Download Homework 3

Name:
Homework 3
1. Please finish the following tables of panel unit root, cointegraton, DOLS and
FOLS according to the empirical results of sample including 10 countries’ housing
prices and macroeconomics variables.
Your result of homework
Table 1 Panel unit root tests results
Method
HP
EA
I
Cc
LLC (2000)
Level
First difference
Table 2 Kao’s residual cointegration test results
t-Statistic
Prob.
ADF
Table 3 Pedroni (2004) residual cointegration test results
t-Statistic
Prob.
Within group
Panel v-Statistic
Panel rho-Statistic
Panel PP-Statistic
Panel ADF-Statistic
Between group
Group rho-Statistic
Group PP-Statistic
Group ADF-Statistic
Notes：The null hypothesis is that the variables are not cointegrated. Under the null hypothesis, all the
statistics are distributed as normal distributions. The variance ratio test is right-sided, while the others
are left-sided. ** and ***
indicate that the estimated parameters are rejects the null hypothesis of no
cointegration at the 5% and 1% levels. Newey-West bandwidth selection using Bartlett Kemel Cross
Method Statistic Probability.
1
Name:
Table 4 Fisher-type test using an underlying Johansen Methodology
Fisher statistic
Fisher statistic
Model
Prob.
(from Trace test)
(from Max-eigen
Prob.
test)
None
At most 1
At most 2
At most 3
Notes:
Asymptotic p-values are computed using a Chi-square distribution. *** indicates that the test
statistics are significant at the 1% level. Fisher’s test is applied regardless of the dependent variable.
Table 5 Dynamic OLS estimates & FMOLS estimates
DOLS
FMOLS
Regions
Log (EA)
Log (I)
Log (CC)
Log (EA)
Log (I)
Log (CC)
Panel Group
]
Notes:
*, **, and *** indicate that the test statistics are significant at the 10%, 5%, and 1% levels,
respectively. House prices are the dependent variable. Asymptotic distribution of t-statistic is standard
normal as T and N go to infinity. Here, t-statistics are given in square brackets.
2
Name:
example of table 1 and table 5
Table 1 Panel unit root tests results
Method
LLC (2000)
Level
First difference
HP
EA
I
Cc
-1.41
(0.07)
-8.90**
(0.00)
8.45
(1.00)
-23.21**
(0.00)
-1.17
(0.11)
-40.27**
(0.00)
0.83
(0.79)
-15.56**
(0.00)
2.49
(0.99)
-3.75**
(0.00)
6.84
(1.00)
7.70
(1.00)
-3.33**
(0.00)
-26.51**
(0.00)
-0.36
(0.35)
-4.42**
(0.00)
2.84
(0.99)
-37.07**
(0.00)
-4.37**
(0.00)
-39.20**
(0.00)
2.61
(0.99)
-20.25**
(0.00)
46.69
(0.96)
1224.32**
(0.00)
125.45**
(0.00)
1149.9**
(0.00)
63.66
(0.55)
560.76**
(0.00)
229.29**
(0.00)
2080.03**
(0.00)
215.63**
(0.00)
1374.31**
(0.00)
218.54**
(0.00)
1371.08**
(0.00)
Breitung(2000) t-stat
Level
First difference
IPS (2003) W-stat
2.61
(0.99)
-14.29**
First difference
(0.00)
ADF-Fisher Chi-square
52.10
Level
(0.89)
370.99**
First difference
(0.00)
PP-Fisher Chi-square
68.83
Level
(0.38)
1062.64**
First difference
(0.00)
Level
Notes: The null hypothesis is that the variable follows a unit root process. ** indicates that the
estimated parameters are significant at the 5% level.
Table 5 Dynamic OLS estimates & FMOLS estimates
DOLS
Panel Group
Notes:
FMOLS
Log (EA)
Log (I)
Log (CC)
Log (EA)
Log (I)
Log (CC)
2.16***
-0.04*
0.22***
2.18***
-0.02
0.23***
[9.30]
[-1.63]
[8.17]
[9.59]
[-0.98]
[9.47]
*, **, and *** indicate that the test statistics are significant at the 10%, 5%, and 1% levels,
respectively. House prices are the dependent variable. Asymptotic distribution of t-statistic is standard
normal as T and N go to infinity. Here, t-statistics are given in square brackets.
3