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Assignment No # 5
ZOYA EHSAN
BECF14M013
Jarque-Berra Normality Test:
Graphically:
6
Series: RESID
Sample 1985Q1 1994Q2
5
Observations 38
4 Mean 1.28e-15
Median -0.001917
3 Maximum 0.106230
Minimum -0.067365
Std. Dev. 0.044987
2
Skewness 0.419918
Kurtosis 2.617587
1
Jarque-Bera 1.348308
0 Probability 0.509587
-0.06 -0.04 -0.02 0.00 0.02 0.04 0.06 0.08 0.10
From the graph of histogram it is see that residual is not normally distributed. We calculate the
chi_crit i-e 5.99 and Jarque-Bera vale i-e 1.35, which is less than chi_crit. So we reject H0 and
accept H1, it means that our model is miss-specified.
Value df Probability
t-statistic 4.663918 35 0.0000
F-statistic 21.75213 (1, 35) 0.0000
Likelihood ratio 18.36711 1 0.0000
F-test summary:
Mean
Sum of Sq. df Squares
Test SSR 0.028858 1 0.028858
Restricted SSR 0.075291 36 0.002091
Unrestricted SSR 0.046433 35 0.001327
LR test summary:
Value
Restricted LogL 64.33606
Unrestricted LogL 73.51961
Here F-Statistics prob value is significant i-e is less than 5%. It means that we reject H0 and
accept H1. So our model is miss-specified.
Box-Cox Test:
From the above results we can conclude both functional form are well, with R-squared .84-
84% and RSS1 is 8.45E-08 and RSS2 is 9.65E-08 with minor difference. The RSS1 is lower
than RSS2 so we can say log form is better than linear form.