Beruflich Dokumente
Kultur Dokumente
Submitted by
Tan, Daniel Joseph C.
11114371
V24
Page1
Table of Contents
I.
Introduction...................................................................................................... I2
A.
B.
II.
B.
Additive Decomposition............................................................................II3
2.
Multiplicative Decomposition....................................................................II3
Exponential Smoothing................................................................................II3
C. ARIMA........................................................................................................... II3
D. TRAMO-SEATS for Windows (TSW) v1.1.4b rev. 194.....................................II3
III.
A.
B.
Multiplicative Decomposition......................................................................III4
Conclusion.................................................................................................. IV5
V.
Appendix......................................................................................................... V6
A.
Gretl Outputs............................................................................................... V6
B.
EViews Outputs............................................................................................ V6
C. TSW Outputs................................................................................................ V6
VI.
References.................................................................................................. VI7
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Introduction
A.
Page2
I.
B.
II.
Additive Decomposition1
According to the resulting Kruskal-Wallis (KW) Statistic, there is
an apparent need to deseasonalize the data. Using the Ordinary Least
Squares (OLS) Regression, it shoes that time has a significant
correlation with monthly average peso-per-dollar exchange rate,
having a p-value that is extremely close to zero. However, the
researcher notes that the resulting forecasts have significantly high
residuals and do not fit the actual series very well. The resulting
regressions Theils U criterion, being well above the 0.55 threshold,
supports this empirical observation and further confirms OLSs
inaccuracy.
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Page3
Original vs Forecasted
LL
UL
Original
Forecasted
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Page4
95 percent interval
pes odollar
forecas t
54
52
50
48
46
44
42
40
2006
B.
2007
2008
2009
2010
2011
2012
2013
2014
2015
Multiplicative Decomposition3
The researcher observed that that despite of small quantitative
differences in the additive and multiplicative model, the Multiplicative
Decomposition has an almost identical result. Their Theils U Criterion
are both extremely above the threshold, which, after using the GLS
estimation still remain above the threshold but are significantly closer,
denoting an increase in the estimations accuracy.
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Page5
C.
Exponential Smoothing
Before making use of the exponential smoothing method, we
must first check for the presence of Unit Root/s. According to the
result of the Augmented Dickey-Fullet (ADF) Test 4, the monthly average
peso-per-dollar exchange rate is an integrated stochastic process of
the first degree, meaning that the exchange rate is found to be
stationary at the 1st difference.
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Page6
D.
ARIMA
95 percent interval
pesodollar
forecast
54
52
50
48
46
44
42
40
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Although the Mean Squared Error (MSE) and the Mean Absolute
Percentage Error (MAPE) are acceptable, the model specification
was unfortunately unable to reach the threshold requirements
for the Theils U Criterion. However, it is clearly safe to say that
despite its shortcomings, its criterion is indeed lower than the
other models.
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Conclusion
Page7
III.
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Page8
IV.
Appendix
A.
Gretl Outputs
1.
Additive/Multiplicative GLS Regression with PraisWinsten Correction
ITERRHOESS
10.99604226.744
20.99780226.468
30.99811226.468
Model2:PraisWinsten,usingobservations1945:012014:02(T=830)
Dependentvariable:pesodollar
rho=0.998112
coefficientstd.errortratiopvalue
const1.027028.328240.12330.9019
time0.05344250.01289494.1443.76e05***
Statisticsbasedontherhodifferenceddata:
Meandependentvar18.28770S.D.dependentvar17.98124
Sumsquaredresid226.4545S.E.ofregression0.522968
Rsquared0.999156AdjustedRsquared0.999155
F(1,828)5.631535Pvalue(F)0.017868
rho0.328240DurbinWatson1.343363
2.
95 percent interval
pesodollar
forecast
54
52
50
48
46
44
42
40
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Page9
3.
ARIMA Specification
Functionevaluations:54
Evaluationsofgradient:12
Model3:ARMAX,usingobservations1945:022014:02(T=829)
EstimatedusingKalmanfilter(exactML)
Dependentvariable:(1L)pesodollar
StandarderrorsbasedonOuterProductsmatrix
coefficientstd.errorzpvalue
const0.01446570.04822120.30000.7642
phi_10.1201990.2973260.40430.6860
phi_20.07318440.1145200.63910.5228
theta_10.4766260.2930631.6260.1039
time8.92853e050.0001004700.88870.3742
Meandependentvar0.051743S.D.dependentvar0.523173
Meanofinnovations2.58e06S.D.ofinnovations0.491691
Loglikelihood587.8543Akaikecriterion1187.709
Schwarzcriterion1216.030HannanQuinn1198.570
RealImaginaryModulusFrequency
AR
Root12.96540.00002.96540.5000
Root24.60780.00004.60780.0000
MA
Root12.09810.00002.09810.5000
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
Page10
For95%confidenceintervals,t(828,0.025)=1.963
pesodollarpredictionstd.error95%interval
2005:1154.56057955.727684
2005:1253.61175054.582829
2006:0152.61713653.635893
2006:0251.81680052.643258
2006:0351.21891351.844533
2006:0451.35972251.247876
2006:0552.12727351.388520
2006:0653.15666752.154723
2006:0752.39760053.182274
2006:0851.36177352.424741
2006:0950.40121151.390971
2006:1050.00381050.432323
2006:1149.84342950.035773
2006:1249.46700049.875796
2007:0148.91431849.500179
2007:0248.38135048.948641
2007:0348.51722748.416780
2007:0447.82244448.552502
2007:0546.81414347.859132
2007:0646.16015046.852835
2007:0745.62509146.200178
2007:0846.07371445.666230
2007:0946.13145046.114107
2007:1044.38028646.171835
2007:1143.21763244.424077
2007:1241.74288943.263719
2008:0140.93809141.791862
2008:0240.67110040.988684
2008:0341.25236840.722298
2008:0441.81957141.302570
2008:0542.90195241.868803
2008:0644.28055042.949241
2008:0744.95626144.325337
2008:0844.87694744.999873
2008:0946.69222744.920810
2008:1048.02522746.732764
2008:1149.18620048.063348
2008:1248.09423549.222230
2009:0147.20715048.132428
2009:0247.58455047.247118
2009:0348.45804547.623906
2009:0448.21652648.495854
2009:0547.52415048.254891
2009:0647.90528647.563923
2009:0748.14600047.944440
2009:0848.16072248.184801
2009:0948.13940048.199596
2009:1046.85127348.178415
2009:1147.03242146.892821
2009:1246.42105347.073728
2010:0146.02760046.463615
2010:0246.31160046.071006
2010:0345.74247846.354570
2010:0444.62657945.786624
2010:0545.59710544.672933
2010:0646.30270045.641727
2010:0746.32027346.346091
2010:0845.18247646.363731
2010:0944.31366745.228184
2010:1043.44490044.361116
2010:1143.49184243.494090
2010:1243.95475043.541044
2011:0144.17219044.003179
2011:0243.70310044.220310
2011:0343.51600043.752206
2011:0443.24015843.565560
2011:0543.13072743.290340
2011:0643.36566743.181217
2011:0742.80876243.415813
2011:0842.42090542.860061
2011:0943.02563642.473037
2011:1043.45140043.076728
2011:1143.27452643.501789
2011:1243.64857143.325350
2012:0143.61914343.698790
2012:0242.66076243.669517
2012:0342.85736442.713047
2012:0442.69977842.909378
2012:0542.85145542.752191
2012:0642.77645042.903682
2012:0741.90540942.828920
2012:0842.04521141.959625
2012:0941.74895042.099263
2012:1041.45213641.803663
2012:1141.12215841.507510
2012:1241.00672241.178256
2013:0140.72950041.063139
2013:0240.67225040.786541
2013:0340.71273740.729500
2013:0441.14223840.770011
2013:0541.29757141.198803
2013:0642.90694741.353944
2013:0743.35587042.960382
2013:0843.86394143.408557
2013:0943.83181043.915771
2013:1043.18247643.883801
2013:1143.55460043.235794
2013:1244.10430043.607316
2014:0144.92657144.156079
2014:0244.89500044.976899
2014:0344.9454880.52296843.91898945.971988
2014:0444.9959820.73889143.54566246.446302
2014:0545.0464810.90410043.27188546.821078
2014:0645.0969861.04298043.04979047.144183
2014:0745.1474971.16498942.86081747.434177
2014:0845.1980131.27498142.69543847.700587
2014:0945.2485341.37584142.54798747.949081
2014:1045.2990611.46945442.41476948.183354
2014:1145.3495941.55712742.29321448.405974
2014:1245.4001321.63981542.18144948.618815
2015:0145.4506761.71823942.07805948.823292
2015:0245.5012251.79295941.98194549.020505
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
EViews Outputs
1.
Page11
B.
t-Statistic
Prob.*
-10.92992
-3.438061
-2.864833
-2.568578
0.0000
Coefficient
Std. Error
t-Statistic
Prob.
D(PESODOLLAR(-1))
D(PESODOLLAR(-1),2)
D(PESODOLLAR(-2),2)
D(PESODOLLAR(-3),2)
D(PESODOLLAR(-4),2)
C
-0.626088
-0.019879
-0.117240
-0.022569
-0.040193
0.032655
0.057282
0.053957
0.048990
0.041691
0.035062
0.017453
-10.92992
-0.368433
-2.393144
-0.541339
-1.146353
1.870996
0.0000
0.7126
0.0169
0.5884
0.2520
0.0617
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.345088
0.341084
0.493940
199.5728
-584.9928
86.20438
0.000000
-3.83E-05
0.608498
1.434449
1.468775
1.447617
2.004324
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions
2.
Original
Exponential Smoothing
V.
0.9990
232.4297
0.529184
Mean
44.89503
References
Gujarati, D. N., & Porter, D. C. (2004). Basic Econometrics. Singapore:
The McGraw-Hill Companies.
An Analysis on the Philippine GDP and its Determinants in Carbon Dioxide Emissions