頑健な推定方法（アウトプット）
Current sample: 1965 to 1994
Current sample: 1966 to 1994
Equation 1
============
FIRST-ORDER SERIAL CORRELATION OF THE ERROR
Objective function: Exact ML (keep first obs.)
Working space used: 667
STARTING VALUES
C YD RHO
VALUE -13.54048 0.90469 0.00000
F= 92.010 FNEW= 69.550 ISQZ= 1 STEP= 0.50000 CRIT= 38.735
F= 69.550 FNEW= 67.911 ISQZ= 0 STEP= 1.0000 CRIT= 4.3899
F= 67.911 FNEW= 67.608 ISQZ= 0 STEP= 1.0000 CRIT= 1.6846
F= 67.608 FNEW= 67.532 ISQZ= 2 STEP= 0.25000 CRIT= 1.5270
F= 67.532 FNEW= 67.272 ISQZ= 0 STEP= 1.0000 CRIT= 0.62601
F= 67.272 FNEW= 67.249 ISQZ= 0 STEP= 1.0000 CRIT= 0.49449E-01
F= 67.249 FNEW= 67.248 ISQZ= 0 STEP= 1.0000 CRIT= 0.85135E-03
F= 67.248 FNEW= 67.248 ISQZ= 0 STEP= 1.0000 CRIT= 0.36608E-06
F= 67.248 FNEW= 67.248 ISQZ= 0 STEP= 1.0000 CRIT= 0.38184E-13
F= 67.248 FNEW= 67.248 ISQZ= 1 STEP= 0.50000 CRIT= 0.77169E-27
CONVERGENCE ACHIEVED AFTER 10 ITERATIONS
23 FUNCTION EVALUATIONS.
Dependent variable: CP
Current sample: 1966 to 1994
Number of observations: 29
Mean of dep. var. = 173.620 Adjusted R-squared = .998226
Std. dev. of dep. var. = 56.8939 Durbin-Watson = 1.15431
Sum of squared residuals = 164.155 Rho (autocorrelation coef.) = .926127
Variance of residuals = 6.31364 Schwarz B.I.C. = 72.2991
Std. error of regression = 2.51270 Log likelihood = -67.2482
R-squared = .998353
Standard
Parameter Estimate Error t-statistic P-value
C .190906 10.3039 .018528 [.985]
YD .850070 .042830 19.8476 [.000]
RHO .926127 .063642 14.5522 [.000]
Standard Errors computed from analytic second derivatives
(Newton)
Current sample: 1965 to 1994
Equation 2
============
Method of estimation = Ordinary Least Squares
Dependent variable: CP
Current sample: 1965 to 1994
Number of observations: 30
Mean of dep. var. = 170.137 LM het. test = 1.60150 [.206]
Std. dev. of dep. var. = 59.0697 Durbin-Watson = .170327 [.000,.000]
Sum of squared residuals = 1039.17 Jarque-Bera test = 2.11490 [.347]
Variance of residuals = 37.1132 Ramsey's RESET2 = 40.7643 [.000]
Std. error of regression = 6.09206 F (zero slopes) = 2698.46 [.000]
R-squared = .989730 Schwarz B.I.C. = 99.1441
Adjusted R-squared = .989363 Log likelihood = -95.7429
Estimated Standard
Variable Coefficient Error t-statistic P-value
C -11.4246 3.87448 -2.94867 [.006]
YD .895756 .016876 53.0781 [.000]
Standard Errors are heteroskedastic-consistent (HCTYPE=2).
GENERALIZED METHOD OF MOMENTS
=============================
WITH STARTING VALUES VIA:
NONLINEAR TWO STAGE LEAST SQUARES
EQUATIONS: EQ1
INSTRUMENTS: C YD
OPTIONS FOR THIS ROUTINE
========================
COVOC = COVU = DEBUG = FALSE
HETERO = TRUE INST = O 0001 ITEROC = FALSE
ITERU = TRUE KERNEL = BARTLETT LSQSTART = TRUE
MASK = MAXITW = 20 NMA = 2
OPTCOV = FALSE ROBUST = TRUE WNAME =
NOTE => The model is linear in the parameters.
Working space used: 699
STARTING VALUES
B0 B1
VALUE 0.00000 0.00000
F= 0.96855E+06 FNEW= 0.10273E-22 ISQZ= 0 STEP= 1.0000 CRIT= 27.970
CONVERGENCE ACHIEVED AFTER 1 ITERATIONS
2 FUNCTION EVALUATIONS.
Working space used: 699
F= 0.44785E-26 FNEW= 0.64797E-30 ISQZ= 0 STEP= 1.0000 CRIT= 0.13436E-24
CONVERGENCE ACHIEVED AFTER 1 ITERATIONS
4 FUNCTION EVALUATIONS.
Covariance Matrix of Orthogonality Conditions
1 2
1 91.38913
2 17216.34687 3548845.60729
Number of observations = 30 E'PZ*E = .647973E-30
Standard
Parameter Estimate Error t-statistic P-value
B0 -11.4246 5.73981 -1.99041 [.047]
B1 .895756 .024988 35.8473 [.000]
Standard Errors computed from heteroscedastic-consistent matrix
(Robust-White)
(also robust to autocorrelation: NMA= 2, Kernel=Bartlett)
Equation: EQ1
Dependent variable: CP
Mean of dep. var. = 170.137
Std. dev. of dep. var. = 59.0697
Sum of squared residuals = 1039.17
Variance of residuals = 37.1132
Std. error of regression = 6.09206
R-squared = .989730
Adjusted R-squared = .989363
Durbin-Watson = .170327 [.000,.000]
GENERALIZED METHOD OF MOMENTS
=============================
WITH STARTING VALUES VIA:
NONLINEAR TWO STAGE LEAST SQUARES
EQUATIONS: EQ1
INSTRUMENTS: C YD
OPTIONS FOR THIS ROUTINE
========================
COVOC = COVU = DEBUG = FALSE
HETERO = TRUE INST = O 0001 ITEROC = FALSE
ITERU = TRUE KERNEL = LSQSTART = TRUE
MASK = MAXITW = 20 NMA = 0
OPTCOV = FALSE ROBUST = TRUE WNAME =
NOTE => The model is linear in the parameters.
Working space used: 699
STARTING VALUES
B0 B1
VALUE -11.42457 0.89576
F= 0.10341E-26 FNEW= 0.10341E-26 ISQZ= 0 STEP= 0.00000 CRIT= 0.27865E-28
CONVERGENCE ACHIEVED AFTER 1 ITERATIONS
1 FUNCTION EVALUATIONS.
Working space used: 699
STARTING VALUES
B0 B1
VALUE -11.42457 0.89576
F= 0.13580E-29 FNEW= 0.61006E-30 ISQZ= 0 STEP= 1.0000 CRIT= 0.40741E-28
CONVERGENCE ACHIEVED AFTER 1 ITERATIONS
3 FUNCTION EVALUATIONS.
Covariance Matrix of Orthogonality Conditions
1 2
1 34.63902
2 6463.54285 1327954.52336
Number of observations = 30 E'PZ*E = .610061E-30
Standard
Parameter Estimate Error t-statistic P-value
B0 -11.4246 3.64928 -3.13063 [.002]
B1 .895756 .015874 56.4302 [.000]
Standard Errors computed from heteroscedastic-consistent matrix
(Robust-White)
Equation: EQ1
Dependent variable: CP
Mean of dep. var. = 170.137
Std. dev. of dep. var. = 59.0697
Sum of squared residuals = 1039.17
Variance of residuals = 37.1132
Std. error of regression = 6.09206
R-squared = .989730
Adjusted R-squared = .989363
Durbin-Watson = .170327 [.000,.000]
Equation 3
============
Method of estimation = Ordinary Least Squares
Dependent variable: CP
Current sample: 1965 to 1994
Number of observations: 30
Mean of dep. var. = 170.137 LM het. test = 1.60150 [.206]
Std. dev. of dep. var. = 59.0697 Durbin-Watson = .170327 [.000,.000]
Sum of squared residuals = 1039.17 Jarque-Bera test = 2.11490 [.347]
Variance of residuals = 37.1132 Ramsey's RESET2 = 40.7643 [.000]
Std. error of regression = 6.09206 F (zero slopes) = 2698.46 [.000]
R-squared = .989730 Schwarz B.I.C. = 99.1441
Adjusted R-squared = .989363 Log likelihood = -95.7429
Estimated Standard
Variable Coefficient Error t-statistic P-value
C -11.4246 3.64928 -3.13063 [.004]
YD .895756 .015874 56.4302 [.000]
Standard Errors are heteroskedastic-consistent (HCTYPE=0).
Equation 4
============
Method of estimation = Ordinary Least Squares
Dependent variable: CP
Current sample: 1965 to 1994
Number of observations: 30
Mean of dep. var. = 170.137 LM het. test = 1.60150 [.206]
Std. dev. of dep. var. = 59.0697 Durbin-Watson = .170327 [.000,.000]
Sum of squared residuals = 1039.17 Jarque-Bera test = 2.11490 [.347]
Variance of residuals = 37.1132 Ramsey's RESET2 = 40.7643 [.000]
Std. error of regression = 6.09206 F (zero slopes) = 2698.46 [.000]
R-squared = .989730 Schwarz B.I.C. = 99.1441
Adjusted R-squared = .989363 Log likelihood = -95.7429
Estimated Standard
Variable Coefficient Error t-statistic P-value
C -11.4246 3.77737 -3.02448 [.005]
YD .895756 .016431 54.5167 [.000]
Standard Errors are heteroskedastic-consistent (HCTYPE=1).