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..

, ,
,

2000

..

, ,
,

2000


1992 .
:

: ..
- - , -
. ...
40 ,
.
1994 . - ,
(. )
.

,
: .

ISBN 5-93255-027-9
02079 19 2000
.
103918, , ., 5
. (095) 2296413, FAX (095) 2038816
E-MAIL root@iet.ru, WEB Site http://www.iet.ru
, 2000.


........................................................................................... 6
1.

- ............................................. 7
1.1. ..................... 7
1.2. : ............................ 10
1.3. .

....................................................................................... 18
1.4. ,

..................................................................................... 34
1.5. ................................... 40
1.6. ........................... 43
1.7.
. ............................ 49
1.8. .
............................................................ 60
1.9.
.................................................................................. 62
1.10. ..................................... 66
1.11. ,
. .................................................. 73
1.12.
...................................................... 80

2.

........................................ 85
2.1. ....................................... 85
2.2. ()
....................................................................... 92
2.3.
.................................................................................. 98
2.4.
.................................................... 104
2.5. :
................................................. 113
2.6. :
.............................................. 118
2.7.
....................................................... 126
2.8.
F- ..................... 136
2.9.
.
....................................................... 147
2.10. :
............................................................ 158
2.11. ,
........................................ 164
2.12.
.......................................................................... 172

3.
.

........................................................... 180
3.1.
:
.................................................................... 180
3.2.
:
.................................................................................... 194
3.3. :
............................................................... 204
3.4.
(
)...................................................................... 214
3.5.
................................................ 223
3.6.
. ......................................... 235
......................................................................................... 247
........................................................................... 248
.................................................................... 249



, 12 .

.
, , ,
. ,
.
.
(1997),
,
.
,
.

, .
.

.
,
(.

),

1.


1.1.
(Econometrics) -
()
. ,
, , .
, , ( disposable personal income) DPI
(personal consumption) C n
, DPI i Ci , , i - .
DPI C
C = + DPI ,
- , 0< <1, , , .

, ( DPI i , Ci ) DPI i Ci (
- scatterplot), , ,
C = + DPI , . , , (.
.1.1). DPI i Ci
Ci = ( + DPI i ) + i , i = 1, , n
( ),
i = Ci ( + DPI i )

Ci + DPI i , i - . Ci ,
.

. 1.1
2700

CONS

2500

2300

2100
2200

2400

2600

2800

DPI

.1.1

( 1999 ., ) 20 .
1.1.
. 1.1
i
1
2
3
4
5
6
7
8
9
10

DPI
2508
2572
2408
2522
2700
2531
2390
2595
2524
2685

C
2406
2464
2336
2281
2641
2385
2297
2416
2460
2549

I
11
12
13
14
15
16
17
18
19
20

DPI
2435
2354
2404
2381
2581
2529
2562
2624
2407
2448

C
2311
2278
2240
2183
2408
2379
2378
2554
2232
2356

, DPI i Ci ( ), ,

. ,

, . ,
, , , ,
.
1.2. :

1.2 ( %)
1968 . 1969 . ( ).

( i = 1 1968 ., i =17 1969 .),
- BELi i - , - ZVETi
i - .
. 1.2
i
1
2
3
4
5
6
7

BEL
3.2
3.1
3.2
3.3
3.3
3.2
3.2

ZVET
6.9
6.7
6.5
7.1
6.8
6.4
6.6

i
10
11
12
13
14
15
16

BEL
3.0
3.0
2.9
3.1
3.1
3.1
3.0

ZVET
6.5
6.0
5.7
6.0
6.9
6.5
7.0

3.1
3.0

8
9

7.3
6.5

3.2

17

6.4

, ,

(. 1.2).
-

;
.
. 1.2
8

2
2

8
BEL

10

12

14

16

ZVET

, , , x1 , x 2 , , x17

, y1 , y 2 , , y17 -
,
: x - -

, y -
.
, x1 , x 2 , , x17 y1 , y 2 , , y17 ,
(means)
x1 + x 2 + + x17
y + y 2 + + y17
1 17
1 17
x=
x
=
,
y
=
yi = 1
,

i
17 i =1
17
17 i =1
17
(, sample variances)
1 17
1 17
2
Var ( x ) =
x

x
,
Var
(
y
)
=
( i )
( yi y ) 2 ,

n 1 i =1
n 1 i =1
x1 , x 2 , , x17
( y1 , y 2 , , y17 ) x ( y , ), ()
.
Var
(variance). ,
,
. , (standard
deviance - Std.Dev.) x ( y ),
Std.Dev.( x ) = Var (x ),
( Std.Dev.( y) = Var (y ), ).
.
.
x = 6.576 , Std.Dev.( x ) = 0.416 ; y = 3.118 , Std.Dev.( y) = 0113
, , , , . ,
, 4:1, -

() . , , 7.3 - 5.7 = 1.6


3.3 - 3.1 = 0.2.

(scatterplot), xi , yi , i = 1, 2, ...,
n, n -
x y . n = 17,
. 1.3
3 .4

3 .3

3 .2

BEL

3 .1

3 .0

2 .9

2 .8
5 .5

6 .0

6 .5

7 .0

7 .5

ZVET


,

x y ,

y = + x,
x , y . ,
: yi y = + xi ,

i = yi ( + x i )


y i = ( + xi ) + i , i = 1, , n.
,
y= + x
.
, , ( )
x y . , ,
,

,
. -, ,
, .

4 .

()
( x , y ) , ( xi , yi )
, x i x ,
, . , ( xi , yi )
, y i y
, ,
(. . 1.4).
. 1.4
3 .4

3 .3

3 .2

BEL

3 .1

3 .0

2 .9

2 .8
5 .5

6 .0

6 .5

7 .0

7 .5

ZVET

m++

( x1 , y1 ), , ( xn , yn ) , xi x > 0 yi y > 0 ( ); m+ , xi x > 0 yi y < 0 ( );


m + , xi x < 0 yi y > 0
( ); m - ,
xi x < 0 yi y < 0 ( -

). , m++ = 4 , m+ = 4 , m + = 3 (, 6 17, ), m = 6 (, 9 10,


), xi x yi y m++ + m = 10 , , ,
m+ + m + = 7 .

10/17=0.59, . . 59% ,
,
.

,
,
.

.

x y , xi yi , i = 1, , n ,
()
(sample correlation coefficient)
Cov ( x , y )
rxy =
.
Var ( x ) Var (y)
Cov ( x , y ), ,
1 n
Cov ( x , y ) =
( xi x )( yi y)
n 1 i =1

() x y ,
, ,
Cov ( x , x ) = Var ( x ), Cov ( y , y ) = Var ( y ).
, rxy
(. . rxy +1 1).
, rxy . , rxy
x y (, ,
).
.
, Var ( y ) = 0.0128 ,
Var ( x ) = 01732
Cov( x , y ) = 0.0204 ,
0.0204
rxy =
= 0.4608,
.
01732
0.0128
. . rxy , 0 1.

Var Cov,
n-1. , . , Var Cov . n - 1 , , (1997), (1998),
, (1997)
n - 1, n. , Cov
Var ,
rxy

,
Var Cov, .
1.3. .
,
( ) , .
, x y

y i = ( + xi ) + i , i = 1, , n.

,
i = yi ( + x i )

i - (error,
disturbance). , ,
,
,

( ).
, , ,
( x , y )

( x1 , y1 ) , , ( x n , y n )

() .

y = + x
.
i -
()
i = yi + xi ,

i ,
.
n

. -

i =1

, ,

,
n

= 0.

i =1


. ,

y = + x
( x , y ) ,
e = y + x ,
i

= 0.

i =1

ei i - .
, , ,

,
.
, y = + x
, . ,
, ,
, , ,

n

( yi

i =1

x i ) 2 = min

(y

xi ) 2 .

i =1

, , ,
.
, , ,
= , = .
, , ( x , y ) ; .
, ,
.
,
, y = + x ( x , y ) , y = + x ,

= y x,


.
n

, , ,

i =1

Q( , = ( y i xi ) 2
i =1

, , , .
,
- xi , yi , i = 1, , n . , .
, ( xi , yi ), ( x k , y k )
.
( ) ,
(i , k )
n 1, , n .
n . ,
N = n(n 1) / 2 . , j -
,
y = j + jx ,

, ,
x1 ( j ) x 2 ( j ) , .
. , ,
, .
, ,
:
N

= w j j , = w j j ,
j =1

j =1

w = 1 w , , w
( x ( j ) x ( j )) ,
=
( x ( k ) x ( k ))
n

j =1

wj

k =1

, , .
, , j , j , . ,
, .
,

Q( , ) = ( yi xi ) 2
i =1

() x1 , , x n , y1 , , y n . Q( , )

z = Q( , ) , , z , .
z = Q( , )
, . . Q( , )
,
Q(, ) / = 0 ,
Q( , )
,
Q(, ) / = 0 ,

Q( , ) / = 0 , Q(, ) / = 0 ,
, . , ,

Q( , ) / = 2
Q( , ) / = 2

(y

x i )( 1) ,

x i )( x i ) ,

i =1
n

(y
i =1

,
n

( yi xi ) = 0 ,
i =1

(y

xi ) x i = 0 .

i =1

n n

+
xi = yi

i =1

i =1
n
n
n
x i + xi2 = yi xi .
i =1
i =1
i =1

,
, .
:

1
n

yi n1
i =1

= y x ,

i =1

( x , y )
y = + x .

2

n n 1 n n 2 n
yi xi n xi + xi = yi xi ,
i =1 i =1
i =1
i =1
i =1

n
n
n
n
1
y
x
y
x

n
y i x i nyx

i
i i
n i

i =1 i =1
i =1
i =1

= n
=
.
2
n
n
2
2

x i nx

x i2 n1 x i

i =1
i =1
i =1
,
1
n

(x
i =1

x ) = x i2 2 x x i + nx 2 = x i2 nx 2 ,
2

i =1

i =1

i =1

i =1

i =1

i =1

i =1

i =1

( yi y )( xi x ) = yi xi y xi x yi + nyx = yi xi nyx .
(
)
n

(y

y )( x i x )

i =1

(x

x)

,
2

i =1


= y x
,

.
,

n

(x

x) 0 ,
2

i =1

.
,
2

n
n
n

2
n x x i = n x i2 nx 2 = n ( x i x ) .
i =1
i =1
i =1
i =1

yi = ( + xi ) + i , i = 1, , n ,
, x1 , , x n
.
n

2
i

( x i , y i ),

i = 1, , n ,

x=x.

(least squares estimates), LS . . ,
, n

Var ( x ) = ( x i x )

( n 1)

i =1

Cov ( x , y ) = ( x i x )( y i y )

( n 1)

, ,

i =1

,
Cov ( x , y )
.
=
Var ( x )
, , , , x y . (,
,
Var ( x ) .) ,
Cov( x , y ) ,
Var ( x ) > 0 .

= 0.020415 / 0162976
= 0125
,
.
.
= y - x = 3118
0125
.
. 6.576 = 2.294 .
,

y = 2.294 + 0.125x ,
x y .
, x 1 ( x ) y
0125
.
( y ).
y = + x = 0

( Cov( x, y ) = 0) 0
( Cov( x, y ) 0) ,

ei = y i x i . ,
, - . A =
(7.1, 3.3). . y = x B = (7.1, 3.118)
y = + x C = (7.1, 3.183),
A y = x , AB = 3.3
3.118= 0.182,
AB = AC + BC.
, A
y = + x AC = AB CB = 0.182 (3.183
3.118) = 0.117.
, ( x i , yi )
:
y i y = ( y i yi ) + ( yi y ) ,
y = + x - ,
i

x i . -


i :
n

(y
i =1

y)

= ( yi y ) + ( yi yi ) + ( y i yi )( yi y ) .
2

i =1

i =1

i =1

( yi yi ) = ei2
i =1

i =1


(residual sum of squares) RSS (,
-, ), SSR
(Green), ESS (error sum of squares Harvey, Chatterjie)
SSE (--). ,
, .
, = 0 , = x yi x . , = 0
n

i =1

i =1

i =1

i =1

2
2
( yi yi ) = ( yi y ) .

0 , y = + x ,

2
2
( yi yi ) < ( yi y ) .

x y , RSS = 0 . , ( x i , yi ) ,
i = 1, 2,..., n, y = + x . x y -

, RSS TSS = (y i y ) .
2

i =1

,

R2 = 1

(y
(y

yi )

yi )

. 0 ( = 0 , . .
RSS = TSS ) 1 ( RSS = 0 ),
0 R2 1 .
, ,
n

(y

y )
2

i =1
n

i =1

i =1

i =1

i =1

2
2
2
( yi y ) = ( yi y ) + ( yi yi ) + 2 ( yi yi )( yi y )

. :

( yi yi )( yi y ) = ( y i yi ) yi y ei = ( yi yi )( + xi ) y ei
n

i =1

i=1

= ei +
i =1

i =1

i =1

( (

ei = yi + xi

(y

i =1

)) = 0

i =1

i =1

yi ) x i y

i =1

e
i=1

(. ).
,
n

i =1

i =1

( (

))

( yi yi )xi = yi + xi xi = 0
(. ).
,
n

(y

yi )( yi y ) = 0 ,

i =1

, ,
n

( yi y ) = ( yi y ) + ( yi yi ) ,
2

i =1

i =1

i =1

R2 = 1

( yi yi )
i =1
n

( y

y)

i =1

( y

y)

i =1

( yi yi )
i =1

( y
i =1

y)

( y y )

( y

i =1
n

y)

i =1

. . R 2
n

( y y )

R2 =

i =1
n

(y

y)

,
2

i =1

, (explained
sum of squares), ESS,
n

ESS = ( yi y ) .
i =1

, ,
(total sum of squares) TSS,
n

TSS = ( y i y ) .
2

i =1

,
n

RSS = ( yi y) .
2

i =1


TSS = ESS + RSS ,

, , . , ,
ESS
RSS
R2 =
= 1
.
TSS
TSS
, R2 ,
ESS
TSS.
. RSS , = 0
y = y ,
y x . ,
x
y .

TSS
1 n
;
( yi y ) 2 =

n1
n 1 i =1
, TSS = RSS ESS = 0 .
, 0 , TSS = ESS + RSS , ESS 0 , :
TSS
ESS RSS
Var ( y ) =
=
+
.
n1 n1 n1

Var ( y ) =

2
( yi y ) ( yi y)

ESS i =1
= i =1
=
= Var ( y) ,
n1
n1
n1
y , i -
yi . ( ,

=0,

i =1

(y

yi ) = 0 ,

i =1

( yi yi )

y = y
i

i =1
n

ei2

y = y .) ,

i =1

(e

e)

RSS i =1
= i =1
= i =1
=
= Var ( e ) ,
n1
n1
n1
n1
e , i -
ei . ( ,
n

e = ei / n = 0 .)
i =1

,
Var ( y ) = Var ( y) + Var ( e ) ,

, y (
Var ( y ) ) y ( Var ( y) ). y
y e ( Var ( e) ).
, y
y , ,
R 2 ,

Var ( y)
Var ( e)
R2 =
= 1
.
Var ( y )
Var ( y )
y x , y x , , , y
x . ,
y , x .
.
ESS = 0.043474
RSS = 0.161231
TSS = 0.204705,

Var ( y) = 0.043474/16 = 0.002717,
Var ( e ) = 0.161231/16 = 0.010077,

Var ( y ) = 0.012784,
R 2 = 0.043474/0.204705 = 0.212374.
,
, R2,

.
1.4. ,

.
a , x i , y i , z i , i - x i , y i , z i ,
i = 1, , n (n ). a , i - ai a ,

Cov(x,a) =

1
n 1

(xi x)(ai a ) =
i =1

1
n 1

(x
i =1

x )(a a ) ,


Cov ( x , a ) = 0 .
, ,

Cov ( x , y ) = Cov ( y , x )

Cov ( x , x ) = Var ( x ) .
,
Cov ( ax , y ) =

1
n 1

i =1

i =1

( axi ax )( yi y ) = a n11 ( xi x )( yi y ) ,


Cov ( ax , y ) = a Cov ( x , y ) .
,
Cov ( x , y + z ) =
=
=

1
n 1

(x

1
n 1

(x
(x
i =1

x )( yi + zi ( y + z ))

x ) ( yi y ) + ( zi z )

x )( y i y ) +

i =1
n

1
n 1

i =1

1
n -1

(x

)
x )( zi z ) ,

i =1


Cov ( x , y + z) = Cov ( x , y ) + Cov ( x , z) .
, , ,
Var ( a ) = 0
( ),
Var ( ax ) = a 2Var ( x ), Std . Dev .( ax ) = a Std . Dev ( x )
( a ,
),
Var( x + a ) = Var( x )
( ).
,
Var( x + y ) = Cov( x + y , x + y ) =
= Cov( x , x ) + Cov( x , y ) + Cov( y , x ) + Cov( x , y ) ,
. .
Var ( x + y ) = Var ( x ) + Var ( y ) + 2Cov ( x , y )

(
,
).
rxy ,
,
, x , x1 , , x n

x~i = a + bx i , i = 1, , n, (b > 0)
x = a + bx ,
~
Cov ( ~
x , y)
Cov (a + bx , y )
r~xy =
=
=
Var ( x~ ) Var ( y )
Var (a + bx ) Var ( y )
=

bCov ( x , y )

= rxy .
b 2Var ( x ) Var ( y )
,
rxy ,

x y .

, x yi = + xi + i , i = 1, , n. .
, , ,
x , x x = bx , x~ ~

~
y i = + x i + i , i = 1, , n ,
Cov ( ~
x , y ) Cov (bx , y ) bCov ( x , y ) 1
x~ =
=
= 2
= x .
Var ( ~
x)
Var (bx )
b Var ( x ) b
, x
( y ), -

,
. (
,
.) x y .
, ,

Var ( y )
.
Var ( x )
,
Cov ( x , y ) rxy Var ( x ) Var ( y )
=
=
,
Var ( x )
Var ( x )
. , , Var (x) = Var (y)
= rxy ,

= rxy

x y
1 1 .
ryy
y y, y = + x , x y . , y = y + e
(.. ei = y i yi ), :
Cov ( y , y)
Cov ( y + e, y)
=
ryy =
Var ( y ) Var ( y)
Var ( y ) Var ( y)
Cov ( y, y) + Cov (e, y)
=
.
Var ( y ) Var ( y)

(
TSS )
n

(y

yi )( yi y ) = 0 ,

i =1

(y

yi ) = 0 ,

i =1

1 n
( yi yi ) yi = 0 ,
n 1 i =1

Cov ( e, y) = Cov ( y y, y) .
,
Var ( y)
Var ( y)
ryy =
=
,
Var ( y )
Var ( y ) Var ( y)

Var ( y)
ryy2 =
= R2 .
Var ( y )
,
y y, x y , R 2 , 1 , 1
y y.
, , ryy
(multiple-R, -R).
, y
, y , -

y ryy .
, R2
x y.
, ,
Cov ( y , y)
Cov ( y , + x )
=
ryy =
Var ( y ) Var ( y)
Var ( y ) Var ( + x )
=

Cov ( y , x )

sign( ) Cov ( y , x )
.
Var ( y ) Var ( x )

Var ( y ) 2Var ( x )
( sign(z)=-1 z<0, sign(z)=0 z=0, sign(z)=1 z>0)

Cov ( x , y )
=
,
Var ( x )
sign( ) = sign(Cov ( x , y )) ,
ryy = sign(Cov ( x , y )) rxy ,

ryy2 = rxy2 = R 2 ,
R2
.

rxy < 0 , sign( Cov( y , x )) = 1 ryy > 0 ; rxy > 0 ,


sign( Cov( y , x )) = 1 ryy > 0 , ryy > 0 .

1.5.
x y n ( xi , yi ), i = 1, , n, .
,
yi =( + xi ) + i , i = 1, , n . ,

xi =( + yi ) + i , i = 1, , n ?
xy , xy x =( + y ) + , i = 1, , n , ,
i

yx

yi =( + xi ) + i , i = 1, , n .

yx

Cov ( x , y ) Cov ( x , y )
Cov ( x , y )
,
xy yx =

=
Var ( y )
Var ( x )
Var ( y ) Var ( x )
. .
xy yx = rxy2 ,

xy yx = R 2 .
,
x = xy + xy y ,

y = yx + yx x .

y=

xy
xy

1
x.

xy

x , ,
,
1
yx =
,

xy

. .
yx xy = 1 ,
, , R 2 = 1 .
, ,
xy
yx =
,

xy

yx xy = xy .

yx = y yx x ,

yx xy = ( y yx x )xy = y xy - yx xy x .
R 2 = 1
yx xy = y xy - x .
,
xy = x + xy y ,

R 2 = 1 , . . ,
,
( x i , y i ), i = 1, , n.
, ,
, , ( xi , y i ), i = 1, , n ,
( e1 , , en = 0 ); , R 2 = 1 .
, R 2 1 .
, , (

xi =( + yi ) + i , i = 1, , n )
. 5
7,5

ZVET

6,5

5,5
2,8

3,1

3,4

BEL


10 (4+ 6, ), 7 (4+3,
). , ,
.
x = 1.291 + 1.695 y ;

R 2 = 0.212374.

0.125265
1.695402 0.212374 R2.
, , ,
, :
, y , ,
x .
1.6.
,
( ), , . .

, ( xi , y i ) , i = 1, , n ,
, x y
y=x
( ),

y i = x i + i , i = 1, , n. .

n

Q( ) = ( y i x i )

i =1

. (
xi , y i , i = 1, , n ),
.
Q( ) :

(y

x i ( x i ) = 0 , ( )

i =1

:
n

i =1

i =1

yi xi = xi2 ,

y x
i

i =1
n

2
i

i =1

,
7

Cov ( x , y )
,
Var ( x )
( x , y ) , ,

y = x .
,

i =1

i =1

i =1

2
2
2
( yi y ) ( yi yi ) + ( yi y ) ,

yi = x i ,

n

( y y )

(y

R2 =

i =1
n

y)

i =1

. .

x y ,
i
1
2
3
4
xi
10
3
10
-3
yi
11
3
-9
-3

12

0
-12

12

-12
X


,
y i = x i + i , i = 1,2,3,4.
n

y x
i

i =1
n

=1 ,

2
i

i =1

yi x i , i = 1, , n . ,
RSS = (1110)2 + (3-3)2+ (-9+10)2+ (-3+3)2 = 2,
TSS = (11-0.5)2+ (3-0.5)2+ (-9-0.5)2+ (-3-0.5)2 = 219,
ESS = (10-0.5)2+ (3-0.5)2+ (-10-0.5)2+ (-3-0.5)2 = 219,
RSS + ESS TSS , R 2
R 2 = ESS TSS
R 2 = 1 .
( x i , yi ), i = 1,2,3,4, , . ,
e1 + e2 + e3 + e4 = 2 0 , .
, ,
,
9

RSS + ESS = TSS


R 2 = 1 ( RSS TSS ) ,
R 2 ,
ECONOMETRIC VIEWS (TSP).

2
R = 1 (2 219) = 0.990860 ,
. , ,

, , ,
,
RSS > TSS , R 2 .

x y ,
i
xi
yi

1
0
0.5

2
0.2
0.8

3
0.4
1.2

4
3
2

0
0

2
X


,
10

y i = x i + i , i = 1,2,3,4. = 0.721739 .
, RSS = 1537652
.
, TSS = 12675
.
, R 2 2
R = 1 ( RSS TSS ) R 2 = 0.213138.
, R 2
RSS
R2 = 1 n
,
2
yi
i =1

y ( y ). , R 2

i =1

i =1

yi2 = ( yi yi ) + yi2 ,
2

i =1

(
)
, .
n

2
i

i =1

11

1=

(y

yi )

i =1

+
2
i

i =1

i =1
n

2
i

i =1

,
n

R = 1
2

2
( yi yi )
i =1

2
i

i =1

i =1
n

0.

2
i

i =1

( . ,
n

i =1

i =1

y = ( yi yi + yi ) = ( yi yi ) + yi2 + 2 ( yi yi ) yi .
2
i

i =1

i =1

i =1

i =1

i =1

( yi yi ) yi = yi x i x i = yi x i x i =0 ,
i =1

(. ),
.)
R 2
y i R 2 = 1 (1537652
.
6.33) = 0.242 .
1.7. .
.
1

-

12


15 :
i
1
2
3
4
5
6
7
8
9
10
12
10
13
11.5 12
13
12
12
12
13
0.54 0.51 0.49 0.49 0.48 0.48 0.48 0.47 0.44 0.44
i

11
13.5
0.43

12
14
0.42

13
13.5
0.41

14
14.5
0.40

15
13
0.39

( , ). :

15

9
0,35

0,55

,
y i = + x i + i , i = 1, , n , y i i- ,
x i i- ,

: = 21100
. , = 18.559. ,

.
18.559 x . ,
y = 21100
TSS = 17.6, RSS = 8.562 , ESS = 9.038,

2
R = 0.514, . . 51.4% . 13

,
.
2
y ( )
x ( )
1948 1961 :

1948
1949
1950
1951
1952
1953
1954

.
67.8
67.7
69.2
71.9
72.4
63.5
60.0

0.5370
0.4726
0.4556
0.4655
0.4735
0.5047
0.5165

1955
1956
1957
1958
1959
1960
1961

.
66.6
67.4
61.5
60.2
67.6
65.2
62.2

0.4256
0.4111
0.4523
0.4996
0.4183
0.4433
0.4448


75

59
0,4

0,55

,
y i = + x i + i , i = 1, , n , y i
i- , x i
,
: = 77.552 , = 24.925.
,
y = 77.552 24.925 x . ,
14

TSS = 208.194 , RSS = 196.701 , ESS = 11.493 ,


R 2 = 0.055 .
5.5% .
3

1970 1979 .
.

1970
1971
1972
1973
1974
1975
1976
1977
1978
1979

.
695.2
751.9
810.3
914.0
998.1
1096.2
1194.3
1313.5
1474.3
1650.5

621.7
672.4
737.1
811.7
887.9
976.6
1084.0
1204.0
1346.7
1506.4


1700

600
600 1700

,
y i = + x i + i , i = 1, , n , y i
i- , x i
, 15

:
= 30.534, = 0.932. ,
y = 30.534 0.932 x . ,
TSS = 791138.545, RSS = 740.320 , ESS = 790398.225 ,

R 2 = 0.9995 . 99.95% .
, R 2 ,
.
, .
4
1957
1966 : E (
. -), C
( . ) H
( ).
:

1957
1958
1959
1960
1961
1962

16


34.9
35.9
37.9
41.1
43.5
46.7

-
716
724
797
844
881
946

.
( )

478
478
478
481
483
493


48.9
52.0
56.1
62.6

1963
1964
1965
1966

-
1011
1083
1157
1249

.
( )

520
528
528
534

:
1400
1200

1000
800
600
400

200
0

,
,
. , ,
E = 2625.5 + 7.131H , R 2 = 0.900;
C = 129.30 + 0.350 H , R 2 = 0.871;
E = 23.90 + 19.950C , R 2 = 0.993;
C = 0.860 + 0.0498 E ,
R 2 = 0.993.
(, , , , , 19.950 0.0498 = 0.993
R 2
.)
17

, ,
,
, . , ,
, 0.9
.
, , (, spurious) .
,

( )
.
, ,
R 2 = ryx2 .
,

y x .

Cov ( y , x )
ryx =
,
Var ( y ) Var ( x )

18

Cov ( y , x ) =

1
n 1

(y

y )( xi x ) .

i =1

Var ( x ) Var ( y ) ,
rxy 1 ,
Cov ( y, x ) > 0 . y i y xi x y x , ,

. ( , ,
. ,
, , , , , .)
, rxy 1 ,
Cov ( y, x ) < 0 .
y i y
xi x y x , ,
, . ( , ,
, ,
, , .)
,
,
.
19


, ( ). .
5


1970 1983 . , 1972
. ( 1972 . 100%.)

1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983

.
.
695.2
751.9
810.3
914.0
998.1
1096.2
1194.3
1313.5
1474.3
1650.5
1828.7
2040.9
2180.1
2333.2

.
3.1
3.3
3.4
3.6
4.0
4.4
4.7
5.0
5.5
6.2
6.3
6.2
6.6
6.6

.
.
751.6
779.2
810.3
864.7
857.5
874.5
906.4
942.9
988.8
1015.7
1021.6
1049.3
1058.3
1095.4

.
3.4
3.4
3.4
3.4
3.5
3.5
3.6
3.6
3.7
3.8
3.5
3.2
3.2
3.1

20

7
6
5
4
3
600

2400

:
y = 1.743 + 0.0023 x .
R 2 = 0.9398 .
.

4
3,5
3
700

1200

y = 3.758 0.0003 x .

R 2 = 0.0353 .
, 3
,
.
, ,
21

(
1972 . 100%).

1970
1971
1972
1973
1974
1975
1976
1977
1978
1979

.
695.2
751.9
810.3
914.0
998.1
1096.2
1194.3
1313.5
1474.3
1650.5

. .
621.7
672.4
737.1
811.7
887.9
976.6
1084.0
1204.0
1346.7
1506.4

.
950
850
750
650
700

900 1100

y = 67.655 + 0.979 x .
: R 2 = 0.9918 . ,


.

22

1.8. .


, ,

,
. , 4 .
(E)
(H). , 0.900.


, . :
E = 613.333 + 59.539 t , H = 459.067 + 7.461 t ,
t t- . ,
0.9812,
0.8705. , E H
t,

.
E
H, , .


e E ( t ) = E t ( 613.333 + 59.539 t ) ,
,
eH ( t ) = H t ( 459.067 + 7.461 t ) ,
. eE e H , eE ( t ) e H ( t ) , , t = 1, ,10 , ,
E H .
, E H, , , , rex ,ey eE e H .
eE e H
e E = 0.0000 + 1.420 eH ;

R 2 = 0.2454
0.900 . K
eE e H
reE ,eH = 0.2454 = 0.4954

rE ,H = 0.900 = 0.9487
E H.
rex ,ey eE e H
E H t .

, reE ,eH = 0.4954


n = 10 , , e H

eE = + eH
.
1.9.

(DPI)
() ,
1972 .
19701979

C = 67.66 + 0.98 DPI

(
). , 1 . (
1972 .) 980 . ( 20 . ). ,
; . = 0.98
(propensity to consumption).
:
C
1% ( )?
5

, , , DPI ,
DPI + DPI , DPI ,
( DPI DPI ) 100 = 1 ,
DPI = 0.01 DPI .

C = 0.98 DPI = 0.98 0.01DPI = 0.0098 DPI ,



,
0.0098 DPI
C

100 =
100
67.66 + 0.98 DPI
C
=

0.98 DPI
1
.
=
0.98 DPI (1 ( 67.66 / 0.98 DPI )) 1 ( 69.04 / DPI ))

, DPI 1%,
C ,
DPI . DPI < 69.04 , DPI > 69.04 ,
+ 1 .
,
DPI
C
1
100 =
=
1 ,
C
+ DPI 1 + ( / DPI )
0 1 DPI 0
+ .

, DPI 1970 1979 ( C C) 100 :


0.98751.6
.
67 .66 + 0 .98 751.6 = 110

0 .981015.7
67 .66 + 0.981015.7 = 1.07 .
.
BEL = 2.294 + 0.125 ZVET ,
BEL
, ZVET .
, ZVET %

( ZVET + 1 ) %, ( ) BEL % ( BEL + 0125
. ) %.
, , 1%,

ZVET
0.125 ZVET
=
+ ZVET 2.294 + 0.125 ZVET
. ZVET 5.7 7.3 ,
0.1255.7
2 .294 + 0 .1255.7 = 0.31

0.125 7 .3
2 .294 + 0 .1257 .3 = 0.40 .

(SPROS , CENA
)
. 18.6 CENA .
SPROS = 211
1% (
)
CENA = 0.01 CENA .
, , ( )
SPROS = 18.6 0.01 CENA ,
. . ( )
0 .1 8 6 C E N A ,
18.6 CENA
0.186 CENA

100 =
SPROS
211
. 18.6 CENA
.
$0.39 $0.54 0.524 0.908 , (
) . ,
:
, .
,

(
1%
, 1%).

1.10.
,
.
, DPI ,
C (
), , ,

C = f ( DPI )
,
DPI ,
C

DPI

.
, (marginal)
(MPC), DPI
f ( DPI + DPI ) f ( DPI )
MPC ( DPI ) = lim
.
DPI 0
DPI
,
dC
MPC ( DPI ) =
= f ( DPI ) .
dDPI
f ( DPI ) MPC( DPI ) DPI . 9

MPC ,
DPI C .
DPI C

C = f ( DPI ) = ( DPI ) ,
> 0, 0 < < 1 .

MPC ( DPI ) = DPI 1 ,



DPI .
,
- (
!) (, ).
, ,

log C = log + log DPI ,


, log C = C , log = , log DPI = DPI ,
C = + DPI .

C = + DPI + i , i = 1, , n ,
.
,

d log C
=
;
d log DPI
,

10

d ln C
,
d ln DPI
.
, - X Y
Y = f (X ) ,

dY
MPY ( X ) =
= f ( X )
dX
Y X.
,
f ( X + X ) f ( X )
100
f (X)
( X ) = lim
X 0
X
100
X
Y X , .

X dY X
( X ) =
= MPY ( X ) .
Y dX Y
,
d ln f ( X ) d ln f ( X ) d ln X X dY
=
,

=

dX Y dX
d ln X
dX

dY Y
d ln Y X
( X ) =
= MPY ( X ) =
.
d ln X Y
dX X

11

MPC( X 0 ) Y = f ( X ) X = X 0 ,

( X 0 )
ln Y ln X X = X 0 . ,
MPC( X ) , . . MPC( X ) ,

Y = + X ,
( X )

ln Y = + lnX ,

Y = exp( + lnX ) = Const X ,
( > 0 ) ( < 0 ) Y X .
, ( X ) ,
Y
X 1%.
, Y = + X
X
X
1
( X ) = =
=

+X
Y
+1
X
> 0 0 1 X 0 . = 0 , ( X ) . < 0 ( X ) + 1 , X + .
12


,
.
, Y , Z
, ,

Y = +

, > 0, > 0,
Z

X = 1 / Z
Y = + X .
Y Z :

dY Z
Z
(Z ) =
= 2
=

+ Z
dZ Y Z
+
Z
(
).
, ,
13

, MPC( DPI )
DPI , , . ,
( ) .
Y Z
Y = + lnZ , > 0, > 0 .
(. , = 5, = 10.)
30
20
10
Y

0
-10
-20
-30
0

,
dY Z
Z

0 ;
(Z ) =
=
dZ Y Z + ln Z Z
, Y Z .

ln Y =

, >0,

. .

Y = exp .
Z

14

1.6

1.2

0.8

0.4

0.0
0

10

12

14

( =0.1, =1.)

( Z ) =

Z
( ).


.


ln Yi = + lnX i + i ,
, ,

Yi = e X i e i ,

Yi = X i i ,
. . i Yi .
, ,

Yi = X i + i ,
15

. . .

.

,
n

Q( a , b ) = Yi a X ib
i =1

1.11.
, .
- ( 1961 1963 .,
1963 1969 .) ,
. ,
(. . ). , .
UNJOB (
) INF ( ):

16

INF vs. UNJOB

15

INF

10

0
2

10

UNJOB

,

R 2 = 0.0864 , INF UNJOB .
- 1958 1984 .
, 1961 1969
.

INF
UNJOB

1961 1962 1963 1964 1965 1966 1967 1968 1969


1.0
1.1
1.2
1.3
1.7
2.9
2.9
4.2
5.4
6.5
5.4
5.5
5.0
4.4
3.7
3.7
3.5
3.4

17

INF vs. UNJOB

INF

0
3

UNJOB



1961 1969 ( ).
,
,
, R 2 = 0.7184 .
( ,

.)
,
, (!) . ,
.
18

, , ,

INFi = + (1 UNJOBi ) + i , i = 1, , n ,

INF UNJOBINV = 1 / UNJOB .

INF = 3.90 + 27.47 (1 UNJOB )

2
R = 0.8307 . , INF UNJOBINV
INF vs. UNJOBINV

INF

0
0.15

0.20

0.25

0.30

UNJOBINV

.

INF UNJOB ( 19611969 ),
, INF UNJOB INF 3 .

19

MichaelisMenton
UNJOB
INF = 1
,
2 + UNJOB

UNJOB
INF = 1 1 2
,
2 + UNJOB

. Y = 1 / INF , X = 1 / UNJOB . ,
+ UNJOB 1 + ( 2 UNJOB )
1
Y=
= 2
=
INF 1 UNJOB
1
=

( 2

1)

= + X ,

1 UNJOB
= 1 1 , = 2 1 .

Y = 1 / INF ,
X = 1 / UNJOB

20

INFINV vs. UNJOBINV


1.2
1.0

INFINV

0.8
0.6
0.4
0.2
0.0
0.15

0.20

0.25

0.30

UNJOBINV


,
:
INFINV = 1.947 5.952 UNJOBINV ,
R 2 = 0.9914 . = 1947
. , = 5.952 ,
1 = 1 / = 0.515 , 2 = 1 = 3.057 ,
Michaelis-Menton
0.514 UNJOB
INF =
.
3.057 + UNJOB
Michaelis-Menton , . , ,
INF = 1 +

2 + UNJOB

. , Michaelis-Menton
3 = 1 2 ,
21

,
. ,
, , 1 , 2 , 3 ,

3
Q( 1 , 2 , 3 ) = INFi 1
.
2 + UNJOBi
i =1
(, i .)
1 , 2
1 , 2 ,

,
,
1 = 0.5, 2 = 3.0 , 3
1 .
:
1 = 0.581, 2 = 3117
. , 3 = 1.370 ;
2
, R = 0.9992 .
1.370
INF = 0.581 +
.
UNJOB 3117
.
INF (INFtrue) (INFmodel), .
n

22

6
5
4
3

INFtrue

INFmodel

1
0
3

UNJOB

,


. ,
.
, .
,
.
1.12.

( )
1923 1939 .
T , DPI , P . , 1925 .

DPI

DPI

23

1923
1924
1925
1926
1927
1928
1929
1930
1931

99.2
99.0
100.0
111.6
122.2
117.6
121.1
136.0
154.2

96.7
98.1
100.0
104.9
104.9
109.5
110.8
112.3
109.3

101.0
100.1
100.0
90.6
86.5
89.7
90.6
82.8
70.1

1932
1933
1934
1935
1936
1937
1938
1939

153.6
158.5
140.6
136.2
168.0
154.3
149.0
165.5

105.3
101.7
95.4
96.4
97.6
102.4
101.6
103.8

65.4
61.3
62.5
63.6
52.6
59.7
59.5
61.3


DPI, P.
, , .

( ):
lg T = 1442
.
+ 0.348 lg DPI , R 2 = 0.0096,
ESS = 0.000959, RSS = 0.099185, TSS = 0100144
.
, R 2 = 0.0096;
lg T = 3.564 0.770 lg P, R 2 = 0.8760,
ESS = 0.087729, RSS = 0.012415, TSS = 0100144
.
, R 2 = 0.8760.
, , . ,
, ,
.
24

DPI T,
lg T = + lg DPI + lg P

lg Ti = + lg DPI i + lg Pi + i , i = 1, , n.
, ,
, , ,
n

Q( , , ) = (lg Ti lgDPI i lg Pi ) .
2

i =1


= , = , = ,
Q(, , ) = min Q( , , ) .
, ,

RSS = lg Ti lgDPI i lg Pi
i =1

.
R 2 , :
RSS
R2 = 1
.
TSS

TSS = lg Ti lg T
i =1
n

,
2

RSS = lg Ti lg Ti ,

i =1

25


lg T =

1
n

lg T ,
i

i =1

lg Ti = + lg DPI i + lg Pi , i = 1, , n.
,
TSS = RSS + ESS ,

ESS = lg Ti lg T ,

i =1


ESS
R2 =
TSS
( , TSS = RSS + ESS

, ).

R2 = r 2 ,
lg T ,lg T

. . R 2 ()

lg T lg T .

ei = y i yi
.
,
:
lg T = 1374
.
. lg DPI 0.829 lg P ,
+ 1143
26

ESS = 0.097577 , RSS = 0.02567 , R 2 = 0.9744.


,

DPI P , 0.8760
0.9744 .
1143
.

P
, 0.829
. , . , ,
.

27

2.



2.1.
,
() ,
.
, ,
, .

y = + x
yi
xi , t= n+1,...,n +k, ?
()

,
?
,


1 , , n ,
y i = + x i + i , i = 1, , n .

, 1 , , n , 1 , , n , (i. i.
d. independent, identically distributed random variables).
(!) Z , ,

, , , z , z ,

F ( z ) = P{Z z}
, Z z ; 0 F ( z) 1 . F ( z) , z , Z (c. d. f.
cumulative distribution function).
1 , , n ,
, ,
,
) (, ) y x ,
, ;
)
: y i y
~
y i ,

~
y i = + x i , i = 1, , n ;
) () x i

i = yi ~yi , i = 1, , n ,
4


y i ;
) z , z , F ( z) , i
z ,
;
) , i i- z , ,

n 1 .
,
Z ,
p( z) , z ,
,
1)
v = p(z)
zOv (, , Oz ) 1 ,
2) z1 , z2 z1 < z2 ,
P{z1 < Z z 2 }
, Oz ,
v = p ( z ) ,
z = z1 , z = z2 (. .
v = p ( z ) ,
z = z1 z = z2 ).
3) z0 , z0 , F ( z0 ) ,
Z z0 , , Oz , v = p( z)
5

z = z0 , . . v = p( z) , z = z0 .
, :
P{z1 < Z z 2 } = F ( z 2 ) F ( z1 ) .

(, F ( z2 )
v = p( z) ,
z = z2 , ,
z = z1 , z = z1 z = z2 ,
F ( z 2 ) = F ( z1 ) + P{z1 < Z z 2 } ,
.) ,
P{Z > z} = 1 F ( z ) .
(,
F ( z ) + P{Z > z} = 1 ,

v = p( z) , , , z ,
, v = p( z) 1.)
p( z) Z
z
dF ( z )
p(z) =
, F ( z ) = p ( t ) dt
dz

Z (p.d.f. probability density function).


, p( z)

Z .
z : z1 z z1 + c z2 z z2 + c . Z :
0 z 2 . :


, Z ,
0 z 2 , z1 z z1 + c
z2 z z2 + c , .
, , .. .

,
Z , 0 z 2 ,
z1 z z1 + c z2 z z2 + c , . ,
, , ,
. , , ,
7

. , , ,
Z , 0 z 2 ,
z2 z z2 + c , , Z z1 z z1 + c .
,
. Z
0 z 2 ,
, 0 z 2 , (. . ).
Z
0 z 2 , ,
0 z 2 , , , : , ,
z = 2 , , ,
0 z 2 .
, .
n Z1 , Z 2 , , Z n ,
F ( z) . ,
,
a1 < b1 , a2 < b2 ,..., an < bn , ai bi
+ ,

P{a1 < Z1 b1 , a 2 < Z 2 b2 , , a n < Z n bn } =

P{a1 < Z1 b1 } P{a 2 < Z 2 b2 } P{a n < Z n bn } .


, ,
, a n < Z n bn , , a1 < Z1 b1 , ,
a n 1 < Z n 1 bn 1 , ,
a n < Z n bn , . . , :
P{a n < Z n bn a1 < Z1 b1 , , a n 1 < Z n1 bn1 }
= P{an < Z n bn } .

( ,
;
, .)
, Z n Z1 , Z 2 , , Z n 1 . ,
Z j
Z k k j .
Z1 , Z 2 , , Z n
F (
) ,
:
Z1 , , Z n - i.i. d ., Zi F .

yi = + xi + i , i = 1, , n ,
, 1 , , n
, (i. i. d),
,
9

1 , , n .
2.2. ()

, ,
yi = + xi + i , i = 1, , n ,
1 , , 1 ,
(i. i. d), , .

,
(Gaussian distribution),
1
x 2 ( 2 2 )
p( x ) =
e
, < x < + .
2

1.0
0.8
0.6
P
P_05
P_2

0.4
0.2
0.0
-4

-2

> 0
.

10

: = 1, = 0.5, = 2 .

= 0.5 ,
= 2 ,
= 1. , ,
2 2 = 0.7979 , 1 2 = 0.3989 , 1 2 2 = 01995
.
.


, ,
, ; ,
, . , 0.95 196
.
+196
. . ,
: 0.95

. ,196
. ) - = 1,
( 0.98,0.98) = 0.5 , ( 196
( 3.92,3.92) - = 2 .

, . ,
, .
, (, DGP- data generating
process) . x1 , , x n ,
y1 , , y n + xi i .
11

, + xi ( ). , yi ,
i . , yi i
+ xi , .

Yi .

FYi ( y ) = P{Yi y} = P{ + xi + i y}

= P{ i y ( + xi )} = F ( y xi ) ,
F i
( 1 , , n ). ,
Yi
dFYi ( y ) dF ( y xi )
pYi ( y ) =
=
= p( y xi ) ,
dy
dy
p i .
, Y1 , ,Yn ( 1 , , n ),
, .
p( x ) i (
= 1) pYi ( x )
. .
Yi = + xi + i + xi = 15

12

0.5
0.4
0.3
P
P_YI

0.2
0.1

0.0
-4

-2

, i

1
y 2 ( 2 2 )
p( y ) =
e
, < y < + ,
2

Yi = + xi + i
2
1
( y xi ) ( 2 2 )
pYi ( y ) =
e
, < y < + .
2

2
1
( y ) ( 2 2 )
p( y ) =
e
, < y < + ; > 0, < < +.
2

, . Y
, , , Y 2.
-

13

. y = .
, ,
. , :
2 2.
()
yi = + xi + i , i = 1, , n ,
, ,
1 , , n ,
, .
, ,
n

Cov ( y , x )
=
=
Var ( x )

(y

y )( xi x )

i =1

(x

x)

.
2

i =1

x x
wi = n i
,
2
( xi x )
i =1

14

= wi ( yi y ) = wi yi y wi
i =1

i =1

i =1

i =1

i =1

i =1

i =1

= wi yi w yi = ( wi w )yi = ci yi ,

ci = wi w .
,
n

= ci yi ,
i =1

c1 , , cn , y1 , , y n
Y1 , ,Yn .

n

= ci Yi ,
i =1

Y1 , , Yn ,
.
,
.
, i . 1 , , n -
, ,
.
15


,
.
2.3.

, ,
, . , ,
, .
, , .
X
p( x ) . p( x ) Ox .
()
, , ,
(expectation) X, E (X)

E( X ) =

x p( x)dx .

( p( x ) ),
E( X ) = 0 .

16

E ( X )
X. , X 1 , , X n
X (. . X 1 , , X n
, X ), n

x1 , , x n

X 1 , , X n
1
n

( x1 + + xn ) E ( X ) ,

, n . , n E ( X )
x1 , , x n .
()
1
x 2 ( 2 2 )
p( x ) =
e
2
X 1
= 1, X 2
= 2 . (
X 1 ):

17

0.5
0.4
0.3
P_1
P_2

0.2
0.1
0.0
-4

-2

,
E( X1) = E( X 2 ) = 0 ,
. . X 1
X 2 . ,
X 2 , ,
a>0
P{ X 1 > a} < P{ X 2 > a} .
, X 2 (heavy),
(long) (tails). ,
P{ X 1 a} = 1 P{ X 1 > a} > 1 P{ X 2 > a} = P{ X 2 a} .

: ,
. ,
, .
(variance) X

18

D( X ) = E ( X E ( X )) 2 ,

X E ( X ) .
1
p( x ) X ,

D( X ) =

( x E ( X ))

p( x )dx .

, E ( X )
x X , ,
p( x ) , D( X ) (
) x X .
X
2
1
( x ) ( 2 2 )
p( x ) =
e
,
2

E ( X ) = , D( X ) = 2 .
, ,
, ( )
.
,
1


X M(X), X Var(X) V(X).

19

, 2 , N ( , 2 ) . , = 0 , 2 = 1 ,
N (0,1) .
.
, ,
.
a - , , X - , X + a aX ; ,
E ( X + a ) = E ( X ) + a D( X + a ) = D ( X )
E(aX ) = aE ( X )
D(aX ) = a 2 D( X ).
, , . ,
,

p( x)dx = 1 .

. ,
D ( X + a ) = E ( ( X + a ) E ( X + a ))

= E ( X + a E ( X ) a ) 2 = E ( X E ( X )) 2 = D( X ) ,
D(aX ) = E ( aX E ( aX )) = E ( aX aE ( X ))
2

= E a 2 ( X E ( X ))

20

) = a E ( X E ( X ))
2

= a 2 D( X ) .

, , .
a

a 2 .

yi = + xi + i , i = 1, , n,
x1 , , x n 1 , , n , :

i N (0, 2 ) Yi = + xi + i N ( + xi , 2 ) .

,
E ( i ) = 0, D( i ) = 2 ; E (Yi ) = + xi , D( i ) = 2 .
, , Z1 , , Z n Z = Z1 + + Z n ,
E ( Z ) = E ( Z1 )+ + E ( Z n )

Z1 , , Z n , . .

((

Cov Z j , Z k = E Z j E ( Z j ) ( Z k E ( Z k )) = 0 ,

D( Z ) = D( Z1 ) + + D( Z n ).

,
,
n

= ci Yi ,
i =1

21


ci = wi w ,
x x
wi = n i
,
2
( xi x )
i =1

c1 , , cn ,
n

E ( ) = ci E (Yi )
i =1

D( ) = ci2 D(Yi ) .
i =1

2.4.

, ,
(1)
yi = 1 xi1 + + p xip + i , i = 1, , n, n p,

yi - i - ;
xi j - j - i - ;
j - j - ;
j - () i - .
(2) 1 , , n - , , 22

N (0,2) 2 > 0.
(3) , ,
,
,
xi1 1, i = 1, , n.
y1 , , y n Y1 , , Yn ,

E (Yi ) = 1 xi1 + + p xip ,
D(Yi ) = 2 ,


Yi N ( 1 xi1 + + p xip , 2 ), i = 1, , n.
1 , , n , Y1 , , Yn
, .

p .
y
x1, ... , xp .

, .

.

1 , , p

23

Q 1 , p = y i 1 x i 1 p x i p .
i =1



1 = 1 , , p = p ,

Q ,

)=

min Q 1 , p .

1 , , p

RSS = y i 1 x i1 p x ip
i =1

RSS ,

),
2

.
R2
RSS
R2 = 1
TSS

TSS = ( y i y ) .
2

i =1

yi = 1 x i 1 + +p x ip , i = 1, , n,
( - fitted-
),
(residual) i-
ei = y i yi ,
:

24

RSS = ( y i y) = ei2 .
2

i =1

i =1

ESS = ( yi y )

i =1

- (explained) ,
, ,
p = 2 ,
TSS = RSS + ESS ,

ESS
R2 =
.
TSS
,
.
, ,
R 2 = ry2, y ,
.. ry , y y
y. (multiple-R).
1 , , p ,

Q 1 , p = y i 1 x i 1 p x i p
i =1

( 1 , , p )

1 , , p .

25

2 (y

1 x i 1 p x i p ( x i 1 ) = 0,

2 (y

1 x i 1 p x i p ( x i 2 ) = 0,

1 x i 1 p x i p x i p = 0,

i =1
n

i =1

2 (y
n

i =1

)(

n
n 2 n

n

x
x
x
x
x

+
+

=
i1 1 i1 i 2 2
i1 i p p yi x i1 ,
i =1
i =1

i =1

i =1
n
n
n 2
n

x
x
x
x
x

+
+

=
i 2 i1 1 i 2 2
i 2 i p p yi xi 2 ,
i =1

i =1
i =1

i =1

n
n

n 2
xi p xi 1 1 + xi p xi 2 2 + + x i p p = yi xi p .
i =1

i =1

i =1

i =1
p p
, , .

. -
X T X = X T y

x11 x12 x1 p

x 21 x 22 x 2 p

X =

x n1 x n 2 x n p

26

- p n ;
x11 x12 x n1

x
x

n2
21
22
XT =

x
x

x
2p
np
1p
- ;
1
y1



y2

y=
=



yn
p
, - n - p . ,
(4) XTX , ..
:
det X T X 0 ,

(4) X .
X T X (
p p ) ( X T X ) 1 .
( X T X ) 1 ,
:
1
= X T X X T y .

27


1
1
y1
e1



2
2
y2
e2

, e= .
= , = , y =



yn
en
p
p

yi = 1 xi1 + + p xip + i , i = 1, , n,
-
y = X + .

y = X

e = y y = y X .
, 1 , , p

1 , , p

(
).
1
, = X T X X T y ,

1 , , p

y1 , , y n , ..
j = c j1 y1 + c j 2 y 2 + + c j n y n ,
c j k - , . y1 , , y n - 28

Y1 , , Yn , j
c j1Y1 + c j 2 Y2 + + c j n Yn ,
:
j

j = c j1Y1 + c j 2 Y2 + + c j n Yn , j = 1, , p.
,
Yi N ( 1 xi1 + + p xip , 2 ), i = 1, , n.
1 , , p
.
,
j

( )

E j = j , j = 1, , p,
( j

j ),

j - 2 ( X T X ) 1 :
D = 2 ( X T X ) 1 .

( ) [
j

jj


yi = + xi + i , i = 1, , n,
p = 2 :

29

y1

y2
y= ,


yn

x1
1

x2

2
.
, = , =


xn
n

1
X =

( X T X ) 1

xi
i =1
.

n 2
xi
1
1
T
i =1n
X X
=
2
n
n


n xi2 xi xi
i =1
i =1
i =1
,

n
n x xi = n
i =1
i =1
:
n

(x

2
i

x) ,
2

i =1

D( ) = 2 ( X T X ) 1

11

2 xi2
i =1

(x

x)

i =1

() [

D = 2 ( X T X ) 1

22

2
n

(x
i =1

30

x)

.
2

,
2

2.5. :



yi = 1 xi1 + + p xip + i , i = 1, , n,

i. i. d. N 0, 2 , , -

j j
j
,
E j = j , D j = 2 ( X T X ) 1 , j = 1, , n .
jj

( )

( ) [


j j
,

D j

( )

j

j (. .
).
j


,
, . , :

j j
E
=
D j

( )

1
D

( )

( E (

( )

)=0,

j j
1
D j
D
=

D j D j

( )

( )

)=1 ,

N (0,1) , j = 1, , p .

, j
,

, . .
.

, ,
z
( x ) ( x ) :
1 z2 2
1 t 2 2
( z) =
e
, ( z) =
e
dt .
2
2
p, 0 < p < 1 ,
z p , ( z p ) = p , Z ,

P Z zp = p .

p
.
4

1-p

zp

z p 0.95 ;
z 0.95 = 1.645 . , z = 1.645 , 0.95 , 1 0.95 = 0.05 .
, Z , , , 1645
.
.
- 0.5
1 , 0.5 < < 1 ,

( z

1 2

, z1 ,
2

z1

z1

, . 1 (1 2 ) = 2 ; ,
. , , , , Z , z1 , 2 ,
2

= z .
2

, ,
(), . .
1 ( 2 + 2 ) = 1 .
, Z , ,
2:
2

,
< , > ( ),

.

P z1 Z z1 = 1 .
2

,
j j
.
D j

( )

j j

P z1
z1 = 1 ,
2
2

D j

, 1 ,
j j
z1
z1 ,
2
2
D j

( )

( )

. .
z
j

1 2

( )

D j

( )

j + z1 D j .
2

, , 1,

z
D j , j + z1 D j
1 2

j
2
j.
j
( ) 1,
(1)-
,

100(1) j.

( )

( )

= 0.05.
() 2 = 0.025, 0.05 , -

z1 , z1
2

10.05 = 0.95. ,
z 0.95 = 1960
.
,

196
D j , j + 1.96 D j
.

j
95%- j.

2 1.96 D

( )

( )

( )
j

( )

D j

( ) j.
, ,
- . ,
D = 2 ( X T X ) 1 , i = 1, , n ,

( ) [
j

jj

2.

2.6.
:

, j


yi = 1 xi1 + + p xip + i , i = 1, , n,

i. i. d. N 0, 2 -


D = 2 ( X T X ) 1

( ) [
j

jj

, i = 1, , n ,

2.
2 - (estimate), .
(statistics).
2
RSS
S2 =
.
n p
n

RSS = ( yi yi )

i =1

1 , , n ,
, ,
S2. 2 :
E S2 = 2 ,

( )

. . S 2 2 .
. p = 1

yi = 1 + i , i = 1, , n,
( N (1,2)). 2
RSS
.
S2 =
n 1
1 n

2
1 = y , RSS = ( yi y ) = TSS ,

i =1

S2 =

(y

y)

= Var ( y ) .
n 1
, Var ( y )
y , TSS n 1 ( n ), 2 ,
2 .
.

(n p)S 2 = RSS
2
2

, - (n-p) .
n p ,
10

. n p = 15

0.08

P_CHI15

0.06

0.04

0.02

0.00
0

10

20

30

40

-
2().
, 2 j

( ) [

D j = 2 ( X T X ) 1

jj


s2 = S 2 ( X T X ) j 1j .
j

,
j j

( )

D j


j j
.
s
j


, 11

, .
,
, t (n-p) .

t (). tp (K).
. , =10 ( ).
0.5

0.5

0.4

0.4
P_STNORM

P_T10

0.3
0.2
0.1

0.3
0.2
0.1

0.0

0.0

-4

-2

-4

-2

, .
, .
:
z 0.95 = 1645
.
, t 0.95 (10) = 1812
.
;
z 0.975 = 1960
.
, t 0.975 (10) = 2.228;

z 0.99 = 2.326, t 0.99 (10) = 2.764;


z 0.995 = 2.576, t 0.995 (10) = 3169
. .
12

.
, , , , 1.645
0.05. ,
0.05 ,
10 , , ,
1.812.
, K > 30
t ( K )
c N (0,1) .
,
j j
t ( n p) .
s
j

j j
P t1 (n p)
t1 (n p) = 1 ,
2
2
s

j
, 1 ,
j j
t1 ( n p)
t1 (n p) ,
2
2
s
j

. .
t
j

1 2

(n p) s

j + t1 (n p) s .
2

, , 1,

13

t1 ( n p) s
2

, j + t1 (n p) s
2

j, . .
95%- j ,
2 1 , , n . ,
, , 2 .
.

.
1 ,
, t1 (n p) 1 2 , . . 2

t1 (n p) . 2

t1 (n p) . ,
2

( ).
, n p > 30 ,
t1 z1 ,
2

z p p
. ,
1
0.9 , 0.95 0.99 ,

t1 (n p) ,
2

z 0.95 = 16
. 4, z 0.975 = 196
. , z0.995 = 2.58 . ,
0.9 0.95
14

1.2 ,
0.99 1.3 .
- .
.
.
BELi = 1 + 2 ZVETi + i , i = 1, , n .
:

S 2 = RSS (n 2) = 0161231
.
(17 2) = 0.010749 .
= 0125265
.
;
2

( )

D 2

= (0.062286) .
2

95% 2 1 0.05
2 = 0.975
n p = 17 2 = 15 . , , .2 (.368), : t 0.975 (15) = 2.131 . , 95% 2
t (15) s + t (15) s ,
2

0.975

. .
-0.0075

0.975

0.2580 .
= 2.293843 ,
2

s = 0.410396 ;
1

95% -

1
1 t 0.975 (15) s 1 1 + t 0.975 (15) s ,
1

15

. .
.
1.4193 1 31684
.
, .
() 2 ,
.
() 0.95 ; , 0.95 1 , 2 .

, 0.90 .

t 0.975 (15) = 2.131 t 0.95 (15) = 1753


.
,
2 0.0164 .
, 2
90 100, 95 100 .
,
1 , 2 ,
P{ 1 2 , } =
1 P{
1 [ P{ 1
P{

P{
16

} ]=

}+

}=

1 [ + P{ j } ]
1 = 1 2 .
,
1 2
, = 2 ,
1 2 = 1- .
, ,
1 , 2 0.95 , = 0.025 .

t1 (15) = t 0.975 (15) = 2.131
2

t a (15) = t1 0.025 (15) = t 0.9875 (15) = 2.49 ,


1


2.9 2.131 117
. . , , 1 , 2 .
2.7.


95% 2
t (15) s + t (15) s ,
2

0.975

. .
-0.0075

0.975

0.2580 .
17

, 2 0.95 .
2 = 1 ;
. 2 1, 1 0.95 = 0.05 . , 2 = 1 ( , 2 = 1 )
,
0.05 , , 2 = 1 .
02 , 95% : , 2 = 02 , .
(statistical hypothesis).

(maintained, null)
H 0 ,
H 0 : 2 = 02
, (), 02 95% - 2 , . .
[-0.0075, 0.2580] .

18

, , ,
02 ,

2 02
> t 0.975 (15) ,
s
2

. .
0
2

.
2 02 2 , s

( )

D 2

.
,
2 02
> t 0.975 (15) ,
s
2

H 0 : 2 = 20 .
02 , H 0 : 2 = 20 .
2 = 02 ,
1 0.95 = 0.05 , .
, , H 0 ,
1- . 5
.
19

1 , H 0 : 2 = 20

2 02
> t1 (15) ,
2
s
2

1- 100
100 . , 1-
:
P{ H 0 H 0 } = .
H 0 0,

.


H 0 . , = 0.05 = 0.01
= 0.01 ,
H 0 , ,
.
= 0.05 , H 0 .
( ),
. . , ( , )
20


( ).

H 0 : 2 = 20 t-
2 02
,
s
2

, 02 () , 2 s2
2

.
R ,
H 0
. t -,
t1 (15) .
2

,
0;
;
;
R.
, b) d) , R .
, ,
, R
, H0 ( ).
a.
b.
c.
d.

21


H0 : j = 0

yi = 1 xi1 + + p xip + i , i = 1, , n,

i i. i. d. N 0, 2 . , j -
y , .

a. H 0 : j = 0 ;
b. 0.05 ;
c.
j 0j j
=
;
s
s
j

H 0 :

= 0 ,

t - n p ,
j
t ( n p) ,
s
j

t- (tstatistic)
t- (t-ratio);
d)
22

j
s

> t1 (n p) .
2

, (. . ) :
j j
(Coefficient);
s t- j

(Std. Error);
j s

t- (t-

statistic).
,
, , n p ,
, , s
- (-value
j

Probability).
- .
P-
, , t j s H 0 ,
j

. . j s > t1 (n p) . H 0 j

.
P-
, , t-

23

j s
j

H 0 :

= 0 , . . j s < t1 (n p) .
j

H 0 .
( ) P-
, H 0 : j = 0
.
, H 0 :
1),

= 0 (

(statistically significant); ,
j-
.
, , H 0 : j = 0 -

( 2), ,

(statistically unsignificant).
,
j = 0 . , j-

, ,
.
, ( ) :
, 24


.
.
R 2 = 0.212375 :

1
ZVET

-
2.294
0.125

.
0.410
0.062

t-.
5.589
2.011

P-.
0.0001
0.0626

1
CENA

-
21.100
18.559

.
2.304
5.010

t-.
9.158
-3.705

P-.
0.0000
0.0026

, = 0.05
ZVET ( P - ).
. , P -
, = 010
, ZVET
.
. ( )
R 2 = 0.513548 :

CENA
= 0.01 ,
.
.
( )
R 2 = 0.054483

-
77.484
-24.775

.
13.921
29.794

t-.
5.566
-0.832

P-.
0.0001
0.4219

25

. ).
( = 0.01, = 0.05, = 010
.
, ,

. .
.
( H , ) ( E , .
-). : R 2 = 0.900 .
:

1
H

-
-2625.497
7.131

.
420.840
0.841

t-.
-6.234
8.483

P-.
0.0000
0.0000

, H
E ,
()
E H ,
() .
2.8.
F-


1949 1960 (. , 1959 .):

26

Y ;
X2 ;
X3 ;
obs
1949
1950
1951
1952
1953
1954

Y
15.9
16.4
19.0
19.1
18.8
20.4

X2
149.3
161.2
171.5
175.5
180.8
190.7

X3
4.2
4.1
3.1
3.1
1.1
2.2

X4
108.1
114.8
123.2
126.9
132.1
137.7

obs
1955
1956
1957
1958
1959
1960

Y
22.7
26.5
28.1
27.6
26.3
31.1

X2
202.1
212.4
226.1
231.9
239
258

X3
2.1
5.6
5.0
5.1
0.7
5.6

X4
146.0
154.1
162.3
164.3
167.6
176.8


y i = 1 x i 1 + 2 x i 2 + 3 x i 3 + i , i = 1, ,12 ,
xi j X j i- (i-

(1948 + i ) , xi 1 1 (
X 1 , ). ,
, 1 , ,

12

i. i. d. N 0, 2

2 . : R 2 = 0.9560

X1
X2
X3

-
8.570
0.029
0.177

.
2.869
0.110
0.166

t-.
-2.988
0.267
1.067

P-.
0.0153
0.7953
0.3136

P - .
,
H 0 : 2 = 0 , H 0 : 3 = 0 ( 0.10 )
. ,
( 2 3 )
. .
27

-, :

H0 : 2 = 3 = 0 ,
- ,
.
,
H 0 : 2 = 3 = = p = 0
( )

yi = 1 xi 1 + + p xi p + i , i = 1, , n ,
c xi 1 1 ?

F-
RSS H0 RSS ( p 1)
.
F=
RSS ( n p)

RSS ,
( p , ), RSS H0 ,
H 0 .
()
yi = 1 + i , i = 1, , n ,

1 = y ,

n

RSS H0 = ( yi yi ) = ( yi yi ) = TSS .
i =1

28

i =1

,
(TSS RSS ) ( p 1) = ESS ( p 1) .
F=
RSS ( n p)
RSS (n p)
(,
EXCEL) ( Mean Squares).
1 , , n i. i. d. N 0, 2 , F -

, ,
H0 (. . 2 = = p= 0)
F ( p 1, n p) , F (p-1) (n-p) .
ESS RSS , ,
X 2 , , X p Y .
,
H 0 : 2 = 3 = = p = 0
F, .
(1 ) F ( p 1, n p) ,

F1 ( p 1, n p) .

, 0 ,
ESS ( p 1)
> F1 ( p 1, n p).
F=
RSS (n p)
29

,
H 0 .
,
,
F F - P- (P-value), . .
P { F ( p 1, n p) > F } .
,
() F - F = 97.75 ,
F0.95 ( 2 , 9) = 4.26 .
, P -
0.000000 . ,
H 0 : 2 = 3 = 0 ,
H 02 : 2 = 0 H 03 : 3 = 0 ,
, , .
.
.
,
F - .
.
:
R 2 = 0.212 , F = 4.0446 , P - = 0.0626 ,
= 0.05 H 0 ,
= 0.10 .
30

.

R 2 = 0.513 , F = 13.7241 , P - = 0.0026 , H 0 ,
.
.
:
R 2 = 0.900 , F = 71.96 , P - = 0.0000 ,
.
.
:
R 2 = 0.054 , F = 0.6915 , P - = 0.4219 , H 0 = 0.10 .
, , . () (p=2)
P - F - P - t , 2 = 0 .

, , ,
( 3.11).
, ,
F - (F), .
.


p : yi = 1 xi 1 + + p q xi , p q + + p xi p + i , i = 1, , n ,

31

c p , H 0
, p q
, . .
H0 :

p 1

= =

p q +1

=0.

H 0 (. . , )

p q : yi = 1 xi 1 + + p q xi , p q + i , i = 1, , n ,
p q .
RSS -
p , RSS H0 p q . H 0
( ,
1 , , n i. i. d. N 0, 2 ), F-

F=

( RSS

RSS q

,
RSS (n p)
, H0 (. . p = p-1 = = p-q+1=
0) F- F (q, n-p) q (n-p)
.
q = 1, RSS H 0 RSS = ESS ,
0

ESS = TSS RSS ,


p ,

32

ESS H 0 = TSS RSS H 0 ,


p q .

ESS ESS H 0 = RSS H 0 RSS ,


F -
ESS ESS H 0 q
F=
,
RSS (n p)

, F- , ,

.
, , .

H 0 : p = p 1 = = p q +1 = 0 ,
F-
RSS H 0 RSS q
ESS ESS H 0 q
F=
=
RSS (n p)
RSS (n p)

H 0 , F
F > F1 ( p 1, n p) ,
( 1- ).
.
:
DPI ;
33

C ;
A
( . , 1982 .).
obs
1966
1967
1968
1969
1970

C82
1300.5
1339.4
1405.9
1458.3
1491.8

DPI82
1433.0
1494.9
1551.1
1601.7
1668.1

A82
1641.6
1675.2
1772.6
1854.7
1862.2

1971
1972
1973
1974
1975
1976

1540.3
1622.3
1687.9
1672.4
1710.8
1804.0

1730.1
1797.9
1914.9
1894.9
1930.4
2001.0

1902.8
2011.4
2190.6
2301.8
2279.6
2308.4


1 : Ct = 1 + 2 DPI t + 3 At + 4 DPI t 1 + t , t = 1, ,11 ,
t (1965 + t ) .
4 :
X 1 1, X 2 = DPI , X 3 = A, X 4 = DPI ( 1);
DPI (1) ,
, DPI 0 = 1367,4 . :
2 = 0.904 ,
P - value = 0.0028 ;
= 0.029 ,
P - value = 0.8387 ;
3

4 = 0.024 ,

P - value = 0.9337 ;
RSS = 2095.3, TSS = 268835, R 2 = 1 ( RSS TSS ) = 0.9922 ;
F

F = 297.04, P - value = 0.0000.
. , , , 34

, .
t , - , ,
3 ;

, .
, ,
2 : Ct = 1 + 2 DPI t + 3 At + t , t = 1, ,11 ,
DPI ( 1) . :
= 0.893 ,
P - value = 0.0001 ;
2

3 = 0.039 ,
P - value = 0.6486 ;
RSS = 2098.31, R 2 = 0.9922 ;
F-

F = 508.47, P - value = 0.0000.
A , ,
3 : Ct = 1 + 2 DPI t + t , t = 1, ,11 .

2 = 0.843 ,
P - value = 0.0000 ;
RSS = 2143.57, R 2 = 0.9920 ;
F -

F = 1119.7, P - value = 0.0000,
.
35

, 1 ( t-) ,

, F.
1

H0 : 3 = 4 = 0 ,
1 3 .
H 0
F=

( RSS

RSS q

,
RSS (n p)
RSS 1 ,
RSS H0 3 , q = 2
0

, n p = 11 4 = 7 .

(2143.57 2095.3) 2
F=
= 0.08 ,
2095.3 7

F0.95 (2,7) = 4.74. F < F0.95 (2,7) , H 0 : 3 = 4 = 0 1
3 .
.
:

36

t -, ( ) H 0 : 4 = 0 1 ,
H 0 : 3 = 0 2 .
F-,
H 0 : 3 = 4 = 0 1 .
. , 3
, ,

F -, .
2.9.

.
,
R 2 , ,
.
, R 2 R 2 ,
.
.
F -

ESS ( p 1) ESS TSS n p
R2 n p
=

F=
.
RSS ( n p) RSS TSS p 1 1 R 2 p 1

:
37

( p 1) F (1 R 2 ) = (n p) R 2 , ( p 1) F = ( ( p 1) F + (n p)) R 2 ,
( p 1) F
1
R2 =
=
.
( p 1) F + (n p) 1 + (n p)
( p 1) F
F
R 2 ,

H 0 : 2 = 3 = = p = 0 ,
F > Fcrit = F1 ( p 1, n p) , -

2
R 2 > Rcrit
,
1
2
Rcrit
=
.
n p)
(
1+
( p 1) Fcrit

,
H 0 - .
2

Rcrit
= 0.05 .
( p = 2) ,

1
2
, Fcrit = F0.95 (1, n 2) .
=
Rcrit
n 2)
(
1+
Fcrit
n ,
2
Rcrit
:
n
3
4
10
20
30
40
60
120
R2crit 0.910 0.720 0.383 0.200 0.130 0.097 0.065 0.032

38

500
0.008

,
R 2
, , . . .
R 2 p = 2
() ,
,
:
n
|rxy|crit

3
4
10
20
30
40
60
120
0.953 0.848 0.618 0.447 0.360 0.311 0.254 0.179

500
0.089

R2,
(, ) R2
, , , , .
, p
n

(y

1 xi 1 p xi p

i =1

1 , , p .
, ,
p - ,
n

(y
i =1

1 xi 1

p 1 i , p 1

39

1 , , p 1 ,
1 , , p 1

= 0 .

,
1 , , p ,
p . , RSS , .
, R 2 .
R 2 , R 2 (adjusted)
RSS (n p)
2
,
Radj
= 1
TSS (n 1)
-
. ,
RSS n 1
RSS RSS RSS n 1
2
= 1

Radj
+

= 1

TSS n p
TSS TSS TSS n p
= R2

( p 1) RSS
RSS n 1
,
1 = R 2

TSS n p
(n p) TSS


2
Radj
< R2
n > p p > 1.

40

2
Radj

, , .
.
, , ,
2
2
Radj
, Radj
S 2 = RSS / ( n p) S = RSS ( n p) .
S 2 ( S ).
. ,
2
Radj
1 , 2 , 3 :
2
= 0.9889,
1 Radj
2
= 0.9902,
2 Radj
2
= 0.9911.
3 Radj
2
,
, Radj

3 ,
, t - F -.

2
Radj
S 2
( S ), 2 , 3 11 , ,
1 10 (
-
DPI 0 , 1965 ).
41

,
: ,
, .
(Akaikes information criterion AIC).
, p , n ,
RSS p 2 p
+ 1 + ln 2
AIC = ln
+
n
n
RSS p - ,

. , .
( )
AIC ,
.
(Schwarzs information criterion SC,
SIC). ,
p , n ,
RSS p p ln n
+ 1 + ln 2 .
SC = ln
+
n
n
, 42

.
( )
SC .
. M 1 M 2 M 3
AIC SC .
M1
M2
M3

AIC
8.8147
8.6343
8.4738

SC
8.9594
8.7428
8.5462


M 3 .
.
2
Radj , AIC SC . .

,
.
.
(4) XTX , . .
:
det X T X 0 ,

(4) X .
,
(4) , . . X , ,
x ip = 1 x i1 + 2 x i 2 + + p 1 x i , p 1, i = 1, , n
43

( p -
X ). , ()
.
, ,
, (4) ,
XTX .
, p - ,

1
(VIF ) p =
1 R p2
. R p2 -

x ip = 1 x i 1 + 2 x i 2 + + p 1 x i , p 1 + i , i = 1, , n.
R p2 = 0 , (VIF ) p = 1 , p - .
R p2 0 , (VIF ) p > 1 ,
p - ,
p -
.
44

(VIF ) j j - j = 1, , p :
1
.
(VIF ) j =
1 R j2
R j2

j -
. ,
:

, ,


t - .
.
, :
1
= 109.89 .
(VIF ) 2 = (VIF ) 3 =
1 0.9909

X 2 X 3
X 2 X 1
X 3 X 3 X 1 X 2 ( ).

45

X 2 X 3 . ( Corr ( X 2 , X 3 ) = 0.995 .)
.
.
,

, , .
. , , X 2 X 3 .
:
Y = 6.507 + 0.146 X 2
c R 2 = 0.9504 P value = 0.0000
X2;
Y = 9.030 + 0.222 X 3
c R 2 = 0.9556 P value = 0.0000
X3.
X 2
X 3 . X 2 95.04%
Y ;
X 3 95.56%
Y . , X 2 X 3 ,

46

Y (
95.60% Y ),
X 2 X 3 .
X 2
X 2 Y ,
X 3 , X 3 X 3 Y , X 2 . X 2 X 3
- X 2 X 3 Y .
2
, S , AIC SC Radj
.
2
Radj

AIC

SC

X 3

0.9702
0.9704

1.1324
1.1286

3.274
3.211

3.411
3.303

X 2

0.9719

1.0991

3.158

3.250

X 2 .
,
, .
.

47

2.10.
:
. ( )
.
0.8289 lg P + 11432
.
lg DPI
lgT = 13739
( T , P
, DPI - ).

H 0 : 2 = 1 H 0 : 3 = 1 , .
,
H 0 : j = 0 ,

H 0 :

2 ( 1) 2 + 1
=
,
s
s
2

= 1 t - -

H 0 :
3 1
.
s

= 1 t -

, ,
t ( n p ) = t (14 ) . ,
t -
t 1 (14 ) = t 0 .975 (14 ) = 2 .145 .
2

48

2 + 1

0.8289 + 1
= 4.740 > 2.145 ,
0.0361

3 1 11432
1
.
=
= 0.918 < 2.145 .
01560
s
.
3

, 2 2 = 1
H 0 : 2 = 1 . ,
= 1 3

, H 0 : 3 = 1 .
. j , ,

( )

D j

s . , j


0.8289 + 1 = 01711
.
11432
.
1 = 01432
.
,
, . . .
s 4.3 , s , 2

s s , ,
2

H 0 : 2 = 1 H 0 : 3 = 1 .
,
H 0 : 2 = 1 . ?
, H 0 : 2 = 1
H 0 : 2 1 , 49

, ( ) t - 2 + 1 s . ,

2 + 1 s = 4.740 ,
2

.
, ,
2 ( 1) = 01711
2 > 1 .
, , , H 0 : 2 = 1 H A : 2 > 1 (
H 0 : 2 1 ).

H 0 : 2 = 1 H A : 2 > 1
( 1) , .
2

. t -.
,
t 1 (14 ) = t 0 .95 (14 ) = 1.761 , , ( )
0.05 .
2 + 1
> 1761
;
.
s
2

1.761 , 2 .145 ,
.
2 + 1 s = 4.740 , H 0 : 2 = 1

H A :
50

> 1 .

3 .
, 0.05
H 0 : 3 = 1
H A : 3 > 1 .

t -,

t 0 .95 (14 ) = 1.761 .


3 1
= 0.918 < 1761
.
s
3

, H 0 : 3 = 1
H A : 3 > 1 .
,
H 0 : 3 = 1 , H A : 3 > 1
H 0
3 = 1 , -
H 0 : 0 3 1 , H A : 3 > 1 .
: H 0 , . . , , 3 .
,
H 0 .

?
, , H 0 : 3 = 0.5 .
H A : 3 > 1
51

3 0.5
s

> t 0.95 (14) = 1761


.
.

, H 0 :
H A : 3 > 1
3 1
> t 0.95 (14) = 1761
.
.
s

= 1

, , H 0 : 0 3 1 ,
,
( 1- ) 0.05 . 0
3 = 3 ,
H 0 : 0 3 1
3 .
, . 0 3 1 , = 0.05
,
0 3 1
,

= 0.05 . , , 3 = 1 .

52

,
3 1
> 1761
,
.
s
3

3 = 1 ,

1
P 3
> 1761
. = 0.05 .
s

,
3 = 0.5 ,

1
> 1761
3 = 0.5
P 3
.

s3

05
.
05
.
> 1761
3 = 05
= P 3
. +
.
s

s3
3

0.5
.
3 = 0.5 = 0.05.
< P 3
> 1761

s3
,

= 30

(0

0
3

,
0.05 .
, = 0.05 - , 1- . 1- ,
, .

53

H 0 : j < 1 ( j 0) ,
H0 : 1
H0 : 0
H0 :

0 (

1 (

> 1 (

0) ,

0) ,

0)


,
,
j = 1 , j = 1 , j = 1 , j = 1 , .
. , 1 .
2.11. ,

, ,

H 0 : 2 < 1

H A: 1 2 0 .
0.05 ,
H 0 : 2 = 1
H A : 2 > 1. H 0

54

2 + 1
s

> 1761
,
.

. , .

H0 : 0 3 1

H A: 3 > 1 .
0.05 ,
H 0 : 3 = 1
H A : 3 > 1. H 0
3 1
> 1761
,
.
s
3

. , .
, , ,
,
.

H 0 : 1 2 0 H A : 2 < 1 .


H 0 : 2 = 1 H A : 2 < 1 ,
55

H 0
2 + 1
< t (14) = t 0.05 (14) = 1761
.
s
2

( t (14) ).
2 + 1
>0,
s
2

H 0 : 2 = 1 ,
H 0 : 1 2 0 H A : 2 < 1 .
, ,
.
, ,
H 0 : 3 > 1 , H A : 0 3 1 .
,
H 0 : 3 = 1 , H A : 3 < 1 ,
, ,
H 0 : 3 > 1
3 1
t (14) = t 0.05 (14) = 1761
.
.
s
3


3 1
= 0.918 > 1761
,
.
s
3

H 0 : 3 > 1 .
,
. ,
56

.
:

,
,
().

:
,
.

. ,


, , ,
,

.
.
H0 : j 0 H A : j > 0 .
t
j 0
t=
.
s
j

57

H 0 H A ,
j 0
> t1 (n p) .
s
j

t1 (n p) > 0 < 0 . 5 , ,

j 0 , H 0 -

H A .
,
j ,
0 j , t - H 0 H A .
, , j ,

H0 : j

H A: j <

j , -

t -, ,
H 0 H A .
t -
j 0
> t1 (n p)
s
j

H 0 : j = 0 0 = j ,
j j , ,
( t ).
58


, , H 0 H A
.

, j
0 .
. C - , Y -
(19701979 . ., . 1972 .).

C = 67.655 + 0.979 Y .
, 2 = 0.979 , ( )
H 0 : 2 < 1 H A : 2 1 , H 0 . t
2 1
,
s
2

. ,
. , , 2
, 2 < 1.
H 0 : 2 = 0.9 H A : 2 > 0.9 ,
1970 1981 ., n = 12 .
59

2 = 0.952, s = 0.0261 ,
2

t-

0.9 0.052
. .
t= 2
=
= 199
0.0261
s
2

H 0 t - = 0.05 ,
H 0 ,
t > t crit = t 0.975 (10) = 2.228 .
t - = 0.05 , H 0 ,
t > t crit = t 0.95 (10) = 1812
.
.
H 0 0.05 .
, 2 = 0.95 . t (10 )
2 0.95
.
s
2

, H 0 ?

0.9
P{ t > 2.228 2 = 0.95 } = P 2
> 2.228
s

= P 2 0.9 > 2.228 s

60

= 0.95

= 0.95

= P 2 0.9 < 2.228 s


2

2 0.9 > 2.228 s

2 = 0.95

= P 2 0.95 + 0.05 < 2.228 s

2 0.95 + 0.05 > 2.228 s

= 0.95

0.95
0.05
= P 2
< 2.228
s
s2
2
0.95
0.05
2
> 2.228

s
s

.
=
0
95

2
2
= P{t(10) < 4.14 t (10) > 0.312}

= P{ t (10) < 4.14 } + P{ t(10) > 0.312}


= 0.001006 + (1 0.619276) = 0.3817 .

0.9
P{ t > 1812
.
2 = 0.95 } = P 2
> 1812
.
2 = 0.95
s

0.95
0.05
.
.
2 = 0.95 = P{ t (10) > 0104
= P 2
> 1812

}
s
s

2
2
= 1 P{ t (10) 0104
.
} = 1 0.4596 = 0.5404 .

, H 0 : 2 = 0.9 ,
2 = 0.95 ,
61

0.3817 ,
0.5404 ;


2 = 0.95 .

0.5404 0.3817
, 0.05 . , 0
2 = 2 20
2 , H A: 2 > 0.9 (. . 20 > 0 ).
H A: 2 > 0.9 .
2.12.


y i = + x i + i , i = 1, , n ,
,
y ()

x x , .
,

()
62

y = + x ,

,
y = + x ,

, . .
, ,

y i = + x i + i , i = 1, , n , ,
, , , x y = y
y = + x + . ,
-
n + 1 ,

y n + 1 = y , x n +1 = x .
, , i , i = 1, , n ,
, .
, ,
y = + x + .
y
y = + x , ,

63

) (

y y = + x + x + = ( ) + x .

, (
) ,
Y Y :
, ,
, ;
,
(n + 1) - .
Y Y ,
E Y Y = E ( ) + x E E = 0 .

) ( )

E () = , E = , E = 0 . )

()

( )

D Y Y = D + x x = D + x .

) (

, + x ( ). , i , i = 1, , n ,
Y = + x
( i , i = 1, , n )
64

(
i , i = 1, , n ). Y = + x ,

) (

) ( )

D + x = D + x + D

( ). ,

x
2

,
Y = D Y = D + x =
+ n
2
n
( xi x )

i =1

, , x = xi n . (
i =1
.) ,

x
.
2Y Y = D Y Y = 2 1 + + n
2
n
( xi x )

i =1

i , i = 1, ,n, ,
Y = + x Y Y
. , Y Y ,
.
Y Y
,

( )

65

Y Y

Y Y

N ( 0,1) .
2Y Y

2 S 2 = RSS (n 2) , D Y Y

x x
.
s 2Y Y = S 2 1 + + n
2
n
( xi x )

i =1

, , ,
,
Y Y sY Y , t - ( t -

)
Y Y
,
t=
s Y Y

t - t ( n 2)
(n 2) .
100(1 )

Y Y s Y Y ,

,
t (n 2) Y Y
2

66

Y Y

t1 (n 2) ,
2

100(1 ) -
Y :
Y t1 (n 2) sY Y Y Y + t1 (n 2) sY Y
2

, , t ( K ) = t1 ( K ) .
2

( yi , xi ), i = 1, , n, ( ) Y ,
sY Y . S 2 1 + (1 n) x = x -

x x . ,
x ,
,
x1 , , x n .
, x , x , ,

.
.
1970 1979 ( . ,
1972 ),
C = 66.595 + 0.978 DPI .
, 1979
1980 (
) DPI = 1030 . .
1980
67

C1980 = 66.595 + 0.978 * 1030 = 940.75 ,


0.95 ,
t crit = t1 0.05 ( n 2) = t 0.975 (8) = 2.306
2


DPI = 1030 C1980
940.75 2.306 * 9.8228 C 940.75 + 2.306 * 9.8228 ,
1980

. .
940.75 22.651 C1980 940.75 + 22.651 ,

918.099 C1980 963.401 .


,

.
, 1980 .
1021 . ,
931.8 . . ,
.
940.75 9318
100 = 0.96%.
.
9318

DPI 1980 = 1021 , DPI = 1030 , C1980 931.94
. 9318
.
93194
100 = 0.015%.
.
9318
, , 95%- DPI . 68


:
30
20
10
0

BAND DOWN
BAND UP

-10
-20
-30
800

850

900

950

1000

DPI 72

yi = j xi j + i , i = 1, , n,
j =1

y = j x j + , j =1

x = x1 , , x p

,
p

Y = j x j ,
j =1

1 , , p 1 , , p .
Y t ( n p) s Y Y + t ( n p) s
1 2

1 2

Y Y

s 2Y Y = S 2 1 + x X T X

) (x )
1

Y Y

)
69

2
S = RSS (n p) -

2 .

70

3.


.


3.1. :


( )
.
, R 2 ( 1) ,
( ).
,


yi = + xi + i , i = 1, , n,
( )
, R 2 t - . .

i
1
2
3
4
5
6
7
8
9
10
11

1
x
y
20
16.06
16
13.90
26
15.16
18
17.62
22
16.66
28
19.92
12
14.48
8
8.52
24
21.68
14
9.64
10
11.36

2
x
y
20
18.28
16
16.28
26
17.48
18
17.54
22
18.52
28
16.20
12
12.26
8
6.20
24
18.26
14
14.52
10
9.48

3
x
y
20
14.92
16
13.54
26
25.48
18
14.22
22
15.62
28
17.68
12
12.16
8
10.78
24
16.30
14
12.84
10
11.46

4
x
y
16
13.16
16
11.52
16
15.42
16
17.68
16
17.94
16
14.08
16
10.50
38
25.00
16
11.12
16
15.82
16
17.98



y = 6.00 + 0.50 x ,
() s = 112
. ,
() s = 012
. ,
t - H 0 : = 0
2.67, P - 0.026,
t - H 0 : = 0
4.24, P - 0.002,
R 2 = 0.67 .

Y2 vs. X2
25

20

20

15

15

Y2

Y1

Y1 vs. X1
25

10

10

5
5

10

15

20

25

30

10

15

X1

20

25

30

X2

:
Y3 vs. X3

Y4 vs. X4

30

30

25

25

Y4

Y3

20
20

15
15

10
5

10

10

15

20
X3

25

30

15

20

25

30

35

40

X4

,

yi = + xi + i , i = 1, , n .

yi = + xi + xi2 + i , i = 1, , n .
(3- ), .

,
,
, .
.
,
, .


yi = 1 xi 1 + + p xi p + i , i = 1, , n,
, . .
ei = yi yi , i = 1, , n .
yi yi ,
i ,
Y Y , i

ei .
6

, ei , e = Y Y,
i

E (ei ) = 0 , i = 1, , n ,

D( ei ) = 2 (1 pi i ), i = 1, , n ,

pi i i - (n n)

P = X XTX

XT .

, , i
( 2 ), , , .

ei
ei
=
, i = 1, , n ,
D( ei ) 1 pi i

e
i
= 1 , i = 1, , n .
D
D( e )

i
2 ,
ei
di =
, i = 1, , n ,
S 1 pi i
7

, , S 2 = RSS / ( n p) .
pi i
d i ,

e
ci = i , i = 1, , n ;
S
, , EXCEL.
, d i c i
.
c i , i =1, ,n. ,
,
n

ii

=p

i =1

( p ),
p << n ( p n), pi i .
()
. , ,
, e i , i =1, ,n,
i , i =1, ,n. , ,
i , i =1, ,n
,
N 0, 2 , , -

e i , i =1, ,n 8

,
N 0, 2 .

,
, ,

N (0,1) .
, .
, , ( n ) , . , (
)
,
.


- , N (0,1) .
( )

( )
yi = 1 xi 1 + + p xi p ;
;
, .
c i yi = 1 xi 1 + + p xi p :
9

(outliers) ,

( i)
D( ) i
E

. .
, , ( ) :
RESID03_STAND vs. Y3F

RESID03_STAND

-1

10

12

Y3F

(heteroscedasticity), ,

( i)

1 xi 1 + + p xi p . ,

10

RESID_STAND

-2

-4
0

50

100

150

200

YF

1 xi 1 + + p xi p .

, E 0, E Yi 1 xi 1 + + p xi p .
i
, ,
:

( )

( )

RESID02_STAND vs. Y2F

RESID02_STAND

-1

-2

10

12

Y2F

c i x i j j - y j - . ,

11

RESID02_STAND vs. X2
2

RESID02_STAND

-1

-2

10

12

14

16

X2


, ( ).

4

RESID_STAND

-2

-4

20

10

30

, :

12

0.4

RESID_STAND

0.2

0.0

-0.2

-0.4
0

10

15

20


i , i =1, ,n . , ,

( ) ( ):
2

-1

-2

-1

-3

-2

60

65

70

75

80

85

10

15

20

25

30

(
, ).
-

13

(
,
).
i , i =1, ,n.
- (Q-Q plot). c i , i =1, ,n ;
c(1) < c( 2 ) < < c( n ) .
k =1, ,n c( k )

k 21
Qk = 1

n
( Qk (2 k 1) (2n)
), n
c( k ) , Qk , k =1, ,n,

, , .
,
:

14

Normal Quantile

-1

-2
-2

-1

RESID_STAND

.
, e i , i =1, ,n, e( k ) , Qk , k =1, ,n, -

( ) ,
, .
- , n
1

k 21
c( k )
.
n

k 21
c( k )
n
,
EXCEL.
(DP-plot, DPP) - ,
Qk

( )

15

( )

c( k ) .
, .
, ,

(
. 1982 ., 1959 1985 .):
0.5

DP(Qk)

0.4

0.3

0.2

0.1

0.0
-3

-2

-1

C(k)

, .

. , .
.
(kernel)
, , ,

16

. , , , EVIEWS
8 ,
. , ,
:
0.5

0.4

0.3

0.2

0.1

0.0
-3

-2

-1

C_K

, ,
, (27).
3.2. :

, ,
,
. .

H 0 : 1 , , n i.i. d . N 0, 2 .

17


,
, .
- (Goldfeld-Quandt).
D( i ) ,
, ,

;
r (
),
n r ;

( n r ) 2 ( n r ) 2 ;
F = RSS 2 RSS1
, ( n r ) 2 ( RSS 2 )
(n r ) 2 ( RSS1 ) .
,
D( i ) = 2 , i = 1, , n , ( )
,
,
F = RSS 2 RSS1
nr
nr

p,
p
F F
2

18

nr
nr

p
p .

2
2

H 0 : D( i ) = 2 , i = 1, , n , ( )
, F -
, . .
nr
nr

p,
p ,
F1
2

2
.
- (Durbin-Watson). , , ,
i
. ,

i = i 1 + i , i = 1, , n,
< 1, i , i = 1, ,n, ,
N 0, 2 , i

s > 0 .
-
is

(e

DW =

ei 1 )

i =2

2
i

i =1

19

e1 , , en , .

H 0 : = 0,
( )
1 , , n .

HA : > 0 ,
1 , , n (. .
i - i + 1-).
DW 0
4 .
H 0 : = 0 (. . )
p( x ) , x = 2
.
= > 0 , DW
. ,
,
d (0 < d < 2) H 0 : = 0
H A : > 0 DW < d .
- n p ,
xi j , j = 1, , p, i = 1, , n, , 20

. . (
n p ) d L d U ,
d -, ,
xi j , j = 1, , p, i = 1, , n . ,
0 < d L < d < d U < 2,
d L d U
xi j , j = 1, , p, i = 1, , n ,
, .
H 0 : = 0
H A : > 0 ,
DW < d L ;
, DW > d U .

d L < DW < d U ,
H 0 : = 0 .

H 0 : = 0
.
- (Jarque-Bera).
(, EVIEWS) H 0 , ,
21

H 0 : 1 , ,

i.i. d . N 0,

( ). , n
(sample skewness) 2 (sample kurtosis - 3) 2
JB = n
+

6
24

, -
2 (2) ,
p( x ) = 21 e x 2 , x > 0 .
sample skewness
,
m3
sample skewness =
,
(m2 ) 3 2
2

sample kurtosis ,
m
sample kurtosis = 42 ,
m2

1 n k
mk = ei
n i =1
e1 , ,en , .
,
, 3.
(
)
22

( ). 3

( , ) ( ,
)
.

JB . ,
, ,

JB > 12 ( 2) ,

12 ( 2) 2 (2) , 1 .
. - , , n . , - : JB
2 (2) . -
. -
, ,
-,
.
- (Breusch-Godfrey).
23

(, EVIEWS)
yi = 1 xi 1 + + p xi p + i , i = 1, , n.

i , i = 1, ,n. , ,
i
i = i 1 + i , i = 1, , n,
< 1, i , i = 1, ,n, ,
N 0, 2 . -

i , j , .
- i , K
j ;
i = a1 i 1 + + a K i K + i .
2
nR , R 2 - ,
ei = 1 xi 1 + + p xi p + 1ei 1 + + K ei K + i , i = 1, , n,

e1 , ,en - , . ( e0 , , e1 K
.)

H0 : 1 = = K = 0.
24

, n , - K . H 0 ,
nR 2 , 1 , . .
nR 2 > nR 2
= 12 ( K ).

( )

crit

, - ,
, - . ,
, . . K = 1 ;
,
.
- .
(White).
(,
EVIEWS)

yi = 1 xi 1 + + p xi p + i , i = 1, , n.
.
I.
p

j =2

j =2

ei2 = 1 + j xi j + j xi2j + i , i = 1, , n,

25

e1 , , en - , ,
H0 : j = j = 0 , j = 2, , p.
2
nR , R 2 - , .
, n ,
- (2 p 2)
. H 0 , nR 2 , 1
, . .
nR 2 > nR 2
= 12 ( 2 p 2).

( )

crit

II.
p

e = 1 + j xi j +
2
i

j =2

jk

xi j xi k + i , i = 1, , n,

j =2 k =2

e1 , , en - , ,
H0 : j = 0 , j = 2 , , p ,

jk

= 0, j = 2, , p, k = 2, , p.
2

nR , R 2 - , .
, n ,
- p 2 + p 2 2 -

. H 0
, nR 2
26

, 1 , . .

( )

nR 2 > nR 2

crit

((

) )

= 12 p 2 + p 2 2 .

-,
, .
.
, xi1 1 . , ,
,
, j = 1.
3.3. :

.
1959 1985 . .
:
DPI ;
CONS ;
ASSETS
( . , 1982 .).

:

27

3500
3000
2500
2000
1500
1000
500
60 62 64 66 68 70 72 74 76 78 80 82 84
CONS

DPI

ASSETS


CONS t = 1 + 2 DPI t + 3 ASSETS t 1 + t , t = 1, ,27 ,
t (1958+ t) . 3
:
X 1 1, X 2 = DPI , X 3 = ASSETS ( 1);
ASSETS( 1) ,
ASSETS .
:
2
R = 0.9981 ,
2 = 0.672 ,
P - value = 0.0000 ;
= 0174
.
,
P - value = 0.0069 ;
3

X 2 = DPI , X 3 = ASSETS ( 1)
. (CONSF) (CONS) CONS , ci = ei S
(RESID_STAND) (CONSF) CONS :
28

CONS vs. CONSF

RESID_STAND vs. CONSF

2500

2
1
RESID_STAND

CONS

2000

1500

1000

500
500

0
-1
-2

1000

1500
CONSF

2000

2500

-3
500

1000

1500

2000

2500

CONSF


.
Ci >1600 .
, GoldfeldQuandt (
). ,
, 1959 , ASSETS 0 , 1958 .

26 ( 27)
( xi 1 , xi 2 , xi 3 ) , i = 2, ,27 .
26 ,
10 10 ( xi 1 , xi 2 , xi 3 ) ,
29

1960 1969 1976


1985 ( r = 6 ).
RSS1 = 208.68 RSS 2 = 1299.66 , , F - Goldfeld-Quandt

RSS 2 RSS1 = 1299.66 208.68 = 6.228 .



,
26 6
26 6
3,
3 = F (7,7) .
F - F
2

2
, ,
= 0.05 , F -
F0.95 (7,7) = 3.79 .
6.228
;


D( i )

1 + 2 DPI + 3 ASSETS ( 1) . , ,
F (7,7) 6.228
P - value = 0.0138.
,
.
nR 2 = 8.884 . p = 3 ,
30


- 2 p 2 = 4 . ,
, ,
8.884 , 0.0641 , nR 2 = 8.884 , ,
.
nR 2 = 9.699 .
-
p 2 + p 2 2 = 5 . , ,

, 9.699 , 0.0842 , nR 2 = 9.699 ,


,
.
, : , . ?
,
-
.

, -
,
- ,

.
: , 31

,
,
, . . , .
ci = ei S
:
RESID_STAND & YEAR

1
RESID_STAND

RESID_STAND

RESID_STAND & i
2

0
-1
-2

-1

-2

-3

-3

10

15
i

20

25

60

65

70

75

80

85

YEAR


, , . 26 p = 3
- = 0.05 ( )

. , d U ,0.05 = 155
. .
d L ,0.05 = 122
, -
DW = 101
. ,
. . ,
d L,0.05 = 122

32


.
, -.

( K = 1) , -,
nR 2 = 6.068 , P -,
0.014 . ,
, -.
, K = 5 , nR 2 = 10.331 ,
P -, 0.066 . = 0.05 , , . K = 6
. ) ..,
( P - value = 0.095) , K = 7 ( P - value = 0127
: K = 5 , K = 6 , K = 7
K = 1 ,
, .
, , . (Q-Q plot) (DPP-plot):

33

0.5
0.4

0.3
0

DPP

Normal Quantile

0.2

-1
-2

0.1

-3

-3

-2

-1

C_K

0.0

-3

-2

-1

C_K

; .
1.285,
5.321.
. Jarque-Bera 12.997,
P - value = 0.0015. , .
,
, .
(, heteroscedasticity).
, , , , ( , cross-section data).

34

, .
:
.
:
1 , , p ( )
.
1 , , p
.
t - F -

, t - F -, . t - F -
t - F -

.
( ) (autocorrelation, serial correlation).

, ( ,
longitudial data). , , .
:

35

S 2 = RSS (n p)

.
1 , , p ( )
.
1 , , p
:

,
.
t - F - , t - F -,
. t - F -
t - F -
.
t - F -
.
,
,

, 36

( : ).
3.4.
( )
.
27 . :
xi i- ,
yi i- .

yi = + xi + i , i = 1, ,27.
: R2=
0.776
Variable
1
X

Coefficient
14.448
0.105

Std. Error
9.562
0.011

t-Statistic
1.511
9.303

P-value.
0.1433
0.0000

y = 14.448 + 0.105x ( ) ci = ei S
yi = 14.448 + 0.105xi ( ).

37

Y vs. X
2

200

1
RES_STAND

250

150
100

0
-1
-2

50

-3

0
0

500

1000

1500

2000

50

100

150

200

YF

, y,

2
2
2
D( i ) = i = xi .
, yi = + xi + i xi :
yi

1
=
+ + i ,
xi
xi
xi
. .
yi = + xi + i ,

y
1
yi = i , xi =
, i = i .
xi
xi
xi

2
2
2
D( i ) = i = xi ,

( ) = 0, D( ) =

38

( )=

1
D
xi2

. . .
:
Variable
1
1/x

Coefficient
0.121
3.803

Std. Error
0.009
4.570

t-Statistic
13.445
0.832

P-value.
0.0000
0.4131


y = 3.803 + 0.121x .

.
. ,
.
= 0121
. . , = 3803

y .
( ) .
2

RESID_STAND*

-1

-2
0

50

100

150

200

250

YF*


. , , 39

yi = + xi + i , . .
n

(y

xi ,

i =1

, , ,
2

n
yi
1
1
2
y xi ) .

2( i
xi
i =1 x i
i =1 x i
n


1
wi = 2 ,
xi
,
()
.

wi
,
i - .
, xi2 ,
D( i ) = i2 = 2 xi2 i - . ,
i , ,
i - .
,
n

w (y
i

i =1

40

xi ) ,
2


(
).
.
(, EVIEWS)
:
n

(w (y
i

i =1

x i )) .
2

,
( yi xi ). ,

1
.
wi =
xi

,
.
,

EVIEWS.
. , w = 1 x .

41

:
Dependent Variable: Y
Method: Least Squares
Date: Time:
Sample: 1 27
Included observations: 27
Weighting series: 1/X
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X

3.803296
0.120990

4.569745
0.008999

0.832277
13.44540

0.4131
0.0000

0.026960
0.011961
13.15902
4328.998
-106.8543
2.272111

Mean dependent var


S. D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob (F-statistic)

74.04946
13.08103
8.063280
8.159268
180.7789
0.000000

0.758034
0.748355
22.57746
2.444541

Mean dependent var


S. D. dependent var
Sum squared resid

94.44444
45.00712
12743.54

Weighted Statistics
R-squared
Adjusted R-squared
S. E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Unweighted Statistics
R-squared
Adjusted R-squared
S. E. of regression
Durbin-Watson stat

:
Weighted Statistics ( )
, ,

, . . ei = yi xi
.
Unweighted Statistics ( )

WLS
WLS
ui = yi

xi , . . y 42

, , WLS , WLS ,
.
(0.2696)
. ,
F -, 180.7789,
P - 0.0000 (. Weighted Statistics).
R 2 , , ,
(0.7580).
,
, t -,
P - ,
.
, , R 2 = 0.758 ,
,
R 2 = 0.776 , () . , , , R 2 = 0.776
ei = yi xi ,
, ,
.
,

1 , ,p .
43

, 1 , ,p .
,
(OLS-,
Ordinary Least Squares estimates) 1 , ,p

1 , , p s . j


s (White)
j

,
EVIEWS. .
, EVIEWS
.
. ,
.
,
, .
.
= 14.448 = 0105
s s s = 9.562
s = 0.011 , -

,
s = 10.633 s = 0.018 .


44

( 3803
.
14.448 ) ,
, ( s = 4.570
s = 10.633 , ).

.
. ,
,
ln yi = + xi + i , i = 1, ,27.
, ,

ln yi ( )
2

1
RESID_STAND

RESID_STAND

1
0
-1

-1

-2
-3
3.5

4.0

4.5

5.0

LnY_F

5.5

6.0

-2
3.5

4.0

4.5

5.0

5.5

LnY_F

,
xi2 . , x 2 , , 45

(. ). .
Variable
1
x
x2

Coefficient
2.851
0.003
-1.10E-06

Std. Error
0.157
0.000399
2.24E-07

t-Statistic
18.205
7.803
-4.925

P-value
0.0000
0.0000
0.0001

, ,

x y :
y = 3.803 + 0.121x ln y = 2.851 + 0.003 x 11
. 10 6 x 2 .
.
3.5.

,
(, , , ) ci = ei S i
.

1 , , n
yi = 1 xi 1 + + p xi p + i , i = 1, , n,

.
:
i = i 1 + i , i = 2, , n,
46

< 1, i , i = 2, ,n, ,
N 0, 2 .

H0 : = 0
(
) 1 , , n .
HA : > 0 ,
1 , , n (. .
i - i + 1-). H 0 : = 0 - H A : > 0 ,
.

-
(Cochrane-Orcutt).
(i 1) -
,
yi 1 = 1 xi 1, 1 + + p xi 1, p + i 1 , i = 1, , n,
i - :
yi yi 1 = 1 ( xi ,1 xi 1, 1 )+ + p xi , p xi 1, p + ( i


yi = 1 xi1 + + p xip + i , i = 2, , n,
47

i 1

).


yi = yi yi 1 ,
xi,1 = xi ,1 xi 1, 1 , , xi, p = xi , p xi 1, p ,

i = i

.

i i 1 = i , i = 2, , n,
, 2 , , n
,
N 0, 2 .
i 1

,
.
,

. ,

.
.
-

. ,
,
2 , , n
,
,

.
-
48

r = ei ei 1
i =2

2
i 1

i =2

e1 , , en , .
yi = yi r yi 1 ,
xi,1 = xi ,1 r xi 1, 1 , , xi, p = xi , p r xi 1, p ,

= i r i 1 ,

yi = 1 xi,1 + + p xi, p + i , i = 2, , n.

, 1 , , p 1 , , p .
,

.., .
, , ,
xi 1 1 . ,
xi,1 = xi ,1 r xi 1,1 = 1 r ,

yi = + 2 xi,2 + p xi, p + i , i = 2, , n,

49

= 1 (1 r ) .

, 1 ,

1 = (1 r ) .
. (CONS)
(MONEY) 19521956 . . ( ,
. ).
obs
1952:1
1952:2
1952:3
1952:4
1953:1
1953:2
1953:3
1953:4
1954:1
1954:2

MONEY
159.3
161.2
162.8
164.6
165.9
167.9
168.3
169.7
170.5
171.6

CONS
214.6
217.7
219.6
227.2
230.9
233.3
234.1
232.3
233.7
236.5

obs
1954:3
1954:4
1955:1
1955:2
1955:3
1955:4
1956:1
1956:2
1956:3
1956:4

MONEY
173.9
176.1
178.0
179.1
180.2
181.2
181.6
182.5
183.3
184.3

CONS
238.7
243.2
249.4
254.3
260.9
263.3
265.6
268.2
270.4
275.6


yi = + xi + i , i = 1, ,20,
yi CONS,
xi - MONEY,
:
Variable

Coefficient Std. Error

t-Statistic

Prob.

1
X

154.719
2.300

19.850
0.114

-7.794
20.080

0.0000
0.0000

R-squared

0.957

Durbin-Watson stat

0.328

, - ,
50

.
.
280
8

260

CONS

4
2
0
-2

240

220

-4
-6

200
150

-8
52:1 52:3 53:1 53:3 54:1 54:3 55:1 55:3 56:1 56:3

160

170

180

190

MONEY

CONS Residuals

,
, , .
-.
. . d 0.05 n = 20 : d L,0.05 = 120
DW = 0.328
, H 0 : = 0 H A : > 0 . -.

n

: r = ei ei 1
i =2

2
i 1

= 0.874 .

i =2

, , :
51

Included observations: 19 after adjusting endpoints


Variable

Coefficient Std. Error

t-Statistic

Prob.

1
X

-30.777
2.795

14.043
0.609

-2.192
4.593

0.0426
0.0003

R-squared

0.554

Durbin-Watson stat

1.667

, , -
d 0.05 ,
n = 19 . ( , , ).
(
).

.

CONS_TRANSFORMED

40

4
2
0
-2

35

30

25

-4

21
-6
52:1 52:3 53:1 53:3 54:1 54:3 55:1 55:3 56:1 56:3

RESID: TRANSFORMED MODEL

52

22

23

24

MONEY_TRANSFORMED

25


.

, (,
5 !) s ,
. s
, 5 , . 95%- 2.058 < < 2.542 ,

1516
.
< < 4.074 .



, .
, ,


.
yi = + xi + i , i = 1, , n.
, i i 1 = i , i = 2, , n,
r ,

53

yi = + xi + i , i = 2, , n,
yi = yi r yi 1 , xi = ( xi r xi 1 ) , i = 2, , n,
c

= (1 r ),

,
yi = + xi , i = 2, , n.

yi r yi 1 = (1 r ) + ( xi r xi 1 ) , i = 2, , n,
= (1 r ) , :

yi = + xi + r yi 1 xi 1 , i = 2, , n.

yn +1 , x n +1 ,
yn +1
y = + x
+ r y x .
n +1

n +1


yn +1 :
yn + x , n

y = + x , yn +1
+ x , i +1

r > 0 .
54

yn , + xn , + x .
y
n +1

i +1

. .

r = 0.874, = (1 r ) = 30.777 (1 0.874) = 244.262 ,


= 2.795 . x , , x 2

20

:
y2 , , y20 ;

yi = 154.700 + 2.300 xi ,
, ;

yi = 244.262 + 2.795xi ,
, ;

yi = 244.262 + 2.795 xi + 0.874( yi 1 + 244.262 2.795 xi 1 ) ,
,
, .
yi , , yi yi . 1, 2, 3
yi , ,
).

55

280

15
10

260

240
0

220

-5

200
52:1 52:3 53:1 53:3 54:1 54:3 55:1 55:3 56:1 56:3

F1

F2

F3

-10
52:1 52:3 53:1 53:3 54:1 54:3 55:1 55:3 56:1 56:3

ER1

ER2

ER3

20

(1 19) ( yi yi ) 2
i =2

yi . , ,
MSE1 = 14.583, MSE 2 = 37.025, MSE 3 = 4.533,
,
() .

yi = + xi + i , i = 1, , n,
i i 1 = i , i = 2, , n.
yi = yi yi 1 , xi = xi xi 1

y i = + xi + i , i = 1, , n,

yi = (1 ) + yi 1 + ( xi xi 1 ) + i , i = 2, , n.

56

, 0 < < 1 ,
:
yi = (1 ) + yi 1 (1 ) yi 1 + ( xi xi 1 + (1 ) xi 1 ) +
= yi 1 + (1 )( + xi 1 yi 1 ) + ( xi xi 1 ) + i ,

yi = xi + ( 1)( yi 1 xi 1 ) + i .

yi = yi yi 1 , xi = xi xi 1 1 < ( 1) < 0 . -
()
y = + x.
i 1 yi 1 ( + xi 1 ) -

( yi 1 > + xi 1 ) , ,
yi = yi yi 1 . yi 1 ( + xi 1 ) -

( yi 1 < + xi 1 ) , ,
y i = y i y i 1 .
y
, , . , ,
.
r , ,
.

y i = 2.795 x i 0.126 ( y i 1 + 244.262 2.795 x i 1 ).
57

3.6.
.
DPI SALES ( ;
DPI , SALES ,
1972 .).
200
160
120
80
40
0
64

65

66

67

68

69

SALES

70

71

72

73

DPI

.
Dependent Variable: SALES
Method: Least Squares
Sample: 1964:1 1973:4
Included observations: 40
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
DPI

29.97613
0.108402

6.463626
0.036799

4.637665
2.945768

0.0000
0.0055

R-squared
Adjusted R-squared
S. E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.185904
0.164481
3.521017
471.1074
106.0817
1.874403

Mean dependent var


S. D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob (F-statistic)

58

48.94571
3.852032
5.404084
5.488528
8.677546
0.005475

DPI .
(
)
2

-1

-1

-2
64

65

66

67

68

69

70

RESID_STAND

71

72

73

-2
64

65

66

67

68

69

70

71

72

73

RESID_STAND


. , : 1874
.
-
2 . :
, ,

59

RES01 vs. RES01(-1)

10

RES01

-5

-10
-10

-5

10

RES01(-1)

( RES01 ,
, RES01( 1) , RES01.)
RES01 vs. RES01(-4)

10

RES01

RES01

RES01 vs. RES01(-2)

10

-5

-10
-10

-5

-5

0
RES01(-2)

60

10

-10
-10

-5

0
RES01(-4)

10

,
, , , :
-, - :
,
, P value = 0.000037 ,
.
. , , , (
) , , . , , , - -
, . . .

. ,
, , .

(dummy variables).
, , DUMMY , 1
0
.
.
.

61

Dependent Variable: SALES


Variable

Coefficient Std. Error

t-Statistic

Prob.

C
DPI
DUMMY

26.21787
0.112653
6.028524

3.152042
0.017847
0.539997

8.317742
6.312227
11.16399

0.0000
0.0000
0.0000

R-squared
Adjusted R-squared
S. E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.813644
0.803571
1.707233
107.8419
-76.59327
1.452616

Mean dependent var


S. D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob (F-statistic)

48.94571
3.852032
3.979663
4.106329
80.77244
0.000000

6.029
DUMMY ,
6 ( 1972 .).
.
60
55
50
6
45

40

2
0
-2
-4
64

65

66

67

68

Residual

62

69

70

Actual

71

72
Fitted

73

P value
- 0157197
.

0.000037 ,
1 , , n .
-, DPI SALES :

.
DPI
SALES = 26.21787 + 0112653
- ;

SALES = ( 26.21787 + 6.028524) + 0112653


DPI
.
- .
,
0.112653 .
. - -
. , ,
DUMMY 4, DUMMY1, DUMMY 2 , 1 ,
, , ,
.
DUMMY 2 ,
. ,
DUMMY4 DUMMY1 .
,

DUMMY , .
63

() ,
, ( ), , , .
, , , , , .
,
( ).
,
Z X , 15 :
X
1
2
3
4
5

Z
1.257
1.812
3.641
4.401
5.561

X
6
7
8
9
10

Z
0.865
1.930
2.944
4.316
5.323

X
11
12
13
14
15

Z
1.804
1.956
3.134
4.649
4.559


;

Z = 2.414 + 0.099 X ;
t - X 1087
.
, P value = 0.297
. Z X .

64

Z vs. X
6
5

4
3
2
1
0
0

10

15

20

Z X , 5 ,
5 5 .
X ,
.
,
:
3
2
1
0
-1
-2
-3
1

9 10 11 12 13 14 15

RESID01


, :
D2 , 1 0
, D3 , 1
65

0 . :
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X
D2
D3

0.264368
1.023398
-5.375960
-10.34806

0.274073
0.070765
0.430449
0.748910

0.964591
14.46185
-12.48920
-13.81749

0.3555
0.0000
0.0000
0.0000

R-squared
Durbin-Watson stat

0.950286
2.205754

Mean dependent var


Prob (F-statistic)

3.210213
0.000000


, ; X , D2 D3 .

Z X .
,
3.3. ,

CONS t = 1 + 2 DPI t + 3 ASSETS t 1 + t , t = 2, ,27 ,


,
. ci = ei S

66

( 1972 ) (1973-1985
).
, 1973 , ,
.
, ,
1 , 2 , 3
.
CONS t = 1 ( D1) t + 2 ( D2) t + 3 ( DPI 1) t + 4 ( DPI 2) t
+ 5 ( ASSLAG1) t + 6 ( ASSLAG 2) t + t , t = 2, ,27 .

( D1) t - , 1 t = 1, ,14
( 1959 1972 ) 0
t = 15, ,27 ( 1973 1985 ),
( D2) t = 1 ( D1) t - , 0
t = 1, ,14 1 t = 15, ,27 ,
( DPI 1) t = DPI t ( D1) t - , (DPI ) t
t = 1, ,14 0 t = 15, ,27 ,
( DPI 2) t = DPI t ( D2) t - , 0
t = 1, ,14 ( DPI ) t t = 15, ,27 ,
( ASSLAG1) t = ASSETS t 1 ( D1) t - ,
ASSETS t 1 t = 2, ,14 0 t = 15, ,27 ,
( ASSLAG 2) t = ASSETS t 1 ( D2) t - , 0
t = 2, ,14 ASSETS t 1 t = 15, ,27 .
,
( DPI 1) t + ( DPI 2) t = DPI t , t = 1, ,27,
( ASSLAG1) t + ( ASSLAG 2) t = ASSETS t 1 , t = 2, ,27.
67


H0 : 1 = 2 , 3 = 4 , 5 = 6 ,
F -. F - 10.490
P - 0.0002 , H 0 , 1 , 2 , 3 .
5
6
( P -
01157
.
0.5599 ),
. P - 0.2412 ,
, ,
ASSETS
CONS t = 1 ( D1) t + 2 ( D2) t + 3 ( DPI 1) t + 4 ( DPI 2) t + t ,
t = 1, ,27 .
:
2
R = 0.9992 ,
1 = 57.834 ,
P - value = 0.0059 ;
2 = 234.836 , P - value = 0.0000 ;
3 = 0.865 ,
P - value = 0.0000 ;
4 = 1012
.
,
P - value = 0.0000 ;

H0 : 3 = 4

( P - value = 0.0000) , H 0 : 1 = 2 ,

DPI .
- DW = 2.06
. 68

-
K = 1, K = 2, K = 3. P - value = 0.433 ,
, -
P - value = 0.445 , .
, , -.
1960 1969 1976 1985
, F - 3.354 ,
P - value = 0.0832 , .
, ,
1959 1985 ,
CONS t = 57.834( D1) t - 234.836( D2) t
+ 0.865( DPI 1) t + 1.012( DPI 2) t + t , t = 1, ,27 .

57.834 + 0.865 DPI t + t , t = 1, ,14,

CONS t =
- 234.836 + 1.012 DPI t + t , t = 15, ,27.
( ). , ,
DPI
,
, .. , D( t ) = 12 t = 1, ,14 D( t ) = 22
t = 15, ,27 . 1 2 , , 8.517 14.886 .

69


. ,
, , .


, .. .
, , ,

. , ( ).
,
., , ,
.
.., .. .. (1997),
,
. ,

.. .. (1998).
W. H. Green (1993).
, ,
Maddala G.,S., Kim In-Moo (1999),
.
, .


.., .. (1998),
. ., .-1022 .
.., .., .. (1997), . . 3- . ., .-400 .
(1997), . .
.- ., -.- XIV, 402 c.
Maddala G.L., Kim In-Moo (1999), Unit Roots, Cointegration, and
Structural Change. Cambridge Univ. Press.
Davidson R., MacKinnon J.G. (1993), Estimation and Inference in
Econometrics. Oxford Univ. Press.
Hatanaka M. (1996), Time-Series Based Econometrics. Unit Root
and Cointegration. Oxford Univ. Press.
Green W.H. (1993), Econometric Analysis ( second edition). Macmillan Publishing Company.
Johnston, J., DiNardo J. (1997), Econometric Methods. McGrawHill, Inc.