Removing Stationarity

( Beer Production data-8years)

Vipin
Himani
Deepak
Manan
X : month
y: Beer Production
Line beer_prdction month
8
1
0
1
2
1
4
1
6
1
8
b
e
e
r
_
p
r
d
c
t
i
o
n
0 20 40 60 80 100
month
.
40 -0.1698 -0.0290 550.69 0.0000
39 -0.0026 0.3003 545.84 0.0000
38 0.1534 -0.0668 545.84 0.0000
37 0.2736 0.4604 542.03 0.0000
36 0.3443 -0.0182 530.09 0.0000
35 0.2936 -0.6913 511.5 0.0000
34 0.2108 0.4952 498.21 0.0000
33 0.0232 0.1025 491.47 0.0000
32 -0.1668 0.0609 491.39 0.0000
31 -0.2989 0.0386 487.3 0.0000
30 -0.3574 -0.3797 474.37 0.0000
29 -0.2624 0.0687 456.16 0.0000
28 -0.1317 0.1089 446.49 0.0000
27 0.0773 0.1277 444.08 0.0000
26 0.2905 0.2672 443.27 0.0000
25 0.4190 0.1765 431.93 0.0000
24 0.5230 0.0650 408.67 0.0000
23 0.4711 0.1581 372.92 0.0000
22 0.3237 -0.0999 344.32 0.0000
21 0.1323 0.1283 331 0.0000
20 -0.1030 -0.1152 328.8 0.0000
19 -0.2648 -0.1549 327.49 0.0000
18 -0.3079 -0.1981 318.92 0.0000
17 -0.2266 -0.1674 307.48 0.0000
16 -0.0818 0.1020 301.37 0.0000
15 0.1678 0.3014 300.58 0.0000
14 0.3837 0.1948 297.31 0.0000
13 0.5522 0.0011 280.42 0.0000
12 0.6945 0.5055 245.86 0.0000
11 0.6268 0.2837 191.83 0.0000
10 0.4894 0.2491 148.34 0.0000
9 0.2779 0.5299 122.14 0.0000
8 0.0144 0.0997 113.79 0.0000
7 -0.1859 0.2810 113.77 0.0000
6 -0.2789 0.2682 110.11 0.0000
5 -0.2322 0.2931 101.98 0.0000
4 -0.1028 -0.4513 96.408 0.0000
3 0.2481 -0.3529 95.326 0.0000
2 0.5428 -0.1504 89.1 0.0000
1 0.7759 0.8214 59.614 0.0000

LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
-1 0 1 -1 0 1
. corrgram beer_prdction
Dickey Fuller Test
.
MacKinnon approximate p-value for Z(t) = 0.0606

Z(t) -2.784 -3.517 -2.894 -2.582

Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Dickey-Fuller test for unit root Number of obs = 95
. dfuller beer_prdction
.
MacKinnon approximate p-value for Z(t) = 0.0000

Z(t) -11.457 -4.058 -3.458 -3.155

Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Augmented Dickey-Fuller test for unit root Number of obs = 92
. dfuller beer_prdction, lags(3) trend
.

_cons 9.178006 .8196279 11.20 0.000 7.548639 10.80737
_trend .0325484 .0041161 7.91 0.000 .0243659 .0407309
L3D. .6753678 .0819313 8.24 0.000 .5124937 .8382419
L2D. .6108293 .0764416 7.99 0.000 .4588685 .7627901
LD. .3381041 .0735645 4.60 0.000 .1918626 .4843455
L1. -.8691049 .0758608 -11.46 0.000 -1.019911 -.7182987
beer_prdct~n

D.beer_prd~n Coef. Std. Err. t P>|t| [95% Conf. Interval]

MacKinnon approximate p-value for Z(t) = 0.0000

Z(t) -11.457 -4.058 -3.458 -3.155

Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Augmented Dickey-Fuller test for unit root Number of obs = 92
. dfuller beer_prdction, lags(3) trend regress
Differencing to remove stationarity
gen d1 =D.beer_prdction
Line d1 month
-
2
0
2
4
6
d
1
0 20 40 60 80 100
month
.
40 -0.0613 0.1611 241.75 0.0000
39 0.0296 0.0854 241.12 0.0000
38 0.1491 -0.2601 240.98 0.0000
37 0.1366 0.0989 237.38 0.0000
36 0.3355 -0.4305 234.42 0.0000
35 0.0409 0.0312 216.83 0.0000
34 0.2022 0.7029 216.58 0.0000
33 -0.0061 -0.4532 210.4 0.0000
32 -0.2076 -0.0779 210.39 0.0000
31 -0.1774 -0.0431 204.09 0.0000
30 -0.3466 -0.0184 199.56 0.0000
29 -0.1364 0.4000 182.53 0.0000
28 -0.1587 -0.0355 179.93 0.0000
27 0.0581 -0.0722 176.47 0.0000
26 0.2142 -0.0949 176.01 0.0000
25 0.1106 -0.2388 169.88 0.0000
24 0.4089 -0.1525 168.27 0.0000
23 0.1941 -0.0527 146.57 0.0000
22 0.0678 -0.1495 141.75 0.0000
21 0.0812 0.1078 141.17 0.0000
20 -0.2377 -0.1202 140.34 0.0000
19 -0.2733 0.1180 133.4 0.0000
18 -0.3085 0.1644 124.35 0.0000
17 -0.1825 0.2122 112.96 0.0000
16 -0.2649 0.1866 109.02 0.0000
15 0.1461 -0.0811 100.84 0.0000
14 0.1685 -0.2800 98.38 0.0000
13 0.0888 -0.1768 95.151 0.0000
12 0.5640 0.0155 94.265 0.0000
11 0.1588 -0.4859 58.946 0.0000
10 0.1314 -0.2849 56.178 0.0000
9 0.1015 -0.2573 54.306 0.0000
8 -0.2405 -0.5498 53.202 0.0000
7 -0.2764 -0.1544 47.073 0.0000
6 -0.3322 -0.3490 39.076 0.0000
5 -0.2320 -0.3937 27.65 0.0000
4 -0.4075 -0.5466 22.138 0.0002
3 0.1402 0.1364 5.3219 0.1497
2 0.1815 0.1817 3.3543 0.1869
1 0.0302 0.0302 .0893 0.7651

LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
-1 0 1 -1 0 1
. corrgram d1
.

_cons .0915807 .2331616 0.39 0.695 -.372007 .5551685
_trend -.0006401 .004204 -0.15 0.879 -.0089987 .0077186
L3D. .5468179 .0991869 5.51 0.000 .3496077 .7440281
L2D. .4197599 .1335213 3.14 0.002 .1542839 .685236
LD. .1662796 .1503701 1.11 0.272 -.1326964 .4652556
L1. -1.107431 .1600714 -6.92 0.000 -1.425696 -.7891663
d1

D.d1 Coef. Std. Err. t P>|t| [95% Conf. Interval]

MacKinnon approximate p-value for Z(t) = 0.0000

Z(t) -6.918 -4.060 -3.459 -3.155

Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Augmented Dickey-Fuller test for unit root Number of obs = 91
. dfuller d1, lags(3) trend regress
Gen d2 =D.d1
Line d2 month
-
5
0
5
d
2
0 20 40 60 80 100
month
.
40 -0.0074 0.1279 178.35 0.0000
39 -0.0205 -0.2254 178.34 0.0000
38 0.0751 -0.1669 178.27 0.0000
37 -0.1166 0.2029 177.36 0.0000
36 0.2597 -0.1611 175.21 0.0000
35 -0.2453 0.4037 164.72 0.0000
34 0.1924 -0.0501 155.51 0.0000
33 0.0005 -0.7696 149.95 0.0000
32 -0.1303 0.3845 149.95 0.0000
31 0.1118 0.0249 147.48 0.0000
30 -0.1939 -0.0149 145.69 0.0000
29 0.1179 -0.0283 140.39 0.0000
28 -0.1192 -0.4815 138.45 0.0000
27 0.0325 -0.0880 136.51 0.0000
26 0.1337 -0.0331 136.37 0.0000
25 -0.2073 0.0003 134 0.0000
24 0.2631 0.1709 128.38 0.0000
23 -0.0541 0.1096 119.45 0.0000
22 -0.0666 0.0045 119.08 0.0000
21 0.1733 0.1001 118.53 0.0000
20 -0.1608 -0.1589 114.81 0.0000
19 0.0147 0.0606 111.66 0.0000
18 -0.0838 -0.2038 111.64 0.0000
17 0.1046 -0.2583 110.8 0.0000
16 -0.2491 -0.3712 109.52 0.0000
15 0.2008 -0.4740 102.34 0.0000
14 0.0509 -0.4260 97.737 0.0000
13 -0.2848 -0.1951 97.444 0.0000
12 0.4560 -0.2718 88.409 0.0000
11 -0.2045 -0.6022 65.524 0.0000
10 0.0050 -0.2122 60.975 0.0000
9 0.1595 -0.3549 60.973 0.0000
8 -0.1671 -0.4622 58.273 0.0000
7 0.0229 -0.0630 55.345 0.0000
6 -0.0814 -0.4093 55.29 0.0000
5 0.1376 -0.2544 54.61 0.0000
4 -0.3589 -0.1137 52.691 0.0000
3 0.2543 0.2484 39.776 0.0000
2 0.0983 -0.3547 33.362 0.0000
1 -0.5780 -0.5789 32.415 0.0000

LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
-1 0 1 -1 0 1
. corrgram d2
.

_cons .0451359 .2894013 0.16 0.876 -.5303703 .6206422
_trend -.0008748 .0052644 -0.17 0.868 -.0113436 .009594
L3D. .1132771 .1156703 0.98 0.330 -.116746 .3433001
L2D. -.0680264 .2180338 -0.31 0.756 -.5016105 .3655578
LD. .089422 .2986707 0.30 0.765 -.5045174 .6833614
L1. -1.735468 .3403199 -5.10 0.000 -2.412232 -1.058705
d2

D.d2 Coef. Std. Err. t P>|t| [95% Conf. Interval]

MacKinnon approximate p-value for Z(t) = 0.0001

Z(t) -5.100 -4.062 -3.460 -3.156

Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Augmented Dickey-Fuller test for unit root Number of obs = 90
. dfuller d2, lags(3) trend regress