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| From | "Sabina Kummer" <sabina.noo@postmail.ch> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: suspicious p-value? |
| Date | Thu, 10 Jan 2013 22:43:33 +0100 (CET) |
Dear all, I am currently working with error correction model (Johansen approach) in order to estimate the level of tax income. The explanatory variable is GDP and I use quarterly seasonally adjusted data (that are expressed in log). The coefficient of the cointegration equation is highly significant, with a p-value of 0.0000 (lower than the 1% level). I would like to know whether the fact that the p-value is so low is a sign of a spurious modelisation or of a problem with data or of any other problem. Is that common to have p-value of 0.0000 in the cases of error correction model? The specification is the following: D(TAX)=C(1)+C(2)*(TAX(-1)-0.292587*GDP(-1)-0.005554*@TREND)+C(3)*D(GDP(-1))+C(4)*D(GDP(-2))+C(5)*D(TAX(-1))+C(6)*D(TAX(-2)) The cointegration equation is: TAX(-1)-0.292587*GDP(-1)-0.005554*@TREND Here is the output of the estimation: Coefficient Std. Error t-Statistic Prob. C(1) 5.223485 0.953629 5.477480 0.0000 C(2) -0.956099 0.174718 -5.472241 0.0000 C(3) 0.498795 1.992768 0.250303 0.8030 C(4) 1.872874 2.003406 0.934845 0.3528 C(5) 0.122361 0.145785 0.839326 0.4039 C(6) 0.097690 0.113331 0.861987 0.3913 R-squared 0.428218 Mean dependent var 0.007543 Adjusted R-squared 0.391566 S.D. dependent var 0.147855 S.E. of regression 0.115330 Akaike info criterion -1.413284 Sum squared resid 1.037484 Schwarz criterion -1.239655 Log likelihood 65.35795 Hannan-Quinn criter. -1.343487 F-statistic 11.68315 Durbin-Watson stat 2.026847 Prob(F-statistic) 0.000000 Many thanks for your consideration and your help. Kind regards, Sabina ---- Fin du message transféré ---- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/