.3057 0.1012
MA
Root 1 1.0000 0.0000 1.0000 0.0000
-----------------------------------------------------------
AR (1) I (1) MA (2)

Function evaluations: 87
Evaluations of gradient: 27

Model 4: ARMAX, using observations 1:03-31:24 (T = 742)

Estimated using AS 197 (exact ML)
Dependent variable: (1-L) d_load
Standard errors based on Hessian

coefficient std. error z p-value

----------------------------------------------------------
const 0.0208491 0.0832982 0.2503 0.8024
phi_1 0.638969 0.0303158 21.08 1.29e-098 ***
theta_1 −0.378178 0.0255937 −14.78 2.09e-049 ***
theta_2 −0.621822 0.0254625 −24.42 1.02e-131 ***
temp −2.74881 2.20551 −1.246 0.2126

Mean dependent var −0.185984 S.D. dependent var 130.9221

Mean of innovations −0.285071 S.D. of innovations 101.8012
R-squared 0.729947 Adjusted R-squared 0.728850
Log-likelihood −4485.782 Akaike criterion 8983.564
Schwarz criterion 9011.221 Hannan-Quinn 8994.226

Real Imaginary Modulus Frequency

-----------------------------------------------------------
AR
Root 1 1.5650 0.0000 1.5650 0.0000
MA
Root 1 1.0000 0.0000 1.0000 0.0000
Root 2 -1.6082 0.0000 1.6082 0.5000
-----------------------------------------------------------

Model 2 is more significant and having lesser Akaike criterion

Forecast

d_load prediction

1:01
1:02 -102.00
1:03 -87.00 -96.90
1:04 -27.00 -66.00
1:05 29.00 0.72
1:06 94.00 49.62
1:07 120.00 98.67
1:08 161.00 102.46
1:09 232.00 144.45
1:10 236.00 216.92
1:11 162.00 173.43
1:12 -2.00 73.15
1:13 -42.00 -68.81
1:14 -84.00 -42.79
1:15 -123.00 -64.39
1:16 -28.00 -91.39
1:17 148.00 54.84
1:18 105.00 217.53
1:19 34.00 56.89
1:20 -55.00 -8.56
1:21 -109.00 -79.39
1:22 -185.00 -94.18
1:23 -271.00 -163.99
1:24 -264.00 -228.14
2:01 -157.00 -168.29
2:02 -80.00 -42.25
2:03 -34.00 -11.32
2:04 18.00 -1.87
2:05 101.00 39.20
2:06 290.00 115.97
2:07 436.00 300.97
2:08 288.00 378.49
2:09 94.00 102.73
2:10 -1.00 -50.57
2:11 -61.00 -50.29
2:12 -88.00 -68.82
2:13 -88.00 -74.59
2:14 -100.00 -50.14
2:15 -56.00 -69.43
2:16 51.00 -6.53
2:17 235.00 104.64
2:18 318.00 267.09
2:19 39.00 263.75
2:20 -81.00 -131.30
2:21 -126.00 -116.34
2:22 -216.00 -99.62
2:23 -274.00 -186.84
2:24 -298.00 -206.73
3:01 -181.00 -204.31
3:02 -87.00 -41.06
3:03 -13.00 -3.41
3:04 29.00 37.78
3:05 95.00 42.65
3:06 299.00 107.48
3:07 416.00 314.03
3:08 283.00 341.08
3:09 93.00 110.48
3:10 16.00 -47.60
3:11 -25.00 -32.43
3:12 -73.00 -35.55
3:13 -91.00 -74.30
3:14 -63.00 -65.95
3:15 -66.00 -22.40
3:16 18.00 -42.38
3:17 137.00 65.95
3:18 181.00 161.55
3:19 -47.00 145.83
3:20 -144.00 -162.26
3:21 -169.00 -148.07
3:22 -189.00 -126.62
3:23 -226.00 -130.74
3:24 -252.00 -168.71
4:01 -223.00 -179.21
4:02 -111.00 -127.70
4:03 -36.00 -6.06
4:04 1.00 23.06
4:05 41.00 22.87
4:06 115.00 50.88
4:07 180.00 120.59
4:08 257.00 154.29
4:09 315.00 217.29
4:10 271.00 240.03
4:11 44.00 153.79
4:12 -53.00 -105.70
4:13 -139.00 -89.10
4:14 -160.00 -138.48
4:15 -102.00 -115.14
4:16 -12.00 -27.15
4:17 243.00 52.00
4:18 266.00 309.20
4:19 2.00 190.23
4:20 -92.00 -145.30
4:21 -110.00 -108.95
4:22 -153.00 -74.52
4:23 -153.00 -118.85
4:24 -240.00 -89.38
5:01 -177.00 -204.23
5:02 -104.00 -70.73
5:03 -39.00 -17.17
5:04 9.00 17.47
5:05 43.00 37.65
5:06 99.00 54.14
5:07 163.00 100.54
5:08 245.00 151.82
5:09 328.00 212.68
5:10 224.00 266.38
5:11 92.00 89.82
5:12 33.00 -10.32
5:13 -24.00 -4.65
5:14 -89.00 -45.07
5:15 -65.00 -86.15
5:16 -29.00 -22.05
5:17 155.00 8.04
5:18 176.00 218.64
5:19 -26.00 132.04
5:20 -104.00 -128.60
5:21 -150.00 -108.32
5:22 -199.00 -117.29
5:23 -331.00 -150.97
5:24 -280.00 -288.10
6:01 -174.00 -144.71
6:02 -52.00 -44.62
6:03 13.00 40.09
6:04 63.00 52.24
6:05 158.00 76.94
6:06 417.00 163.54
6:07 615.00 427.91
6:08 318.00 522.41
6:09 -56.00 39.93
6:10 -101.00 -251.03
6:11 -116.00 -84.98
6:12 -145.00 -78.16
6:13 -124.00 -108.14
6:14 -72.00 -59.55
6:15 -54.00 -12.83
6:16 42.00 -19.89
6:17 256.00 92.73
6:18 349.00 295.96
6:19 39.00 286.70
6:20 -89.00 -146.52
6:21 -128.00 -125.17
6:22 -253.00 -98.82
6:23 -362.00 -229.81
6:24 -311.00 -289.33
7:01 -205.00 -163.23
7:02 -35.00 -61.85
7:03 9.00 86.01
7:04 66.00 39.05
7:05 169.00 89.07
7:06 422.00 182.70
7:07 609.00 432.85
7:08 317.00 511.15
7:09 -48.00 46.12
7:10 -189.00 -235.63
7:11 -195.00 -199.86
7:12 -170.00 -124.45
7:13 -128.00 -88.50
7:14 -145.00 -54.90
7:15 -74.00 -99.38
7:16 74.00 1.25
7:17 283.00 139.71
7:18 392.00 311.04
7:19 67.00 325.42
7:20 -83.00 -138.09
7:21 -131.00 -135.90
7:22 -247.00 -105.11
7:23 -369.00 -222.78
7:24 -359.00 -303.20
8:01 -219.00 -216.63
8:02 -50.00 -54.93
8:03 -13.00 73.34
8:04 33.00 19.59
8:05 137.00 52.85
8:06 355.00 157.33
8:07 581.00 362.98
8:08 309.00 516.13
8:09 -71.00 46.27
8:10 -143.00 -266.47
8:11 -129.00 -128.99
8:12 -157.00 -71.64
8:13 -145.00 -119.41
8:14 -53.00 -83.92
8:15 -24.00 21.32
8:16 38.00 3.90
8:17 237.00 61.38
8:18 253.00 271.86
8:19 -3.00 174.32
8:20 -117.00 -148.90
8:21 -159.00 -139.65
8:22 -230.00 -128.18
8:23 -365.00 -190.11
8:24 -335.00 -314.03
9:01 -199.00 -197.10
9:02 -75.00 -51.66
9:03 -28.00 26.86
9:04 17.00 8.26
9:05 120.00 37.57
9:06 353.00 136.85
9:07 558.00 367.08
9:08 310.00 481.90
9:09 -62.00 53.31
9:10 -135.00 -259.15
9:11 -65.00 -131.14
9:12 -120.00 -4.90
9:13 -107.00 -114.24
9:14 -95.00 -65.42
9:15 -26.00 -60.14
9:16 63.00 21.35
9:17 184.00 93.26
9:18 263.00 180.28
9:19 0.00 214.87
9:20 -95.00 -158.29
9:21 -148.00 -116.98
9:22 -244.00 -129.85
9:23 -306.00 -217.66
9:24 -322.00 -234.95
10:01 -173.00 -220.87
10:02 -74.00 -26.68
10:03 -29.00 11.75
10:04 20.00 2.10
10:05 110.00 39.13
10:06 349.00 125.29
10:07 561.00 366.32
10:08 344.00 488.21
10:09 -1.00 94.61
10:10 -80.00 -204.02
10:11 -69.00 -98.19
10:12 -94.00 -43.09
10:13 -93.00 -80.26
10:14 -52.00 -60.46
10:15 -31.00 -12.07
10:16 66.00 -8.57
10:17 209.00 97.28
10:18 195.00 218.70
10:19 -23.00 117.93
10:20 -139.00 -142.07
10:21 -164.00 -160.46
10:22 -181.00 -121.70
10:23 -238.00 -127.04
10:24 -265.00 -188.88
11:01 -203.00 -188.90
11:02 -112.00 -98.73
11:03 -51.00 -18.54
11:04 -17.00 -0.52
11:05 34.00 8.82
11:06 132.00 49.47
11:07 193.00 143.79
11:08 301.00 163.41
11:09 332.00 255.35
11:10 198.00 231.12
11:11 0.00 49.41
11:12 -116.00 -119.99
11:13 -134.00 -142.97
11:14 -146.00 -101.56
11:15 -103.00 -103.39
11:16 4.00 -42.43
11:17 208.00 66.13
11:18 293.00 253.35
11:19 1.00 239.95
11:20 -103.00 -169.36
11:21 -94.00 -125.33
11:22 -146.00 -50.63
11:23 -177.00 -122.04
11:24 -210.00 -130.11
12:01 -175.00 -147.57
12:02 -91.00 -90.11
12:03 -28.00 -6.81
12:04 17.00 28.02
12:05 44.00 36.33
12:06 99.00 52.66
12:07 171.00 97.96
12:08 286.00 160.48
12:09 333.00 256.68
12:10 212.00 246.39
12:11 33.00 70.05
12:12 -58.00 -82.31
12:13 -119.00 -89.70
12:14 -97.00 -108.92
12:15 -113.00 -50.49
12:16 -32.00 -80.65
12:17 162.00 29.72
12:18 256.00 219.09
12:19 -30.00 221.94
12:20 -78.00 -185.89
12:21 -140.00 -77.19
12:22 -200.00 -125.68
12:23 -326.00 -159.63
12:24 -275.00 -284.95
13:01 -190.00 -145.88
13:02 -68.00 -71.12
13:03 -6.00 29.32
13:04 33.00 36.11
13:05 124.00 45.46
13:06 405.00 134.49
13:07 590.00 430.61
13:08 326.00 494.59
13:09 -70.00 57.76
13:10 -108.00 -280.17
13:11 -99.00 -89.00
13:12 -125.00 -58.82
13:13 -99.00 -96.96
13:14 -80.00 -48.42
13:15 -39.00 -43.50
13:16 53.00 -1.53
13:17 201.00 90.92
13:18 304.00 214.70
13:19 17.00 256.94
13:20 -111.00 -157.46
13:21 -164.00 -142.77
13:22 -247.00 -138.18
13:23 -372.00 -207.44
13:24 -321.00 -315.08
14:01 -195.00 -174.45
14:02 -75.00 -54.84
14:03 -15.00 22.71
14:04 19.00 25.01
14:05 110.00 31.84
14:06 364.00 126.55
14:07 577.00 382.37
14:08 313.00 499.55
14:09 -52.00 47.65
14:10 -146.00 -249.30
14:11 -87.00 -154.33
14:12 -99.00 -20.22
14:13 -60.00 -73.26
14:14 -43.00 -20.19
14:15 -49.00 -21.72
14:16 52.00 -33.66
14:17 167.00 90.44
14:18 298.00 175.12
14:19 7.00 265.58
14:20 -100.00 -168.50
14:21 -162.00 -130.32
14:22 -226.00 -134.77
14:23 -321.00 -190.74
14:24 -303.00 -263.30
15:01 -201.00 -184.64
15:02 -80.00 -72.01
15:03 -12.00 18.40
15:04 15.00 31.15
15:05 114.00 26.67
15:06 357.00 130.81
15:07 578.00 374.01
15:08 311.00 503.83
15:09 -50.00 44.76
15:10 -112.00 -249.48
15:11 -89.00 -110.47
15:12 -115.00 -44.40
15:13 -86.00 -96.41
15:14 -49.00 -42.46
15:15 -43.00 -13.80
15:16 41.00 -27.22
15:17 186.00 70.56
15:18 267.00 201.42
15:19 4.00 215.98
15:20 -114.00 -151.84
15:21 -148.00 -149.91
15:22 -216.00 -115.86
15:23 -329.00 -183.72
15:24 -313.00 -282.14
16:01 -193.00 -194.16
16:02 -82.00 -58.18
16:03 -14.00 9.34
16:04 7.00 27.97
16:05 98.00 16.07
16:06 348.00 113.84
16:07 558.00 370.31
16:08 306.00 484.49
16:09 6.00 45.97
16:10 -114.00 -172.21
16:11 -68.00 -145.11
16:12 -81.00 -18.01
16:13 -67.00 -63.12
16:14 -53.00 -35.78
16:15 -48.00 -29.98
16:16 11.00 -25.48
16:17 195.00 42.43
16:18 361.00 234.36
16:19 59.00 330.68
16:20 -88.00 -137.95
16:21 -119.00 -135.81
16:22 -198.00 -95.35
16:23 -309.00 -171.28
16:24 -301.00 -261.95
17:01 -189.00 -185.02
17:02 -57.00 -54.18
17:03 -7.00 45.92
17:04 25.00 29.57
17:05 123.00 40.49
17:06 388.00 141.62
17:07 590.00 414.44
17:08 349.00 505.47
17:09 -25.00 90.83
17:10 -134.00 -232.74
17:11 -124.00 -146.58
17:12 -150.00 -73.83
17:13 -125.00 -108.78
17:14 -107.00 -65.87
17:15 -88.00 -57.13
17:16 47.00 -43.36
17:17 209.00 121.70
17:18 358.00 232.72
17:19 38.00 323.24
17:20 -101.00 -160.44
17:21 -128.00 -136.95
17:22 -163.00 -89.58
17:23 -243.00 -122.91
17:24 -269.00 -194.34
18:01 -198.00 -175.17
18:02 -85.00 -83.22
18:03 -18.00 19.54
18:04 22.00 35.05
18:05 58.00 46.35
18:06 156.00 68.21
18:07 220.00 167.57
18:08 324.00 181.84
18:09 359.00 279.35
18:10 152.00 262.40
18:11 -41.00 -23.09
18:12 -145.00 -132.91
18:13 -193.00 -151.00
18:14 -188.00 -145.93
18:15 -114.00 -117.34
18:16 -15.00 -25.39
18:17 136.00 54.15
18:18 300.00 171.86
18:19 6.00 294.31
18:20 -105.00 -168.71
18:21 -122.00 -129.64
18:22 -138.00 -87.17
18:23 -195.00 -92.34
18:24 -224.00 -161.68
19:01 -177.00 -154.00
19:02 -83.00 -79.20
19:03 -29.00 -4.12
19:04 21.00 20.75
19:05 60.00 54.04
19:06 120.00 64.92
19:07 202.00 120.41
19:08 297.00 185.19
19:09 331.00 249.52
19:10 91.00 233.00
19:11 -91.00 -82.06
19:12 -202.00 -165.61
19:13 -189.00 -199.46
19:14 -185.00 -115.79
19:15 -135.00 -129.00
19:16 -14.00 -59.74
19:17 188.00 63.58
19:18 392.00 237.95
19:19 71.00 372.01
19:20 -58.00 -142.87
19:21 -79.00 -111.51
19:22 -146.00 -61.06
19:23 -258.00 -126.79
19:24 -248.00 -229.93
20:01 -154.00 -166.98
20:02 -49.00 -35.94
20:03 15.00 28.83
20:04 53.00 44.09
20:05 130.00 55.96
20:06 293.00 129.65
20:07 414.00 281.18
20:08 300.00 342.48
20:09 152.00 124.85
20:10 21.00 7.72
20:11 -96.00 -63.96
20:12 -143.00 -131.22
20:13 -177.00 -127.80
20:14 -123.00 -132.70
20:15 -81.00 -50.24
20:16 31.00 -29.41
20:17 168.00 86.86
20:18 299.00 186.41
20:19 -3.00 271.70
20:20 -102.00 -177.97
20:21 -153.00 -124.07
20:22 -283.00 -125.84
20:23 -346.00 -256.85
20:24 -312.00 -257.66
21:01 -200.00 -194.29
21:02 -76.00 -51.60
21:03 -14.00 19.71
21:04 41.00 28.93
21:05 133.00 57.95
21:06 396.00 140.59
21:07 596.00 411.18
21:08 328.00 503.39
21:09 -65.00 55.52
21:10 -158.00 -273.60
21:11 -157.00 -161.12
21:12 -77.00 -101.04
21:13 -222.00 -6.32
21:14 -11.00 -230.62
21:15 -54.00 115.35
21:16 20.00 -63.98
21:17 184.00 61.90
21:18 423.00 215.02
21:19 81.00 412.99
21:20 -57.00 -142.50
21:21 -127.00 -116.84
21:22 -233.00 -119.90
21:23 -319.00 -207.67
21:24 -336.00 -252.13
22:01 -183.00 -223.98
22:02 -64.00 -26.28
22:03 -9.00 33.03
22:04 14.00 27.75
22:05 133.00 26.41
22:06 366.00 158.70
22:07 587.00 378.46
22:08 310.00 507.62
22:09 -56.00 40.49
22:10 -128.00 -251.94
22:11 -109.00 -128.10
22:12 -88.00 -55.35
22:13 -44.00 -48.69
22:14 -56.00 -3.16
22:15 -16.00 -46.97
22:16 47.00 13.93
22:17 162.00 66.58
22:18 255.00 172.23
22:19 -3.00 217.95
22:20 -131.00 -153.54
22:21 -164.00 -159.92
22:22 -265.00 -125.63
22:23 -348.00 -230.98
22:24 -322.00 -276.18
23:01 -195.00 -195.03
23:02 -83.00 -56.53
23:03 -38.00 10.72
23:04 4.00 -1.92
23:05 86.00 23.51
23:06 337.00 98.19
23:07 527.00 362.27
23:08 289.00 448.01
23:09 -43.00 43.04
23:10 -82.00 -228.44
23:11 -79.00 -81.14
23:12 -63.00 -53.27
23:13 -34.00 -36.49
23:14 -22.00 -10.15
23:15 -27.00 -12.39
23:16 37.00 -25.54
23:17 147.00 56.41
23:18 245.00 158.62
23:19 26.00 211.83
23:20 -109.00 -113.80
23:21 -154.00 -153.00
23:22 -238.00 -128.17
23:23 -321.00 -207.51
23:24 -301.00 -260.18
24:01 -207.00 -185.60
24:02 -77.00 -82.69
24:03 -12.00 24.37
24:04 2.00 27.70
24:05 93.00 5.58
24:06 321.00 110.96
24:07 545.00 340.94
24:08 311.00 480.79
24:09 -27.00 59.98
24:10 -107.00 -218.79
24:11 -62.00 -119.67
24:12 -79.00 -18.00
24:13 -73.00 -66.12
24:14 -48.00 -49.46
24:15 -76.00 -22.93
24:16 23.00 -72.77
24:17 134.00 69.12
24:18 266.00 142.32
24:19 -20.00 245.44
24:20 -127.00 -190.29
24:21 -160.00 -148.65
24:22 -162.00 -132.27
24:23 -212.00 -111.81
24:24 -240.00 -173.58
25:01 -214.00 -168.76
25:02 -104.00 -128.71
25:03 -43.00 -15.52
25:04 -14.00 7.40
25:05 45.00 12.72
25:06 117.00 56.07
25:07 178.00 116.22
25:08 297.00 147.32
25:09 333.00 262.88
25:10 223.00 229.80
25:11 33.00 81.26
25:12 -24.00 -91.17
25:13 -182.00 -57.36
25:14 -134.00 -208.01
25:15 -64.00 -62.15
25:16 -32.00 -4.90
25:17 86.00 -1.97
25:18 286.00 125.26
25:19 36.00 300.65
25:20 -111.00 -125.07
25:21 -120.00 -156.33
25:22 -150.00 -81.68
25:23 -152.00 -114.76
25:24 -202.00 -96.54
26:01 -171.00 -157.55
26:02 -85.00 -91.32
26:03 -23.00 -2.35
26:04 6.00 23.58
26:05 59.00 29.02
26:06 107.00 71.94
26:07 172.00 95.11
26:08 304.00 159.92
26:09 349.00 270.08
26:10 201.00 253.92
26:11 60.00 48.55
26:12 -41.00 -45.25
26:13 -55.00 -83.30
26:14 -102.00 -48.56
26:15 -127.00 -88.86
26:16 -94.00 -98.16
26:17 13.00 -37.56
26:18 187.00 66.08
26:19 -6.00 220.96
26:20 -26.00 -116.44
26:21 -76.00 -30.20
26:22 -187.00 -82.22
26:23 -301.00 -181.32
26:24 -274.00 -267.45
27:01 -187.00 -159.28
27:02 -58.00 -71.58
27:03 -28.00 37.51
27:04 26.00 -1.22
27:05 104.00 47.80
27:06 349.00 110.47
27:07 520.00 369.43
27:08 305.00 433.27
27:09 25.00 72.39
27:10 -42.00 -152.18
27:11 -25.00 -70.74
27:12 -61.00 -6.70
27:13 -60.00 -63.44
27:14 -80.00 -43.13
27:15 -48.00 -65.89
27:16 21.00 -15.86
27:17 151.00 52.53
27:18 235.00 169.91
27:19 9.00 200.27
27:20 -119.00 -130.12
27:21 -157.00 -154.10
27:22 -267.00 -132.00
27:23 -309.00 -237.96
27:24 -325.00 -228.87
28:01 -204.00 -226.02
28:02 -79.00 -63.01
28:03 -32.00 16.34
28:04 6.00 4.10
28:05 90.00 22.95
28:06 332.00 103.11
28:07 535.00 353.56
28:08 312.00 461.79
28:09 -48.00 67.71
28:10 -65.00 -241.03
28:11 -77.00 -59.69
28:12 -79.00 -57.19
28:13 23.00 -46.87
28:14 -25.00 72.05
28:15 -51.00 -50.80
28:16 37.00 -45.98
28:17 159.00 76.31
28:18 329.00 176.77
28:19 1.00 306.77
28:20 -87.00 -191.98
28:21 -154.00 -109.87
28:22 -232.00 -139.61
28:23 -330.00 -195.76
28:24 -308.00 -271.37
29:01 -178.00 -188.09
29:02 -69.00 -41.63
29:03 -28.00 20.89
29:04 14.00 3.78
29:05 98.00 32.73
29:06 324.00 109.81
29:07 532.00 341.83
29:08 315.00 464.43
29:09 -37.00 72.81
29:10 -102.00 -231.17
29:11 -55.00 -107.86
29:12 -89.00 -13.37
29:13 -72.00 -83.13
29:14 -88.00 -43.69
29:15 -78.00 -76.85
29:16 22.00 -43.95
29:17 145.00 66.56
29:18 301.00 154.19
29:19 30.00 285.58
29:20 -106.00 -147.37
29:21 -140.00 -153.60
29:22 -230.00 -117.80
29:23 -311.00 -210.46
29:24 -275.00 -257.82
30:01 -196.00 -155.30
30:02 -84.00 -87.36
30:03 -31.00 6.07
30:04 1.00 9.58
30:05 108.00 16.22
30:06 327.00 131.41
30:07 517.00 337.50
30:08 320.00 440.37
30:09 3.00 90.98
30:10 -116.00 -186.48
30:11 -70.00 -149.09
30:12 -70.00 -22.10
30:13 -56.00 -47.82
30:14 -50.00 -33.78
30:15 -20.00 -32.11
30:16 65.00 2.24
30:17 148.00 91.02
30:18 259.00 139.79
30:19 31.00 230.20
30:20 -94.00 -115.99
30:21 -132.00 -136.27
30:22 -225.00 -111.86
30:23 -297.00 -201.83
30:24 -301.00 -237.30
31:01 -177.00 -200.02
31:02 -88.00 -44.87
31:03 -38.00 -7.98
31:04 -6.00 1.41
31:05 95.00 9.56
31:06 292.00 115.91
31:07 490.00 298.97
31:08 310.00 432.80
31:09 -24.00 82.49
31:10 -62.00 -217.70
31:11 -38.00 -67.05
31:12 -87.00 -17.58
31:13 -74.00 -92.07
31:14 -56.00 -49.31
31:15 -55.00 -32.28
31:16 26.00 -32.68
31:17 119.00 60.26
31:18 237.00 125.93
31:19 16.00 220.28
31:20 -132.00 -119.40
31:21 -128.00 -174.61
31:22 -177.00 -79.69
31:23 -205.00 -142.99
31:24 -240.00 -150.15

Forecast evaluation statistics using 742 observations

Mean Error -0.74101

Root Mean Squared Error 99.499
Mean Absolute Error 74.528
Bias proportion, UM 5.5464e-005
Regression proportion, UR 1.0559e-005
Disturbance proportion, UD 0.99993

ENGLE GRANGER MODEL

Final

Step 1: testing for a unit root in d_load

Augmented Dickey-Fuller test for d_load

including 12 lags of (1-L)d_load
sample size 730
unit-root null hypothesis: a = 1

test with constant

model: (1-L)y = b0 + (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.600146
test statistic: tau_c(1) = -9.44934
asymptotic p-value 1.878e-017
1st-order autocorrelation coeff. for e: -0.021
lagged differences: F(12, 716) = 56.352 [0.0000]

Step 2: testing for a unit root in d_temp

Augmented Dickey-Fuller test for d_temp

including 12 lags of (1-L)d_temp
sample size 730
unit-root null hypothesis: a = 1

test with constant

model: (1-L)y = b0 + (a-1)*y(-1) + ... + e
estimated value of (a - 1): -1.32876
test statistic: tau_c(1) = -10.0947
asymptotic p-value 1.648e-019
1st-order autocorrelation coeff. for e: -0.004
lagged differences: F(12, 716) = 3.879 [0.0000]

Step 3: cointegrating regression

Cointegrating regression -
OLS, using observations 1:02-31:24 (T = 743)
Dependent variable: d_load

coefficient std. error t-ratio p-value

---------------------------------------------------------
const −0.0463265 7.17637 −0.006455 0.9949
d_temp −9.19314 4.98956 −1.842 0.0658 *

Mean dependent var −0.083445 S.D. dependent var 195.9283

Sum squared resid 28353928 S.E. of regression 195.6129
R-squared 0.004560 Adjusted R-squared 0.003217
Log-likelihood −4973.440 Akaike criterion 9950.881
Schwarz criterion 9960.102 Hannan-Quinn 9954.435
rho 0.774268 Durbin-Watson 0.452275

Step 4: testing for a unit root in uhat

Augmented Dickey-Fuller test for uhat

including 12 lags of (1-L)uhat
sample size 730
unit-root null hypothesis: a = 1

test without constant

model: (1-L)y = (a-1)*y(-1) + ... + e
estimated value of (a - 1): -0.624128
 test statistic: tau_c(2) = -9.71543
asymptotic p-value 2.817e-017
1st-order autocorrelation coeff. for e: -0.021
lagged differences: F(12, 717) = 47.388 [0.0000]

There is evidence for a cointegrating relationship if:

(a) The unit-root hypothesis is not rejected for the individual variables, and
(b) the unit-root hypothesis is rejected for the residuals (uhat) from the
cointegrating regression.