Figure 1
Figure 2
Dickey–Fuller test results for stationarity analysis
| Null hypothesis: TVR has a unit root | ||||
|---|---|---|---|---|
| Exogenous: constant, linear trend | ||||
| Lag length: 3 (automatic based on SIC, MAXLAG = 10) | ||||
| t-statistic | Prob.* | |||
| ADF test statistic | −4.419714 | 0.0044 | ||
| Test critical values: | 1% level | −4.130526 | ||
| 5% level | −3.492149 | |||
| 10% level | −3.174802 | |||
Correlogram of the TVR series_
| Date: 08/04/24 Time: 07:58 | ||||||
|---|---|---|---|---|---|---|
| Sample: 2018:01 2022:12 | ||||||
| Included observations: 60 | ||||||
| Autocorrelation | Partial correlation | AC | PAC | Q-Stat | Prob | |
| . |*****| | . |*****| | 1 | 0.689 | 0.689 | 29.942 | 0.000 |
| . |***| | .*|. | | 2 | 0.432 | −0.081 | 41.930 | 0.000 |
| . |**| | . |*. | | 3 | 0.316 | 0.095 | 48.430 | 0.000 |
| . |*.| | **|. | | 4 | 0.098 | −0.270 | 49.065 | 0.000 |
| . |. | | . |*. | | 5 | 0.005 | 0.098 | 49.067 | 0.000 |
| .*|. | | .*|. | | 6 | −0.071 | −0.150 | 49.416 | 0.000 |
| .*|. | | . |. | | 7 | −0.124 | 0.061 | 50.503 | 0.000 |
| . |. | | . |*. | | 8 | −0.046 | 0.095 | 50.657 | 0.000 |
| . |*. | | . |** | | 9 | 0.083 | 0.203 | 51.158 | 0.000 |
| . |*. | | . |. | | 10 | 0.181 | 0.058 | 53.588 | 0.000 |
| . |**| | . |. | | 11 | 0.245 | 0.049 | 58.134 | 0.000 |
| . |**| | .*|. | | 12 | 0.233 | −0.079 | 62.343 | 0.000 |
| . |*. | | .*|. | | 13 | 0.143 | −0.105 | 63.969 | 0.000 |
| . |*. | | . |. | | 14 | 0.091 | 0.021 | 64.645 | 0.000 |
| . |. | | . |. | | 15 | 0.046 | 0.026 | 64.819 | 0.000 |
| .*|. | | .*|. | | 16 | −0.077 | −0.101 | 65.325 | 0.000 |
| .*|. | | . |. | | 17 | −0.166 | −0.049 | 67.696 | 0.000 |
| .*|. | | . |*. | | 18 | −0.132 | 0.109 | 69.250 | 0.000 |
| .*|. | | .*|. | | 19 | −0.139 | −0.118 | 70.993 | 0.000 |
| .*|. | | . |. | | 20 | −0.089 | 0.058 | 71.728 | 0.000 |
| . |*. | | . |*. | | 21 | 0.069 | 0.142 | 72.184 | 0.000 |
| . |*. | | . |*. | | 22 | 0.156 | 0.093 | 74.551 | 0.000 |
| . |*. | | . |. | | 23 | 0.188 | −0.049 | 78.116 | 0.000 |
| . |**| | . |*. | | 24 | 0.249 | 0.111 | 84.504 | 0.000 |
| . |*. | | .*|. | | 25 | 0.187 | −0.133 | 88.235 | 0.000 |
| . |*. | | . |. | | 26 | 0.083 | −0.046 | 88.993 | 0.000 |
| . |. | | .*|. | | 27 | −0.018 | −0.121 | 89.028 | 0.000 |
| .*|. | | . |. | | 28 | −0.143 | 0.036 | 91.392 | 0.000 |
Model ARMA (1,11) for TVR_
| Dependent variable: TVR | ||||
|---|---|---|---|---|
| Method: least squares | ||||
| Variable | Coefficient | Std. error | t-statistic | Prob. |
| C | 0.976146 | 0.102396 | 9.533022 | 0.0000 |
| AR(1) | 0.607754 | 0.103520 | 5.870912 | 0.0000 |
| MA(11) | 0.910815 | 0.021739 | 41.89706 | 0.0000 |
| R-squared | 0.718066 | Mean dependent var | 1.164407 | |
| Adjusted R-squared | 0.707997 | SD dependent var | 0.294058 | |
| S.E. of regression | 0.158901 | AIC | −0.791564 | |
| Sum squared residual | 1.413970 | SC | −0.685926 | |
| Log-likelihood | 26.35113 | F-statistic | 71.31404 | |
| Durbin–Watson stat | 1.986850 | Prob(F-statistic) | 0.000000 | |
| Inverted AR roots | 0.61 | |||
| Inverted MA roots | 0.95 + 0.28i | 0.95 – 0.28i | 0.65 + 0.75i | 0.65 – 0.75i |
| 0.14 − 0.98i | 0.14 + 0.98i | −0.41 – 0.90i | −0.41 + 0.90i | |
| −0.83 + 0.54i | −0.83 – 0.54i | −0.99 | ||
| Breusch–Godfrey serial correlation LM test | ||||
| F-statistic | 0.340248 | Probability | 0.713108 | |
| Obs*R-squared | 0.378654 | Probability | 0.827516 | |
| ARCH test | ||||
| F-statistic | 1.001927 | Probability | 0.321150 | |
| Obs*R-squared | 1.019470 | Probability | 0.312645 | |