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       log:  N:\www\econ30331\tbill3.log
  log type:  text
 opened on:  17 Mar 2010, 09:28:32

. 
. * set the data for time series
. tsset time
        time variable:  time, 1 to 238
                delta:  1 unit

. 
. * look for a random walk
. * run a regression of tbill3
. * on lagged tbill3
. 
. 
. * lag of tbill3
. gen tbill3_1=tbill3[_n-1]
(1 missing value generated)

. 
. * run y on ylag regression
. reg tbill3 tbill3_1 

      Source |       SS       df       MS              Number of obs =     237
-------------+------------------------------           F(  1,   235) = 2168.19
       Model |  2093.52849     1  2093.52849           Prob > F      =  0.0000
    Residual |  226.907271   235  .965562855           R-squared     =  0.9022
-------------+------------------------------           Adj R-squared =  0.9018
       Total |  2320.43576   236  9.83235493           Root MSE      =  .98263

------------------------------------------------------------------------------
      tbill3 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    tbill3_1 |   .9461329    .020319    46.56   0.000     .9061022    .9861636
       _cons |    .267287   .1118341     2.39   0.018     .0469616    .4876124
------------------------------------------------------------------------------

. test tbill3_=1

 ( 1)  tbill3_1 = 1

       F(  1,   235) =    7.03
            Prob > F =    0.0086

. 
. * now construct the 1st difference
. * the lag the 1st difference
. 
. gen dtbill3=tbill3-tbill3_1
(1 missing value generated)

. gen dtbill3_1=dtbill3[_n-1]
(2 missing values generated)

. 
. 
. * now run regression of
. * difference on lag difference
. reg dtbill3 dtbill3_1 

      Source |       SS       df       MS              Number of obs =     236
-------------+------------------------------           F(  1,   234) =    6.76
       Model |   6.5658913     1   6.5658913           Prob > F      =  0.0099
    Residual |  227.126927   234  .970627894           R-squared     =  0.0281
-------------+------------------------------           Adj R-squared =  0.0239
       Total |  233.692819   235  .994437526           Root MSE      =   .9852

------------------------------------------------------------------------------
     dtbill3 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   dtbill3_1 |  -.1676192   .0644471    -2.60   0.010    -.2945898   -.0406485
       _cons |   .0279394   .0641498     0.44   0.664    -.0984455    .1543243
------------------------------------------------------------------------------

. test (dtbill3_1=1)

 ( 1)  dtbill3_1 = 1

       F(  1,   234) =  328.24
            Prob > F =    0.0000

. 
. 
end of do-file

. log close
       log:  N:\www\econ30331\tbill3.log
  log type:  text
 closed on:  17 Mar 2010, 09:28:35
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