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    ARMAX Model

    Uploaded by

    Mohammad Mudasser
    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.

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    Attribution Non-Commercial (BY-NC)
    Download as TXT, PDF, TXT or read online from Scribd

    ARMAX Model

    Uploaded by

    Mohammad Mudasser
    126 views2 pages
    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.

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    © Attribution Non-Commercial (BY-NC)

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    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.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as TXT, PDF, TXT or read online from Scribd
    Download as txt, pdf, or txt
    126 views2 pages

    ARMAX Model

    Uploaded by

    Mohammad Mudasser
    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.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as TXT, PDF, TXT or read online from Scribd
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    {\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
    }

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