Model AR
Dependent Variable: RBDMN
Method: ARMA Maximum Likelihood (OPG - BHHH) Date: 03/25/20 Time: 16:29
Sample: 2 4263
Included observations: 4087
Failure to improve objective (non-zero gradients) after 34 iterations Coefficient covariance computed using outer product of gradients
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 1.035801 0.001508 686.8363 0.0000
AR(3) -0.053993 0.015924 -3.390575 0.0007
AR(4) 0.042902 0.013428 3.195031 0.0014
AR(7) 0.066572 0.012607 5.280486 0.0000
AR(11) -0.035102 0.013176 -2.664109 0.0077
AR(12) 0.059794 0.017975 3.326530 0.0009
AR(8) -0.028977 0.012875 -2.250597 0.0245
AR(2) -0.054873 0.011223 -4.889269 0.0000
AR(32) -0.034311 0.008504 -4.034712 0.0001
AR(35) 0.047639 0.008978 5.306363 0.0000
AR(13) -0.032086 0.013452 -2.385169 0.0171
AR(26) 0.014366 0.006001 2.393878 0.0167
AR(38) -0.027778 0.006862 -4.048005 0.0001
SIGMASQ 15523790 199469.7 77.82529 0.0000
R-squared 0.999566 Mean dependent var 346753.6
Adjusted R-squared 0.999564 S.D. dependent var 189059.6 S.E. of regression 3946.790 Akaike info criterion 19.42614 Sum squared resid 6.34E+10 Schwarz criterion 19.44777 Log likelihood -39683.32 Hannan-Quinn criter. 19.43380 Durbin-Watson stat 1.980040
Inverted AR Roots 1.00 .93 .90-.17i .90+.17i .85+.30i .85-.30i .82+.45i .82-.45i .73-.60i .73+.60i .61-.72i .61+.72i .48+.81i .48-.81i .32+.87i .32-.87i .15-.91i .15+.91i -.01+.91i -.01-.91i -.15+.86i -.15-.86i -.28-.83i -.28+.83i -.40+.77i -.40-.77i -.51-.70i -.51+.70i -.62+.60i -.62-.60i -.73-.51i -.73+.51i -.82+.40i -.82-.40i -.88+.24i -.88-.24i -.92+.08i -.92-.08i
Model MA
Dependent Variable: RBDMN
Method: ARMA Maximum Likelihood (OPG - BHHH) Date: 03/25/20 Time: 16:46
Sample: 2 4263
Included observations: 4087
Convergence achieved after 37 iterations
Coefficient covariance computed using outer product of gradients
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 1.899279 0.023464 80.94544 0.0000
AR(2) -1.304518 0.022780 -57.26522 0.0000
AR(3) 0.405213 0.001679 241.3207 0.0000
MA(1) -0.847637 0.029645 -28.59323 0.0000
MA(2) 0.324015 0.010983 29.50163 0.0000
MA(7) 0.067564 0.014417 4.686503 0.0000
MA(8) -0.028116 0.012052 -2.332845 0.0197
MA(6) -0.044873 0.011891 -3.773697 0.0002
MA(26) 0.035003 0.008996 3.890723 0.0001
MA(35) 0.040716 0.008823 4.614652 0.0000
SIGMASQ 15556312 199151.4 78.11300 0.0000
R-squared 0.999565 Mean dependent var 346753.6
Adjusted R-squared 0.999564 S.D. dependent var 189059.6 S.E. of regression 3949.468 Akaike info criterion 19.42687 Sum squared resid 6.36E+10 Schwarz criterion 19.44387 Log likelihood -39687.81 Hannan-Quinn criter. 19.43289 Durbin-Watson stat 2.013634
Inverted AR Roots 1.00 .45-.45i .45+.45i
Inverted MA Roots .94-.09i .94+.09i .89+.25i .89-.25i .84-.39i .84+.39i .77+.54i .77-.54i .66-.67i .66+.67i .52-.76i .52+.76i .39+.83i .39-.83i .24+.90i .24-.90i .06+.91i .06-.91i -.10-.89i -.10+.89i -.25-.86i -.25+.86i -.41+.81i -.41-.81i -.55+.71i -.55-.71i -.66+.59i -.66-.59i -.75+.47i -.75-.47i -.84+.32i -.84-.32i -.88+.15i -.88-.15i -.89
Date: 03/25/20 Time: 16:45 Sample: 1 4263
Included observations: 4087
Q-statistic probabilities adjusted for 10 ARMA terms
Autocorrelation Partial Correlation AC PAC Q-Stat Prob | | | | 1 -0.005 -0.005 0.1169 | | | | 2 0.020 0.020 1.7830 | | | | 3 -0.024 -0.024 4.0871 | | | | 4 -0.008 -0.009 4.3509 | | | | 5 -0.000 0.001 4.3512 | | | | 6 -0.006 -0.006 4.4911 | | | | 7 0.002 0.001 4.5006 | | | | 8 -0.015 -0.015 5.4414 | | | | 9 0.006 0.006 5.6014 | | | | 10 0.018 0.019 6.9248
| | | | 11 -0.024 -0.025 9.2884 0.002 | | | | 12 0.029 0.028 12.833 0.002 | | | | 13 0.000 0.003 12.834 0.005 | | | | 14 0.006 0.004 12.989 0.011 | | | | 15 -0.016 -0.015 14.019 0.015 | | | | 16 0.016 0.017 15.113 0.019
| | | | 17 -0.005 -0.004 15.221 0.033 | | | | 18 -0.007 -0.008 15.428 0.051 | | | | 19 0.000 0.000 15.429 0.080 | | | | 20 0.011 0.012 15.917 0.102 | | | | 21 0.002 0.002 15.926 0.144 | | | | 22 -0.027 -0.029 18.949 0.090 | | | | 23 -0.003 -0.002 18.991 0.123 | | | | 24 -0.006 -0.005 19.154 0.159 | | | | 25 0.016 0.015 20.254 0.162 | | | | 26 0.020 0.019 21.982 0.144 | | | | 27 -0.021 -0.020 23.761 0.126 | | | | 28 0.007 0.006 23.980 0.156 | | | | 29 -0.012 -0.010 24.538 0.176 | | | | 30 0.009 0.007 24.864 0.207 | | | | 31 0.002 0.004 24.876 0.253 | | | | 32 -0.025 -0.025 27.379 0.197 | | | | 33 -0.044 -0.046 35.522 0.046 | | | | 34 -0.001 0.002 35.529 0.061 | | | | 35 0.016 0.015 36.571 0.063 | | | | 36 -0.013 -0.015 37.311 0.070
Model ARMA
Dependent Variable: RBDMN
Method: ARMA Maximum Likelihood (OPG - BHHH) Date: 03/25/20 Time: 16:55
Sample: 2 4263
Included observations: 4087
Failure to improve objective (non-zero gradients) after 22 iterations Coefficient covariance computed using outer product of gradients
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 0.978773 0.010006 97.82254 0.0000
AR(6) -0.227714 0.040285 -5.652549 0.0000
AR(7) 0.248888 0.035215 7.067630 0.0000
MA(1) 0.060356 0.013300 4.538187 0.0000
MA(3) -0.046225 0.012637 -3.657901 0.0003
MA(6) 0.201129 0.032702 6.150433 0.0000
MA(7) 0.042291 0.011009 3.841592 0.0001
MA(35) 0.057989 0.012564 4.615427 0.0000
MA(33) -0.049733 0.012922 -3.848781 0.0001
SIGMASQ 15542587 189746.7 81.91229 0.0000
R-squared 0.999565 Mean dependent var 346753.6
Adjusted R-squared 0.999564 S.D. dependent var 189059.6 S.E. of regression 3947.241 Akaike info criterion 19.42554 Sum squared resid 6.35E+10 Schwarz criterion 19.44100 Log likelihood -39686.10 Hannan-Quinn criter. 19.43102 Durbin-Watson stat 1.986815
Inverted AR Roots 1.00 .68-.42i .68+.42i -.01+.79i -.01-.79i -.68+.39i -.68-.39i
Inverted MA Roots .88-.08i .88+.08i .87+.23i .87-.23i .84-.39i .84+.39i .77+.52i .77-.52i .66+.65i .66-.65i .52-.76i .52+.76i
.37-.85i .37+.85i .20+.91i .20-.91i .04-.94i .04+.94i -.13+.93i -.13-.93i -.29+.89i -.29-.89i -.45+.81i -.45-.81i -.60-.71i -.60+.71i -.72+.59i -.72-.59i -.81-.46i -.81+.46i -.86+.31i -.86-.31i -.88-.15i -.88+.15i -.89
Date: 03/25/20 Time: 16:54 Sample: 1 4263
Included observations: 4087
Q-statistic probabilities adjusted for 9 ARMA terms
Autocorrelation Partial Correlation AC PAC Q-Stat Prob | | | | 1 0.008 0.008 0.2416 | | | | 2 0.008 0.008 0.4826 | | | | 3 -0.008 -0.008 0.7221 | | | | 4 -0.023 -0.023 2.9667 | | | | 5 0.008 0.008 3.2238 | | | | 6 0.000 0.001 3.2246 | | | | 7 0.001 0.000 3.2285 | | | | 8 -0.003 -0.003 3.2602 | | | | 9 -0.006 -0.006 3.4268
| | | | 10 0.009 0.009 3.7283 0.053 | | | | 11 -0.033 -0.033 8.1763 0.017 | | | | 12 0.015 0.015 9.0618 0.028 | | | | 13 0.012 0.013 9.7008 0.046 | | | | 14 0.007 0.006 9.8852 0.079 | | | | 15 -0.011 -0.013 10.415 0.108 | | | | 16 0.016 0.018 11.485 0.119 | | | | 17 -0.003 -0.003 11.528 0.174 | | | | 18 -0.003 -0.003 11.566 0.239 | | | | 19 -0.004 -0.004 11.617 0.312 | | | | 20 0.013 0.014 12.306 0.341 | | | | 21 0.003 0.004 12.355 0.418 | | | | 22 -0.028 -0.029 15.511 0.277 | | | | 23 -0.003 -0.001 15.538 0.342 | | | | 24 -0.007 -0.005 15.747 0.399 | | | | 25 0.017 0.017 16.955 0.388 | | | | 26 0.054 0.051 28.850 0.036 | | | | 27 0.009 0.009 29.166 0.046 | | | | 28 0.022 0.021 31.111 0.039 | | | | 29 -0.011 -0.010 31.577 0.048 | | | | 30 0.004 0.006 31.652 0.063 | | | | 31 0.003 0.004 31.691 0.083 | | | | 32 -0.027 -0.027 34.710 0.056 | | | | 33 -0.002 -0.004 34.724 0.073 | | | | 34 -0.003 -0.001 34.769 0.092 | | | | 35 0.001 0.002 34.778 0.117 | | | | 36 0.024 0.024 37.218 0.091
