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st: suspicious p-value?
From
"Sabina Kummer" <[email protected]>
To
[email protected]
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
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