Re: [Gretl-users] Using ARIMA to determine the relationship of Venezuela's GDP Growth and oil variables.

Em 25 de ago de 2017, às 06:59, Nook Thanpisit <nook.thanpisit(a)gmail.com&gt; escreveu: Dear Gretl-Users Community, I am a political science student, who is working on a Master Thesis in 'What factors hinder economic growth of oil-producing countries?' through the case of Venezuela from 2001 to 2015. I have to admit that I have poor background in statistics but comfortable with using computer software, hence I am writing to seek for guidance in model correction and interpretation of dataset. I would like to determine the positive/negative correlations between Venezuela's GDP Growth and varying factors such as Oil Production, OPEC Spare Capacity, Economic Freedom etc. from 2001 to 2015 (annual basis). Could you guys please comment on my model, whether it fits for the aim of determining relationship and correlations between varying factors? Thank you Using the time series ARIMA model, the Dependent var. = Venezuela's GDP Growth Rate Here's the ADF Test of GDP Growth with lag of 2 from 14 data (annual). Augmented Dickey-Fuller test for GDP_Growth including 0 lags of (1-L)GDP_Growth (max was 2, criterion AIC) sample size 14 unit-root null hypothesis: a = 1 test with constant model: (1-L)y = b0 + (a-1)*y(-1) + e estimated value of (a - 1): -0.657506 test statistic: tau_c(1) = -2.29321 p-value 0.1868 1st-order autocorrelation coeff. for e: 0.131 with constant and trend model: (1-L)y = b0 + b1*t + (a-1)*y(-1) + ... + e estimated value of (a - 1): -0.935225 test statistic: tau_ct(1) = -3.03246 asymptotic p-value 0.1232 1st-order autocorrelation coeff. for e: -0.517 ARIMA Model (0,0,0) Model 2: ARMAX, using observations 2001-2015 (T = 15) Estimated using least squares (= MLE) Dependent variable: GDP_Growth coefficient std. error z p-value ---------------------------------------------------------------- const −26.9659 24.2697 −1.111 0.2665 ProvenCrude_Rese~ −0.0559316 0.0214914 −2.603 0.0093 *** CrudeOil_Product~ 23.8026 8.44659 2.818 0.0048 *** BalanceofTrade_U~ 0.000221970 0.000111334 1.994 0.0462 ** OPEC_SpareCapaci~ −3.80518 1.11847 −3.402 0.0007 *** Economic_Freedom −0.570406 0.314276 −1.815 0.0695 * Mean dependent var 2.371052 S.D. dependent var 7.682116 Mean of innovations 1.05e-14 S.D. of innovations 4.646369 Log-likelihood −40.49418 Akaike criterion 92.98835 Schwarz criterion 97.23665 Hannan-Quinn 92.94310 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users