Linear Regression - Estimation by Least Squares Dependent Variable GDPCH Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 164 Centered R**2 0.331326 R Bar **2 0.266089 Uncentered R**2 0.657906 T x R**2 119.081 Mean of Dependent Variable 3.3085028951 Std Error of Dependent Variable 3.3955708027 Standard Error of Estimate 2.9089372696 Sum of Squared Residuals 1387.7542303 Regression F(16,164) 5.0788 Significance Level of F 0.00000002 Log Likelihood -441.17140 Durbin-Watson Statistic 1.995476 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 2.170330274 0.806485117 2.69110 0.00785968 2. GDPCH{1} 0.144749600 0.079616962 1.81807 0.07087744 3. GDPCH{2} 0.189719139 0.080527852 2.35594 0.01965765 4. GDPCH{3} -0.060969919 0.074658252 -0.81665 0.41531118 5. GDPCH{4} 0.049864943 0.069941780 0.71295 0.47689034 6. INFLATION{1} 0.180812001 0.210104148 0.86058 0.39072427 7. INFLATION{2} -0.008099580 0.231656005 -0.03496 0.97215111 8. INFLATION{3} -0.310776360 0.237254646 -1.30989 0.19206652 9. INFLATION{4} 0.011770019 0.215547799 0.05461 0.95651950 10. FEDFUNDS{1} 0.124355811 0.205318815 0.60567 0.54557002 11. FEDFUNDS{2} -1.010638610 0.227123953 -4.44972 0.00001581 12. FEDFUNDS{3} 0.456083364 0.239004061 1.90827 0.05810388 13. FEDFUNDS{4} 0.233465160 0.217552290 1.07315 0.28478256 14. MGROW{1} 0.064356762 0.089425139 0.71967 0.47275135 15. MGROW{2} 0.075858975 0.094048580 0.80659 0.42106885 16. MGROW{3} 0.102710271 0.090930224 1.12955 0.26031514 17. MGROW{4} 0.013483338 0.084749425 0.15910 0.87378859 Null Hypothesis : The Following Coefficients Are Zero INFLATION Lag(s) 1 to 4 F(4,164)= 0.71171 with Significance Level 0.58502790 Null Hypothesis : The Following Coefficients Are Zero MGROW Lag(s) 1 to 4 F(4,164)= 1.97125 with Significance Level 0.10126036 Null Hypothesis : The Following Coefficients Are Zero FEDFUNDS Lag(s) 1 to 4 F(4,164)= 6.18029 with Significance Level 0.00011739 Linear Regression - Estimation by Least Squares Dependent Variable GDPCH Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.238208 R Bar **2 0.202775 Uncentered R**2 0.610266 T x R**2 110.458 Mean of Dependent Variable 3.3085028951 Std Error of Dependent Variable 3.3955708027 Standard Error of Estimate 3.0318182032 Sum of Squared Residuals 1581.0105182 Regression F(8,172) 6.7229 Significance Level of F 0.00000012 Log Likelihood -452.97056 Durbin-Watson Statistic 1.993868 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 1.723971602 0.414679376 4.15736 0.00005069 2. GDPCH{1} 0.167679123 0.075315528 2.22636 0.02728905 3. GDPCH{2} 0.149470269 0.074888646 1.99590 0.04752294 4. GDPCH{3} -0.050568819 0.072365277 -0.69880 0.48562115 5. GDPCH{4} 0.090238560 0.069881048 1.29132 0.19832662 6. STOCKCH{1} 0.019735460 0.007099279 2.77992 0.00604265 7. STOCKCH{2} 0.031244929 0.007199190 4.34006 0.00002424 8. STOCKCH{3} 0.006959172 0.007528826 0.92434 0.35660587 9. STOCKCH{4} 0.003842445 0.007520538 0.51093 0.61005746 Null Hypothesis : The Following Coefficients Are Zero STOCKCH Lag(s) 1 to 4 F(4,172)= 6.85095 with Significance Level 0.00003857 Linear Regression - Estimation by Least Squares Dependent Variable STOCKCH Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.030006 R Bar **2 -0.015110 Uncentered R**2 0.071219 T x R**2 12.891 Mean of Dependent Variable 6.789292215 Std Error of Dependent Variable 32.319395267 Standard Error of Estimate 32.562656400 Sum of Squared Residuals 182376.17380 Regression F(8,172) 0.6651 Significance Level of F 0.72171187 Log Likelihood -882.66521 Durbin-Watson Statistic 1.991499 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 10.96029039 4.45378355 2.46089 0.01484645 2. GDPCH{1} 0.50295717 0.80891185 0.62177 0.53491634 3. GDPCH{2} -1.03620314 0.80432701 -1.28829 0.19937680 4. GDPCH{3} -0.90509079 0.77722524 -1.16452 0.24582784 5. GDPCH{4} 0.17009563 0.75054387 0.22663 0.82098071 6. STOCKCH{1} 0.03983019 0.07624843 0.52237 0.60208221 7. STOCKCH{2} -0.08184591 0.07732151 -1.05851 0.29130539 8. STOCKCH{3} -0.01922961 0.08086190 -0.23781 0.81231305 9. STOCKCH{4} 0.06632107 0.08077288 0.82108 0.41273678 Null Hypothesis : The Following Coefficients Are Zero GDPCH Lag(s) 1 to 4 F(4,172)= 0.91726 with Significance Level 0.45522372 Linear Regression - Estimation by Least Squares Dependent Variable INFLATION Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.807761 R Bar **2 0.798819 Uncentered R**2 0.942163 T x R**2 170.532 Mean of Dependent Variable 3.7083468945 Std Error of Dependent Variable 2.4393912952 Standard Error of Estimate 1.0941441191 Sum of Squared Residuals 205.91003279 Regression F(8,172) 90.3398 Significance Level of F 0.00000000 Log Likelihood -268.49715 Durbin-Watson Statistic 1.936882 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.284970527 0.167629958 1.70000 0.09093893 2. INFLATION{1} 0.535708658 0.075673107 7.07925 0.00000000 3. INFLATION{2} 0.116261536 0.085515500 1.35954 0.17575595 4. INFLATION{3} 0.110006856 0.085265952 1.29016 0.19872638 5. INFLATION{4} 0.171429936 0.075027688 2.28489 0.02354065 6. STOCKCH{1} -0.004683249 0.002582122 -1.81372 0.07146367 7. STOCKCH{2} -0.002192782 0.002573333 -0.85212 0.39533382 8. STOCKCH{3} 0.001484905 0.002569317 0.57794 0.56406218 9. STOCKCH{4} 0.001877001 0.002564357 0.73196 0.46519069 Null Hypothesis : The Following Coefficients Are Zero STOCKCH Lag(s) 1 to 4 F(4,172)= 1.35108 with Significance Level 0.25305400 Linear Regression - Estimation by Least Squares Dependent Variable STOCKCH Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.027676 R Bar **2 -0.017548 Uncentered R**2 0.068989 T x R**2 12.487 Mean of Dependent Variable 6.789292215 Std Error of Dependent Variable 32.319395267 Standard Error of Estimate 32.601738088 Sum of Squared Residuals 182814.21213 Regression F(8,172) 0.6120 Significance Level of F 0.76704597 Log Likelihood -882.88232 Durbin-Watson Statistic 1.992629 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 11.06383913 4.99479722 2.21507 0.02806847 2. INFLATION{1} -3.31337177 2.25479879 -1.46948 0.14353055 3. INFLATION{2} -0.14358971 2.54806829 -0.05635 0.95512650 4. INFLATION{3} 1.82260900 2.54063262 0.71738 0.47411037 5. INFLATION{4} 0.66131602 2.23556749 0.29582 0.76772764 6. STOCKCH{1} 0.02407847 0.07693838 0.31296 0.75469182 7. STOCKCH{2} -0.09948745 0.07667648 -1.29750 0.19619798 8. STOCKCH{3} -0.04046525 0.07655683 -0.52856 0.59778873 9. STOCKCH{4} 0.01932550 0.07640905 0.25292 0.80063079 Null Hypothesis : The Following Coefficients Are Zero INFLATION Lag(s) 1 to 4 F(4,172)= 0.81203 with Significance Level 0.51906157 Linear Regression - Estimation by Least Squares Dependent Variable FEDFUNDS Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.868480 R Bar **2 0.862363 Uncentered R**2 0.969829 T x R**2 175.539 Mean of Dependent Variable 6.1646408840 Std Error of Dependent Variable 3.3728607225 Standard Error of Estimate 1.2513126339 Sum of Squared Residuals 269.31472892 Regression F(8,172) 141.9736 Significance Level of F 0.00000000 Log Likelihood -292.79110 Durbin-Watson Statistic 1.978230 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 0.317368195 0.208675888 1.52087 0.13012952 2. FEDFUNDS{1} 0.847607237 0.074518155 11.37451 0.00000000 3. FEDFUNDS{2} -0.013038378 0.094798713 -0.13754 0.89076682 4. FEDFUNDS{3} 0.359429139 0.094907459 3.78715 0.00021037 5. FEDFUNDS{4} -0.263738385 0.074779566 -3.52688 0.00053919 6. STOCKCH{1} 0.003488814 0.002992747 1.16576 0.24532691 7. STOCKCH{2} 0.008539090 0.002985893 2.85981 0.00476397 8. STOCKCH{3} 0.002930978 0.002979205 0.98381 0.32658975 9. STOCKCH{4} 0.002395824 0.002970588 0.80651 0.42105974 Null Hypothesis : The Following Coefficients Are Zero STOCKCH Lag(s) 1 to 4 F(4,172)= 2.85330 with Significance Level 0.02530984 Linear Regression - Estimation by Least Squares Dependent Variable STOCKCH Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.042892 R Bar **2 -0.001624 Uncentered R**2 0.083558 T x R**2 15.124 Mean of Dependent Variable 6.789292215 Std Error of Dependent Variable 32.319395267 Standard Error of Estimate 32.345633134 Sum of Squared Residuals 179953.27705 Regression F(8,172) 0.9635 Significance Level of F 0.46627135 Log Likelihood -881.45485 Durbin-Watson Statistic 1.997824 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 6.850624867 5.394138545 1.27001 0.20579550 2. FEDFUNDS{1} -4.560699102 1.926246750 -2.36766 0.01901176 3. FEDFUNDS{2} 3.463136427 2.450486239 1.41324 0.15939097 4. FEDFUNDS{3} -0.726534574 2.453297249 -0.29615 0.76747572 5. FEDFUNDS{4} 1.825479925 1.933004071 0.94437 0.34630295 6. STOCKCH{1} 0.013195079 0.077360594 0.17057 0.86476559 7. STOCKCH{2} -0.069674525 0.077183421 -0.90271 0.36794036 8. STOCKCH{3} 0.001183162 0.077010559 0.01536 0.98775988 9. STOCKCH{4} 0.037936809 0.076787814 0.49405 0.62190315 Null Hypothesis : The Following Coefficients Are Zero FEDFUNDS Lag(s) 1 to 4 F(4,172)= 1.50856 with Significance Level 0.20176946 Linear Regression - Estimation by Least Squares Dependent Variable STOCKCH Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.053336 R Bar **2 0.009305 Uncentered R**2 0.093558 T x R**2 16.934 Mean of Dependent Variable 6.789292215 Std Error of Dependent Variable 32.319395267 Standard Error of Estimate 32.168683313 Sum of Squared Residuals 177989.76001 Regression F(8,172) 1.2113 Significance Level of F 0.29496474 Log Likelihood -880.46195 Durbin-Watson Statistic 1.992626 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 11.10486172 6.29033103 1.76539 0.07927340 2. MGROW{1} 1.78690192 0.88413945 2.02106 0.04482386 3. MGROW{2} -1.29502271 0.97028842 -1.33468 0.18374580 4. MGROW{3} 0.66804869 0.97618531 0.68435 0.49467764 5. MGROW{4} -1.77223380 0.88119581 -2.01117 0.04586919 6. STOCKCH{1} 0.03577673 0.07573988 0.47236 0.63726636 7. STOCKCH{2} -0.10042702 0.07573429 -1.32604 0.18658329 8. STOCKCH{3} -0.00659654 0.07491327 -0.08806 0.92993488 9. STOCKCH{4} 0.04412453 0.07545010 0.58482 0.55943686 Null Hypothesis : The Following Coefficients Are Zero MGROW Lag(s) 1 to 4 F(4,172)= 1.99957 with Significance Level 0.09672672 Linear Regression - Estimation by Least Squares Dependent Variable MGROW Quarterly Data From 1960:03 To 2005:03 Usable Observations 181 Degrees of Freedom 172 Centered R**2 0.402267 R Bar **2 0.374466 Uncentered R**2 0.874603 T x R**2 158.303 Mean of Dependent Variable 6.8098742002 Std Error of Dependent Variable 3.5185168862 Standard Error of Estimate 2.7828206996 Sum of Squared Residuals 1331.9836600 Regression F(8,172) 14.4692 Significance Level of F 0.00000000 Log Likelihood -437.45932 Durbin-Watson Statistic 1.982714 Variable Coeff Std Error T-Stat Signif ******************************************************************************* 1. Constant 2.065021391 0.544158530 3.79489 0.00020441 2. MGROW{1} 0.476383708 0.076484373 6.22851 0.00000000 3. MGROW{2} 0.090577278 0.083936873 1.07911 0.28204879 4. MGROW{3} 0.171198004 0.084446997 2.02728 0.04417714 5. MGROW{4} -0.026639993 0.076229727 -0.34947 0.72716409 6. STOCKCH{1} 0.006833970 0.006552040 1.04303 0.29839849 7. STOCKCH{2} -0.007119050 0.006551556 -1.08662 0.27872539 8. STOCKCH{3} -0.009192788 0.006480533 -1.41852 0.15784737 9. STOCKCH{4} -0.005375834 0.006526972 -0.82363 0.41128832 Null Hypothesis : The Following Coefficients Are Zero STOCKCH Lag(s) 1 to 4 F(4,172)= 1.30018 with Significance Level 0.27192871