9:59 a.m.
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
2:20 p.m.
You have only 15 observations in your model.
First of all, work, at least with quarterly data.
Second point: the elasticities you will obtain from your coefficients will be meaningless.
Take a look on any econometrics basic text book.
Enviado do meu iPhone
Em 25 de ago de 2017, às 06:59, Nook Thanpisit
<nook.thanpisit(a)gmail.com> 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
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2:46 p.m.
I think that the story that you want to tell or describe, cannot be
captured by the data you listed. I would suggest presenting trends and
summaries of the data you identified, as contextual background. But
statistical analysis, regardless of the number of observations, is
unlikely to capture the salient nature of the process you wish to
describe. Good luck with the paper! Tomas
On Fri, Aug 25, 2017 at 8:20 AM, Fernando Fernandes Neto
<nando.fernandes.neto(a)gmail.com> wrote:
You have only 15 observations in your model.
First of all, work, at least with quarterly data.
Second point: the elasticities you will obtain from your coefficients will
be meaningless. Take a look on any econometrics basic text book.
Enviado do meu iPhone
Em 25 de ago de 2017, às 06:59, Nook Thanpisit <nook.thanpisit(a)gmail.com>
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
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
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2435
days inactive
2435
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2 comments
3 participants
participants (3)
-
Fernando Fernandes Neto -
Nook Thanpisit -
Tomas Nilsson