Not that I put a great deal of confidence in regression analysis,
but I still thought that these results that I got on U.S.
inflation and unemployment data since 1961 were kind of
interesting. Most of this should be pretty self-explanatory
(if you are familiar with regression analysis, at least);
the Party variable =1 in years with Democratic presidents and
=0 in years with Republican presidents.
Overall, they all seem to indicate a vertical long-run Phillips curve,
with the "long-run" being about a year.
Comments, anyone?
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Regressing unemployment on constant and inflation yields
Beta = 5.617 0.105
Standard errors= 0.522 0.088
R-squared = 0.045
Regressing inflation on constant and unemployment yields
Beta = 2.382 0.431
Standard errors= 2.288 0.361
R-squared = 0.045
Regressing unemployment on constant, inflation,
lagged inflation, and lagged unemployment yields
Beta = 1.372 -0.171 0.364 0.620
Standard errors= 0.532 0.066 0.067 0.082
R-squared = 0.853
Implicit estimate of natural rate of unemployment = 3.611
Regressing unemployment on constant, inflation, and lagged inflation
Beta = 5.003 -0.347 0.573
Standard errors= 0.402 0.108 0.105
R-squared = 0.540
Regressing unemployment on constant, inflation, and lagged unemployment
Beta = 0.561 0.127 0.805
Standard errors= 0.727 0.053 0.106
R-squared = 0.691
Implicit estimate of natural rate of unemployment = 2.870
Regressing unemployment on constant, inflation, inf(t-1), and inf(t-2)
Beta = 4.512 -0.197 0.197 0.321
Standard errors= 0.405 0.108 0.156 0.106
R-squared = 0.660
Regressing unemployment on constant and lagged unemployment
Beta = 1.247 0.800
Standard errors= 0.720 0.114
R-squared = 0.628
Implicit estimate of natural rate of unemployment = 6.219
Regressing unemployment on constant, inflation, Party, inf(t-1), un(t-1)
Beta = 1.563 -0.153 -0.297 0.338 0.612
Standard errors= 0.556 0.068 0.261 0.070 0.082
R-squared = 0.860
Implicit estimate of natural rate of unemployment = 4.026
Regressing unemployment on constant, Party, and lagged unemployment
Beta = 1.831 -0.744 0.747
Standard errors= 0.726 0.355 0.109
R-squared = 0.677
Implicit estimate of natural rate of unemployment = 7.240
Regressing unemployment on constant, Party, lagged Party, inflation, and
lagged
unemployment
Beta = 1.346 -0.308 -0.505 0.127 0.726
Standard errors= 0.777 0.545 0.557 0.051 0.108
R-squared = 0.742
Implicit estimate of natural rate of unemployment = 4.915
Regressing inflation on constant, lagged inflation, and unemployment
yields
Beta = 4.762 1.016 -0.780
Standard errors= 1.249 0.120 0.242
R-squared = 0.735
Regressing unemployment on constant, inflation-lagged inflation,
and lagged unemployment yields
Beta = 2.091 -0.263 0.664
Standard errors= 0.703 0.087 0.112
R-squared = 0.722
Implicit estimate of natural rate of unemployment = 6.224
Regressing unemployment on constant, inflation(t), inflation(t-1),
inflation(t-2), unemployment(t-1), and unemployment(t-2)
yields
Beta = 1.255 -0.210 0.420 -0.019 0.521 0.122
Standard errors= 0.636 0.083 0.114 0.102 0.230 0.175
R-squared = 0.857
Implicit estimate of natural rate of unemployment = 3.508