Key to variables: anti_s=hate crimes against JEWISH victims anti_b=hate crimes against BLACK victims anti_w=hate crimes against WHITE victims anti_g=hate crimes against GAY/LESBIAN victims anti_a=hate crimes against ASIAN victims UN_NYCF=UNEMPLOYMENT rate {note that all variables refer to the incidents/unemployment rates in the four largest boroughs of New York City) CORRELOGRAMS OF ALL VARIABLES Correlogram of ANTI_S ============================================================== Date: 12/07/97 Time: 14:37 Sample: 1987:01 1995:12 Included observations: 108 ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |*** | . |*** | 1 0.348 0.348 13.431 0.000 . |. | .*|. | 2-0.032-0.174 13.546 0.001 .*|. | . |. | 3-0.104-0.035 14.766 0.002 . |. | . |. | 4-0.033 0.019 14.888 0.005 . |. | . |. | 5 0.047 0.042 15.141 0.010 . |* | . |* | 6 0.110 0.080 16.559 0.011 . |* | . |. | 7 0.103 0.046 17.803 0.013 . |. | . |. | 8 0.064 0.036 18.290 0.019 . |* | . |* | 9 0.126 0.138 20.198 0.017 . |. | .*|. | 10-0.044-0.146 20.428 0.025 . |. | . |* | 11-0.027 0.075 20.514 0.039 . |. | . |. | 12-0.003-0.024 20.515 0.058 ============================================================== Correlogram of ANTI_B ============================================================== Date: 12/07/97 Time: 14:37 Sample: 1987:01 1995:12 Included observations: 108 ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |*** | . |*** | 1 0.407 0.407 18.436 0.000 . |** | . |* | 2 0.278 0.135 27.114 0.000 . |* | . |. | 3 0.137-0.020 29.235 0.000 . |* | . |* | 4 0.141 0.074 31.506 0.000 . |* | . |* | 5 0.185 0.122 35.457 0.000 . |* | . |. | 6 0.120-0.017 37.138 0.000 . |** | . |* | 7 0.220 0.160 42.839 0.000 . |* | .*|. | 8 0.087-0.073 43.743 0.000 . |* | . |. | 9 0.107 0.029 45.124 0.000 . |* | . |* | 10 0.134 0.091 47.311 0.000 . |* | . |* | 11 0.196 0.107 52.020 0.000 . |* | .*|. | 12 0.117-0.070 53.721 0.000 ============================================================== Correlogram of ANTI_W ============================================================== Date: 12/07/97 Time: 14:38 Sample: 1987:01 1995:12 Included observations: 108 ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |*** | . |*** | 1 0.367 0.367 14.983 0.000 . |** | . |* | 2 0.224 0.103 20.613 0.000 . |* | . |. | 3 0.094-0.020 21.623 0.000 . |* | . |* | 4 0.134 0.100 23.673 0.000 . |. | . |. | 5 0.049-0.035 23.950 0.000 . |. | .*|. | 6-0.048-0.100 24.218 0.000 . |. | . |. | 7-0.017 0.032 24.252 0.001 . |. | . |. | 8 0.022 0.039 24.308 0.002 . |* | . |* | 9 0.091 0.083 25.297 0.003 . |. | .*|. | 10-0.023-0.083 25.360 0.005 . |. | . |. | 11-0.004 0.005 25.362 0.008 . |* | . |* | 12 0.071 0.092 25.988 0.011 ============================================================== Correlogram of ANTI_G ============================================================== Date: 12/07/97 Time: 14:38 Sample: 1987:01 1995:12 Included observations: 108 ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |**** | . |**** | 1 0.462 0.462 23.713 0.000 . |** | . |* | 2 0.271 0.073 31.948 0.000 . |** | . |* | 3 0.291 0.181 41.551 0.000 . |* | . |. | 4 0.175-0.038 45.036 0.000 . |. | .*|. | 5 0.002-0.140 45.037 0.000 . |. | .*|. | 6-0.047-0.068 45.294 0.000 . |. | . |. | 7-0.030 0.010 45.400 0.000 . |. | . |* | 8 0.036 0.125 45.551 0.000 . |** | . |** | 9 0.232 0.314 52.010 0.000 . |** | . |* | 10 0.247 0.102 59.408 0.000 . |** | . |* | 11 0.301 0.137 70.520 0.000 . |*** | . |. | 12 0.334 0.022 84.333 0.000 ============================================================== Correlogram of ANTI_A ============================================================== Date: 12/07/97 Time: 14:38 Sample: 1987:01 1995:12 Included observations: 108 ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |* | . |* | 1 0.084 0.084 0.7846 0.376 .*|. | .*|. | 2-0.100-0.108 1.9103 0.385 . |* | . |* | 3 0.105 0.126 3.1677 0.366 .*|. | .*|. | 4-0.070-0.108 3.7290 0.444 .*|. | .*|. | 5-0.113-0.071 5.2041 0.391 . |* | . |* | 6 0.084 0.074 6.0218 0.421 . |* | . |* | 7 0.100 0.085 7.1968 0.409 .*|. | . |. | 8-0.059-0.050 7.6123 0.472 . |. | . |. | 9-0.024-0.028 7.6836 0.566 . |* | . |. | 10 0.081 0.063 8.4693 0.583 .*|. | .*|. | 11-0.130-0.118 10.541 0.482 .*|. | .*|. | 12-0.111-0.066 12.056 0.441 ============================================================== Correlogram of UN_NYCF ============================================================== Date: 12/07/97 Time: 14:39 Sample: 1987:01 1995:12 Included observations: 108 ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |*******| . |*******| 1 0.928 0.928 95.580 0.000 . |*******| . |** | 2 0.891 0.215 184.50 0.000 . |*******| . |* | 3 0.871 0.168 270.25 0.000 . |*******| . |* | 4 0.857 0.123 354.13 0.000 . |****** | .*|. | 5 0.820-0.112 431.65 0.000 . |****** | . |** | 6 0.818 0.206 509.57 0.000 . |****** | .*|. | 7 0.792-0.101 583.44 0.000 . |****** | .*|. | 8 0.753-0.147 650.72 0.000 . |****** | . |. | 9 0.724 0.018 713.65 0.000 . |***** | . |. | 10 0.711 0.016 774.96 0.000 . |***** | . |. | 11 0.683-0.016 832.01 0.000 . |***** | . |. | 12 0.654-0.040 884.90 0.000 ============================================================== OUTPUT USED TO CREATE APPENDIX ============================================================ LS // Dependent Variable is ANTI_S Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 3 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 13.23451 0.895870 14.77280 0.0000 AR(1) 0.352998 0.091749 3.847427 0.0002 ============================================================ R-squared 0.123559 Mean dependent var 13.16822 Adjusted R-squared 0.115212 S.D. dependent var 6.371348 S.E. of regression 5.993092 Akaike info criter 3.599730 Sum squared resid 3771.301 Schwarz criterion 3.649689 Log likelihood -342.4120 F-statistic 14.80269 Durbin-Watson stat 1.884296 Prob(F-statistic) 0.000205 ============================================================ Inverted AR Roots .35 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:27 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 1 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |. | . |. | 1 0.051 0.051 0.2830 .*|. | .*|. | 2-0.136-0.139 2.3263 0.127 .*|. | .*|. | 3-0.109-0.096 3.6643 0.160 . |. | . |. | 4-0.027-0.036 3.7438 0.290 . |. | . |. | 5 0.019-0.006 3.7860 0.436 . |* | . |. | 6 0.071 0.053 4.3661 0.498 . |. | . |. | 7 0.064 0.057 4.8456 0.564 . |. | . |. | 8-0.016-0.004 4.8747 0.675 . |* | . |* | 9 0.152 0.189 7.6261 0.471 .*|. | .*|. | 10-0.102-0.111 8.8764 0.449 . |. | . |. | 11-0.020 0.041 8.9233 0.539 . |. | . |. | 12-0.013-0.018 8.9439 0.627 ============================================================== ============================================================ ARCH Test: ============================================================ F-statistic 0.042498 Probability 0.837076 Obs*R-squared 0.043298 Probability 0.835166 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:27 Sample(adjusted): 1987:03 1995:12 Included observations: 106 after adjusting endpoints ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 35.91023 10.25819 3.500640 0.0007 RESID^2(-1) -0.020215 0.098060 -0.206151 0.8371 ============================================================ R-squared 0.000408 Mean dependent var 35.19350 Adjusted R-squared -0.009203 S.D. dependent var 98.90951 S.E. of regression 99.36360 Akaike info criter 9.216259 Sum squared resid 1026805. Schwarz criterion 9.266513 Log likelihood -636.8692 F-statistic 0.042498 Durbin-Watson stat 1.997943 Prob(F-statistic) 0.837076 ============================================================ ============================================================ LS // Dependent Variable is ANTI_S Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 3 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 10.27709 1.699145 6.048388 0.0000 TIME 0.053120 0.026773 1.984070 0.0499 AR(1) 0.308148 0.093554 3.293808 0.0014 ============================================================ R-squared 0.153605 Mean dependent var 13.16822 Adjusted R-squared 0.137328 S.D. dependent var 6.371348 S.E. of regression 5.917716 Akaike info criter 3.583538 Sum squared resid 3642.013 Schwarz criterion 3.658477 Log likelihood -340.5457 F-statistic 9.437047 Durbin-Watson stat 1.875685 Prob(F-statistic) 0.000171 ============================================================ Inverted AR Roots .31 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:27 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 1 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |. | . |. | 1 0.059 0.059 0.3766 .*|. | .*|. | 2-0.153-0.157 2.9909 0.084 .*|. | .*|. | 3-0.139-0.123 5.1560 0.076 . |. | .*|. | 4-0.054-0.065 5.4829 0.140 . |. | . |. | 5-0.004-0.041 5.4851 0.241 . |. | . |. | 6 0.055 0.022 5.8281 0.323 . |. | . |. | 7 0.048 0.023 6.0937 0.413 . |. | . |. | 8-0.032-0.034 6.2136 0.515 . |* | . |* | 9 0.127 0.156 8.1295 0.421 .*|. | .*|. | 10-0.125-0.144 10.002 0.350 . |. | . |. | 11-0.050 0.008 10.301 0.414 . |. | .*|. | 12-0.045-0.058 10.552 0.482 ============================================================== ============================================================ White Heteroskedasticity Test: ============================================================ F-statistic 1.131570 Probability 0.326465 Obs*R-squared 2.278832 Probability 0.320006 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:27 Sample: 1987:02 1995:12 Included observations: 107 ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C -2.913345 28.46982 -0.102331 0.9187 TIME 1.228933 1.193030 1.030094 0.3054 TIME^2 -0.007701 0.010519 -0.732051 0.4658 ============================================================ R-squared 0.021297 Mean dependent var 34.03751 Adjusted R-squared 0.002476 S.D. dependent var 92.94950 S.E. of regression 92.83434 Akaike info criter 9.089270 Sum squared resid 896294.4 Schwarz criterion 9.164209 Log likelihood -635.1024 F-statistic 1.131570 Durbin-Watson stat 2.093624 Prob(F-statistic) 0.326465 ============================================================ ============================================================ LS // Dependent Variable is ANTI_B Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 3 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 9.234781 0.662620 13.93677 0.0000 AR(1) 0.407528 0.086340 4.720016 0.0000 ============================================================ R-squared 0.175038 Mean dependent var 9.299065 Adjusted R-squared 0.167181 S.D. dependent var 4.447206 S.E. of regression 4.058472 Akaike info criter 2.820128 Sum squared resid 1729.476 Schwarz criterion 2.870087 Log likelihood -300.7033 F-statistic 22.27855 Durbin-Watson stat 2.120394 Prob(F-statistic) 0.000007 ============================================================ Inverted AR Roots .41 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:28 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 1 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== .*|. | .*|. | 1-0.061-0.061 0.4054 . |* | . |* | 2 0.082 0.079 1.1612 0.281 . |. | . |. | 3-0.019-0.010 1.2032 0.548 . |. | . |. | 4 0.061 0.054 1.6309 0.652 . |* | . |* | 5 0.125 0.135 3.4186 0.490 . |. | . |. | 6-0.033-0.028 3.5440 0.617 . |** | . |** | 7 0.217 0.202 9.0525 0.171 .*|. | . |. | 8-0.062-0.036 9.5028 0.219 . |. | . |. | 9 0.023-0.028 9.5677 0.297 . |. | . |. | 10 0.055 0.064 9.9318 0.356 . |* | . |* | 11 0.137 0.128 12.203 0.272 . |. | .*|. | 12-0.036-0.083 12.365 0.337 ============================================================== ============================================================ ARCH Test: ============================================================ F-statistic 2.878197 Probability 0.092778 Obs*R-squared 2.854548 Probability 0.091116 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:28 Sample(adjusted): 1987:03 1995:12 Included observations: 106 after adjusting endpoints ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 13.64074 2.592150 5.262327 0.0000 RESID^2(-1) 0.164025 0.096683 1.696525 0.0928 ============================================================ R-squared 0.026930 Mean dependent var 16.31446 Adjusted R-squared 0.017573 S.D. dependent var 21.37736 S.E. of regression 21.18869 Akaike info criter 6.125623 Sum squared resid 46691.91 Schwarz criterion 6.175877 Log likelihood -473.0655 F-statistic 2.878197 Durbin-Watson stat 1.944972 Prob(F-statistic) 0.092778 ============================================================ ============================================================ LS // Dependent Variable is ANTI_B Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 3 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 12.82149 1.016926 12.60809 0.0000 TIME -0.064218 0.016052 -4.000691 0.0001 AR(1) 0.246358 0.094144 2.616815 0.0102 ============================================================ R-squared 0.261710 Mean dependent var 9.299065 Adjusted R-squared 0.247512 S.D. dependent var 4.447206 S.E. of regression 3.857775 Akaike info criter 2.727818 Sum squared resid 1547.772 Schwarz criterion 2.802757 Log likelihood -294.7647 F-statistic 18.43306 Durbin-Watson stat 1.999335 Prob(F-statistic) 0.000000 ============================================================ Inverted AR Roots .25 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:29 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 1 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |. | . |. | 1-0.004-0.004 0.0017 . |. | . |. | 2 0.026 0.026 0.0794 0.778 .*|. | .*|. | 3-0.105-0.105 1.3094 0.520 . |. | . |. | 4-0.038-0.040 1.4745 0.688 . |. | . |. | 5 0.026 0.032 1.5526 0.817 .*|. | .*|. | 6-0.108-0.118 2.8939 0.716 . |* | . |* | 7 0.106 0.099 4.2103 0.648 .*|. | .*|. | 8-0.159-0.155 7.1834 0.410 .*|. | .*|. | 9-0.079-0.108 7.9287 0.440 . |. | . |. | 10-0.030-0.008 8.0349 0.531 . |. | . |. | 11 0.058 0.041 8.4456 0.585 .*|. | .*|. | 12-0.093-0.152 9.5003 0.576 ============================================================== ============================================================ White Heteroskedasticity Test: ============================================================ F-statistic 1.936047 Probability 0.149438 Obs*R-squared 3.840790 Probability 0.146549 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:29 Sample: 1987:02 1995:12 Included observations: 107 ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 14.53196 5.935064 2.448493 0.0160 TIME 0.181917 0.248709 0.731442 0.4662 TIME^2 -0.002531 0.002193 -1.154330 0.2510 ============================================================ R-squared 0.035895 Mean dependent var 14.46516 Adjusted R-squared 0.017355 S.D. dependent var 19.52320 S.E. of regression 19.35305 Akaike info criter 5.953337 Sum squared resid 38952.21 Schwarz criterion 6.028276 Log likelihood -467.3299 F-statistic 1.936047 Durbin-Watson stat 1.564407 Prob(F-statistic) 0.149438 ============================================================ Correlogram of ANTI_A ============================================================== Date: 12/07/97 Time: 14:29 Sample: 1987:01 1995:12 Included observations: 108 ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |* | . |* | 1 0.084 0.084 0.7846 0.376 .*|. | .*|. | 2-0.100-0.108 1.9103 0.385 . |* | . |* | 3 0.105 0.126 3.1677 0.366 .*|. | .*|. | 4-0.070-0.108 3.7290 0.444 .*|. | .*|. | 5-0.113-0.071 5.2041 0.391 . |* | . |* | 6 0.084 0.074 6.0218 0.421 . |* | . |* | 7 0.100 0.085 7.1968 0.409 .*|. | . |. | 8-0.059-0.050 7.6123 0.472 . |. | . |. | 9-0.024-0.028 7.6836 0.566 . |* | . |. | 10 0.081 0.063 8.4693 0.583 .*|. | .*|. | 11-0.130-0.118 10.541 0.482 .*|. | .*|. | 12-0.111-0.066 12.056 0.441 ============================================================== ============================================================ LS // Dependent Variable is ANTI_W Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 3 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 6.301132 0.749773 8.404058 0.0000 AR(1) 0.367433 0.083449 4.403098 0.0000 ============================================================ R-squared 0.155862 Mean dependent var 6.420561 Adjusted R-squared 0.147823 S.D. dependent var 5.305813 S.E. of regression 4.897979 Akaike info criter 3.196160 Sum squared resid 2518.970 Schwarz criterion 3.246119 Log likelihood -320.8210 F-statistic 19.38727 Durbin-Watson stat 1.896517 Prob(F-statistic) 0.000026 ============================================================ Inverted AR Roots .37 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:30 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 1 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |. | . |. | 1 0.034 0.034 0.1298 . |. | . |. | 2 0.047 0.046 0.3756 0.540 . |. | . |. | 3 0.037 0.034 0.5275 0.768 . |* | . |* | 4 0.140 0.137 2.7574 0.431 . |. | . |. | 5 0.056 0.046 3.1154 0.539 . |. | .*|. | 6-0.045-0.062 3.3494 0.646 . |. | . |. | 7-0.002-0.013 3.3498 0.764 . |. | . |. | 8 0.009-0.009 3.3589 0.850 . |* | . |* | 9 0.106 0.099 4.6944 0.790 . |. | . |. | 10-0.054-0.047 5.0410 0.831 .*|. | .*|. | 11-0.105-0.108 6.3740 0.783 . |. | . |. | 12 0.053 0.057 6.7195 0.821 ============================================================== ============================================================ ARCH Test: ============================================================ F-statistic 0.154831 Probability 0.694767 Obs*R-squared 0.157574 Probability 0.691400 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:30 Sample(adjusted): 1987:03 1995:12 Included observations: 106 after adjusting endpoints ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 22.04059 6.589071 3.345022 0.0011 RESID^2(-1) 0.038398 0.097585 0.393485 0.6948 ============================================================ R-squared 0.001487 Mean dependent var 22.95248 Adjusted R-squared -0.008115 S.D. dependent var 63.24810 S.E. of regression 63.50420 Akaike info criter 8.320900 Sum squared resid 419409.4 Schwarz criterion 8.371153 Log likelihood -589.4152 F-statistic 0.154831 Durbin-Watson stat 2.003263 Prob(F-statistic) 0.694767 ============================================================ ============================================================ LS // Dependent Variable is ANTI_G Date: 12/06/97 Time: 15:23 Sample(adjusted): 1988:01 1995:12 Included observations: 96 after adjusting endpoints Convergence achieved after 3 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 6.390478 0.863288 7.402486 0.0000 AR(1) 0.328212 0.095752 3.427724 0.0009 AR(12) 0.265520 0.094828 2.800029 0.0062 ============================================================ R-squared 0.240086 Mean dependent var 6.041667 Adjusted R-squared 0.223744 S.D. dependent var 3.802815 S.E. of regression 3.350486 Akaike info criter 2.448962 Sum squared resid 1043.995 Schwarz criterion 2.529098 Log likelihood -250.7683 F-statistic 14.69113 Durbin-Watson stat 2.059763 Prob(F-statistic) 0.000003 ============================================================ Inverted AR Roots .9 .81 -.44 .81+.44i .48+.77i .48 -. .03+.89i .03 -.89 -.42+.77i -.42 -. -.75 -.45 -.75+.45i -.87 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:32 Sample: 1988:01 1995:12 Included observations: 96 Q-statistic probabilities adjusted for 2 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . | . | . | . | 1-0.031-0.031 0.0957 .*| . | .*| . | 2-0.074-0.075 0.6494 . |*. | . |*. | 3 0.162 0.158 3.2999 0.069 . |*. | . |*. | 4 0.113 0.120 4.6158 0.099 .*| . | .*| . | 5-0.107-0.080 5.7922 0.122 .*| . | .*| . | 6-0.092-0.114 6.6705 0.154 . | . | .*| . | 7-0.054-0.116 6.9768 0.222 .*| . | .*| . | 8-0.078-0.085 7.6288 0.267 . | . | . |*. | 9 0.061 0.110 8.0251 0.330 . |*. | . |*. | 10 0.071 0.130 8.5735 0.380 . |*. | . |*. | 11 0.073 0.136 9.1606 0.423 .*| . | .*| . | 12-0.071-0.101 9.7308 0.464 ============================================================== ============================================================ ARCH Test: ============================================================ F-statistic 0.117992 Probability 0.731998 Obs*R-squared 0.120377 Probability 0.728626 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:32 Sample(adjusted): 1988:02 1995:12 Included observations: 95 after adjusting endpoints ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 10.59256 2.975510 3.559913 0.0006 RESID^2(-1) 0.035590 0.103610 0.343499 0.7320 ============================================================ R-squared 0.001267 Mean dependent var 10.98296 Adjusted R-squared -0.009472 S.D. dependent var 26.67662 S.E. of regression 26.80266 Akaike info criter 6.597830 Sum squared resid 66809.57 Schwarz criterion 6.651596 Log likelihood -446.1961 F-statistic 0.117992 Durbin-Watson stat 1.995526 Prob(F-statistic) 0.731998 ============================================================ ============================================================ LS // Dependent Variable is ANTI_G Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 6 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 0.205019 1.200943 0.170715 0.8648 TIME 0.216907 0.049832 4.352773 0.0000 TIME2 -0.001642 0.000437 -3.758901 0.0003 AR(1) 0.292200 0.095123 3.071812 0.0027 MA(5) -0.210387 0.100177 -2.100157 0.0382 ============================================================ R-squared 0.319727 Mean dependent var 5.635514 Adjusted R-squared 0.293050 S.D. dependent var 3.832317 S.E. of regression 3.222225 Akaike info criter 2.385746 Sum squared resid 1059.039 Schwarz criterion 2.510645 Log likelihood -274.4638 F-statistic 11.98495 Durbin-Watson stat 1.986241 Prob(F-statistic) 0.000000 ============================================================ Inverted AR Roots .29 Inverted MA Roots .7 .23 -.70 .23+.70i -.59+.43i -.59 -.43i ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:33 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 2 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |. | . |. | 1 0.006 0.006 0.0037 . |. | . |. | 2-0.051-0.051 0.2954 . |* | . |* | 3 0.097 0.098 1.3468 0.246 . |. | . |. | 4 0.032 0.028 1.4632 0.481 . |. | . |. | 5 0.005 0.015 1.4663 0.690 .*|. | .*|. | 6-0.176-0.185 5.0272 0.285 .*|. | .*|. | 7-0.174-0.184 8.5644 0.128 .*|. | .*|. | 8-0.108-0.142 9.9343 0.127 . |* | . |* | 9 0.123 0.150 11.743 0.109 . |. | . |* | 10 0.017 0.074 11.779 0.161 . |. | . |* | 11 0.042 0.118 11.990 0.214 . |* | . |* | 12 0.110 0.074 13.478 0.198 ============================================================== ============================================================ White Heteroskedasticity Test: ============================================================ F-statistic 1.100440 Probability 0.352517 Obs*R-squared 3.323019 Probability 0.344452 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:33 Sample: 1987:02 1995:12 Included observations: 107 ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C -6.710362 9.825150 -0.682978 0.4962 TIME 1.165631 0.652865 1.785408 0.0771 TIME^2 -0.016541 0.010007 -1.652946 0.1014 TIME2^2 6.52E-07 4.66E-07 1.397563 0.1652 ============================================================ R-squared 0.031056 Mean dependent var 9.897561 Adjusted R-squared 0.002835 S.D. dependent var 24.76899 S.E. of regression 24.73386 Akaike info criter 6.453013 Sum squared resid 63011.69 Schwarz criterion 6.552932 Log likelihood -493.0626 F-statistic 1.100440 Durbin-Watson stat 2.055964 Prob(F-statistic) 0.352517 ============================================================ ============================================================ LS // Dependent Variable is UN_NYCF Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 10 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 8.285205 1.832723 4.520708 0.0000 AR(1) 0.974554 0.022674 42.98205 0.0000 MA(1) -0.403583 0.093450 -4.318712 0.0000 ============================================================ R-squared 0.873072 Mean dependent var 7.762362 Adjusted R-squared 0.870631 S.D. dependent var 2.159631 S.E. of regression 0.776772 Akaike info criter-0.477579 Sum squared resid 62.75105 Schwarz criterion -0.402640 Log likelihood -123.2760 F-statistic 357.6823 Durbin-Watson stat 1.815087 Prob(F-statistic) 0.000000 ============================================================ Inverted AR Roots .97 Inverted MA Roots .40 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:34 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 2 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |* | . |* | 1 0.080 0.080 0.7107 .*|. | .*|. | 2-0.099-0.107 1.8095 . |. | . |. | 3-0.043-0.026 2.0167 0.156 . |* | . |* | 4 0.096 0.093 3.0636 0.216 .*|. | .*|. | 5-0.140-0.168 5.3048 0.151 . |* | . |** | 6 0.148 0.205 7.8203 0.098 . |* | . |* | 7 0.124 0.066 9.6000 0.087 .*|. | .*|. | 8-0.059-0.079 10.011 0.124 .*|. | . |. | 9-0.081 0.009 10.784 0.148 . |* | . |. | 10 0.085 0.030 11.647 0.168 . |. | . |. | 11 0.038 0.042 11.820 0.224 . |. | . |. | 12 0.011 0.033 11.836 0.296 ============================================================== ============================================================ ARCH Test: ============================================================ F-statistic 0.038871 Probability 0.844089 Obs*R-squared 0.039604 Probability 0.842257 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:34 Sample(adjusted): 1987:03 1995:12 Included observations: 106 after adjusting endpoints ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 0.589831 0.106357 5.545769 0.0000 RESID^2(-1) -0.019278 0.097777 -0.197158 0.8441 ============================================================ R-squared 0.000374 Mean dependent var 0.578434 Adjusted R-squared -0.009238 S.D. dependent var 0.914922 S.E. of regression 0.919139 Akaike info criter-0.149949 Sum squared resid 87.86084 Schwarz criterion -0.099696 Log likelihood -140.4602 F-statistic 0.038871 Durbin-Watson stat 1.985634 Prob(F-statistic) 0.844089 ============================================================ ============================================================ LS // Dependent Variable is UN_NYCF Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 12 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C -1.194614 3.070448 -0.389068 0.6980 TIME 0.288155 0.092154 3.126891 0.0023 TIME2 -0.001894 0.000645 -2.936256 0.0041 AR(1) 0.898390 0.040669 22.09055 0.0000 MA(1) -0.408957 0.105477 -3.877202 0.0002 ============================================================ R-squared 0.885121 Mean dependent var 7.762362 Adjusted R-squared 0.880616 S.D. dependent var 2.159631 S.E. of regression 0.746194 Akaike info criter-0.539937 Sum squared resid 56.79417 Schwarz criterion -0.415039 Log likelihood -117.9398 F-statistic 196.4736 Durbin-Watson stat 1.854054 Prob(F-statistic) 0.000000 ============================================================ Inverted AR Roots .90 Inverted MA Roots .41 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:35 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 2 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |* | . |* | 1 0.066 0.066 0.4798 .*|. | .*|. | 2-0.120-0.125 2.0850 .*|. | . |. | 3-0.064-0.048 2.5512 0.110 . |* | . |. | 4 0.070 0.064 3.1007 0.212 .*|. | **|. | 5-0.179-0.208 6.7813 0.079 . |* | . |* | 6 0.113 0.166 8.2535 0.083 . |* | . |. | 7 0.094 0.032 9.2777 0.098 .*|. | .*|. | 8-0.094-0.116 10.309 0.112 .*|. | . |. | 9-0.130-0.045 12.331 0.090 . |. | . |. | 10 0.031-0.028 12.450 0.132 . |. | . |. | 11-0.013-0.011 12.469 0.188 . |. | . |. | 12-0.035-0.019 12.621 0.246 ============================================================== ============================================================ White Heteroskedasticity Test: ============================================================ F-statistic 2.068794 Probability 0.108937 Obs*R-squared 6.080990 Probability 0.107736 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:35 Sample: 1987:02 1995:12 Included observations: 107 ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 0.636245 0.355917 1.787623 0.0768 TIME -0.026033 0.023650 -1.100737 0.2736 TIME^2 0.000577 0.000362 1.593015 0.1142 TIME2^2 -3.46E-08 1.69E-08 -2.046366 0.0433 ============================================================ R-squared 0.056832 Mean dependent var 0.530787 Adjusted R-squared 0.029361 S.D. dependent var 0.909436 S.E. of regression 0.895985 Akaike info criter-0.182996 Sum squared resid 82.68735 Schwarz criterion -0.083077 Log likelihood -138.0361 F-statistic 2.068794 Durbin-Watson stat 2.225430 Prob(F-statistic) 0.108937 ============================================================ ============================================================ LS // Dependent Variable is D(UN_NYCF) Date: 12/06/97 Time: 15:23 Sample(adjusted): 1987:02 1995:12 Included observations: 107 after adjusting endpoints Convergence achieved after 8 iterations ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 0.013755 0.043685 0.314869 0.7535 MA(1) -0.423976 0.086957 -4.875724 0.0000 ============================================================ R-squared 0.105572 Mean dependent var 0.006838 Adjusted R-squared 0.097054 S.D. dependent var 0.818910 S.E. of regression 0.778157 Akaike info criter-0.483139 Sum squared resid 63.58051 Schwarz criterion -0.433179 Log likelihood -123.9785 F-statistic 12.39348 Durbin-Watson stat 1.804012 Prob(F-statistic) 0.000639 ============================================================ Inverted MA Roots .42 ============================================================ Correlogram of Residuals ============================================================== Date: 12/07/97 Time: 14:35 Sample: 1987:02 1995:12 Included observations: 107 Q-statistic probabilities adjusted for 1 ARMA term(s) ============================================================== Autocorrelation Partial Correlation AC PAC Q-Stat Prob ============================================================== . |* | . |* | 1 0.087 0.087 0.8264 .*|. | .*|. | 2-0.103-0.112 2.0157 0.156 . |. | . |. | 3-0.052-0.033 2.3180 0.314 . |* | . |* | 4 0.084 0.083 3.1255 0.373 .*|. | .*|. | 5-0.148-0.177 5.6154 0.230 . |* | . |** | 6 0.138 0.197 7.8101 0.167 . |* | . |. | 7 0.115 0.054 9.3518 0.155 .*|. | .*|. | 8-0.067-0.088 9.8798 0.195 .*|. | . |. | 9-0.089 0.002 10.821 0.212 . |* | . |. | 10 0.075 0.023 11.506 0.243 . |. | . |. | 11 0.032 0.037 11.627 0.311 . |. | . |. | 12 0.007 0.028 11.633 0.392 ============================================================== ============================================================ ARCH Test: ============================================================ F-statistic 0.011503 Probability 0.914797 Obs*R-squared 0.011723 Probability 0.913781 ============================================================ Test Equation: LS // Dependent Variable is RESID^2 Date: 12/07/97 Time: 14:36 Sample(adjusted): 1987:03 1995:12 Included observations: 106 after adjusting endpoints ============================================================ Variable CoefficienStd. Errort-Statistic Prob. ============================================================ C 0.580629 0.104891 5.535522 0.0000 RESID^2(-1) 0.010495 0.097860 0.107250 0.9148 ============================================================ R-squared 0.000111 Mean dependent var 0.586917 Adjusted R-squared -0.009504 S.D. dependent var 0.891240 S.E. of regression 0.895465 Akaike info criter-0.202138 Sum squared resid 83.39311 Schwarz criterion -0.151884 Log likelihood -137.6942 F-statistic 0.011503 Durbin-Watson stat 1.999345 Prob(F-statistic) 0.914797 ============================================================