Example 8.2 Comparing Estimates and Models
In this example, the Grunfeld series are estimated using different estimation methods. Refer to Maddala (1977) for details of the Grunfeld investment data set. For comparison, the Yule-Walker method, ULS method, and maximum likelihood method estimates are shown. With the DWPROB option, the p-value of the Durbin-Watson statistic is printed. The Durbin-Watson test indicates the positive autocorrelation of the regression residuals. The DATA and PROC steps follow:
title 'Grunfeld''s Investment Models Fit with Autoregressive Errors';
data grunfeld;
input year gei gef gec;
label gei = 'Gross investment GE'
gec = 'Lagged Capital Stock GE'
gef = 'Lagged Value of GE shares';
datalines;
... more lines ...
proc autoreg data=grunfeld;
model gei = gef gec / nlag=1 dwprob;
model gei = gef gec / nlag=1 method=uls;
model gei = gef gec / nlag=1 method=ml;
run;
The printed output produced by each of the MODEL statements is shown in Output 8.2.1 through Output 8.2.4.
Output 8.2.1
OLS Analysis of Residuals
13216.5878 |
17 |
777.44634 |
27.88272 |
195.614652 |
192.627455 |
19.9433255 |
194.127455 |
23.2047973 |
193.210587 |
1.0721 |
0.7053 |
|
0.7053 |
1 |
-9.9563 |
31.3742 |
-0.32 |
0.7548 |
|
1 |
0.0266 |
0.0156 |
1.71 |
0.1063 |
Lagged Value of GE shares |
1 |
0.1517 |
0.0257 |
5.90 |
<.0001 |
Lagged Capital Stock GE |
660.8 |
1.000000 |
| |********************| |
304.6 |
0.460867 |
| |********* | |
Output 8.2.2
Regression Results Using Default Yule-Walker Method
10238.2951 |
16 |
639.89344 |
25.29612 |
193.742396 |
189.759467 |
18.0715195 |
192.426133 |
21.0772644 |
190.536976 |
1.3321 |
0.5717 |
|
0.7717 |
1 |
-18.2318 |
33.2511 |
-0.55 |
0.5911 |
|
1 |
0.0332 |
0.0158 |
2.10 |
0.0523 |
Lagged Value of GE shares |
1 |
0.1392 |
0.0383 |
3.63 |
0.0022 |
Lagged Capital Stock GE |
Output 8.2.3
Regression Results Using Unconditional Least Squares Method
10220.8455 |
16 |
638.80284 |
25.27455 |
193.756692 |
189.773763 |
18.1317764 |
192.44043 |
21.149176 |
190.551273 |
1.3523 |
0.5511 |
|
0.7721 |
1 |
-18.6582 |
34.8101 |
-0.54 |
0.5993 |
|
1 |
0.0339 |
0.0179 |
1.89 |
0.0769 |
Lagged Value of GE shares |
1 |
0.1369 |
0.0449 |
3.05 |
0.0076 |
Lagged Capital Stock GE |
1 |
-0.4996 |
0.2592 |
-1.93 |
0.0718 |
|
1 |
-18.6582 |
33.7567 |
-0.55 |
0.5881 |
|
1 |
0.0339 |
0.0159 |
2.13 |
0.0486 |
Lagged Value of GE shares |
1 |
0.1369 |
0.0404 |
3.39 |
0.0037 |
Lagged Capital Stock GE |
Output 8.2.4
Regression Results Using Maximum Likelihood Method
10229.2303 |
16 |
639.32689 |
25.28491 |
193.738877 |
189.755947 |
18.0892426 |
192.422614 |
21.0978407 |
190.533457 |
-90.877974 |
0.5656 |
1.3385 |
0.7719 |
|
20 |
1 |
-18.3751 |
34.5941 |
-0.53 |
0.6026 |
|
1 |
0.0334 |
0.0179 |
1.87 |
0.0799 |
Lagged Value of GE shares |
1 |
0.1385 |
0.0428 |
3.23 |
0.0052 |
Lagged Capital Stock GE |
1 |
-0.4728 |
0.2582 |
-1.83 |
0.0858 |
|
1 |
-18.3751 |
33.3931 |
-0.55 |
0.5897 |
|
1 |
0.0334 |
0.0158 |
2.11 |
0.0512 |
Lagged Value of GE shares |
1 |
0.1385 |
0.0389 |
3.56 |
0.0026 |
Lagged Capital Stock GE |
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