Chapter 4 Seasonality
We’ll add monthly variables to account for the fact that imports are not seasonlly adjusted.
Set Time Series Monthly
cd "/Users/Sam/Desktop/Econ 645/Data/Wooldridge"
use barium.dta, clear
tsset t, monthly
reg lchnimp lchempi lgas lrtwex befile6 affile6 afdec6 ///
feb mar apr may jun jul aug sep oct nov dec/Users/Sam/Desktop/Econ 645/Data/Wooldridge
time variable: t, 1960m2 to 1970m12
delta: 1 month
Source | SS df MS Number of obs = 131
-------------+---------------------------------- F(17, 113) = 3.71
Model | 22.8083523 17 1.34166778 Prob > F = 0.0000
Residual | 40.843896 113 .361450407 R-squared = 0.3583
-------------+---------------------------------- Adj R-squared = 0.2618
Total | 63.6522483 130 .489632679 Root MSE = .60121
------------------------------------------------------------------------------
lchnimp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lchempi | 3.26506 .4929302 6.62 0.000 2.288476 4.241644
lgas | -1.278121 1.389008 -0.92 0.359 -4.029997 1.473755
lrtwex | .6630496 .4713038 1.41 0.162 -.2706882 1.596787
befile6 | .1397024 .2668075 0.52 0.602 -.3888914 .6682962
affile6 | .0126317 .2786866 0.05 0.964 -.5394967 .5647601
afdec6 | -.5213006 .30195 -1.73 0.087 -1.119518 .0769168
feb | -.4177089 .3044445 -1.37 0.173 -1.020868 .1854505
mar | .0590528 .2647308 0.22 0.824 -.4654266 .5835322
apr | -.4514825 .2683865 -1.68 0.095 -.9832046 .0802396
may | .0333085 .2692425 0.12 0.902 -.5001093 .5667264
jun | -.2063321 .2692515 -0.77 0.445 -.7397679 .3271038
jul | .0038354 .2787665 0.01 0.989 -.5484513 .5561222
aug | -.1570652 .2779928 -0.56 0.573 -.7078191 .3936887
sep | -.1341606 .2676556 -0.50 0.617 -.6644348 .3961135
oct | .0516921 .2668512 0.19 0.847 -.4769883 .5803725
nov | -.24626 .2628272 -0.94 0.351 -.766968 .274448
dec | .1328368 .2714234 0.49 0.626 -.4049019 .6705755
_cons | 16.77877 32.42865 0.52 0.606 -47.46824 81.02577
------------------------------------------------------------------------------We compare all months to January as the base period, but let’s test their joint significance.
( 1) feb = 0
( 2) mar = 0
( 3) apr = 0
( 4) may = 0
( 5) jun = 0
( 6) jul = 0
( 7) aug = 0
( 8) sep = 0
( 9) oct = 0
(10) nov = 0
(11) dec = 0
F( 11, 113) = 0.86
Prob > F = 0.5852We find that they are jointly insignificant and seasonality does not seem to be an issue with barium chloride imports.