Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd
Upload
136 views

ARMAX Model

1. The document presents the results of an ARMAX model using observations from 1990-2008 to analyze inflation with various independent variables. 2. The model found several variables like the error correction term, GDP growth, and exchange rate to be statistically significant predictors of inflation. 3. Diagnostic tests like the Akaike criterion and Schwarz criterion are reported to evaluate the model fit and performance.

Uploaded by

Mohammad Mudasser
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
136 views

ARMAX Model

1. The document presents the results of an ARMAX model using observations from 1990-2008 to analyze inflation with various independent variables. 2. The model found several variables like the error correction term, GDP growth, and exchange rate to be statistically significant predictors of inflation. 3. Diagnostic tests like the Akaike criterion and Schwarz criterion are reported to evaluate the model fit and performance.

Uploaded by

Mohammad Mudasser
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
You are on page 1/ 2

{\rtf1\par

\qc
Model 5: ARMAX, using observations 1990-2008 (T = 19)\par
Dependent variable: Inflation\par
Standard errors based on Hessian
\par
{\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl \qc {\i }\cell \qc {\i Coefficient}\cell \qc {\i Std. Error}\cell \qc {\i
z}\cell \qc {\i p-value}\cell \ql \cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql const\cell \qc 16.3358\cell \qc 6.79953\cell \qc 2.4025\cell \qc
0.01628\cell \ql **\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql phi_1\cell \qc -0.485652\cell \qc 0.322823\cell \qc -1.5044\cell \qc
0.13248\cell \ql \cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql theta_1\cell \qc -1\cell \qc 0.141759\cell \qc -7.0542\cell \qc
<0.00001\cell \ql ***\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql MoneySupplyGrow\cell \qc -0.0786398\cell \qc 0.151938\cell \qc
-0.5176\cell \qc 0.60475\cell \ql \cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql GDPgrowth\cell \qc 0.255863\cell \qc 0.13814\cell \qc 1.8522\cell \qc
0.06400\cell \ql *\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql CPIgrowth\cell \qc -0.0381286\cell \qc 0.0908405\cell \qc -0.4197\cell
\qc 0.67468\cell \ql \cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql ExchangeRate\cell \qc -0.287345\cell \qc 0.17328\cell \qc -1.6583\cell
\qc 0.09726\cell \ql *\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql FDI_in_bn_\cell \qc 0.0621095\cell \qc 0.156143\cell \qc 0.3978\cell \qc
0.69080\cell \ql \cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx1900\cellx3300\cellx4700\cellx6100\cellx7500\cellx8000
\intbl\ql GrossDomesticSa\cell \qc 0.160217\cell \qc 0.199239\cell \qc
0.8041\cell \qc 0.42131\cell \ql \cell \intbl \row
}

\par
{\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx2500\cellx3800\cellx4200\cellx6700\cellx8000
\intbl\ql Mean dependent var\cell\qr 7.022105\cell \qc \cell\ql S.D. dependent
var\cell\qr 2.964182\cell\intbl\row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx2500\cellx3800\cellx4200\cellx6700\cellx8000
\intbl\ql Mean of innovations\cell\qr -0.127896\cell \qc \cell\ql S.D. of
innovations\cell\qr 0.898760\cell\intbl\row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx2500\cellx3800\cellx4200\cellx6700\cellx8000
\intbl\ql Log-likelihood\cell\qr -26.94338\cell \qc \cell\ql Akaike
criterion\cell\qr 73.88677\cell\intbl\row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx2500\cellx3800\cellx4200\cellx6700\cellx8000
\intbl\ql Schwarz criterion\cell\qr 83.33116\cell \qc \cell\ql Hannan-
Quinn\cell\qr 75.48513\cell\intbl\row
}

\par
{\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx500\cellx1500\cellx2900\cellx4300\cellx5700\cellx7100
\intbl\qr \cell \qc \cell \qc {\i Real}\cell \qc {\i Imaginary}\cell \qc {\i
Modulus}\cell \qc {\i Frequency}\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx500\cellx1500\cellx2900\cellx4300\cellx5700\cellx7100
\intbl\ql AR\cell\ql \cell\ql \cell\ql \cell\ql \cell\ql\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx500\cellx1500\cellx2900\cellx4300\cellx5700\cellx7100
\intbl\ql \cell \ql Root 1 \cell \qr -2.0591\cell \qr 0.0000\cell \qr
2.0591\cell \qr 0.5000\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx500\cellx1500\cellx2900\cellx4300\cellx5700\cellx7100
\intbl\ql MA\cell\ql \cell\ql \cell\ql \cell\ql \cell\ql\cell \intbl \row
\trowd \trqc \trgaph30\trleft-
30\trrh262\cellx500\cellx1500\cellx2900\cellx4300\cellx5700\cellx7100
\intbl\ql \cell \ql Root 1 \cell \qr 1.0000\cell \qr 0.0000\cell \qr 1.0000\cell
\qr 0.0000\cell \intbl \row
}

You might also like