1

The Equations of FAIRMODEL

July 31, 1990

Stochastic Equations 2SLS estimates, estimation period = 1954I-1990II, unless otherwise noted

Household Sector (h):

1.

CS: CS/POP = .159 + .743*[CS(-1)/POP(-1)] + .000831*[AA(-1)/POP(-1)] + .0516*WA

(4.86) (13.89)

(1.63)

(0.54)

-.0511*PXA - .00259*RSA + .0266*[YTR/(POP*PH)] + .00186*T + .162*Z

(0.91)

(5.37)

(0.90)

(5.18)

(3.83)

SE = .00560, R2 = .9996, DW = 2.00

[Consumer expenditures: services]

2.

CS: CN/POP = .119 + 850*[CN(-1)/POP(-1)] + .000792*[AA(-1)/POP(-1)] + .161*WA

(2.72) (18.84)

(1.45)

(2.45)

-.143*PCN + .8869*[YTR/POP*PH] + .0277*Z, RHO = .345

(2.66)

(2.05)

(0.49)

(3.71)

SE = .00739, R² = .9942, DW = 2.02

[Consumer expenditures: nondurables]

3.

CD: CD/POP = -.000315 + .727*[CD(-1)/POP(-1)] - .0277*[KD(-1)/POP(-1)]

(0.01)

(12.51)

(4.01)

+ .00279*[AA(-1)/POP(-1)] + .212*WA(-1) - .0685*PCD(-1)

(5.94)

(2.24)

(0.85)

+ .322*[YTR/POP*PH] - .00372*RMA + .251*Z

(6.99)

(2.98)

(3.57)

SE = .00975, R² = .9932, DW = 2.31 [Consumer expenditures: durables]

[Consumer expenditures: durables]

4.

IHH: IHH/POP = .0620 + .738*[IHH(-1)/POP(-1)] - .00541*KH(-1)/POP(-1)

(1.34)

(8.13)

(1.49)

+ .00111*[AA(-1)/POP(-1)] + .0422*WA(-2) - .0300*PIH(-2)

(1.59)

(0.48)

(0.50)

+ .160*[YTR(-1)/POP(-1)*PH(-1)] - .00365*RMA(-1), RHO = .554

(3.74)

(2.19)

(4.21)

SE = .00796, R² = .9528, DW = 2.23 [Residential Investment - h]

[Residential investment - h]

2

The Equations of FAIRMODEL (cont’d)

5.

L1: L1/POP1 = .518 + .472*[L1(-1)/POP1(-1)] - .0190*WA + .0135*PH

(6.66) (5.96)

(1.46)

(1.58)

- .0431*[YTR/POP*PH]

(5.65)

SE = .00176, R² = .9841, DW = 2.16

[Labor force - males 25-54]

6.

L2: L2/POP2 = .0321 + .962*[L2(-1)/POP2(-1)] - .000301*[AA(-1)/POP(-1)] + .0493*WA

(2.53) (36.71)

(3.18)

(2.00)

-.0269*PH + .0293*Z

(2.12)

(2.50)

SE = .00296, R² = .9993, DW = 2.32

[Labor force - females 25-54]

7.

L3: L3/POP3 = .109 + .830*[L3(-1)/POP3(-1)] - .000421*[AA(-1)/POP(-1)] + .032*WA

(4.48) (21.78)

(3.41)

(2.75)

- .0324*PH + .0520*Z

(3.50)

(4.09)

SE = .00254, R² = .9682, DW = 1.94

[Labor force - all others 16+]

8.

LM: LM/POP = .00842 + .763*[LM(-1)/POP(-1)] + .000927*WA(-1) - .000695*PH(-1)

(4.24)

(13.84)

(0.13)

(0.13)

+ .0404*Z(-1)

(4.14)

SE = .00167, R² = .8523, DW = 1.81

[Number of moonlighters]

9.

MH: log[MH/(POP*PH)] = .0767 + .885*log[MH(-1)/(POP(-1)*PH)]

(2.68) (27.82)

+ .0297*log[YD/(POP*PH)] - .00331*RSA

(1.92)

(2.30)

SE = .0228, R² = .9249, DW = 2.40

[Demand deposits and currency - h]

3

The Equations of FAIRMODEL (cont’d)

Firm Sector (f):

10.

PF: log(PF) = .175 + .902*log[PF(-1)] + .0403*Log[WF*(1+D5G+D5S)] + .0425*log(PIM)

(10.19)(132.91)

(10.67)

(13.12)

- .00524*log[(YS(-1) - Y(-1))/YS(-1) + .04

(4.27)

SE = .00421, R² = .9999, DW = 2.14

[Price deflator for X-FA]

11.

Y: Y = 92.0 + .409*Y(-1) + .790*X - .343*V(-1) - 3.44*D593 + 1.77*D594 + 1.77*D594 + 3.30*D601

(1.21)

(9.11)

(14.15)

(7.66)

(1.24)

(0.67)

(1.20)

RHO = .365, RHO2 = .467, RHO3 = .153

(3.82)

(5.69)

(1.66)

SE = 3.05, R² = .9998, DW = 2.02

[Production -f]

12.

IKF: D IKF = .607 - .00595*[KK(-1) - KKMIN(-1)] + .0640*D Y - .0764*IKF(-1)

(1.33) (1.66)

(2.44)

(2.26)

+ .0856*DELK*KK(-1) + .0657*D Y(-1) + .0462*D Y(-2) + .0379*D Y(-3)

(1.96)

(3.21)

(2.29)

(1.90)

SE = 1.28, R² = .4588, DW = 2.23

[Nonresidential fixed investment - f]

13.

JF: D logJF = -.774 - .124*log[JF(-1)/JHMIN(-1)] + .000182*T + .312*D Y(-3)

(3.63) (3.62)

(4.16)

(8.60)

+ .132*D logY(-1) + .0286*D logY(-2) - .00991*D593 + .00173*D594

(3.72)

(0.96)

(2.75)

(0.49)

RHO = .453

(5.03)

SE = .00341, R² = .7606, DW = 2.00

[Number of jobs - f]

4

The Equations of FAIRMODEL (cont’d)

14.

HF: D logHF = .370 - .0667*log[HF9-1)] - .00696*log[JF(-1)/JHMIN(-1)] - .0000689*T

(2.39) (2.18)

(0.41)

(2.18)

+ .156*D log(Y)

(5.02)

SE = .00320, R² = .2638, DW = 2.21

[Average number of hours paid per job - f]

15.

HO: logHO = -6.82 + .0204*HFF, RHO = .939

(4.85)

(7.49)

(31.57)

SE = .0526, R² = .9153, DW = 1.74

Estimation period: 1956I-1990II

[Average number of overtime hours paid per job - f]

16.

WF: logWF = -.161 + .974*logWF(-1) - .606*logPX(-1) + .000376*T

(2.77) (87.04)

(8.13)

(4.34)

+ .608*logPX

SE = .00687, R² = .9985, DW = 2.01

[Average hourly earning excluding overtime -f]

17.

MF: log(MF/PX) = .0439 + .957*log[MF(-1)/PX] + .0317*log(X) - .00519*RS*(1-D2G-D2S)

(0.47)

(47.78)

(3.03)

(2.72)

RHO = -.436

(5.66)

SE = .0360, R² = .9306, DW = 1.94

[Demand deposits and currency - f]

18.

DF: DF = 0.00 + .977*DF(-1) + .023*(PIEF-TFG-TFS)

(517.56)

SE = .283, R² = .9984, DW = 1.91

[Dividends paid -f]