本人对stata一窍不通,但是论文又需要用到。
根据“Oxford economic report(2011)” 做了黄金的ECM模型,公式为:% Ch. PGt = α + β1(% Ch. PGt-1) + β2(% Ch. PGt-2) + β3(US Inflation) + β4(% Ch. Ex Ratet) + β5(Ch. Real Ratet) + β6(Ch. Default Premiumt-1) + β7(Ch in growth rate of US monetary baset) + γECMt-1 + Time Dummies
最终代码为:
reg DLPG DLPG1 DLPG2 DLIFLT DLFX DLRI DLDP DLMB ECM
请问黄金的time dummies该如何做?这是我最终的结果
Source | SS df MS Number of obs = 265
-------------+---------------------------------- F(8, 256) = 10.59
Model | .094358119 8 .011794765 Prob > F = 0.0000
Residual | .285185155 256 .001114005 R-squared = 0.2486
-------------+---------------------------------- Adj R-squared = 0.2251
Total | .379543274 264 .001437664 Root MSE = .03338
------------------------------------------------------------------------------
DLPG | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
DLPG1 | .0735098 .055596 1.32 0.187 -.0359739 .1829934
DLPG2 | -.0995854 .0557868 -1.79 0.075 -.2094448 .0102741
DLIFLT | .019781 .0088972 2.22 0.027 .0022601 .037302
DLFX | -1.081626 .1305582 -8.28 0.000 -1.33873 -.8245207
DLRI | -.0206274 .0145674 -1.42 0.158 -.0493146 .0080599
DLDP | .0156559 .0269499 0.58 0.562 -.0374158 .0687276
DLMB | -.0295993 .0752841 -0.39 0.695 -.1778544 .1186558
ecm | -.0001953 .0039112 -0.05 0.960 -.0078975 .0075069
_cons | .0056203 .008372 0.67 0.503 -.0108664 .022107
------------------------------------------------------------------------------
黄金的actual and fitted value from equation还有equation residuals的线图该如何作?
我尝试了:
predict fitted_values
line fitted_values DLPG
但是得到的图很奇怪
原文章中结论还有这些值,但我不知道该怎么用stata写出来,在help里也没找到。麻烦各位帮帮我,谢谢大家!
S.D. dependent var
S.E. of regression
Akaike ubfi criteria
Sum squared resid
Schwartz criteria
Log likelihood
Hannan-Quinn criteria
Durbin-Watson statistic