---------------------------------------------------------------------------------------------------------------------------- name: log: C:\Users\320491\Desktop\Final NBER\aggregate_regressions.log log type: text opened on: 12 Jun 2019, 16:48:17 . local path_folder "C:\Users\320491\Desktop\Final NBER" . local fig_folder "\Figures" . . cd "`path_folder'" C:\Users\320491\Desktop\Final NBER . import excel /// > "`path_folder'\rawData\aggregate_data.xls", /// > sheet("data") firstrow clear . tsset year_quarter time variable: year_quarter, 7829 to 8074 delta: 1 unit . . *Generate lags . g lpi=l.pi (2 missing values generated) . g l2pi=l2.pi (3 missing values generated) . g l3pi=l3.pi (4 missing values generated) . g lug=l.u_gap (1 missing value generated) . g l2ug=l2.u_gap (2 missing values generated) . g l3ug=l3.u_gap (3 missing values generated) . . *Label variables . label var pi "Core CPI inflation" . label var lpi "First lag" . label var l2pi "Second lag" . label var l3pi "Third lag" . label var lug "First lag" . label var l2ug "Second lag" . label var l3ug "Third lag" . label var u "Number of unemployed" . label var l "Labor force" . rename ul u_l . label var u_l "Unemployment rate" . label var p "Price level (core CPI)" . label var u_star "CBO series for long-run natural rate of unemployment" . label var u_gap "Unemployment gap" . label var E_pi "Inflation expectations" . . *TABLE 2 . newey pi u_gap if year>1989, lag(3) Regression with Newey-West standard errors Number of obs = 114 maximum lag: 3 F( 1, 112) = 6.09 Prob > F = 0.0151 ------------------------------------------------------------------------------ | Newey-West pi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u_gap | -.1728253 .0700181 -2.47 0.015 -.3115572 -.0340935 _cons | 2.501022 .1625727 15.38 0.000 2.178905 2.823139 ------------------------------------------------------------------------------ . outreg2 using "`path_folder'`fig_folder'\agg_results.tex", /// > replace title(Aggregate Phillips Curve, 1990-2018) bdec(3) /// > bracket label groupvar(u_gap _cons) tex C:\Users\320491\Desktop\Final NBER\Figures\agg_results.tex dir : seeout . newey pi u_gap E_pi if year>1989, lag(3) Regression with Newey-West standard errors Number of obs = 114 maximum lag: 3 F( 2, 111) = 29.73 Prob > F = 0.0000 ------------------------------------------------------------------------------ | Newey-West pi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u_gap | -.1430069 .043841 -3.26 0.001 -.2298807 -.056133 E_pi | 1.284586 .1716576 7.48 0.000 .9444347 1.624737 _cons | -.9974398 .4359317 -2.29 0.024 -1.861268 -.133612 ------------------------------------------------------------------------------ . outreg2 using "`path_folder'`fig_folder'\agg_results.tex", /// > append bdec(3) bracket label tex C:\Users\320491\Desktop\Final NBER\Figures\agg_results.tex dir : seeout . newey pi u_gap lpi l2pi l3pi if year>1989, lag(3) Regression with Newey-West standard errors Number of obs = 114 maximum lag: 3 F( 4, 109) = 29.54 Prob > F = 0.0000 ------------------------------------------------------------------------------ | Newey-West pi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u_gap | -.044925 .0383709 -1.17 0.244 -.1209748 .0311249 lpi | .3522104 .1056319 3.33 0.001 .1428514 .5615694 l2pi | .4172523 .0913049 4.57 0.000 .2362889 .5982157 l3pi | .0660059 .0852044 0.77 0.440 -.1028664 .2348782 _cons | .3954164 .1824118 2.17 0.032 .0338821 .7569508 ------------------------------------------------------------------------------ . outreg2 using "`path_folder'`fig_folder'\agg_results.tex", /// > append bdec(3) bracket label /// > groupvar(u_gap "Core CPI inflation" lpi l2pi l3pi) tex C:\Users\320491\Desktop\Final NBER\Figures\agg_results.tex dir : seeout . newey pi u_gap E_pi lpi l2pi l3pi if year>1989, lag(3) Regression with Newey-West standard errors Number of obs = 114 maximum lag: 3 F( 5, 108) = 26.39 Prob > F = 0.0000 ------------------------------------------------------------------------------ | Newey-West pi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u_gap | -.0797361 .0382404 -2.09 0.039 -.1555353 -.0039369 E_pi | .5888527 .1566495 3.76 0.000 .2783463 .8993591 lpi | .2353735 .0987068 2.38 0.019 .0397195 .4310275 l2pi | .3081054 .0948875 3.25 0.002 .1200219 .4961888 l3pi | -.040764 .0909789 -0.45 0.655 -.2211 .1395719 _cons | -.3699929 .2786364 -1.33 0.187 -.9222985 .1823127 ------------------------------------------------------------------------------ . outreg2 using "`path_folder'`fig_folder'\agg_results.tex", /// > append bdec(3) bracket label /// > groupvar(u_gap E_pi "Core CPI inflation" lpi l2pi l3pi) tex C:\Users\320491\Desktop\Final NBER\Figures\agg_results.tex dir : seeout . newey pi u_l E_pi lpi l2pi l3pi if year>1989, lag(3) Regression with Newey-West standard errors Number of obs = 114 maximum lag: 3 F( 5, 108) = 26.52 Prob > F = 0.0000 ------------------------------------------------------------------------------ | Newey-West pi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u_l | -.0812165 .0394564 -2.06 0.042 -.1594259 -.003007 E_pi | .6361709 .164221 3.87 0.000 .3106565 .9616853 lpi | .2312662 .0992969 2.33 0.022 .0344425 .42809 l2pi | .3062174 .0949027 3.23 0.002 .1181037 .4943311 l3pi | -.0421963 .0912625 -0.46 0.645 -.2230945 .1387018 _cons | -.0629843 .2999071 -0.21 0.834 -.6574523 .5314836 ------------------------------------------------------------------------------ . outreg2 using "`path_folder'`fig_folder'\agg_results.tex", /// > append bdec(3) bracket label /// > groupvar(u_l E_pi "Core CPI inflation" lpi l2pi l3pi) tex C:\Users\320491\Desktop\Final NBER\Figures\agg_results.tex dir : seeout . newey pi u_gap lug l2ug l3ug E_pi lpi l2pi l3pi if year>1989, lag(3) Regression with Newey-West standard errors Number of obs = 114 maximum lag: 3 F( 8, 105) = 20.07 Prob > F = 0.0000 ------------------------------------------------------------------------------ | Newey-West pi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- u_gap | .5186124 .2552999 2.03 0.045 .0123999 1.024825 lug | -1.019577 .4475288 -2.28 0.025 -1.906944 -.1322105 l2ug | .2462936 .4416887 0.56 0.578 -.6294936 1.122081 l3ug | .1929926 .2419904 0.80 0.427 -.2868296 .6728148 E_pi | .6099626 .1549397 3.94 0.000 .3027458 .9171794 lpi | .2566336 .0919049 2.79 0.006 .0744031 .438864 l2pi | .2977153 .1045571 2.85 0.005 .0903979 .5050327 l3pi | -.0603161 .0851415 -0.71 0.480 -.229136 .1085039 _cons | -.4187062 .2724781 -1.54 0.127 -.9589799 .1215675 ------------------------------------------------------------------------------ . lincom u_gap+lug+l2ug+l3ug ( 1) u_gap + lug + l2ug + l3ug = 0 ------------------------------------------------------------------------------ pi | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- (1) | -.0616789 .0379795 -1.62 0.107 -.1369851 .0136274 ------------------------------------------------------------------------------ . local tstat=r(estimate)/r(se) . local se=r(se) . outreg2 using "`path_folder'`fig_folder'\agg_results.tex", /// > append bdec(3) bracket label /// > groupvar(u_gap lug l2ug l3ug E_pi "Core CPI inflation" lpi l2pi l3pi) /// > adds(L(0/3).u_l, r(estimate), t-stat, `tstat', se, `se') tex C:\Users\320491\Desktop\Final NBER\Figures\agg_results.tex dir : seeout . . rename year year2 . g year=year_quarter/4 - 0.25 . *FIGURE 8a . graph twoway line pi u_gap year, /// > legend(label(1 "Core CPI inflation (qoq annualised)") /// > label(2 "Unemployment gap")) /// > yla(, format(%9.0f)) name(agg_data) . graph export "`path_folder'`fig_folder'\agg_data.pdf", replace (file C:\Users\320491\Desktop\Final NBER\Figures\agg_data.pdf written in PDF format) . rename year year_quarter year_quarter already defined r(110); end of do-file r(110);