Построение эконометрической модели и исследование проблемы автокорреляции с помощью тестов Бреуша — страница 8

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3.021702 4.152773 0.0002 R-squared 0.719844 Mean dependent var 11.88857 Adjusted R-squared 0.692732 S.D. dependent var 211.7761 S.E. of regression 117.3913 Akaike info criterion 12.47611 Sum squared resid 427201.9 Schwarz criterion 12.65387 Log likelihood -214.3320 F-statistic 26.55085 Durbin-Watson stat 2.101394 Prob(F-statistic) 0.000000 ADF Test Statistic -20.99004 1% Critical Value* -4.2412 5% Critical Value -3.5426 10% Critical Value -3.2032 *MacKinnon critical values for rejection of hypothesis of a unit root. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IG) Method: Least Squares Date: 12/11/08 Time: 18:56 Sample(adjusted): 1999:4 2008:2 Included observations: 35 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(IG(-1)) -2.200495

0.104835 -20.99004 0.0000 @TREND(1999:1) 9.663892 2.439289 3.961766 0.0004 R-squared 0.935547 Mean dependent var 19.71143 Adjusted R-squared 0.929310 S.D. dependent var 541.9242 S.E. of regression 144.0849 Akaike info criterion 12.88589 Sum squared resid 643574.0 Schwarz criterion 13.06365 Log likelihood -221.5031 F-statistic 149.9904 Durbin-Watson stat 2.352758 Prob(F-statistic) 0.000000 ADF Test Statistic -9.618956 1% Critical Value* -4.2412 5% Critical Value -3.5426 10% Critical Value -3.2032 *MacKinnon critical values for rejection of hypothesis of a unit root. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP) Method: Least Squares Date: 12/11/08 Time: 19:12 Sample(adjusted): 1999:4 2008:2 Included observations: 35 after adjusting endpoints Variable Coefficient

Std. Error t-Statistic Prob. D(GDP(-1)) -2.088636 0.217137 -9.618956 0.0000 @TREND(1999:1) 26.31412 6.414595 4.102226 0.0003 R-squared 0.775601 Mean dependent var 33.28571 Adjusted R-squared 0.753884 S.D. dependent var 717.4181 S.E. of regression 355.9113 Akaike info criterion 14.69445 Sum squared resid 3926860. Schwarz criterion 14.87221 Log likelihood -253.1529 F-statistic 35.71550 Durbin-Watson stat 2.486933 Prob(F-statistic) 0.000000 PP Test Statistic -6.168609 1% Critical Value* -4.2324 5% Critical Value -3.5386 10% Critical Value -3.2009 *MacKinnon critical values for rejection of hypothesis of a unit root. Lag truncation for Bartlett kernel: 1 ( Newey-West suggests: 3 ) Residual variance with no correction 128108.6 Residual variance with correction 114483.1 Phillips-Perron

Test Equation Dependent Variable: D(IG) Method: Least Squares Date: 12/13/08 Time: 14:39 Sample(adjusted): 1999:3 2008:2 Included observations: 36 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(IG(-1)) -1.133453 0.183759 -6.168167 0.0000 @TREND(1999:1) 3.839129 5.997744 2.640095 0.1265 R-squared 0.438149 Mean dependent var 20.35833 Adjusted R-squared 0.510158 S.D. dependent var 534.1404 S.E. of regression 373.8380 Akaike info criterion 14.76518 Sum squared resid 4611909. Schwarz criterion 14.89714 Log likelihood -262.7732 F-statistic 19.22581 Durbin-Watson stat 2.134551 Prob(F-statistic) 0.000003 PP Test Statistic -10.63290 1% Critical Value* -4.2324 5% Critical Value -3.5386 10% Critical Value -3.2009 *MacKinnon critical values for rejection of

hypothesis of a unit root. Lag truncation for Bartlett kernel: 3 ( Newey-West suggests: 3 ) Residual variance with no correction 200449.2 Residual variance with correction 30674.85 Phillips-Perron Test Equation Dependent Variable: D(GDP) Method: Least Squares Date: 12/13/08 Time: 14:44 Sample(adjusted): 1999:3 2008:2 Included observations: 36 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GDP(-1)) -1.243348 0.182298 -6.820400 0.0000 @TREND(1999:1) 14.23606 7.613909 2.869744 0.0704 R-squared 0.587667 Mean dependent var 34.34444 Adjusted R-squared 0.562677 S.D. dependent var 707.1235 S.E. of regression 467.6236 Akaike info criterion 15.21286 Sum squared resid 7216171. Schwarz criterion 15.34482 Log likelihood -270.8315 F-statistic 23.51620

Durbin-Watson stat 2.209326 Prob(F-statistic) 0.000000 Приложение 3 OBS Nx Cons IG GDP 1999:1 123.9 708 69.4 901.3 1999:2 165.1 766.3 170.1 1101.5 1999:3 206.8 852.5 313.8 1373.1 1999:4 326.4 958.9 162 1447.3 2000:1 372.3 997.7 177 1527.4 2000:2 388.6 1045.1 283.2 1696.6 2000:3 372.2 1167.3 470.1 2037.8 2000:4 330 1266.7 435.4 2043.8 2001:1 357.1 1306.3 253.7 1900.9 2001:2 294.7 1412.7 409.6 2105 2001:3 274.5 1523.9 682.7 2487.9 2001:4 207.4 1643.9 617.1 2449.8 2002:1 235.7 1691 333.5 2259.5 2002:2 290.7 1779.9 456.4 2525.7 2002:3 329.7 1907 745.5 3009.2 2002:4 311.4 2070.9 635.1 3023.1 2003:1 414 2071.1 382.5 2850.7 2003:2 351.5 2165.8 580.3 3107.8 2003:3 360.2 2289.9 985.2 3629.8 2003:4 376.3 2497.9 807.1 3655 2004:1 425.5 2584.7 493 3516.8 2004:2 495 2714.9 760.3