Variable 1 Variable 2

AR(1) MA(1)

b1: 0.70 f1: 0.70 trend

a: 1.00 m: 4.00

et y=m+et+f1(et-1)
1 0.224013661 1.224013661 4.224013661
2 -0.7344692676 1.122340295 3.422340295
3 -1.0285612007 0.7570770059 2.457310312
4 -0.8941333363 0.6358205679 2.3858738233
5 -1.0596886568 0.3853857407 2.3144180078
6 0.146359298 1.4161293165 3.4045772382
7 0.4354012617 2.4266917833 4.5378527703
8 0.8679444363 3.5666286846 5.1727253195
9 0.3306354301 3.8272755094 4.9381965356
10 0.6026402843 4.2817331409 4.8340850854
11 0.4325022473 4.429715446 4.8543504464
12 1.098960638 5.1997614502 5.4017122112
13 -0.3678877647 4.2719452505 4.4013846819
14 0.4670118869 4.4573735623 4.2094904517
15 0.0240868303 4.1442483239 4.3509951512
16 -0.5858976238 3.315076203 3.4309631575
17 -0.0952206847 3.2253326574 3.4946509787
18 -0.4143805654 2.8433522948 3.5189649553
19 -0.3393006409 2.6510459654 3.3706329633
20 -0.634368007 2.2213641688 3.1281215443
21 0.2152518164 2.7702067345 3.7711942115
22 0.4665389497 3.4056836639 4.6172152212
23 0.1524381332 3.5364166979 4.479015398
24 -0.0487108309 3.4267808576 4.0579958623
25 0.1953594619 3.5941060623 4.1612618803
26 -0.3431625828 3.1727116608 3.7935890406
27 0.0345090712 3.2554072337 3.7942952632
28 -0.2627314188 3.0160536448 3.761424931
29 -0.4012053978 2.7100321535 3.414882609
30 -0.7538005775 2.14322193 2.965355644
31 -0.1069321343 2.3933232167 3.3654074615
32 -0.6925529306 1.9827733211 3.2325945755
33 -0.770544375 1.6173969498 2.7446685736
34 -0.2776926067 1.8544852582 3.1829263308
35 -0.278139396 2.0200002848 3.5274757794
36 -0.3826392003 2.031360999 3.4226632225
37 -0.4450384949 1.9769142044 3.2871140648
38 0.4596665804 2.8435065234 4.1481396339
39 -0.1609555511 2.8294990153 4.1608110551
40 0.3020841177 3.2827334284 4.1894152319
41 1.3760654838 4.6739788837 5.5875243662
42 0.13077738 4.4025625986 5.0940232187
43 0.4574530976 4.5392469166 4.5489972636
44 0.2858973858 4.4633702274 4.6061145541
45 0.7450967132 4.8694558724 4.9452248833
46 -0.0787542831 4.3298648276 4.4428134162
47 -0.1746332146 3.8562721648 3.7702387873
48 -0.7864832696 2.9129072457 3.0912734802
49 0.2010278877 3.2400629597 3.6504895989
50 -1.0356461644 2.2323979074 3.105073357
51 -0.1947404371 2.3679380981 3.0803072478
52 0.7357084542 3.3932651228 4.5993901482
53 0.011418706 3.3867042919 4.5264146239
54 -0.3928698789 2.9778231255 3.6151232153
55 -1.0659096006 2.0185665873 2.6590814842
56 0.0924563892 2.5054530003 3.3463196688
57 -0.177440711 2.5763763892 3.8872787614
58 -0.583926294 2.2195371785 3.2918652083
59 -0.0372318709 2.516444154 3.5540197233
60 -0.9281257007 1.8333852071 3.0458119896
61 0.0458675231 2.3292371681 3.3961795326
62 0.6876939551 3.3181599728 4.7198012213
63 -0.3907894097 2.9319225712 4.0905963589
64 -0.5392951152 2.5130506846 3.187152298
65 0.8399956641 3.5991311434 4.4624890835
66 -0.7654443834 2.7539474169 3.8225525815
67 0.2610642014 3.1888273932 3.725253133
68 0.0808074674 3.3129866426 4.2635524083
69 -0.5284732651 2.7906173847 3.528091962
70 0.5899448752 3.5433770445 4.2200135896
71 0.2843222546 3.7646861858 4.6972836673
72 -0.5081801646 3.1271001654 3.6908454136
73 -0.2454527248 2.943517391 3.39882116
74 -1.2297095964 1.8307525773 2.5984734963
75 -0.5343940757 1.7471327285 2.6048092069
76 -0.1122998583 2.1106930516 3.5136242887
77 -0.7724315765 1.7050535597 3.1489585227
78 0.4175171853 2.611054677 3.8768150817
79 0.5482775123 3.3760157862 4.840539542
80 -0.2251982778 3.1380127725 4.1585959808
81 1.4403849491 4.6369938899 5.2827461546
82 -0.4320577318 3.8138379911 4.5762117326
 83 -0.2582191883 3.4114674055 3.4393403995
84 -0.129313662 3.2587135219 3.6899329062
85 0.4427124622 3.7238119275 4.3521928988
86 -0.730665306 2.8760030432 3.5792334175
87 -0.0218278728 2.9913742574 3.4667064129
88 -0.6736831892 2.420278791 3.3110372998
89 -0.9687892089 1.7254059448 2.5596325587
90 0.1680621153 2.3758462767 3.4899096691
91 -1.4134639059 1.2496284878 2.7041795748
92 0.0172349246 1.891974866 3.0278101905
93 -0.7798325896 1.5445498166 3.2322318576
94 0.4786761565 2.5598610281 3.9327933438
95 0.5130118552 3.3049145749 4.8480851648
96 0.1744297151 3.4878699175 4.5335380138
97 0.3496785439 3.7911874862 4.4717793445
98 -0.1093599167 3.5444713236 4.1354150641
99 -0.0815441581 3.3995857685 3.8419039002
100 0.3513412139 3.7310512518 4.2942603032
101 -0.7944913705 2.8172445058 3.4514474793
102 0.0691255764 3.0411967304 3.512981617
103 0.4249341146 3.5537718259 4.473322018
104 0.1030218755 3.5906621536 4.4004757557
105 0.701445515 4.2149090225 4.7735608278
106 0.2038098046 4.1542461203 4.6948216651
107 -0.2031862323 3.704786052 3.9394806309
108 0.1498756319 3.7432258683 4.0076452693
109 -0.3735772225 3.2466808853 3.7313357198
110 -0.2184452796 3.0542313401 3.5200506646
111 1.3975659385 4.5355278766 5.2446542428
112 -0.3493858003 3.8254837133 4.6289103567
113 0.3372326773 4.0150712767 4.0926626171
114 -0.7120388545 3.0985110391 3.5240240196
115 -0.2450212833 2.9239364441 3.2565515186
116 -0.5040942597 2.5426612512 3.324390842
117 0.5857464203 3.3656092961 4.2328804385
118 0.3073341759 3.6632606832 4.7173566701
119 -0.3317313713 3.232551107 3.8834025519
120 0.0643785825 3.3271643573 3.8321666226
121 -0.310342898 3.0186721521 3.7347221097
122 -0.4857406566 2.6273298499 3.2970193148
123 -0.4086916761 2.4304392189 3.2512898643
124 0.3308258556 3.0321333088 4.0447416824
125 -0.9472114471 2.1752818691 3.2843666519
126 -0.2423507794 2.2803465289 3.0946012076
127 -0.8242591321 1.7719834382 3.0060953223
128 0.1148902129 2.3552786196 3.5379088205
129 0.213532303 2.8622273367 4.293955452
130 -1.0389339877 1.964625148 3.1105386243
131 0.2813595756 2.6565971792 3.5541057842
132 -0.1165403773 2.7430776481 4.0804113256
133 -0.1743887879 2.7457655658 3.744032948
134 0.3520756309 3.2741115269 4.2300034794
135 -0.5486276677 2.7432504011 3.6978252739
136 0.3437435225 3.2640188033 3.9597041551
137 0.480494009 3.7653071713 4.7211144748
138 0.3758566436 4.0115716635 4.7122024499
139 -1.0518670024 2.7562331621 3.2112326481
140 0.4025264388 3.3318896523 3.6662195372
141 -0.2329727522 3.0993500044 4.048795755
142 0.1482760581 3.3178210612 3.9851951316
143 -0.3004788596 3.0219958833 3.8033143811
144 0.0365798769 3.1519769952 3.8262446752
145 1.2418786355 4.4482625321 5.2674845493
146 0.2278261491 4.3416099215 5.0971411939
147 0.1370813152 4.1762082603 4.2965596195
148 0.3539412319 4.2772870141 4.4498981525
149 -0.2678388 3.7262621098 3.9799200623
150 0.2426952506 3.8510787274 4.0552080905
151 -0.6517734619 3.0439816473 3.5181132135
152 0.6691607268 3.79994788 4.2129193035
153 -0.017464572 3.642498944 4.4509479368
154 0.3674369964 3.9171862572 4.355211796
155 -0.4238381734 3.3181922066 3.833367724
156 0.1721957688 3.4949303134 3.8755090473
157 0.9893346942 4.4357859135 5.1098717323
158 -0.9937048162 3.1113453232 3.6988294697
159 -0.6460015811 2.5319401452 2.6584050475
160 -0.0884517704 2.6839063313 3.4593471229
161 0.1898803248 3.0686147567 4.1279640856
162 -0.3972593277 2.750771002 3.7356568997
163 0.386753527 3.3122932284 4.1086719976
164 -1.0349958757 2.2836093842 3.2357315932
165 0.4098683348 3.0083949038 3.6853712219
166 0.0837542302 3.1896306629 4.3706620646
167 0.3367051704 3.5694466344 4.3953331316
168 0.4669527698 3.9655654139 4.7026463891
169 0.4976504897 4.2735462794 4.8245174286
170 -0.3739319254 3.6175504702 3.9744234174
171 0.4192537517 3.9515390808 4.1575014039
172 -0.282345809 3.4837315476 4.0111318172
173 0.0148236268 3.4534357101 3.8171815605
174 -0.1380351478 3.2793698493 3.872341391
175 0.3116883818 3.6072472763 4.2150637783
176 -0.2397734988 3.2852995946 3.9784083684
177 0.1150868911 3.4147966073 3.9472454419
178 0.1946580142 3.5850156393 4.2752188379
179 -0.058328169 3.4511827785 4.0779324409
180 0.2206775207 3.6365054657 4.1798478024
181 0.7339053809 4.2794592069 4.8883796454
182 0.1133594196 4.1089808644 4.6270931863
183 -0.2497336027 3.6265530024 3.8296179911
184 0.0248530796 3.5634401813 3.8500395577
185 0.5520621471 4.046470274 4.5694593028
186 -0.5349363619 3.2975928299 3.8515071411
187 -0.5812864856 2.7270284953 3.0442580611
188 1.2273631 4.1362830468 4.8204625601
189 0.2797480647 4.1751461975 5.1389022347
190 0.3759578249 4.2985601631 4.5717814702
191 0.4191997505 4.4281918646 4.6823702279
192 1.0913754522 5.1911097575 5.3848152776
193 -0.0516706677 4.5821061625 4.7122921488
194 1.1228712538 5.3303455675 5.0867017863
195 0.6873005987 5.4185424959 5.4733104763
196 -1.2219788914 3.5710008557 3.2591315277
197 -0.1877037903 3.3119968087 2.9569109857
198 -0.4114758667 2.9069218994 3.4571314801
199 -0.4099752005 2.6248701291 3.3019916928
200 -0.1891817192 2.6482273712 3.5238356405
201 0.0232830644 2.8770422242 3.8908558609
202 0.060254024 3.0741835809 4.076552169
203 -0.1955658036 2.9563627031 3.8466120132
204 -0.1615597967 2.9078940955 3.7015441409
205 -0.3318262998 2.7036995671 3.5550818426
206 0.0600999783 2.9526896753 3.8278215685
207 0.8108645488 3.8777473215 4.8529345337
208 -0.5455649443 3.1688581807 4.0220402399
209 -0.4456637726 2.772536954 3.1724407664
210 -0.2293546686 2.7114211992 3.4586806906
211 -0.5336505637 2.3643442757 3.3058011682
212 -0.3306354301 2.3244055628 3.2958091752
213 0.7214430298 3.3485269237 4.4899982287
214 -0.3410355021 3.0029333446 4.1639746188
215 0.2920444331 3.3940977743 4.0533195816
216 -0.5315587259 2.8443097161 3.6728723772
217 -0.1672526651 2.8237641362 3.4606562268
218 0.1846694886 3.1613043839 4.0675926231
219 -0.5046035767 2.708309492 3.6246650653
220 0.0496720531 2.9454886976 3.6964495494
221 -0.2197083404 2.8421337479 3.8150620968
222 0.0457140459 3.0352076694 3.8919182076
223 -0.0131399247 3.1115054439 4.0188599074
224 -0.0044940407 3.17355977 3.986308012
225 0.1691546458 3.3906464849 4.1660088174
226 1.1311203707 4.5045729101 5.2495286228
227 -0.0907834874 4.0624175497 4.7010007721
228 0.2515980668 4.0952903516 4.1880496256
229 -0.2177301894 3.6489730567 3.9583884573
230 -0.7745825314 2.7796986082 3.0730063359
231 0.1275742534 3.0733632791 3.5853664814
232 -0.2587000836 2.8926542118 3.8306018938
233 -0.3834600193 2.641397929 3.4354499222
234 0.7083690434 3.5573475937 4.4399470299
235 -0.1838509434 3.3062923722 4.312007387
236 -0.3807451776 2.933659483 3.490559162
237 -0.2927254172 2.7608362208 3.4407529584
238 -0.550517143 2.3820682116 3.2445750649
239 -1.0382746041 1.629173144 2.5763633958
240 0.7624930731 2.902914274 4.0357008503
241 -0.4126036401 2.6194363516 4.121141511
242 0.2141609912 3.0477664373 3.9253384431
243 -1.4812394511 1.652197055 2.6686732427
244 0.3951652161 2.5517031546 3.3582976003
245 0.2835133728 3.069705581 4.5601290241
246 0.157052682 3.3058465887 4.3555120429
247 0.2505566954 3.5646493075 4.3604935728
248 0.8220354175 4.3172899327 4.9974251043
249 0.32589071 4.3479936629 4.9013155022
250 -0.2798822152 3.7637133488 3.9482412818
251 0.0104620312 3.6450613754 3.8145444806
252 0.6402285635 4.1917715263 4.6475519854
253 -0.4126036401 3.5216364283 4.0355563543
254 -0.0779800757 3.3871654241 3.6331973762
255 -0.8879578672 2.4830579296 3.0574560798
256 0.1362877811 2.8744283318 3.514717274
257 -0.0195313987 2.9925684335 4.075870048
258 0.0225554686 3.1173533721 4.0088834895
259 0.2051820047 3.3873293652 4.2209708327
260 -0.2593998261 3.1117307296 3.8842275772
261 -0.2663387022 2.9118728085 3.5520814196
262 0.2254097353 3.2637207013 4.0389726438
263 0.0748457296 3.3594502205 4.2326325443
264 -0.843624548 2.5079906064 3.2087674627
265 -0.6855339052 2.0700595192 2.7239289112
266 -0.4379774055 2.011064258 3.0821488609
267 0.0616415718 2.4693865525 3.755057388
268 0.6834829946 3.4120535814 4.7266320949
269 0.1315299869 3.5199674939 4.6099680832
270 -0.1800094651 3.2839677806 3.9120615257
271 0.1031003194 3.4018777658 3.9770936938
272 -0.7780317901 2.603282646 3.2941384335
273 0.5226911526 3.3449890048 3.9780688995
274 -0.2476122063 3.093880097 4.1182716005
275 -0.1448029252 3.0209131427 3.6818685304
276 -0.0707865411 3.0438526588 3.8278514113
277 -1.2369127944 1.8937840668 2.7135366268
278 0.4891239769 2.8147728236 3.6232850208
279 -0.6004313491 2.3699096274 3.7419554347
280 0.0155887392 2.6745254784 3.5952867948
281 0.01635442 2.8885222549 4.0272665375
282 0.3275954441 3.3495610225 4.3390435381
283 -0.1038426944 3.2408500213 4.1254741164
284 0.1333921773 3.4019871922 4.0607022912
285 1.1821248336 4.5635158681 5.2754993577
286 0.356747023 4.5512081307 5.1842344065
287 0.5051765584 4.6910222499 4.7548994745
288 -0.1666455773 4.1170699976 4.1869780135
289 -0.6088544069 3.2730945914 3.274493689
290 0.0456759608 3.3368421748 3.619477876
291 1.0429448594 4.3787343817 5.0749180319
292 0.9289851732 4.9940992404 5.6590465748
293 -0.637633093 3.8582363753 4.0126565283
294 0.3256542414 4.0264197041 3.8793110763
295 -0.3530078629 3.4654859299 3.874950106
296 -0.1789896942 3.2468504568 3.5739048018
297 -0.9663017408 2.3064935789 2.9084054732
298 0.5242122825 3.1387577877 3.8478010639
299 0.2345507255 3.4316811769 4.6014993232
300 -0.0870534222 3.3151234016 4.0771320856
301 0.0294113534 3.3499977345 3.9684739578
302 0.1026313612 3.4476297753 4.1232193085
303 0.4226887995 3.8360296422 4.4945307523
304 -0.3181253305 3.367095419 3.9777568291
305 -0.5970628081 2.7599039852 3.1802494606
306 0.055209739 2.9871425287 3.6372657733
307 0.2401168331 3.3311166032 4.2787636504
308 -0.2400736321 3.0917079901 3.9280081511
309 0.4086382432 3.5728338363 4.2405867008
310 -0.494210326 3.0067733594 3.7918364443
311 -0.1103001068 2.9944412448 3.543752665
312 0.4429955425 3.5391044138 4.3657854677
313 1.1252723198 4.6026454094 5.4353691995
314 -0.2083481832 4.0135036035 4.5793424407
315 -0.5069000508 3.3025524716 3.347256221
316 -0.6599100288 2.6518767013 2.9852599356
317 0.1605525313 3.0168662222 3.6986155111
318 0.8164715837 3.9282779392 4.9288583556
319 0.4936498499 4.2434444073 5.0651799585
320 -0.3533511972 3.6170598879 3.9922036977
321 -0.1364855962 3.3954563254 3.6161685658
322 0.2046408554 3.5814602831 4.1091009381
323 0.4178423296 3.9248645278 4.5610909284
324 0.3083511046 4.0557562741 4.6008407354
325 0.5766503364 4.4156797283 4.7924961096
326 -0.5866581887 3.5043176211 3.8169970468
327 -0.2183611514 3.2346611834 3.3709781165
328 -0.0888792329 3.1753835955 3.7582679612
329 0.3285913408 3.5513598577 4.2663758778
330 -0.7653193279 2.7206325724 3.4646946107
331 0.0468281769 2.9512709776 3.5111046474
332 0.2119833198 3.2778730041 4.2447630436
333 0.1470380084 3.4415491113 4.2954263323
334 -0.2353624495 3.1737219284 3.8675641564
335 -0.1611971356 3.0604082142 3.6740491497
336 0.2681042588 3.4103900088 4.1552662638
337 0.3627428669 3.750015873 4.550415848
338 -0.2471801963 3.3778309148 4.0067398105
339 -0.2396018317 3.1248798086 3.5873720309
340 -0.135295295 3.0521205711 3.6969834228
341 -0.1973427288 2.9391416709 3.7079505647
342 -0.9294126357 2.1279865339 2.9324474541
343 0.0496333996 2.5392239733 3.3990445546
344 -0.3595653197 2.4178914616 3.67517806
345 -0.3277375527 2.3647864705 3.4205667235
346 -0.8018787412 1.8534717881 2.968704972
347 -0.9959239833 1.3015062684 2.4427608979
348 0.2746628525 2.1857172404 3.5775160642
349 -0.2233792884 2.3066227798 3.9688847083
350 0.118270691 2.7329066369 3.9619051891
351 -0.0209092832 2.8921253626 4.0618802005
352 -0.6953587217 2.3291290321 3.2900047801
353 1.0998155631 3.7302058856 4.6130644579
354 -0.5034587502 3.1076853696 4.2664121439
355 0.0559026603 3.231282419 3.7034815351
356 0.0453684379 3.3072661312 4.0845003001
357 -0.9129234968 2.4021627951 3.1188344097
358 0.4524770247 3.1339909813 3.813430577
359 -0.8097276805 2.3840660064 3.5070062369
360 0.5049855645 3.173831769 3.9381761882
361 0.2889657935 3.5106480318 4.6424556886
362 0.1683855544 3.6258391766 4.3706616098
363 0.7651965461 4.3032839698 4.8830664342
364 -0.1122214144 3.9000773645 4.4234161679
365 0.3201409982 4.0501951533 4.2415860081
366 -0.3429693152 3.4921672921 3.8811293835
367 0.0339338158 3.4784509202 3.7938552951
368 0.8314896149 4.2664052591 4.855243286
369 -0.1910734682 3.7954102132 4.3909692623
370 -0.4035319989 3.2532551503 3.4627165734
371 0.3077036581 3.5849822633 4.0252312589
372 0.0954929646 3.604980549 4.3108855253
373 -0.3845389074 3.1389474769 3.6823061679
374 -0.9101040632 2.2871591706 2.8207187016
375 1.0379426385 3.6389540579 4.4008697942
376 0.0974802106 3.6447480511 4.8240400575
377 -0.4420905952 3.1092330405 3.6261455522
378 0.0383056431 3.2147687715 3.7288422264
379 -0.1865134891 3.0638246509 3.8403004611
380 0.2634340035 3.4081112592 4.1328745611
381 0.1203170541 3.5059949355 4.3047208565
382 -0.0644558895 3.3897405653 4.0197660484
383 0.3735272003 3.746345596 4.3284080776
384 -0.484882321 3.1375595963 3.7765867192
385 -0.2154195045 2.9808722129 3.4451628709
386 0.869329142 3.955939691 4.7185354889
387 0.2424803824 4.0116381662 4.8510107818
388 -0.3616491995 3.4464975168 3.8080870682
389 -0.3053497721 3.1071984897 3.4414957882
390 1.6775447875 4.8525837303 5.463799947
391 -0.5058143415 3.8909942697 4.6684670097
392 0.1257967597 3.8494927485 3.7717267206
393 -0.4044329671 3.2902119568 3.6836247647
394 -0.9672930901 2.3358552797 2.7496038329
395 0.3042907792 2.939389475 3.6271856162
396 -0.1589023668 2.8986702657 4.0541011786
397 -0.9170048543 2.1120643317 2.971763489
398 -0.4317246294 2.0467204028 2.9263719726
399 -1.0216808732 1.4110234087 2.6761118862
400 1.0114081306 2.9991245167 4.2962315193
401 -0.4149205779 2.6844665838 4.2930651135
402 -0.0026199132 2.8765066955 3.7069356823
403 -0.1125351901 2.9010194968 3.8856308707
404 0.2166791546 3.2473928024 4.1379045216
405 -0.3348361588 2.9383388029 3.8168392494
406 0.6839695743 3.7408067363 4.4495842632
407 0.3436468887 3.9622116041 4.8224255907
408 -0.9037603377 2.8697877852 3.3367924844
409 -0.0805363243 2.9283151254 3.2868314393
410 -0.7689186532 2.2809019346 3.1747059198
411 0.0174259185 2.6140572727 3.4791828613
412 -0.3748937161 2.4549463748 3.6373044269
413 -0.4049104518 2.3135520105 3.3326639469
414 -0.0973636816 2.5221227258 3.6191990022
415 -0.368891051 2.396594857 3.5629543719
416 -0.4816490673 2.1959673326 3.260127197
417 0.2008204092 2.737997542 3.8636660621
418 0.1910734682 3.1076717476 4.3316477546
419 0.2921808573 3.4675510806 4.425932285
420 0.1076364242 3.5349221806 4.3121630243
421 0.0777089326 3.5521544591 4.1530544296
422 1.1601423466 4.646650468 5.2145385995
423 0.7134121915 4.9660675191 5.5255118342
424 -0.6441553069 3.8320919565 3.8552332272
425 -0.3223982503 3.3600661192 3.2266930349
426 -0.1655547521 3.1864915313 3.6087664726
427 0.4069318038 3.6374758757 4.2910434773
428 -0.4848209301 3.061412183 3.8000313326
429 0.7021617421 3.8451502702 4.362787091
430 -0.5220306321 3.1695745571 3.9694825874
431 -0.5306844741 2.6880177158 3.1038940834
432 -0.4909168183 2.3906955827 3.1376040498
433 -0.0819318302 2.5915550777 3.574426397
434 -0.6791276519 2.1349609025 3.263520067
435 0.5613753729 3.0558480046 4.0859860165
436 -0.1524784921 2.9866151112 4.2404842689
437 0.0688942237 3.1595248015 3.9621592792
438 0.0907834874 3.3024508484 4.139009444
439 -0.1181132347 3.1936023592 3.9454352064
440 -0.3929221748 2.8425994766 3.5243985609
441 -0.0854618065 2.9043578271 3.6394926711
442 0.1271791916 3.1602296706 4.0673559271
443 0.6323216439 3.8444824134 4.7213470781
444 -0.1941214123 3.4970162771 4.2485037385
445 -0.3674369964 3.0804743976 3.496678015
446 0.1015769158 3.2579089941 3.8443710183
447 0.6792242857 3.9597605815 4.7503281267
448 -0.4785556484 3.2932767586 3.9969013516
449 0.860786713 4.1660804441 4.5257977591
450 -0.0412217105 3.8750346004 4.5613289886
451 -0.4650632945 3.2474609257 3.5060815081
452 -0.3343575372 2.9388651108 3.3400981566
453 -0.4888147487 2.5683908289 3.2771349753
454 -0.3113638058 2.4865097744 3.3464658701
455 -0.4803121101 2.260244732 3.3017332258
456 -0.5159995453 2.0661717671 3.1477819776
457 0.2515548658 2.6978751028 3.8903551841
458 -0.0721774995 2.8163350724 4.1039109065
459 -0.8811889529 2.0902455978 3.0682867974
460 -0.2629508344 2.200221084 3.1202168985
461 -0.6381503681 1.9020043907 3.1777840478
462 -0.3340699095 1.997333164 3.2192248328
463 0.2911377806 2.6892709953 4.0572888439
464 -0.2749743544 2.6075153423 3.928822092
465 0.7762378118 3.6014985514 4.5837557637
466 0.0580973847 3.5791463707 4.6014638529
467 0.1923905302 3.6977929897 4.2330586995
468 -0.2186561687 3.369798924 3.9160172024
469 0.0356209284 3.3944801753 3.8825616103
470 -0.7594485396 2.6166875831 3.2654861103
471 -1.0470193956 1.7846619125 2.4213666266
472 -0.5605852493 1.6886780894 2.7065011737
473 -0.1386706572 2.0434040054 3.4689196683
474 0.3422917416 2.7726745454 4.2452222816
475 0.7409425962 3.681814778 4.9805468153
476 -0.8966048881 2.6806654565 3.6220549292
477 -1.3030876289 1.5733781906 2.0692889494
478 -0.5341917131 1.5671730203 2.5536469467
479 -0.1174839781 1.9795371361 3.5085818227
480 0.2052649961 2.5909409914 4.1230262114
481 -1.0081748769 1.8054838171 3.1355106204
482 -0.2470505933 2.0167880786 3.0472269928
483 0.1435665808 2.5553182359 3.9706311655
484 0.4300613909 3.2187841561 4.5305579975
485 0.1477565093 3.4009054185 4.4487994829
486 -0.0434869207 3.3371468722 4.0599426357
487 -0.3590207598 2.9769820508 3.6105383957
488 0.9488303476 4.0327177832 4.6975158158
489 -0.6050981938 3.2178042544 4.0590830496
490 0.2329295512 3.4853925293 3.8093608156
491 -0.1113977532 3.3283770173 4.0516529326
492 -0.4252092367 2.9046546754 3.496812336
493 0.0757739826 3.1090322554 3.7781275169
494 0.4288449418 3.6051675206 4.4818867296
495 -0.6410107289 2.8826065355 3.6591807303
496 0.0683144208 3.0861389956 3.6196069105
497 -0.1360092483 3.0242880486 3.9118108462
498 -0.6410107289 2.4759909051 3.2637827972
499 -0.2225766593 2.5106169742 3.3287158304
500 -0.8556139619 1.9018179201 2.9885823766

3.9070756988
 Variable 3 Variable 4 Variable 3*
Variable 3
AR(1) with trend AR(1) with break Variable 1
differenced
0.08 b1 (obs 151:320) 0.80 ACF

y=a+(at) +b1(yt-1)+et y=a+b1(yt-1)+et

1.304013661 1.224013661 0.7247585125
1.282340295 1.122340295 -0.0216733659 0.548386265
0.9970770059 0.7570770059 -0.2852632892 0.384657030
0.9558205679 0.6358205679 -0.041256438 0.236193950
0.7853857407 0.3853857407 -0.1704348272 0.124282218
1.8961293165 1.4161293165 1.1107435758 0.002556611
2.9866917833 2.4266917833 1.0905624668 -0.088056237
4.2066286846 3.5666286846 1.2199369013 -0.129890084
4.5472755094 3.8272755094 0.3406468248 -0.155829515
5.0817331409 4.2817331409 0.5344576315 -0.132816244
5.309715446 4.429715446 0.2279823051 -0.104142926
6.1597614502 5.1997614502 0.8500460043 -0.089252374
5.3119452505 4.2719452505 -0.8478161998 -0.062427580
5.5773735623 4.4573735623 0.2654283118 -0.016108327
5.3442483239 4.1442483239 -0.2331252384 -0.003447873
4.595076203 3.315076203 -0.7491721209 0.016321584
4.5853326574 3.2253326574 -0.0097435456 0.003981006
4.2833522948 2.8433522948 -0.3019803626 -0.005918082
4.1710459654 2.6510459654 -0.1123063293 -0.007314517
3.8213641688 2.2213641688 -0.3496817966 -0.032592333
4.4502067345 2.7702067345 0.6288425657
5.1656836639 3.4056836639 0.7154769293
5.3764166979 3.5364166979 0.2107330341
5.3467808576 3.4267808576 -0.0296358403
5.5941060623 3.5941060623 0.2473252047
5.2527116608 3.1727116608 -0.3413944015
5.4154072337 3.2554072337 0.1626955729
5.2560536448 3.0160536448 -0.159353589
5.0300321535 2.7100321535 -0.2260214912
4.54322193 2.14322193 -0.4868102236
4.8733232167 2.3933232167 0.3301012868
4.5427733211 1.9827733211 -0.3305498956
4.2573969498 1.6173969498 -0.2853763713
4.5744852582 1.8544852582 0.3170883084
4.8200002848 2.0200002848 0.2455150266
4.911360999 2.031360999 0.0913607142
4.9369142044 1.9769142044 0.0255532053
 5.8835065234 2.8435065234 0.946592319
5.9494990153 2.8294990153 0.0659924919
6.4827334284 3.2827334284 0.5332344131
7.9539788837 4.6739788837 1.4712454553
7.7625625986 4.4025625986 -0.1914162851
7.9792469166 4.5392469166 0.216684318
7.9833702274 4.4633702274 0.0041233108
8.4694558724 4.8694558724 0.486085645
8.0098648276 4.3298648276 -0.4595910448
7.6162721648 3.8562721648 -0.3935926628
6.7529072457 2.9129072457 -0.863364919
7.1600629597 3.2400629597 0.407155714
6.2323979074 2.2323979074 -0.9276650523
6.4479380981 2.3679380981 0.2155401907
7.5532651228 3.3932651228 1.1053270247
7.6267042919 3.3867042919 0.0734391691
7.2978231255 2.9778231255 -0.3288811664
6.4185665873 2.0185665873 -0.8792565382
6.9854530003 2.5054530003 0.566886413
7.1363763892 2.5763763892 0.1509233889
6.8595371785 2.2195371785 -0.2768392107
7.236444154 2.516444154 0.3769069755
6.6333852071 1.8333852071 -0.6030589469
7.2092371681 2.3292371681 0.575851961
8.2781599728 3.3181599728 1.0689228047
7.9719225712 2.9319225712 -0.3062374015
7.6330506846 2.5130506846 -0.3388718866
8.7991311434 3.5991311434 1.1660804588
8.0339474169 2.7539474169 -0.7651837264
8.5488273932 3.1888273932 0.5148799763
8.7529866426 3.3129866426 0.2041592494
8.3106173847 2.7906173847 -0.4423692579
9.1433770445 3.5433770445 0.8327596598
9.4446861858 3.7646861858 0.3013091413
8.8871001654 3.1271001654 -0.5575860203
8.783517391 2.943517391 -0.1035827744
7.7507525773 1.8307525773 -1.0327648137
7.7471327285 1.7471327285 -0.0036198489
8.1906930516 2.1106930516 0.4435603232
7.8650535597 1.7050535597 -0.325639492
8.851054677 2.611054677 0.9860011174
9.6960157862 3.3760157862 0.8449611092
9.5380127725 3.1380127725 -0.1580030137
11.1169938899 4.6369938899 1.5789811173
10.3738379911 3.8138379911 -0.7431558988
10.0514674055 3.4114674055 -0.3223705856
9.9787135219 3.2587135219 -0.0727538837
10.5238119275 3.7238119275 0.5450984057
9.7560030432 2.8760030432 -0.7678088843
9.9513742574 2.9913742574 0.1953712142
9.460278791 2.420278791 -0.4910954665
8.8454059448 1.7254059448 -0.6148728461
9.5758462767 2.3758462767 0.7304403319
8.5296284878 1.2496284878 -1.0462177889
9.251974866 1.891974866 0.7223463783
8.9845498166 1.5445498166 -0.2674250494
10.0798610281 2.5598610281 1.0953112115
10.9049145749 3.3049145749 0.8250535468
11.1678699175 3.4878699175 0.2629553426
11.5511874862 3.7911874862 0.3833175686
11.3844713236 3.5444713236 -0.1667161625
11.3195857685 3.3995857685 -0.0648855552
11.7310512518 3.7310512518 0.4114654834
10.8972445058 2.8172445058 -0.833806746
11.2011967304 3.0411967304 0.3039522246
11.7937718259 3.5537718259 0.5925750954
11.9106621536 3.5906621536 0.1168903277
12.6149090225 4.2149090225 0.7042468689
12.6342461203 4.1542461203 0.0193370978
12.264786052 3.704786052 -0.3694600684
12.3832258683 3.7432258683 0.1184398163
11.9666808853 3.2466808853 -0.416544983
11.8542313401 3.0542313401 -0.1124495452
13.4155278766 4.5355278766 1.5612965365
12.7854837133 3.8254837133 -0.6300441633
13.0550712767 4.0150712767 0.2695875633
12.2185110391 3.0985110391 -0.8365602375
12.1239364441 2.9239364441 -0.094574595
11.8226612512 2.5426612512 -0.3012751929
12.7256092961 3.3656092961 0.9029480449
13.1032606832 3.6632606832 0.3776513871
12.752551107 3.232551107 -0.3507095762
12.9271643573 3.3271643573 0.1746132504
12.6986721521 3.0186721521 -0.2284922052
12.3873298499 2.6273298499 -0.3113423022
12.2704392189 2.4304392189 -0.116890631
12.9521333088 3.0321333088 0.6816940899
12.1752818691 2.1752818691 -0.7768514397
12.3603465289 2.2803465289 0.1850646598
11.9319834382 1.7719834382 -0.4283630907
12.5952786196 2.3552786196 0.6632951814
13.1822273367 2.8622273367 0.5869487171
12.364625148 1.964625148 -0.8176021887
13.1365971792 2.6565971792 0.7719720313
13.3030776481 2.7430776481 0.1664804689
13.3857655658 2.7457655658 0.0826879177
13.9941115269 3.2741115269 0.6083459611
13.5432504011 2.7432504011 -0.4508611258
14.1440188033 3.2640188033 0.6007684022
14.7253071713 3.7653071713 0.581288368
15.0515716635 4.0115716635 0.3262644922
13.8762331621 2.7562331621 -1.1753385014
14.5318896523 3.3318896523 0.6556564902
14.3793500044 3.0993500044 -0.1525396479
14.6778210612 3.3178210612 0.2984710568
14.4619958833 3.0219958833 -0.2158251779
14.6719769952 3.1519769952 0.2099811119
16.0482625321 4.4482625321 1.3762855369
16.0216099215 4.3416099215 -0.0266526106
15.9362082603 4.1762082603 -0.0854016613
16.1172870141 4.2772870141 0.1810787538
15.6462621098 3.7262621098 -0.4710249042
15.8510787274 3.8510787274 0.2048166176
15.1239816473 3.4290895201 -0.7270970801
15.95994788 4.4124323429 0.8359662326
15.882498944 4.5124813023 -0.077448936
16.2371862572 4.9774220382 0.3546873132
15.7181922066 4.5580994571 -0.5189940506
15.9749303134 4.8186753345 0.2567381068
16.9957859135 5.8442749617 1.0208556002
15.7513453232 4.6817151532 -1.2444405903
15.2519401452 4.0993705414 -0.4994051781
15.4839063313 4.1910446628 0.2319661861
15.9486147567 4.542716055 0.4647084254
15.710771002 4.2369135164 -0.2378437547
16.3522932284 4.7762843401 0.6415222264
15.4036093842 3.7860315964 -0.9486838442
16.2083949038 4.4386936119 0.8047855196
16.4696306629 4.6347091198 0.2612357591
16.9294466344 5.0444724662 0.4598159716
17.4055654139 5.5025307428 0.4761187795
17.7935462794 5.8996750839 0.3879808655
17.2175504702 5.3458081417 -0.5759958092
17.6315390808 5.6959002651 0.4139886107
17.2437315476 5.2743744031 -0.3878075332
17.2934357101 5.2343231493 0.0497041625
17.1993698493 5.0494233717 -0.0940658608
17.6072472763 5.3512270791 0.407877427
17.3652995946 5.0412081644 -0.2419476817
17.5747966073 5.1480534227 0.2094970128
17.8250156393 5.3131007523 0.250219032
17.7711827785 5.1921524329 -0.0538328607
18.0365054657 5.374399467 0.2653226871
18.7594592069 6.0334249545 0.7229537412
18.6689808644 5.9400993832 -0.0904783424
18.2665530024 5.5023459039 -0.402427862
18.2834401813 5.4267298027 0.0168871789
18.846470274 5.8934459893 0.5630300927
18.1775928299 5.1798204296 -0.6688774441
17.6870284953 4.562569858 -0.4905643346
19.1762830468 5.8774189865 1.4892545514
19.2951461975 5.9816832539 0.1188631507
19.4985601631 6.161304428 0.2034139656
19.7081918646 6.3482432929 0.2096317015
20.5511097575 7.1699700865 0.8429178928
20.0221061625 6.6843054015 -0.529003595
20.8503455675 7.4703155749 0.828239405
21.0185424959 7.6635530586 0.1681969284
19.2510008557 5.9088635555 -1.7675416402
19.0719968087 5.5393870541 -0.179004047
18.7469218994 5.0200337766 -0.3250749093
18.5448701291 4.6060518208 -0.2020517703
18.6482273712 4.4956597375 0.1033572421
18.9570422242 4.6198108543 0.308814853
19.2341835809 4.7561027075 0.2771413567
19.1963627031 4.6093163624 -0.0378208778
19.2278940955 4.5258932933 0.0315313924
19.1036995671 4.2888883349 -0.1241945284
19.4326896753 4.4912106462 0.3289901082
20.4377473215 5.4038330658 1.0050576463
19.8088581807 4.7775015083 -0.6288891408
19.492536954 4.3763374341 -0.3163212268
19.5114211992 4.2717152787 0.0188842452
19.2443442757 3.8837216592 -0.2670769235
19.2844055628 3.7763418972 0.0400612871
20.3885269237 4.7425165475 1.1041213609
20.1229333446 4.452977736 -0.2655935792
20.5940977743 4.8544266219 0.4711644297
20.1243097161 4.3519825716 -0.4697880582
20.1837641362 4.3143333922 0.0594544201
20.6013043839 4.6361362023 0.4175402477
20.228309492 4.2043053852 -0.3729948919
20.5454886976 4.4131163613 0.3171792055
20.5221337479 4.3107847486 -0.0233549497
20.7952076694 4.4943418448 0.2730739215
20.9515054439 4.5823335511 0.1562977745
21.09355977 4.6613728002 0.1420543261
21.3906464849 4.898252886 0.2970867148
22.5845729101 6.0497226795 1.1939264252
22.2224175497 5.7489946562 -0.3621553604
22.3352903516 5.8507937918 0.1128728019
21.9689730567 5.462904844 -0.3663172949
21.1796986082 4.5957413438 -0.7892744485
21.5533632791 4.8041673284 0.3736646709
21.4526542118 4.5846337791 -0.1007090673
21.281397929 4.284247004 -0.1712562828
22.2773475937 5.1357666466 0.9959496647
22.1062923722 4.9247623739 -0.1710552215
21.813659483 4.5590647215 -0.2926328893
21.7208362208 4.35452636 -0.0928232621
21.4220682116 3.933103945 -0.2987680092
20.749173144 3.1082085519 -0.6728950676
22.102914274 4.2490599147 1.3537411299
21.8994363516 3.9866442916 -0.2034779223
22.4077664373 4.4034764244 0.5083300857
21.092197055 3.0415416885 -1.3155693823
22.0717031546 3.8283985669 0.9795060996
22.669705581 4.3462322263 0.5980024264
22.9858465887 4.634038463 0.3161410077
23.3246493075 4.9577874658 0.3388027188
24.1572899327 5.7882653901 0.8326406253
24.2679936629 5.9565030221 0.1107037302
23.7637133488 5.4853202025 -0.504280314
23.7250613754 5.3987181932 -0.0386519734
24.3517715263 5.9592031181 0.6267101509
23.7616364283 5.3547588543 -0.590135098
23.7071654241 5.2058270077 -0.0544710042
22.8830579296 4.2767037389 -0.8241074945
23.3544283318 4.5576507722 0.4713704022
23.5525684335 4.6265892191 0.1981401017
23.7573533721 4.7238268438 0.2047849385
24.1073293652 4.9842434798 0.3499759931
23.9117307296 4.7279949578 -0.1955986356
23.7918728085 4.516057264 -0.1198579211
24.2237207013 4.8382555465 0.4318478928
24.3994502205 4.9454501668 0.1757295192
23.6279906064 4.1127355855 -0.7714596141
23.2700595192 3.6046545632 -0.3579310871
23.291064258 3.4457462451 0.0210047388
23.8293865525 3.8182385679 0.5383222944
24.8520535814 4.738073849 1.0226670289
25.0399674939 4.9219890661 0.1879139125
24.8839677806 4.7575817878 -0.1559997133
25.0818777658 4.9091657496 0.1979099852
24.363282646 4.1493008096 -0.7185951198
25.1849890048 4.8421318002 0.8217063588
25.013880097 4.6260932339 -0.1711089077
25.0209131427 4.5560716619 0.0070330457
25.1238526588 4.5740707885 0.1029395161
24.0537840668 3.4223438364 -1.0700685921
25.0547728236 4.226999046 1.0009887568
24.6899096274 3.7811678877 -0.3648631962
25.0745254784 4.0405230493 0.384615851
25.3685222549 4.2487728595 0.2939967765
25.9095610225 4.7266137317 0.5410387676
25.8808500213 4.6774482909 -0.0287110012
26.1219871922 4.87535081 0.2411371709
27.3635158681 6.0824054816 1.2415286759
27.4312081307 6.2226714083 0.0676922626
27.6510222499 6.483313685 0.2198141191
27.1570699976 6.0200053707 -0.4939522523
26.3930945914 5.2071498897 -0.7639754062
26.5368421748 5.2113958725 0.1437475834
27.6587343817 6.2120615574 1.1218922069
28.3540992404 6.8986344191 0.6953648587
27.2982363753 5.8812744423 -1.0558628651
27.5464197041 6.0306737952 0.2481833288
27.0654859299 5.4715311732 -0.4809337742
26.9268504568 5.1982352444 -0.1386354731
26.0664935789 4.1922864547 -0.8603568779
26.9787577877 4.8780414462 0.9122642088
27.3516811769 5.1369838825 0.3729233892
27.3151234016 5.0225336837 -0.0365577753
27.4299977345 5.0474383003 0.1148743329
27.6076297753 5.1405820015 0.1776320409
28.0760296422 5.5351544007 0.4683998669
27.687095419 5.10999819 -0.3889342232
27.1599039852 4.4909357439 -0.5271914338
27.4671425287 4.6479583342 0.3072385434
27.8911166032 4.9584835004 0.4239740745
27.7317079901 4.7267131682 -0.159408613
28.2928338363 5.1900087778 0.5611258462
27.8067733594 4.6577966963 -0.4860604769
27.8744412448 4.6159372502 0.0676678853
28.4991044138 5.1357453426 0.624663169
29.6426454094 6.2338685939 1.1435409956
29.1335036035 5.7787466919 -0.509141806
28.5025524716 5.1160973027 -0.6309511319
27.9318767013 4.4329678133 -0.5706757703
28.3768662222 4.7069267819 0.4449895209
29.3682779392 5.5820130092 0.991411717
29.7634444073 5.9592602573 0.3951664681
29.2170598879 5.4140570086 -0.5463845194
29.0754563254 4.6533543099 -0.1416035625
29.3414602831 4.4619888723 0.2660039578
29.7648645278 4.5412345402 0.4234042447
29.9757562741 4.4872152828 0.2108917463
30.4156797283 4.7177010343 0.4399234541
29.5843176211 3.7157325353 -0.8313621072
29.3946611834 3.3826516234 -0.1896564377
29.4153835955 3.2789769035 0.0207224121
29.8713598577 3.6238751732 0.4559762622
29.1206325724 2.7713932934 -0.7507272852
29.4312709776 2.9868034822 0.3106384052
29.8378730041 3.3027457574 0.4066020265
30.0815491113 3.4589600386 0.2436761072
29.8937219284 3.1859095775 -0.1878271829
29.8604082142 3.0689395686 -0.0333137142
30.2903900088 3.4163619568 0.4299817945
30.710015873 3.7541962366 0.4196258642
30.4178309148 3.3807571693 -0.2921849582
30.2448798086 3.1269281868 -0.1729511061
30.2521205711 3.0535544358 0.0072407624
30.2191416709 2.9401453762 -0.0329789001
29.4879865339 2.1286891276 -0.731155137
29.9792239733 2.539715789 0.4912374394
29.9378914616 2.4182357325 -0.0413325117
29.9647864705 2.3650274601 0.0268950089
29.5334717881 1.8536404809 -0.4313146823
29.0615062684 1.3016243533 -0.4719655197
30.0257172404 2.1857998998 0.9642109719
30.2266227798 2.3066806415 0.2009055395
30.7329066369 2.73294714 0.5062838571
30.9721253626 2.8921537148 0.2392187257
30.4891290321 2.3291488787 -0.4829963305
31.9702058856 3.7302197781 1.4810768534
31.4276853696 3.1076950944 -0.5425205159
31.631282419 3.2312892264 0.2035970494
31.7872661312 3.3072708964 0.1559837122
30.9621627951 2.4021661307 -0.8251033362
31.7739909813 3.1339933162 0.8118281862
31.1040660064 2.3840676409 -0.6699249748
31.973831769 3.1738329131 0.8697657625
32.3906480318 3.5106488327 0.4168162628
32.5858391766 3.6258397373 0.1951911448
33.3432839698 4.3032843622 0.7574447931
33.0200773645 3.9000776392 -0.3232066053
33.2501951533 4.0501953456 0.2301177888
32.7721672921 3.4921674267 -0.4780278612
32.8384509202 3.4784510145 0.0662836281
33.7064052591 4.2664053251 0.8679543389
33.3154102132 3.7954102594 -0.3909950459
32.8532551503 3.2532551826 -0.4621550629
33.2649822633 3.584982286 0.411727113
33.364980549 3.6049805648 0.0999982856
32.9789474769 3.138947488 -0.3860330721
32.2071591706 2.2871591784 -0.7717883063
33.6389540579 3.6389540634 1.4317948873
33.7247480511 3.6447480549 0.0857939932
33.2692330405 3.1092330432 -0.4555150106
33.4547687715 3.2147687733 0.1855357309
33.3838246509 3.0638246522 -0.0709441205
33.8081112592 3.4081112601 0.4242866082
33.9859949355 3.5059949361 0.1778836764
33.9497405653 3.3897405658 -0.0362543702
34.386345596 3.7463455963 0.4366050307
33.8575595963 3.1375595965 -0.5287859998
33.7808722129 2.9808722131 -0.0766873833
34.8359396911 3.9559396912 1.0550674781
34.9716381662 4.0116381662 0.1356984751
34.4864975168 3.4464975169 -0.4851406493
34.2271984897 3.1071984897 -0.2592990272
36.0525837303 4.8525837303 1.8253852406
35.1709942697 3.8909942697 -0.8815894606
35.2094927485 3.8494927485 0.0384984788
34.7302119568 3.2902119568 -0.4792807917
33.8558552797 2.3358552797 -0.8743566771
34.539389475 2.939389475 0.6835341953
34.5786702657 2.8986702657 0.0392807907
33.8720643317 2.1120643317 -0.706605934
33.8867204028 2.0467204028 0.0146560711
33.3310234087 1.4110234087 -0.5556969941
34.9991245167 2.9991245167 1.668101108
34.7644665838 2.6844665838 -0.2346579329
35.0365066955 2.8765066955 0.2720401117
35.1410194968 2.9010194968 0.1045128013
35.5673928024 3.2473928024 0.4263733056
35.3383388029 2.9383388029 -0.2290539995
36.2208067363 3.7408067363 0.8824679335
36.5222116041 3.9622116041 0.3014048678
35.5097877852 2.8697877852 -1.0124238189
35.6483151254 2.9283151254 0.1385273402
35.0809019346 2.2809019346 -0.5674131908
35.4940572727 2.6140572727 0.4131553381
35.4149463748 2.4549463748 -0.0791108979
35.3535520105 2.3135520105 -0.0613943643
35.6421227258 2.5221227258 0.2885707153
35.596594857 2.396594857 -0.0455278688
35.4759673326 2.1959673326 -0.1206275244
36.097997542 2.737997542 0.6220302094
36.5476717476 3.1076717476 0.4496742056
36.9875510806 3.4675510806 0.439879333
37.1349221806 3.5349221806 0.1473711
37.2321544591 3.5521544591 0.0972322784
38.406650468 4.646650468 1.1744960089
38.8060675191 4.9660675191 0.3994170512
37.7520919565 3.8320919565 -1.0539755626
37.3600661192 3.3600661192 -0.3920258373
37.2664915313 3.1864915313 -0.0935745879
37.7974758757 3.6374758757 0.5309843444
37.301412183 3.061412183 -0.4960636928
38.1651502702 3.8451502702 0.8637380872
37.5695745571 3.1695745571 -0.5955757131
37.1680177158 2.6880177158 -0.4015568413
36.9506955827 2.3906955827 -0.217322133
37.2315550777 2.5915550777 0.280859495
36.8549609025 2.1349609025 -0.3765941752
37.8558480046 3.0558480046 1.0008871021
37.8666151112 2.9866151112 0.0107671066
38.1195248015 3.1595248015 0.2529096903
38.3424508484 3.3024508484 0.222926047
38.3136023592 3.1936023592 -0.0288484893
38.0425994766 2.8425994766 -0.2710028825
38.1843578271 2.9043578271 0.1417583505
38.5202296706 3.1602296706 0.3358718435
39.2844824134 3.8444824134 0.7642527428
39.0170162771 3.4970162771 -0.2674661363
38.6804743976 3.0804743976 -0.3365418795
38.9379089941 3.2579089941 0.2574345965
39.7197605815 3.9597605815 0.7818515875
39.1332767586 3.2932767586 -0.5864838229
40.0860804441 4.1660804441 0.9528036854
39.8750346004 3.8750346004 -0.2110458437
39.3274609257 3.2474609257 -0.5475736746
39.0988651108 2.9388651108 -0.2285958149
38.8083908289 2.5683908289 -0.2904742819
38.8065097744 2.4865097744 -0.0018810545
38.660244732 2.260244732 -0.1462650424
38.5461717671 2.0661717671 -0.1140729649
39.2578751028 2.6978751028 0.7117033357
39.4563350724 2.8163350724 0.1984599696
38.8102455978 2.0902455978 -0.6460894746
39.000221084 2.200221084 0.1899754862
38.7820043907 1.9020043907 -0.2182166933
38.957333164 1.997333164 0.1753287733
39.7292709953 2.6892709953 0.7719378314
39.7275153423 2.6075153423 -0.001755653
40.8014985514 3.6014985514 1.0739832091
40.8591463707 3.5791463707 0.0576478192
41.0577929897 3.6977929897 0.198646619
40.809798924 3.369798924 -0.2479940656
40.9144801753 3.3944801753 0.1046812512
40.2166875831 2.6166875831 -0.6977925922
39.4646619125 1.7846619125 -0.7520256705
39.4486780894 1.6886780894 -0.0159838231
39.8834040054 2.0434040054 0.434725916
40.6926745454 2.7726745454 0.80927054
41.681814778 3.681814778 0.9891402325
40.7606654565 2.6806654565 -0.9211493215
39.7333781906 1.5733781906 -1.0272872658
39.8071730203 1.5671730203 0.0737948297
40.2995371361 1.9795371361 0.4923641158
40.9909409914 2.5909409914 0.6914038553
40.2854838171 1.8054838171 -0.7054571743
40.5767880786 2.0167880786 0.2913042616
41.1953182359 2.5553182359 0.6185301573
41.9387841561 3.2187841561 0.7434659202
42.2009054185 3.4009054185 0.2621212624
42.2171468722 3.3371468722 0.0162414537
41.9369820508 2.9769820508 -0.2801648215
43.0727177832 4.0327177832 1.1357357324
42.3378042544 3.2178042544 -0.7349135287
42.6853925293 3.4853925293 0.3475882749
42.6083770173 3.3283770173 -0.077015512
42.2646546754 2.9046546754 -0.3437223419
42.5490322554 3.1090322554 0.28437758
43.1251675206 3.6051675206 0.5761352652
42.4826065355 2.8826065355 -0.6425609851
42.7661389956 3.0861389956 0.2835324602
42.7842880486 3.0242880486 0.018149053
42.3159909051 2.4759909051 -0.4682971435
42.4306169742 2.5106169742 0.1146260691
41.9018179201 1.9018179201 -0.5287990542

0.0813583252
Variable 2

ACF

6.00
0.4891192975
Variable 1
0.073732101
5.00
0.052383194
0.003130483
4.00
0.004249696
-0.053759489
3.00
-0.110046438
2.00
-0.120040406
-0.121141046
1.00
-0.057213371
-0.009854370
0.00
-0.043816588
0 50 100 150 200 250 300 350 400 450 500
-0.028510007
0.022003594
0.026126235
0.034122873
50 Variable 3
0.002413314
-0.014406379 45
0.003039063 40
-0.018286661 35
30
25
20
15
10
5
0
0 50 100 150 200 250 300 350 400 450 500

2.5
Variable 3*
2

1.5

0.5

0
0 50 100 150 200 250 300 350 400 450 500
-0.5
 2

1.5

0.5

0
0 50 100 150 200 250 300 350 400 450 500
-0.5

-1

-1.5

-2

0.8 Variable 1: ACF

0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-0.1 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

-0.2

0.6 Variable 2: ACF

0.5

0.4

0.3

0.2

0.1

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-0.1

-0.2
6.00 Variable 2
5.00

4.00

3.00

2.00

1.00

0.00
0 50 100 150 200 250 300 350 400 450 500

9 Variable 4
8
7
6
5
4
3
2
1
0
0 50 100 150 200 250 300 350 400 450 500
 ACF PACF
White noise All r's = 0 All b's = 0

Geometric decay Cutoff after lag 1;

AR(1) (oscillating if b<0) r 1 = b1

AR(p) Decays toward zero, may Cutoff after lag p.

oscillate

Geometric decay
MA(1) Cutoff after lag 1.
(oscillating if f <0)

Decay (oscillating if
MA(q) Cutoff after lag q.
f<0)

Geometric decay after lag Geometric decay

ARMA(1,1) after lag 1
1 (oscillating if b<0) (oscillating if b<0)

Decay (direct or
ARMA(p,q) Decay (direct or oscillatory) after lag
oscillatory) after lag q p
 Alternative Models for pe_ind (price-earnings ratio for India)
AIC SBC
Model 1 AR(1) 3.452067 3.504880
Model 2 AR(1,8) 3.434846 3.505264
Model 3 AR(1,8), MA at lag 8 3.398326 3.486348
 Variable 5 Variable 6 Variable 7
Random Walk
Deterministic trend Random Walk with drift
b 0.45 m 2.00
y = bt + et y= yt-1+et y= m + (yt-1)+et
et
1 -2.278966349 -2.3 -2.3 -2.3
2 8.2617589214 8.7 6.0 8.0
3 8.884876479 9.8 14.9 18.9
4 -1.6045305529 -0.3 13.3 19.3
5 -1.3940962162 0.4 11.9 19.9
6 1.8296759663 4.1 13.7 23.7
7 10.9879238153 13.7 24.7 36.7
8 -15.5324414663 -12.4 9.2 23.2
9 -0.7837570593 2.8 8.4 24.4
10 -11.4192062028 -7.4 -3.0 15.0
11 -3.1073227547 1.4 -6.2 13.8
12 9.1212086772 14.1 3.0 25.0
13 8.3926806838 13.8 11.4 35.4
14 7.833455129 13.7 19.2 45.2
15 -16.2975993589 -10.0 2.9 30.9
16 -12.5214683067 -5.8 -9.6 20.4
17 -4.922867447 2.3 -14.6 17.4
18 -6.3278775997 1.3 -20.9 13.1
19 -9.06452442 -1.0 -29.9 6.1
20 -10.7272398964 -2.2 -40.7 -2.7
21 -0.3018385542 8.7 -41.0 -1.0
22 -10.0071474662 -0.6 -51.0 -9.0
23 -3.2610387279 6.6 -54.2 -10.2
24 -0.0898808139 10.3 -54.3 -8.3
25 -25.775807444 -15.0 -80.1 -32.1
26 8.5470901467 19.8 -71.6 -21.6
27 -18.844002625 -7.1 -90.4 -38.4
28 -8.4362909547 3.7 -98.8 -44.8
29 0.0745899342 12.7 -98.8 -42.8
30 2.1214304979 15.2 -96.6 -38.6
31 1.9800154405 15.5 -94.7 -34.7
32 6.5936774263 20.5 -88.1 -26.1
33 5.432866601 19.8 -82.6 -18.6
34 -8.3005716078 6.5 -90.9 -24.9
35 7.5557409218 22.9 -83.4 -15.4
36 7.0670239438 22.8 -76.3 -6.3
37 1.1288307178 17.3 -75.2 -3.2
38 16.1043317348 32.8 -59.1 14.9
39 -16.8187398231 0.3 -75.9 0.1
40 3.0183286981 20.6 -72.9 5.1
41 -1.7371803551 16.3 -74.6 5.4
42 -0.8090864867 17.6 -75.4 6.6
43 -6.7590690378 12.1 -82.2 1.8
44 7.9410028775 27.3 -74.2 11.8
45 -3.7278141463 16.1 -78.0 10.0
46 -10.9655502456 9.3 -88.9 1.1
47 7.158655535 27.9 -81.8 10.2
48 -9.3639300758 11.8 -91.1 2.9
49 16.1352090799 37.7 -75.0 21.0
50 -0.7937387636 21.3 -75.8 22.2
51 -4.8944002629 17.6 -80.7 19.3
52 -5.7188458413 17.2 -86.4 15.6
53 -9.5385075838 13.9 -96.0 8.0
54 4.6389914132 28.5 -91.3 14.7
55 -1.5007799448 22.8 -92.8 15.2
56 -1.9815843189 22.8 -94.8 15.2
57 8.2112819655 33.4 -86.6 25.4
58 11.9318883662 37.6 -74.7 39.3
59 -19.5537722902 6.5 -94.2 21.8
60 7.4715444498 34.0 -86.7 31.3
61 -5.0041990107 22.0 -91.7 28.3
62 21.6328771785 49.1 -70.1 51.9
63 6.8574536272 34.8 -63.3 60.7
64 2.63455604 31.0 -60.6 65.4
65 -1.7263118934 27.1 -62.3 65.7
66 7.2439206633 36.5 -55.1 74.9
67 16.936337488 46.6 -38.2 93.8
68 -2.8896693038 27.3 -41.1 92.9
69 11.4104068416 42.0 -29.6 106.4
70 -7.3027194958 23.7 -36.9 101.1
71 5.3559006119 36.9 -31.6 108.4
72 -12.1354560179 19.8 -43.7 98.3
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480 19.1412254935 234.7 -12.4 945.6
481 4.1694647734 220.2 -8.2 951.8
482 -2.5815324989 213.9 -10.8 951.2
483 -12.6090526464 204.3 -23.4 940.6
484 6.8419694799 224.2 -16.6 949.4
485 -0.6687059795 217.1 -17.2 950.8
486 13.3068169816 231.6 -3.9 966.1
487 0.316367732 219.0 -3.6 968.4
488 -3.0119281291 216.1 -6.6 967.4
489 36.1120328307 255.7 29.5 1,005.5
490 -10.0882516563 210.0 19.4 997.4
491 -13.3105004352 207.2 6.1 986.1
492 -6.6250890995 214.3 -0.5 981.5
493 8.992083167 230.4 8.4 992.4
494 3.3774313124 225.2 11.8 997.8
495 -7.3127012001 215.0 4.5 992.5
496 -12.0101958601 210.7 -7.5 982.5
497 -1.9192157197 221.3 -9.4 982.6
498 -12.238342606 211.4 -21.7 972.3
499 -6.4922915044 217.6 -28.1 967.9
500 1.2066266208 225.8 -26.9 971.1
 300 Variable 5
250

200

150

100

50

0
0 50 100 150 200 250 300 350 400 450 500
-50

100 Variable 6
50

0
0 50 100 150 200 250 300 350 400 450 500
-50

-100

-150

-200

1,200 Variable 7
1,000

800

600

400

200

0
1,000

800

600

400

200

0
0 50 100 150 200 250 300 350 400 450 500
-200
 Variable 6 Variable 7
Random Walk Random Walk
m m: 1.50 m n: -2.00
e mt mt= m m + (mt-1)+ e mt e nt nt= m n + (nt-1 )+ e nt
1 0.0000 0.0 0.0000 0.0
2 0.211907718 1.7 -1.4555689631 -1.6
3 1.6338117348 4.8 0.3794320946 -0.8
4 2.3981192498 8.7 0.3421200745 1.4
5 -0.0237548647 10.2 -1.0835310604 -0.6
6 -0.0246734544 11.7 1.5614750737 -2.7
7 -0.336933681 12.9 1.7242746253 -5.2
8 0.023908342 14.4 -2.0641527954 -7.2
9 -1.726307346 14.2 1.1131760402 -12.2
10 -0.7547612313 14.9 0.286336217 -15.5
11 1.1636257113 17.6 1.0194435163 -15.5
12 -0.9078371477 18.2 -0.7387870937 -19.1
13 -0.2959131962 19.4 1.016103397 -21.6
14 -0.7206176633 20.1 -1.0769508663 -24.9
15 -0.2321371539 21.4 -2.8187059797 -27.3
16 1.326243364 24.2 -1.0018493413 -27.0
17 -0.6759069038 25.1 -2.296128514 -30.1
18 0.0673310296 26.6 -0.3443915375 -32.0
19 0.8942902241 29.0 -0.1324610821 -32.5
20 -2.4531618692 28.1 0.3011120953 -38.8
21 0.0556815394 29.6 0.8237043403 -40.7
22 -0.2028411927 30.9 1.142950623 -43.0
23 0.6208711056 33.0 -0.5795595825 -43.9
24 -0.591544449 33.9 -0.7598555385 -47.0
25 -0.8603433344 34.6 -1.207022251 -50.5
26 -0.5708034223 35.5 -1.0484245649 -53.5
27 0.0053933036 37.0 1.1029987945 -55.5
28 1.0395865502 39.6 1.8714581529 -55.6
29 1.37499228 42.4 -0.6864229363 -55.2
30 0.0857448867 44.0 -1.5785280993 -57.1
31 -0.5034576134 45.0 1.8063474272 -60.0
32 -0.2638512342 46.3 1.4474517229 -62.4
33 0.0415116119 47.8 -0.3130617188 -64.4
34 0.4202865966 49.7 -0.3627951628 -65.6
35 -0.8526171769 50.4 1.2148257156 -69.1
36 0.4762023309 52.3 1.6638932721 -70.3
37 -0.1563466867 53.7 -1.3580620362 -72.6
38 0.2530941856 55.4 -0.4018068012 -74.1
39 -1.0966959962 55.8 -1.0451185517 -78.0
40 -1.621156116 55.7 0.9440100257 -82.9
41 -0.132229161 57.1 0.1823445928 -85.1
42 -0.9442487681 57.6 -0.4853905011 -88.7
43 0.6735058378 59.8 0.4788603292 -89.6
44 0.8953179531 62.2 0.5865399544 -90.0
45 0.170923613 63.9 1.1350471141 -91.7
46 1.6614558263 67.0 -2.2153835744 -90.8
47 1.3211001715 69.9 -0.9640280041 -90.5
48 -1.2161058294 70.2 -0.2743217919 -94.6
49 0.291121296 71.9 1.2175496522 -96.1
50 -0.6326945368 72.8 0.5255503766 -99.2
51 0.8895085557 75.2 -0.1755051926 -99.7
52 -0.5958327165 76.1 -1.8485934561 -102.7
53 -0.6731215763 76.9 -0.0511613507 -105.9
54 0.3815705441 78.8 2.4657492759 -107.2
55 0.6983805179 81.0 0.1041109954 -108.0
56 -0.8146093933 81.7 -0.9849350135 -111.4
57 1.8198079488 85.0 -0.2426031642 -110.2
58 0.1251328285 86.6 -0.9950508684 -112.0
59 -0.9386485544 87.2 0.1661123861 -115.6
60 0.91258471 89.6 -0.0552222446 -116.1
61 1.2057535059 92.3 -0.2502520147 -115.9
62 0.0229897523 93.8 -2.7730129659 -117.9
63 -0.9360383046 94.4 0.0925035692 -121.5
64 -1.5761406758 94.3 -1.5527348296 -126.3
65 0.9135123946 96.7 -0.8889401215 -126.7
66 0.403881586 98.6 2.560991561 -128.0
67 -0.8072765922 99.3 0.4429580258 -131.4
68 0.1279090611 101.0 1.0480289347 -133.2
69 -0.1422688456 102.3 0.3809122973 -135.4
70 0.7435187399 104.6 0.929064754 -136.1
71 -2.3113534553 103.8 -0.3564298368 -142.2
72 -0.239374458 105.0 0.8858796718 -144.6
73 -1.72732598 104.8 -2.1835876396 -149.6
74 0.5076299203 106.8 -3.0882074498 -150.7
75 -0.0723923677 108.2 1.8985883798 -152.9
76 -0.9073755791 108.8 0.358958232 -156.4
77 0.5194124242 110.8 -0.5562787919 -157.5
78 -0.310571977 112.0 0.5038918971 -160.1
79 0.3265870419 113.9 1.9901744963 -161.5
80 0.2216984285 115.6 0.0001909939 -163.1
81 -0.3935269888 116.7 0.590360969 -165.8
82 -0.3778700375 117.8 -0.1891942247 -168.5
83 -0.282751671 119.0 -0.0860518412 -171.0
84 1.3370117813 121.9 0.3244099389 -170.6
85 0.2433125701 123.6 0.2732099347 -172.2
 86 1.209562015 126.3 0.9298901205 -172.1
87 -0.9505993148 126.9 0.1157320639 -175.7
88 0.5966558092 129.0 -0.7145808922 -176.7
89 0.5869037523 131.0 -0.9238965504 -177.7
90 0.3269099125 132.9 -1.6939520719 -179.1
91 -1.2533200788 133.1 0.4736330084 -183.3
92 1.392932063 136.0 0.3625507361 -182.9
93 0.6463983482 138.2 1.2278883332 -183.7
94 -2.5671397452 137.1 -1.6476269593 -190.2
95 1.7242746253 140.3 -0.0135787559 -189.2
96 0.0915042619 141.9 1.8790069589 -191.0
97 1.9929575501 145.4 1.1535985323 -189.6
98 -0.9635414244 145.9 -0.3065599685 -193.2
99 -0.1716216502 147.3 -1.6009926185 -195.5
100 0.0290356184 148.8 -0.2134731858 -197.5
101 -2.3913889891 147.9 0.9724612937 -203.7
102 0.6778304851 150.1 0.237328095 -204.5
103 -3.0621595215 148.5 -0.8287611308 -211.8
104 0.7900166565 150.8 -0.2513570507 -212.5
105 -0.1889611667 152.1 -0.9836935533 -214.8
106 -0.6955519893 152.9 -2.1037340048 -218.0
107 1.4908891899 155.9 1.465123205 -217.4
108 1.1011729839 158.5 0.1866249022 -217.5
109 -0.5714343843 159.4 0.2155081802 -220.5
110 -0.7139874469 160.2 1.7928277884 -223.7
111 0.3941067916 162.1 -0.4492108019 -225.0
112 -0.409780796 163.2 -1.7229194782 -227.7
113 0.4637286111 165.2 -1.3785461306 -228.9
114 -0.3863465281 166.3 -1.4232364265 -231.6
115 -1.1439806258 166.6 -0.8840675036 -235.6
116 -0.2464651061 167.9 0.6684274467 -238.0
117 -0.450988864 169.0 -0.2685283107 -240.8
118 -1.3819180822 169.1 1.8812443159 -245.3
119 -0.3201387244 170.2 0.6148525244 -247.8
120 1.1414817891 172.9 -0.2750368822 -247.8
121 0.1932460236 174.6 1.0658141036 -249.5
122 -0.1874809641 175.9 0.7953599379 -251.8
123 0.9382915778 178.3 0.0312547854 -252.2
124 0.8627830539 180.7 0.8882602742 -252.7
125 0.6898153515 182.9 1.3107364794 -253.4
126 -0.1305318165 184.3 1.140895165 -255.7
127 0.3272327831 186.1 -1.5338582671 -257.1
128 -0.9658560884 186.6 -0.7377821021 -260.8
129 -0.719428499 187.4 1.8356604414 -264.1
130 0.5340893949 189.4 -0.8710253496 -265.1
131 0.2253057119 191.2 -0.6690970622 -266.7
132 0.3521131475 193.0 -0.671491307 -268.1
133 -0.9731979844 193.5 -1.5205978343 -271.8
134 0.4997264114 195.5 0.3854393071 -272.9
135 1.2856844478 198.3 1.5588921087 -272.7
136 -1.511903065 198.3 -1.630337465 -277.3
137 -0.750496838 199.1 1.2372083802 -280.6
138 -0.9159543879 199.6 2.2583117243 -284.2
139 -0.5147785487 200.6 1.5004889065 -287.2
140 0.250015546 202.4 0.3616514732 -288.7
141 -0.345121407 203.5 0.4002322385 -291.3
142 0.4111120688 205.4 -0.2766262241 -292.6
143 1.0152075447 208.0 0.7401945368 -292.8
144 -1.824228093 207.6 0.279806045 -298.0
145 1.1372367226 210.3 -0.1264436378 -298.0
146 0.5687343219 212.3 -0.0574436854 -299.0
147 1.2396776583 215.1 -0.2804426913 -298.9
148 -0.2374849828 216.3 -0.6095024219 -301.3
149 0.6378434136 218.5 -0.0993441063 -302.2
150 0.239452902 220.2 0.9074915397 -303.7
151 0.1281409823 221.8 -0.8878055269 -305.5
152 -0.3728632691 223.0 0.2503315955 -308.2
153 0.4595585779 224.9 0.7367793842 -309.4
154 0.6904951988 227.1 0.3843683771 -310.2
155 -1.0434018805 227.6 0.0311013082 -314.0
156 -0.5328547559 228.6 1.1541942513 -316.9
157 0.6237496564 230.7 -1.7132151697 -317.8
158 0.4405967502 232.6 1.4689385353 -319.0
159 1.5517116481 235.7 -1.1657380128 -318.3
160 1.5529894881 238.7 -0.1298371899 -317.6
161 1.1519637155 241.4 1.2278883332 -317.6
162 0.4627918315 243.3 -0.2746401151 -318.8
163 0.4917683327 245.3 0.3358809408 -319.9
164 -1.003872967 245.8 0.002410161 -323.7
165 -0.0559884938 247.3 -0.9880454854 -325.8
166 -1.0310873222 247.7 0.735174126 -329.6
167 -0.5748597687 248.7 -0.0212298801 -332.6
168 0.7558810466 250.9 -0.6623190529 -333.3
169 -1.2386908566 251.2 2.1453797672 -337.4
170 0.7370795174 253.4 0.9056452654 -338.2
171 -1.7788806872 253.1 0.0470254236 -343.3
172 -0.5909987522 254.0 -0.0216891749 -346.3
173 0.0329384875 255.6 0.8437382348 -348.2
174 -0.9188670447 256.2 -0.4610046744 -351.8
175 1.024084213 258.7 0.0429668034 -352.1
176 2.1860796551 262.4 0.9367499842 -350.2
177 -0.7645621736 263.1 -0.8326514944 -353.6
178 0.9040331861 265.5 0.597935923 -354.0
179 0.9731979844 268.0 -2.1229971026 -354.3
180 0.602790351 270.1 0.2632179985 -355.2
181 0.4181993063 272.0 0.9706218407 -356.5
182 -0.9076075003 272.6 0.0869738415 -360.1
183 0.4250546226 274.5 0.4243850071 -361.3
184 0.0671013822 276.1 1.0989310795 -363.2
185 -0.8424285625 276.7 -1.0352619029 -366.7
186 -0.4251387509 277.8 -0.9160703485 -369.4
187 -0.9724612937 278.3 -0.5433753358 -373.1
188 -0.3510558599 279.5 -0.6877780834 -375.8
189 -2.1877531253 278.8 -0.4973878731 -381.6
190 1.3420776668 281.6 -0.112268026 -381.2
191 -0.1860018983 283.0 -0.8067468116 -383.6
192 0.0034037839 284.5 -0.6374682471 -385.6
193 -0.8245638128 285.1 2.1037340048 -389.0
194 -0.2202091309 286.4 -0.7694893611 -391.4
195 -2.0858897187 285.8 0.5821857485 -397.0
196 -0.1080343282 287.2 0.9885457075 -399.2
197 -1.7431830202 287.0 -0.3651666702 -404.3
198 -1.3062344806 287.2 0.0205409378 -408.6
199 0.004552021 288.7 -0.1683622486 -410.6
200 -1.2785494619 288.9 0.0718557658 -414.8
201 0.7109315447 291.1 -1.142950623 -415.5
202 -0.8992083167 291.7 0.5037179562 -419.1
203 1.1193083083 294.3 -0.3191735232 -419.2
204 1.6387730284 297.5 -0.5090225841 -418.3
205 0.9585619409 299.9 0.6062805369 -418.6
206 0.6374682471 302.1 1.2043301467 -419.5
207 -1.37499228 302.2 -0.17038019 -423.9
208 -0.9525251699 302.7 -0.4067874215 -427.6
209 -1.607086233 302.6 0.3368518264 -432.4
210 1.4660190573 305.6 -0.8299480214 -431.8
211 -0.2995125215 306.8 -0.9384120858 -434.3
212 -0.4470120984 307.9 0.4813500709 -437.1
213 -0.1048033482 309.3 1.6355579646 -439.3
214 -2.1979212761 308.6 -1.4851048036 -445.2
215 -0.0986517534 310.0 0.1668104233 -447.3
216 -0.2444153324 311.2 -0.7593462215 -449.8
217 -0.3773777735 312.3 -1.0785902305 -452.4
218 0.8126926332 314.6 -0.8246706784 -453.0
219 -0.67043743 315.5 0.3145078153 -456.2
220 -1.125918061 315.8 1.1234692465 -460.1
221 -0.0865134098 317.3 -1.2068630895 -462.3
222 0.8879192137 319.7 -0.0736963557 -462.7
223 -0.2438628144 320.9 0.0507782261 -465.2
224 -1.0163603292 321.4 -0.412112513 -468.9
225 0.1648709258 323.1 -0.0368424935 -470.7
226 -1.1076485862 323.4 -0.8359006642 -474.6
227 -1.0424810171 323.9 -0.8476763469 -478.4
228 -1.4285205907 324.0 -0.0800650923 -482.9
229 -0.049017217 325.4 -0.5566357686 -485.0
230 1.2603982213 328.2 -0.8167421583 -484.8
231 0.5073684406 330.2 2.8856447898 -485.9
232 1.1928773347 332.9 -0.1820342277 -485.8
233 1.3498356566 335.7 1.3628869056 -485.5
234 0.0067700512 337.2 -1.3917224351 -487.4
235 0.8809070096 339.6 -0.3927834769 -487.9
236 0.9165364645 342.0 0.8254232853 -488.3
237 1.6740568753 345.2 0.1276009698 -487.4
238 0.4798903319 347.2 2.3470784072 -488.5
239 0.7184371498 349.4 -1.777025318 -489.3
240 -0.7734035989 350.1 1.0136727724 -492.6
241 0.5953768323 352.2 1.5004889065 -493.6
242 -0.7384858236 353.0 0.1895057267 -496.9
243 -0.6899119853 353.8 -1.1699739844 -500.1
244 -0.4460821401 354.9 2.1523010219 -502.9
245 -2.0852166926 354.3 0.3724539965 -508.5
246 0.4258924946 356.2 -1.0367011782 -509.8
247 -0.0856675797 357.6 1.6834474081 -511.9
248 0.3984087016 359.5 0.6608911463 -513.2
249 -0.3157128958 360.7 0.7953599379 -515.8
250 0.4013099897 362.6 0.9667087397 -517.1
251 -1.5420937416 362.6 -0.1854573384 -521.8
252 1.1877500583 365.2 -0.7578159966 -521.7
253 -0.0330919647 366.7 -0.6043512712 -523.8
254 -0.1795456228 368.0 0.7554740478 -526.1
255 1.8657647161 371.4 1.297662493 -524.8
256 1.0765393199 374.0 -0.2962337931 -524.9
257 -0.4409344001 375.0 0.1206626621 -527.7
258 1.956932465 378.5 -1.0884969015 -526.3
259 1.4729994291 381.5 1.3125441001 -525.7
260 0.5653203061 383.5 -1.1494421415 -526.7
261 1.6904323275 386.7 3.0882074498 -525.7
262 -0.4392484243 387.8 2.1928099159 -528.5
263 0.76087872 390.0 -1.4389979697 -529.2
264 0.3118566383 391.9 0.0866657501 -530.6
265 -0.4875437298 392.9 1.0159760677 -533.5
266 0.5515516932 394.9 0.626353085 -534.5
267 -0.9916675481 395.4 -0.155108637 -538.3
268 -0.6692880561 396.3 -0.824026074 -541.4
269 -1.7076035874 396.1 0.803677267 -546.4
270 0.7456378626 398.3 -0.4470962267 -547.1
271 1.1366523722 400.9 0.0286524937 -547.1
272 -0.2001866051 402.2 -1.6524018065 -549.5
273 0.3074421784 404.0 -0.81173539 -550.9
274 0.8689039532 406.4 0.7899120646 -551.4
275 -0.2151170975 407.7 -0.6004074748 -553.8
276 -2.7137139114 406.5 0.0081467988 -560.5
277 0.7258836376 408.7 -0.9578366189 -561.3
278 -1.1978795555 409.0 -0.5556535143 -565.4
279 2.25732947 412.8 0.1108821834 -563.4
280 0.2724959813 414.5 0.0713953341 -564.9
281 0.1004195838 416.1 -1.7188858692 -566.8
282 -0.3442289653 417.3 -0.1135765615 -569.4
283 0.0825980351 418.9 0.7816834113 -571.2
284 -1.5568321032 418.8 -0.4688467925 -575.9
285 -2.3629945645 418.0 -2.3422944651 -582.1
286 -0.786885721 418.7 1.6431840777 -585.5
287 -3.6112032831 416.6 1.0965550246 -593.8
288 -0.7384858236 417.3 -1.1565794011 -597.1
289 1.2863847587 420.1 -0.7544554137 -596.8
290 1.9517665351 423.6 -1.1967813407 -595.4
291 -0.0158740932 425.0 0.9747964214 -597.4
292 -0.7614903552 425.8 -1.4280976757 -600.8
293 -1.0299163478 426.3 1.5321211322 -604.6
294 0.2062006388 428.0 0.6624145499 -606.2
295 -0.1306091235 429.3 -0.8083361536 -608.4
296 -0.0707814252 430.8 -0.0918885235 -610.6
297 0.6815889719 432.9 -0.4454068403 -611.4
298 0.5104163847 434.9 0.4693583833 -612.5
299 -0.0111310783 436.4 0.8654501471 -614.5
300 0.7103403732 438.6 -0.4999003522 -615.2
301 0.8434108167 441.0 -0.3341813226 -615.8
302 -0.9880454854 441.5 -0.3364471013 -619.5
303 -0.9207360563 442.1 0.4887488103 -623.1
304 0.5740480447 444.2 0.5338245046 -624.1
305 -0.9829500414 444.7 -0.0862053184 -627.8
306 0.3945194749 446.6 -1.5609566617 -629.1
307 -0.9780001164 447.1 -0.8209144653 -632.8
308 0.7927383194 449.4 0.7529320101 -633.5
309 0.3990714958 451.3 -0.9417431102 -634.8
310 0.6831339761 453.5 0.7682547221 -635.6
311 -1.1945940059 453.8 0.5547610726 -639.7
312 -0.6943832886 454.6 0.5311801488 -642.9
313 -1.0510802895 455.0 0.7327707863 -646.7
314 -0.6305481293 455.9 0.6460209079 -649.8
315 1.1925658328 458.6 1.4687111616 -649.7
316 -0.6502682481 459.4 0.5116362445 -652.9
317 -0.0138084033 460.9 1.6771718947 -654.9
318 -1.7871298041 460.6 -0.3650029612 -660.0
319 -1.0076792023 461.1 0.1636306024 -663.8
320 0.0988052307 462.7 -0.4574349077 -665.6
321 0.5649621926 464.8 -0.0542263479 -666.6
322 -1.4142369764 464.9 0.0015688784 -671.1
323 -0.6618415682 465.7 -1.0873918654 -674.2
324 0.2896854312 467.5 -1.1719475879 -675.7
325 -0.5490596777 468.5 1.7435331756 -678.7
326 -0.7045446182 469.3 -0.9507198229 -681.9
327 -0.8851998246 469.9 0.2601314009 -685.5
328 -0.6987716006 470.7 1.0810572348 -688.7
329 -1.6746798792 470.5 0.4531921149 -693.6
330 -0.6523487173 471.3 -0.7316702977 -696.8
331 0.4511582574 473.3 0.7276776159 -698.0
332 -1.9924027583 472.8 -0.2217757356 -703.5
333 -0.1242074177 474.2 0.3129002835 -705.7
334 -0.2029969437 475.5 -0.3416334948 -708.1
335 -0.7286735126 476.2 -1.5857494873 -711.3
336 0.5493257049 478.3 0.2152728484 -712.4
337 0.8449387678 480.6 0.302953822 -712.9
338 0.4298317435 482.6 1.3076714822 -714.1
339 -1.6771718947 482.4 0.3717150321 -719.1
340 -0.6312939149 483.3 1.0849089449 -722.2
341 -0.9491577657 483.8 0.5719743967 -725.8
342 -0.3322406883 485.0 0.5021547622 -728.4
343 0.5849960871 487.1 -0.0442685177 -729.4
344 -0.8317852007 487.7 -0.1796229299 -732.8
345 0.0733894012 489.3 0.608672508 -734.7
346 0.2601314009 491.1 0.3685204319 -736.3
347 0.285618853 492.8 -0.6495133675 -737.8
348 -0.7432163329 493.6 -0.1924661319 -741.1
349 1.5259684005 496.6 -1.0842177289 -740.4
350 -0.9846871762 497.1 -1.0712301446 -744.1
351 1.1727070159 499.8 0.9371046872 -744.1
352 0.5674758086 501.9 0.7641506272 -745.1
353 -0.7227026799 502.7 -0.9357995623 -748.3
354 -1.0844951248 503.1 1.5604382497 -752.2
355 1.3129056242 505.9 -1.1645306586 -751.9
356 -1.6200192476 505.8 0.2183276138 -756.8
357 -1.1473707673 506.1 -0.447266757 -760.8
358 -0.5150400284 507.1 0.595102847 -763.7
359 -0.6508355455 508.0 -1.2151440387 -766.8
360 -0.2503315955 509.2 -0.2486740414 -769.3
361 -1.6840840544 509.0 -1.2563441487 -774.2
362 -1.2895407053 509.2 2.1037340048 -778.5
363 0.9786185728 511.7 0.804100182 -778.7
364 1.1157385416 514.3 -0.3770492185 -778.8
365 0.6843902156 516.5 -0.5568142569 -779.6
366 0.0474847184 518.1 -0.3691752681 -781.5
367 -0.3398486115 519.2 0.7224036835 -784.1
368 0.3893160283 521.1 0.0124305188 -785.4
369 -2.1281266527 520.5 -0.0271222689 -791.2
370 0.3888203537 522.4 -1.231310307 -792.5
371 1.2713076103 525.1 -0.059053491 -792.2
372 -0.90980393 525.7 -0.3625507361 -795.8
373 -0.4358810202 526.8 -0.6322284207 -798.6
374 -0.9687869351 527.3 1.1959991753 -802.3
375 -0.1172725206 528.7 0.1145008355 -804.5
376 0.7712390016 531.0 1.2827194951 -805.2
377 -1.6225840227 530.9 0.2439423952 -810.0
378 0.0932720923 532.5 -0.2608430805 -811.8
379 0.0008026291 534.0 -0.4710670964 -813.8
380 1.1800420907 536.6 -1.2438135855 -813.8
381 1.0788653526 539.2 -2.3680149752 -813.9
382 -0.6188315638 540.1 -0.7444270977 -817.0
383 -0.2786930509 541.3 -1.1733163774 -819.4
384 -0.4105299922 542.4 -0.4932371667 -822.2
385 1.7649153961 545.7 -1.3540329746 -821.1
386 1.3650196706 548.5 -0.3456898412 -820.7
387 -0.1930118287 549.8 -0.6768686944 -823.0
388 1.0880830814 552.4 -0.4271487342 -823.1
389 1.5254772734 555.5 0.5514630175 -822.5
390 -0.9447262528 556.0 0.3885725164 -826.1
391 0.5213394161 558.0 -0.6680443221 -827.2
392 -1.4642273527 558.1 0.8295171483 -831.8
393 0.3309469321 559.9 0.6506456884 -833.2
394 0.9516816135 562.4 0.8601227819 -833.5
395 -0.2461501936 563.6 0.0050113158 -835.9
396 -0.5784727364 564.5 -0.0013392309 -839.0
397 2.9563670978 569.0 0.029876901 -835.8
398 0.9897917153 571.5 -1.02395461 -836.0
399 0.5038054951 573.5 0.2953538569 -837.2
400 -0.1053422238 574.9 -0.5142544524 -839.4
401 -0.4591333891 575.9 0.8520669326 -842.2
402 -0.469187853 576.9 0.65187578 -845.0
403 0.9729524209 579.4 0.6482855497 -845.3
404 -0.1527087079 580.8 -0.2717808911 -847.5
405 0.4782600627 582.7 0.4858202374 -848.7
406 0.6676623343 584.9 2.3494794732 -849.5
407 0.6645109352 587.1 -0.6993570878 -850.4
408 1.4463603293 590.0 -0.410695975 -849.8
409 -1.2177088138 590.3 1.6425929061 -854.0
410 -1.1237580111 590.7 0.0396744326 -857.9
411 0.2764670626 592.5 0.9029963621 -859.5
412 -0.584634563 593.4 1.1696693036 -862.5
413 -0.467737209 594.4 -0.2260912879 -865.3
414 -0.1609180345 595.7 -0.460239562 -867.6
415 0.5018080174 597.7 0.2026069978 -868.7
416 0.4058733793 599.6 0.7733001439 -870.0
417 -0.1986268217 601.0 1.269763743 -872.3
418 -1.4962552086 601.0 2.124461389 -877.0
419 -1.5109435481 600.9 -1.0836674846 -881.6
420 0.0500892838 602.5 0.6971117728 -883.5
421 0.0942713996 604.1 -0.9159543879 -885.3
422 0.4037156032 606.0 2.0299648895 -886.6
423 -0.4245521268 607.1 -0.8689039532 -889.4
424 -1.8377249944 606.7 0.7858443496 -894.6
425 0.5505717127 608.8 0.3051968633 -895.6
426 1.814623829 612.1 1.0637904779 -894.5
427 -1.428734322 612.2 0.4903881745 -899.0
428 -0.2345745997 613.4 0.6780237527 -901.4
429 -2.406341082 612.5 1.0072994883 -907.6
430 -0.975412604 613.0 -0.3742582066 -911.3
431 -1.2571899788 613.3 -1.4823444872 -915.5
432 0.5154765859 615.3 1.0505482351 -916.6
433 -0.6301740996 616.2 -0.8658957995 -919.7
434 -0.5585116014 617.1 -1.009971129 -922.7
435 -0.6616517112 618.0 0.3528452908 -925.8
436 -1.3149019651 618.1 0.3100899448 -930.1
437 -0.5029369277 619.1 -0.6361574378 -933.0
438 -1.1439806258 619.5 -0.1794683158 -937.0
439 0.8976053323 621.9 0.1776027148 -937.4
440 -0.677157459 622.7 -2.560991561 -940.6
441 -1.106518539 623.1 -0.6026994015 -944.6
442 -0.3804188964 624.2 0.8276833796 -947.2
443 -0.5791969215 625.1 0.288089268 -950.2
444 0.371387614 627.0 -0.2396097898 -951.6
445 1.3082126316 629.8 0.2485160167 -951.3
446 -1.0148232832 630.3 1.357484507 -955.1
447 0.1752709977 632.0 2.4439577828 -956.8
448 0.1563466867 633.6 -1.4485431166 -958.5
449 -0.9347331797 634.2 -0.8743859325 -962.1
450 -0.9545738067 634.8 -0.5612855603 -965.8
451 -0.3332115739 635.9 0.1707678621 -968.4
452 0.4191178959 637.8 0.762001946 -969.7
453 -0.600682597 638.7 -0.773507054 -972.7
454 1.9032449927 642.1 0.0369959707 -971.4
455 0.7462449503 644.4 0.7056223694 -972.1
456 0.5871766007 646.5 -1.1038423509 -973.0
457 -0.7491780707 647.2 0.4533615083 -976.3
458 1.4624401956 650.2 0.1825787876 -975.8
459 0.9986956684 652.7 -0.5615538612 -976.0
460 0.1108821834 654.3 0.0977297532 -977.8
461 -1.1042652659 654.7 -0.7073913366 -981.8
462 0.4904745765 656.7 -0.4189496394 -982.9
463 -0.592822289 657.6 -0.7080780051 -986.0
464 0.2348883754 659.3 -1.574817361 -987.5
465 -0.2127694643 660.6 -0.8430833986 -989.9
466 -1.395765139 660.7 2.0899460651 -994.4
467 0.975412604 663.2 0.0479440132 -994.7
468 -0.3597745035 664.3 -0.7266805824 -997.3
469 0.8900769899 666.7 0.4542948773 -997.7
470 0.5830008831 668.8 -0.2605270311 -998.7
471 0.3965055839 670.7 -0.8965753295 -1,000.0
472 -2.2189487936 670.0 -0.9143263924 -1,005.9
473 0.1976900421 671.7 1.7297134036 -1,007.6
474 -1.4314991859 671.8 -0.4812636689 -1,012.1
475 -1.0735402611 672.2 0.6023333299 -1,015.9
476 -0.3731918241 673.3 1.1879069461 -1,018.6
477 0.6185541679 675.4 -0.7320704754 -1,019.5
478 -0.4680782695 676.5 -0.6216134807 -1,022.3
479 0.2231877261 678.2 0.846362127 -1,023.9
480 0.272257239 680.0 -1.2246437109 -1,025.5
481 0.8904180504 682.3 -0.1018804596 -1,025.9
482 0.5202014108 684.4 -1.6464400687 -1,027.0
483 -1.0138001016 684.8 -0.0835188985 -1,030.8
484 -1.40289103 684.9 1.0303074305 -1,035.2
485 -2.0134393708 684.4 0.5696335847 -1,040.7
486 0.6367190508 686.6 1.0284884411 -1,041.6
487 -0.2665456122 687.8 -0.1594457899 -1,044.1
488 -0.7429139259 688.6 0.3880779786 -1,047.4
489 -1.0065377865 689.1 0.6783125173 -1,051.2
490 -1.6774856704 688.9 0.444476882 -1,056.1
491 1.7631009541 692.1 -0.2653564479 -1,055.0
492 -1.0473650036 692.6 0.9347331797 -1,058.8
493 -0.6354071047 693.5 -1.513103598 -1,062.0
494 -2.4578548619 692.5 -0.6341906555 -1,068.3
495 0.4290768629 694.4 1.274747774 -1,069.5
496 -1.926200639 694.0 1.0434018805 -1,074.9
497 -0.2946353561 695.2 -0.6206857961 -1,077.4
498 -1.1322845239 695.6 -1.115311079 -1,081.4
499 0.096729309 697.2 1.2549980966 -1,083.2
500 0.2648812369 698.9 1.6332342057 -1,084.7
 800 Variable m
700
600
500
400
300
200
100
0
0 50 100 150 200 250 300 350 400 450 500

200 Variable n
0
0 50 100 150 200 250 300 350 400 450 500
-200

-400

-600

-800

-1,000

-1,200
 Unit Root & Stationarity Tests on Simulated Series
p-values of Tests
H0: Series has a unit root
ADF Tests PP Tests
Intercept Intercept
None Intercept Intercept and
and trend trend

Near-Unit Root yt = 0.5 + 0.96 yt-1 + e t

Full sample (1,381 obs) 0.007 0.000 0.000 0.000 0.000

Last 121 obs 0.512 0.466 0.688 0.397 0.620

Random Walk zt = 0.8 + zt-1 + e t

Full sample (1,381 obs) 1.000 0.966 0.134 0.965 0.096

Last 121 obs 1.000 0.954 0.061 0.958 0.564

Trend Stationary xt = 0.5 + 0.75xt-1 + 0.01t + e t

Full sample (1,381 obs) 0.999 0.913 0.000 0.735 0.000

Last 121 obs 0.898 0.375 0.000 0.001 0.000
Series
Tests
H0: Series is stationary
KPSS
Intercept and
Intercept trend

6 yt-1 + e t

p > 0.10 p > 0.10

0.05 < p < 0.10 0.01 < p < 0.05

-1
+ et

p < 0.01 0.01 < p < 0.05

p < 0.01 p > 0.10
+ 0.01t + e t

p < 0.01 0.01 < p < 0.05

p < 0.01 p > 0.10
 Unit Root & Stationarity Tests on Real World Series

H0: Series has a unit root H0: Series is stationary

ADF Tests PP Tests KPSS
Intercept Intercept
Intercept Intercept and Intercept
and trend trend

PE_SAF
Full sample (1995:09 - 2015:02) 0.000 0.001 0.002 0.010 p > 0.10

REER_MYS
Full sample (1979:01 - 2014:12) 0.515 0.664 0.590 0.796 p < 0.01
Post-Asian Crisis (1998:05 - 2014:12) 0.029 0.094 0.045 0.104 p > 0.10
H0: Series is stationary
KPSS
Intercept and
trend

0.05 < p < 0.10

p < 0.01
p > 0.10
 Unit Root & Stationarity Tests on Real World Series

H0: Series has a unit root H0: Series is stationary

ADF Tests PP Tests KPSS
Intercept Intercept
Intercept Intercept and Intercept
and trend trend

PE_SAF
Full sample (1995:09 - 2015:02) 0.000 0.001 0.002 0.010 p > 0.10

REER_MYS
Full sample (1979:01 - 2014:12) 0.515 0.664 0.590 0.796 p < 0.01
Post-Asian Crisis (1998:05 - 2014:12) 0.029 0.094 0.045 0.104 p > 0.10
H0: Series is stationary
KPSS
Intercept and
trend

0.05 < p < 0.10

p < 0.01
p > 0.10