VI- Conclusion
Ce rapport de recherche a permis de comparer les
résultats de prévision du modèle HAR(3)-RV de Corsi (2009)
appliqué à des séries de hautes fréquences du CHK
stock regroupées en fréquence de 5 minutes et en fréquence
optimale selon Bandi et Russell (2007) qui est de 9 minutes dans le cadre de ce
travail. L'analyse descriptive des deux séries à partir de leur
auto-corrélogramme laisse présager une certaine
stationnarité des séries journalière ce que le test de
Philippes et Perron (PP) confirme. Cependant l'estimation des modèles
complets ne permet pas conclure que certains coefficients du modèle
HAR(3)-RV sont statistiquement différents de zéro. On
procède quand même à des prévisions hors
échantillons pour 40 jours en utilisant le principe de la fenêtre
récursive. La comparaison de la performance des deux séries est
faite sous la base de comparaison de leur HRMSE. Cette étude a donc
permis ( malgré certains anomalies rencontrée au niveau de
certains résultats) de confirmer que la fréquence optimale
proposée par Bandi et Russell (2007) permet d'effectuer une meilleure
prévision que la fréquence de 5 minutes
généralement utilisée.
25
VII- Annexe
Newey-West estimation Tableau # 1
. newey rvd5 rvd5t rvw5t rvm5t, lag(10)
Regression with Newey-West standard errors Number of obs
= 232
maximum lag: 10 F( 3, 228) = 101.88
Prob > F = 0.0000
|
|
Newey-West
|
|
|
|
|
|
rvd5
|
Coef.
|
Std. Err.
|
t
|
P>|t|
|
[95% Conf.
|
Interval]
|
|
rvd5t
|
.1588765
|
.1706757
|
0.93
|
0.353
|
-.1774269
|
.4951799
|
|
rvw5t
|
.568678
|
.1450324
|
3.92
|
0.000
|
.2829028
|
.8544532
|
|
rvm5t
|
.0599194
|
.1630507
|
0.37
|
0.714
|
-.2613594
|
.3811983
|
|
_cons
|
.0016249
|
.0005843
|
2.78
|
0.006
|
.0004736
|
.0027761
|
Tableau # 2
. newey rvd9 rvd9t rvw9t rvm9t, lag(10)
Regression with Newey-West standard errors Number of obs
= 232
maximum lag: 10 F( 3, 228) = 76.50
Prob > F = 0.0000
|
|
Newey-West
|
|
|
|
|
|
rvd9
|
Coef.
|
Std. Err.
|
t
|
P>|t|
|
[95% Conf.
|
Interval]
|
|
rvd9t
|
.4761764
|
.100971
|
4.72
|
0.000
|
.2772208
|
.6751319
|
|
rvw9t
|
.2226054
|
.1906846
|
1.17
|
0.244
|
-.153124
|
.5983348
|
|
rvm9t
|
.1174122
|
.1856543
|
0.63
|
0.528
|
-.2484053
|
.4832297
|
|
_cons
|
.0014324
|
.0005998
|
2.39
|
0.018
|
.0002504
|
.0026143
|
Test de Philippes et Perron
Tableau # 3
. pperron rvd5, notrend
Phillips-Perron test for unit root Number of obs =
231
Newey-West lags = 4
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(rho) -126.933 -20.237 -13.962 -11.175
Z(t) -9.017 -3.466 -2.881 -2.571
MacKinnon approximate p-value for Z(t) =
0.0000
Tableau # 4
. pperron rvw5t, notrend
Phillips-Perron test for unit root Number of obs =
231
Newey-West lags = 4
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(rho) -17.647 -20.237 -13.962 -11.175
Z(t) -3.006 -3.466 -2.881 -2.571
MacKinnon approximate p-value for Z(t) =
0.0343
Tableau # 5
. pperron rvm5t, notrend
Phillips-Perron test for unit root Number of obs
231
Newey-West lags 4
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(rho) -3.407 -20.237 -13.962 -11.175
Z(t) -1.313 -3.466 -2.881 -2.571
MacKinnon approximate p-value for Z(t) 0.6233
Tableau # 6
. pperron rvd9t, notrend
Phillips-Perron test for unit root Number of obs
231
Newey-West lags 4
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(rho) -77.259 -20.237 -13.962 -11.175
Z(t) -6.849 -3.466 -2.881 -2.571
MacKinnon approximate p-value for Z(t) 0.0000
Tableau # 7
. pperron rvw9t, notrend
Phillips-Perron test for unit root Number of obs
231
Newey-West lags 4
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(rho) -18.226 -20.237 -13.962 -11.175
Z(t) -3.004 -3.466 -2.881 -2.571
MacKinnon approximate p-value for Z(t) 0.0346
Tableau # 8
. pperron rvm9t, notrend
Phillips-Perron test for unit root Number of obs
231
Newey-West lags 4
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(rho) -2.605 -20.237 -13.962 -11.175
Z(t) -1.024 -3.466 -2.881 -2.571
26
MacKinnon approximate p-value for Z(t) 0.7442
27
Critere d'information AIC Tableau # 9
. varsoc rvd5, maxlag(19)
Selection-order criteria
Sample: 20 - 232 Number of obs = 213
|
lag
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC
|
|
0
|
965.643
|
|
|
|
6.8e-06
|
-9.05768
|
-9.0513
|
-9.0419
|
|
1
|
996.071
|
60.856
|
1
|
0.000
|
5.2e-06
|
-9.334
|
-9.32124
|
-9.30243
|
|
2
|
1012.19
|
32.233
|
1
|
0.000
|
4.5e-06
|
-9.47593
|
-9.4568
|
-9.42859*
|
|
3
|
1014.18
|
3.9842*
|
1
|
0.046
|
4.4e-06*
|
-9.48525*
|
-9.45974*
|
-9.42213
|
|
4
|
1014.55
|
.74868
|
1
|
0.387
|
4.5e-06
|
-9.47938
|
-9.44749
|
-9.40047
|
|
5
|
1014.79
|
.47742
|
1
|
0.490
|
4.5e-06
|
-9.47223
|
-9.43396
|
-9.37754
|
|
6
|
1015.1
|
.61668
|
1
|
0.432
|
4.5e-06
|
-9.46573
|
-9.42109
|
-9.35527
|
|
7
|
1015.43
|
.65334
|
1
|
0.419
|
4.6e-06
|
-9.45941
|
-9.40839
|
-9.33316
|
|
8
|
1017.12
|
3.3774
|
1
|
0.066
|
4.5e-06
|
-9.46588
|
-9.40848
|
-9.32385
|
|
9
|
1017.25
|
.2765
|
1
|
0.599
|
4.6e-06
|
-9.45779
|
-9.39401
|
-9.29998
|
|
10
|
1018.09
|
1.6796
|
1
|
0.195
|
4.6e-06
|
-9.45628
|
-9.38613
|
-9.28269
|
|
11
|
1019.54
|
2.8946
|
1
|
0.089
|
4.6e-06
|
-9.46048
|
-9.38395
|
-9.27111
|
|
12
|
1020.6
|
2.1162
|
1
|
0.146
|
4.6e-06
|
-9.46103
|
-9.37812
|
-9.25588
|
|
13
|
1020.62
|
.0468
|
1
|
0.829
|
4.6e-06
|
-9.45186
|
-9.36257
|
-9.23093
|
|
14
|
1021.25
|
1.2501
|
1
|
0.264
|
4.6e-06
|
-9.44834
|
-9.35267
|
-9.21163
|
|
15
|
1021.3
|
.0956
|
1
|
0.757
|
4.7e-06
|
-9.4394
|
-9.33736
|
-9.1869
|
|
16
|
1021.3
|
.00606
|
1
|
0.938
|
4.7e-06
|
-9.43003
|
-9.32162
|
-9.16176
|
|
17
|
1021.51
|
.42539
|
1
|
0.514
|
4.7e-06
|
-9.42264
|
-9.30785
|
-9.13859
|
|
18
|
1022.08
|
1.1473
|
1
|
0.284
|
4.8e-06
|
-9.41864
|
-9.29747
|
-9.1188
|
|
19
|
1022.19
|
.20466
|
1
|
0.651
|
4.8e-06
|
-9.41021
|
-9.28266
|
-9.0946
|
Endogenous: rvd5 Exogenous: _cons
Tableau # 10
. varsoc rvw5t, maxlag(19)
Selection-order criteria
Sample: 20 - 232 Number of obs = 213
|
lag
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC
|
|
0
|
1022.14
|
|
|
|
4.0e-06
|
-9.58814
|
-9.58176
|
-9.57235
|
|
1
|
1285.78
|
527.28
|
1
|
0.000
|
3.4e-07
|
-12.0542
|
-12.0415
|
-12.0227
|
|
2
|
1291.72
|
11.897
|
1
|
0.001
|
3.3e-07
|
-12.1007
|
-12.0816
|
-12.0534
|
|
3
|
1301.56
|
19.676
|
1
|
0.000
|
3.0e-07
|
-12.1837
|
-12.1582
|
-12.1206
|
|
4
|
1301.69
|
.24757
|
1
|
0.619
|
3.0e-07
|
-12.1755
|
-12.1436
|
-12.0966
|
|
5
|
1301.69
|
.00871
|
1
|
0.926
|
3.0e-07
|
-12.1661
|
-12.1278
|
-12.0714
|
|
6
|
1327.41
|
51.44
|
1
|
0.000
|
2.4e-07
|
-12.3982
|
-12.3536
|
-12.2878
|
|
7
|
1334.2
|
13.572
|
1
|
0.000
|
2.3e-07
|
-12.4525
|
-12.4015
|
-12.3263*
|
|
8
|
1334.38
|
.37296
|
1
|
0.541
|
2.3e-07
|
-12.4449
|
-12.3875
|
-12.3029
|
|
9
|
1335.46
|
2.1555
|
1
|
0.142
|
2.3e-07
|
-12.4456
|
-12.3819
|
-12.2878
|
|
10
|
1336.53
|
2.1364
|
1
|
0.144
|
2.3e-07
|
-12.4463
|
-12.3761
|
-12.2727
|
|
11
|
1343.75
|
14.441
|
1
|
0.000
|
2.2e-07*
|
-12.5047*
|
-12.4282*
|
-12.3153
|
|
12
|
1344.06
|
.62431
|
1
|
0.429
|
2.2e-07
|
-12.4982
|
-12.4153
|
-12.2931
|
|
13
|
1344.57
|
1.0094
|
1
|
0.315
|
2.2e-07
|
-12.4936
|
-12.4043
|
-12.2726
|
|
14
|
1344.59
|
.05235
|
1
|
0.819
|
2.2e-07
|
-12.4844
|
-12.3888
|
-12.2477
|
|
15
|
1344.68
|
.16865
|
1
|
0.681
|
2.2e-07
|
-12.4758
|
-12.3738
|
-12.2233
|
|
16
|
1346.51
|
3.6635
|
1
|
0.056
|
2.2e-07
|
-12.4836
|
-12.3752
|
-12.2154
|
|
17
|
1346.74
|
.46974
|
1
|
0.493
|
2.2e-07
|
-12.4765
|
-12.3617
|
-12.1924
|
|
18
|
1347.91
|
2.3321
|
1
|
0.127
|
2.2e-07
|
-12.478
|
-12.3568
|
-12.1782
|
|
19
|
1350.62
|
5.4272*
|
1
|
0.020
|
2.2e-07
|
-12.4941
|
-12.3666
|
-12.1785
|
Endogenous: rvw5t Exogenous: _cons
28
Tableau # 11
. varsoc rvm5t, maxlag(19)
Selection-order criteria
Sample: 20 - 232 Number of obs = 213
|
lag
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC
|
|
0
|
1072.92
|
|
|
|
2.5e-06
|
-10.065
|
-10.0586
|
-10.0492
|
|
1
|
1540.51
|
935.19
|
1
|
0.000
|
3.1e-08
|
-14.4461
|
-14.4334
|
-14.4146
|
|
2
|
1553.12
|
25.225
|
1
|
0.000
|
2.8e-08
|
-14.5552
|
-14.536
|
-14.5078
|
|
3
|
1569.27
|
32.288
|
1
|
0.000
|
2.4e-08
|
-14.6974
|
-14.6718
|
-14.6342
|
|
4
|
1572.56
|
6.5848
|
1
|
0.010
|
2.4e-08*
|
-14.7189*
|
-14.687*
|
-14.64*
|
|
5
|
1573.06
|
.98896
|
1
|
0.320
|
2.4e-08
|
-14.7141
|
-14.6759
|
-14.6195
|
|
6
|
1573.06
|
.00256
|
1
|
0.960
|
2.4e-08
|
-14.7048
|
-14.6601
|
-14.5943
|
|
7
|
1573.33
|
.54111
|
1
|
0.462
|
2.4e-08
|
-14.6979
|
-14.6469
|
-14.5717
|
|
8
|
1573.59
|
.52426
|
1
|
0.469
|
2.4e-08
|
-14.691
|
-14.6336
|
-14.549
|
|
9
|
1573.73
|
.28101
|
1
|
0.596
|
2.5e-08
|
-14.6829
|
-14.6191
|
-14.5251
|
|
10
|
1575.54
|
3.6228
|
1
|
0.057
|
2.4e-08
|
-14.6905
|
-14.6204
|
-14.5169
|
|
11
|
1576.61
|
2.1275
|
1
|
0.145
|
2.4e-08
|
-14.6911
|
-14.6146
|
-14.5018
|
|
12
|
1576.95
|
.69892
|
1
|
0.403
|
2.5e-08
|
-14.685
|
-14.6021
|
-14.4799
|
|
13
|
1578.15
|
2.3871
|
1
|
0.122
|
2.5e-08
|
-14.6868
|
-14.5976
|
-14.4659
|
|
14
|
1580.27
|
4.2526*
|
1
|
0.039
|
2.4e-08
|
-14.6974
|
-14.6018
|
-14.4607
|
|
15
|
1580.33
|
.11598
|
1
|
0.733
|
2.4e-08
|
-14.6886
|
-14.5865
|
-14.4361
|
|
16
|
1580.42
|
.1785
|
1
|
0.673
|
2.5e-08
|
-14.68
|
-14.5716
|
-14.4117
|
|
17
|
1580.46
|
.08172
|
1
|
0.775
|
2.5e-08
|
-14.671
|
-14.5562
|
-14.387
|
|
18
|
1580.46
|
3.6e-05
|
1
|
0.995
|
2.5e-08
|
-14.6616
|
-14.5404
|
-14.3618
|
|
19
|
1580.46
|
.00116
|
1
|
0.973
|
2.5e-08
|
-14.6522
|
-14.5247
|
-14.3366
|
Endogenous: rvm5t Exogenous: _cons
Tableau # 12
. varsoc rvd9t, maxlag(19)
Selection-order criteria
Sample: 20 - 232 Number of obs = 213
|
lag
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC
|
|
0
|
949.137
|
|
|
|
8.0e-06
|
-8.90269
|
-8.89631
|
-8.88691
|
|
1
|
1009.51
|
120.75
|
1
|
0.000
|
4.6e-06
|
-9.46022
|
-9.44747*
|
-9.42866*
|
|
2
|
1010.16
|
1.2945
|
1
|
0.255
|
4.6e-06
|
-9.45691
|
-9.43778
|
-9.40957
|
|
3
|
1012.47
|
4.6123*
|
1
|
0.032
|
4.5e-06
|
-9.46918
|
-9.44367
|
-9.40605
|
|
4
|
1013.56
|
2.1938
|
1
|
0.139
|
4.5e-06*
|
-9.47009*
|
-9.4382
|
-9.39118
|
|
5
|
1014.2
|
1.2639
|
1
|
0.261
|
4.5e-06
|
-9.46663
|
-9.42837
|
-9.37195
|
|
6
|
1014.2
|
.0144
|
1
|
0.904
|
4.6e-06
|
-9.45731
|
-9.41267
|
-9.34684
|
|
7
|
1014.5
|
.58938
|
1
|
0.443
|
4.6e-06
|
-9.45069
|
-9.39967
|
-9.32444
|
|
8
|
1016.01
|
3.0151
|
1
|
0.082
|
4.6e-06
|
-9.45545
|
-9.39805
|
-9.31343
|
|
9
|
1016.02
|
.02056
|
1
|
0.886
|
4.6e-06
|
-9.44616
|
-9.38238
|
-9.28835
|
|
10
|
1016.61
|
1.181
|
1
|
0.277
|
4.6e-06
|
-9.44231
|
-9.37216
|
-9.26873
|
|
11
|
1017.36
|
1.5134
|
1
|
0.219
|
4.7e-06
|
-9.44003
|
-9.3635
|
-9.25066
|
|
12
|
1017.51
|
.28995
|
1
|
0.590
|
4.7e-06
|
-9.432
|
-9.34909
|
-9.22685
|
|
13
|
1017.68
|
.34479
|
1
|
0.557
|
4.7e-06
|
-9.42423
|
-9.33494
|
-9.2033
|
|
14
|
1017.74
|
.12329
|
1
|
0.725
|
4.8e-06
|
-9.41542
|
-9.31976
|
-9.17871
|
|
15
|
1017.76
|
.02975
|
1
|
0.863
|
4.8e-06
|
-9.40617
|
-9.30413
|
-9.15368
|
|
16
|
1018.69
|
1.873
|
1
|
0.171
|
4.8e-06
|
-9.40557
|
-9.29715
|
-9.1373
|
|
17
|
1018.71
|
.02515
|
1
|
0.874
|
4.9e-06
|
-9.3963
|
-9.28151
|
-9.11225
|
|
18
|
1019
|
.57995
|
1
|
0.446
|
4.9e-06
|
-9.38963
|
-9.26846
|
-9.0898
|
|
19
|
1019.21
|
.42082
|
1
|
0.517
|
4.9e-06
|
-9.38222
|
-9.25467
|
-9.06661
|
Endogenous: rvd9t Exogenous: _cons
Tableau # 13
. varsoc rvw9t, maxlag(19)
Selection-order criteria
Sample: 20 - 232 Number of obs = 213
|
lag
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC
|
|
0
|
998.66
|
|
|
|
5.0e-06
|
-9.3677
|
-9.36132
|
-9.35192
|
|
1
|
1270.74
|
544.16
|
1
|
0.000
|
3.9e-07
|
-11.913
|
-11.9003
|
-11.8815
|
|
2
|
1303.6
|
65.72
|
1
|
0.000
|
2.9e-07
|
-12.2122
|
-12.1931
|
-12.1648
|
|
3
|
1303.61
|
.01622
|
1
|
0.899
|
2.9e-07
|
-12.2029
|
-12.1774
|
-12.1397
|
|
4
|
1303.61
|
.00657
|
1
|
0.935
|
3.0e-07
|
-12.1935
|
-12.1616
|
-12.1146
|
|
5
|
1304.81
|
2.4097
|
1
|
0.121
|
3.0e-07
|
-12.1954
|
-12.1572
|
-12.1008
|
|
6
|
1321.53
|
33.431
|
1
|
0.000
|
2.6e-07
|
-12.343
|
-12.2984
|
-12.2325
|
|
7
|
1331.06
|
19.053
|
1
|
0.000
|
2.4e-07
|
-12.4231
|
-12.372
|
-12.2968*
|
|
8
|
1331.18
|
.25189
|
1
|
0.616
|
2.4e-07
|
-12.4149
|
-12.3575
|
-12.2728
|
|
9
|
1333.55
|
4.7365
|
1
|
0.030
|
2.3e-07
|
-12.4277
|
-12.3639
|
-12.2699
|
|
10
|
1333.73
|
.36485
|
1
|
0.546
|
2.4e-07
|
-12.42
|
-12.3499
|
-12.2464
|
|
11
|
1337.78
|
8.0918
|
1
|
0.004
|
2.3e-07*
|
-12.4486*
|
-12.3721*
|
-12.2593
|
|
12
|
1338.1
|
.64604
|
1
|
0.422
|
2.3e-07
|
-12.4423
|
-12.3594
|
-12.2371
|
|
13
|
1338.32
|
.44029
|
1
|
0.507
|
2.3e-07
|
-12.4349
|
-12.3457
|
-12.214
|
|
14
|
1338.39
|
.13826
|
1
|
0.710
|
2.3e-07
|
-12.4262
|
-12.3305
|
-12.1895
|
|
15
|
1340.31
|
3.8444
|
1
|
0.050
|
2.3e-07
|
-12.4349
|
-12.3328
|
-12.1824
|
|
16
|
1342.65
|
4.6721*
|
1
|
0.031
|
2.3e-07
|
-12.4474
|
-12.339
|
-12.1791
|
|
17
|
1343.48
|
1.6598
|
1
|
0.198
|
2.3e-07
|
-12.4458
|
-12.331
|
-12.1618
|
|
18
|
1343.79
|
.62957
|
1
|
0.428
|
2.3e-07
|
-12.4394
|
-12.3182
|
-12.1395
|
|
19
|
1345.5
|
3.4093
|
1
|
0.065
|
2.3e-07
|
-12.446
|
-12.3184
|
-12.1304
|
Endogenous: rvw9t Exogenous: _cons
29
Tableau # 14
. varsoc rvm9t, maxlag(19)
Selection-order criteria
Sample: 20 - 232 Number of obs 213
|
lag
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC
|
|
0
|
1047.82
|
|
|
|
3.2e-06
|
-9.8293
|
-9.82293
|
-9.81352
|
|
1
|
1539.21
|
982.78
|
1
|
0.000
|
3.2e-08
|
-14.4339
|
-14.4212
|
-14.4024
|
|
2
|
1575.19
|
71.947
|
1
|
0.000
|
2.3e-08
|
-14.7623
|
-14.7432
|
-14.715*
|
|
3
|
1576.18
|
1.9946
|
1
|
0.158
|
2.3e-08
|
-14.7623
|
-14.7368
|
-14.6992
|
|
4
|
1580.04
|
7.7022*
|
1
|
0.006
|
2.2e-08
|
-14.7891
|
-14.7572*
|
-14.7102
|
|
5
|
1580.29
|
.50968
|
1
|
0.475
|
2.2e-08
|
-14.7821
|
-14.7438
|
-14.6874
|
|
6
|
1582.11
|
3.634
|
1
|
0.057
|
2.2e-08*
|
-14.7897*
|
-14.7451
|
-14.6793
|
|
7
|
1582.11
|
.00551
|
1
|
0.941
|
2.2e-08
|
-14.7804
|
-14.7294
|
-14.6541
|
|
8
|
1582.16
|
.10225
|
1
|
0.749
|
2.3e-08
|
-14.7715
|
-14.7141
|
-14.6294
|
|
9
|
1583.15
|
1.9731
|
1
|
0.160
|
2.3e-08
|
-14.7713
|
-14.7076
|
-14.6135
|
|
10
|
1583.89
|
1.483
|
1
|
0.223
|
2.3e-08
|
-14.7689
|
-14.6988
|
-14.5953
|
|
11
|
1584.4
|
1.0261
|
1
|
0.311
|
2.3e-08
|
-14.7643
|
-14.6878
|
-14.575
|
|
12
|
1585.6
|
2.3981
|
1
|
0.121
|
2.3e-08
|
-14.7662
|
-14.6833
|
-14.5611
|
|
13
|
1585.93
|
.66061
|
1
|
0.416
|
2.3e-08
|
-14.7599
|
-14.6706
|
-14.539
|
|
14
|
1586.66
|
1.4592
|
1
|
0.227
|
2.3e-08
|
-14.7574
|
-14.6617
|
-14.5207
|
|
15
|
1586.75
|
.18685
|
1
|
0.666
|
2.3e-08
|
-14.7489
|
-14.6468
|
-14.4964
|
|
16
|
1586.83
|
.15594
|
1
|
0.693
|
2.3e-08
|
-14.7402
|
-14.6318
|
-14.4719
|
|
17
|
1588.11
|
2.5604
|
1
|
0.110
|
2.3e-08
|
-14.7428
|
-14.628
|
-14.4588
|
|
18
|
1588.68
|
1.1275
|
1
|
0.288
|
2.3e-08
|
-14.7387
|
-14.6176
|
-14.4389
|
|
19
|
1588.68
|
.01461
|
1
|
0.904
|
2.3e-08
|
-14.7294
|
-14.6019
|
-14.4138
|
Endogenous: rvm9t Exogenous: _cons
Test ADF Tableau # 15
. dfuller rvd5t, regress lags(2) notrend
Augmented Dickey-Fuller test for unit root Number of obs
229
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -4.284 -3.467 -2.881 -2.571
D.rvd5t Coef. Std. Err. t P>|t| [95% Conf.
Interval]
rvd5t
L1. -.2809236 .0655763 -4.28 0.000 -.4101457
-.1517014
LD. -.4417156 .075837 -5.82 0.000 -.5911573
-.2922739
L2D. -.1580934 .0657674 -2.40 0.017 -.2876922
-.0284946
_cons .0021674 .0005222 4.15 0.000 .0011384
.0031963
MacKinnon approximate p-value for Z(t) 0.0005
Tableau # 16
. dfuller rvw5t, regress lags(10) notrend
Augmented Dickey-Fuller test for unit root Number of obs
221
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -2.182 -3.470 -2.882 -2.572
MacKinnon approximate p-value for Z(t) 0.2127
|
D.rvw5t Coef. Std. Err. t P>|t| [95% Conf.
Interval]
rvw5t
L1. -.0397431 .0182099 -2.18 0.030 -.0756417
-.0038444
LD. .2802849 .0657874 4.26 0.000 .150593
.4099769
L2D. .2182326 .0682612 3.20 0.002 .0836639 .3528013 L3D. .0981402
.0692491 1.42 0.158 -.0383759 .2346564 L4D. .1255755 .0686311 1.83 0.069
-.0097225 .2608734 L5D. -.6483546 .0677782 -9.57 0.000 -.781971 -.5147381 L6D.
.1924941 .0662076 2.91 0.004 .0619738 .3230144 L7D. -.0106351 .0668405 -0.16
0.874 -.142403 .1211329 L8D. .1361763 .0664534 2.05 0.042 .0051715 .2671812
L9D. .1340599 .066091 2.03 0.044 .0037694 .2643504 L10D. -.2457259 .06465 -3.80
0.000 -.3731756 -.1182763
_cons .0002955 .0001432 2.06 0.040 .0000133
.0005778
|
Tableau # 17
. dfuller rvm5t, regress lags(3) notrend
Augmented Dickey-Fuller test for unit root Number of obs
228
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -2.349 -3.467 -2.881 -2.571
MacKinnon approximate p-value for Z(t) 0.1566
|
D.rvm5t Coef. Std. Err. t P>|t| [95% Conf.
Interval]
rvm5t
L1. -.014036 .0059746 -2.35 0.020 -.0258099 -.002262
LD. .2322732 .0641551 3.62 0.000 .1058452 .3587011 L2D. .2218274 .0645003 3.44
0.001 .0947193 .3489355 L3D. .2194213 .0643873 3.41 0.001 .0925359
.3463067
_cons .0001009 .0000464 2.18 0.031 9.48e-06
.0001922
|
Tableau # 18
. dfuller rvd9t, regress lags(3) notrend
Augmented Dickey-Fuller test for unit root Number of obs
228
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -3.912 -3.467 -2.881 -2.571
D.rvd9t Coef. Std. Err. t P>|t| [95% Conf.
Interval]
rvd9t
L1. -.2425242 .061996 -3.91 0.000 -.3646972 -.1203512
LD. -.184317 .0764362 -2.41 0.017 -.3349467 -.0336873 L2D. -.2233121 .0708373
-3.15 0.002 -.3629083 -.0837159 L3D. -.1155613 .0664932 -1.74 0.084 -.2465968
.0154742
_cons .0018751 .0004997 3.75 0.000 .0008904
.0028599
30
MacKinnon approximate p-value for Z(t) 0.0019
Tableau # 19
. dfuller rvw9t, regress lags(10) notrend
Augmented Dickey-Fuller test for unit root Number of obs
221
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -2.084 -3.470 -2.882 -2.572
MacKinnon approximate p-value for Z(t) 0.2508
|
D.rvw9t Coef. Std. Err. t P>|t| [95% Conf.
Interval]
rvw9t
L1. -.0359766 .0172596 -2.08 0.038 -.0700019 -.0019513
LD. .5437895 .0670889 8.11 0.000 .4115318 .6760473 L2D. -.028812 .0770943 -0.37
0.709 -.1807942 .1231701 L3D. .0903163 .076735 1.18 0.241 -.0609575 .2415901
L4D. .1134796 .0757622 1.50 0.136 -.0358765 .2628356 L5D. -.6179893 .0736328
-8.39 0.000 -.7631474 -.4728312 L6D. .2863941 .0721614 3.97 0.000 .1441366
.4286517 L7D. -.0459403 .0743459 -0.62 0.537 -.1925044 .1006237 L8D. .1350603
.0742259 1.82 0.070 -.0112672 .2813877 L9D. .0574387 .0742832 0.77 0.440
-.0890017 .203879 L10D. -.1859631 .066097 -2.81 0.005 -.3162655
-.0556608
_cons .0002637 .0001373 1.92 0.056 -7.06e-06
.0005344
|
Tableau # 20
. dfuller rvm9t, regress lags(5) notrend
Augmented Dickey-Fuller test for unit root Number of obs
226
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -2.306 -3.468 -2.882 -2.572
31
MacKinnon approximate p-value for Z(t) 0.1700
D.rvm9t Coef. Std. Err. t P>|t| [95% Conf.
Interval]
rvm9t
L1. -.0132747 .0057565 -2.31 0.022 -.0246199
-.0019295
LD. .4335723 .0664152 6.53 0.000 .3026775
.5644671
L2D. -.0120557 .0725996 -0.17 0.868 -.1551389
.1310275
L3D. .1579577 .0716084 2.21 0.028 .016828
.2990874
L4D. .0148142 .072402 0.20 0.838 -.1278797
.157508
L5D. .1269073 .0663026 1.91 0.057 -.0037656
.2575801
_cons .0000926 .000045 2.06 0.041 3.95e-06
.0001812
NEWey West Tableau # 21
. newey rvd5 rvd5t rvw5t rvm5t, lag(10)
Regression with Newey-West standard errors Number of obs
232
maximum lag: 10 F( 3, 228) 102.46
Prob > F 0.0000
|
Newey-West
rvd5 Coef. Std. Err. t P>|t| [95% Conf.
Interval]
rvd5t .1575747 .17043 0.92 0.356 -.1782444 .4933938
rvw5t .5831836 .1446845 4.03 0.000 .298094 .8682733 rvm5t .0385385 .1626678
0.24 0.813 -.281986 .359063 _cons .0016846 .0005856 2.88 0.004 .0005307
.0028384
|
. *(1 variable, 22 observations pasted into data
editor) . *(1 variable, 22 observations pasted into data editor)
32
Tableau # 22
. newey rvd9 rvd9t rvw9t rvm9t, lag(10)
Regression with Newey-West standard errors Number of
obs = 232
maximum lag: 10 F( 3, 228) = 76.50
Prob > F = 0.0000
|
|
Newey-West
|
|
|
|
|
|
rvd9
|
Coef.
|
Std. Err.
|
t
|
P>|t|
|
[95% Conf.
|
Interval]
|
|
rvd9t
|
.4761764
|
.100971
|
4.72
|
0.000
|
.2772208
|
.6751319
|
|
rvw9t
|
.2226054
|
.1906846
|
1.17
|
0.244
|
-.153124
|
.5983348
|
|
rvm9t
|
.1174122
|
.1856543
|
0.63
|
0.528
|
-.2484053
|
.4832297
|
|
_cons
|
.0014324
|
.0005998
|
2.39
|
0.018
|
.0002504
|
.0026143
|
AR(5)
Tableau # 23 Optimal frequency (9mn)
. newey rvd91 rvd9t1 rvd9t2 rvd9t3 rvd9t4 rvd9t5,
lag(22)
|
Regression with Newey-West maximum lag: 22
|
standard errors
|
Number of obs =
F( 5, 226) =
Prob > F =
|
232
147.65
0.0000
|
|
rvd91
|
Coef.
|
Newey-West
Std. Err.
|
t
|
P>|t|
|
[95% Conf.
|
Interval]
|
|
rvd9t1
|
.5665762
|
.0890361
|
6.36
|
0.000
|
.3911292
|
.7420232
|
|
rvd9t2
|
-.0443474
|
.0912277
|
-0.49
|
0.627
|
-.224113
|
.1354183
|
|
rvd9t3
|
.1114792
|
.0787403
|
1.42
|
0.158
|
-.0436798
|
.2666383
|
|
rvd9t4
|
.0850122
|
.0828578
|
1.03
|
0.306
|
-.0782604
|
.2482848
|
|
rvd9t5
|
.0516655
|
.0511692
|
1.01
|
0.314
|
-.0491642
|
.1524952
|
|
_cons
|
.0017742
|
.0002681
|
6.62
|
0.000
|
.0012459
|
.0023025
|
Tableau # 24
|
. reg rvd91 rvd9t1 rvd9t2 rvd9t3 rvd9t4
|
rvd9t5
|
|
|
|
Source
|
SS
|
df MS
|
|
Number of obs
|
= 247
|
|
F( 5, 241)
|
= 34.12
|
|
Model
|
.000825439
|
5 .000165088
|
|
Prob > F
|
= 0.0000
|
|
Residual
|
.001166175
|
241 4.8389e-06
|
|
R-squared
|
= 0.4145
|
|
Adj R-squared
|
= 0.4023
|
|
Total
|
.001991614
|
246 8.0960e-06
|
|
Root MSE
|
= .0022
|
|
rvd91
|
Coef.
|
Std. Err. t
|
P>|t|
|
[95% Conf.
|
Interval]
|
|
rvd9t1
|
.5179317
|
.0642906 8.06
|
0.000
|
.3912884
|
.644575
|
|
rvd9t2
|
-.0240526
|
.0723328 -0.33
|
0.740
|
-.1665379
|
.1184327
|
|
rvd9t3
|
.1429031
|
.071643 1.99
|
0.047
|
.0017767
|
.2840295
|
|
rvd9t4
|
.0589587
|
.0722263 0.82
|
0.415
|
-.0833167
|
.2012341
|
|
rvd9t5
|
.0569715
|
.0640357 0.89
|
0.375
|
-.0691697
|
.1831127
|
|
_cons
|
.0018899
|
.0004975 3.80
|
0.000
|
.0009098
|
.00287
|
33
| 
