330.115(075.

8)
65673
83

:
- , . . ;
- , . . ;
,
. . ;

;

.

. .
83
: .: ,
2000. 354 .
ISBN 985-445-358-8
, .
,
, ,
.

330.115(075.8)
65673

ISBN 985-445-358-8

. ., 2000
, 2000


.. 7
.... 10
1. .... 14
1.1.
1.2.
1.3.
1.4.
1.5.
1.6.

, , ...... 14
...... 16
.. 20
... 22
.. 29
. 33
.. 40
41

2. 45
2.1. .. 46
2.2. .. 48
2.3. .... 52
.... 55
.. 56
3. : .. 59
3.1.
3.2.
3.3.
3.4.
3.5.

.... 60
.. 63
.... 64
.... 70
... 76
86
.. 87

4. ... 91
4.1.
4.2.
4.3.
4.4.

. 91
.... 93
... 98
... 101
. 107
.. 109

5. .. 112
5.1. .
.. 112
3

5.2.
... 115
5.3.
. 120
5.4.
. 123
5.5. 125
5.6. .
R2 ..130
.. 135
.. 136
6. .. 141
6.1.
6.2.
6.3.
6.4.
6.5
6.6.
6.7.
6.8.

141
c .. 145
.. 149

c ... 152

153

... 153
. 155
.
.... 163
173
.. 175

7. 180
7.1.
7.2.
7.3.
7.4.
7.5.
7.6.
7.7.
7.8.

(-) 181
.. 183
.. 185
186
.. 187
... 188
.. 189
200
202
.. 204

8. ... 209
8.1. ... 209
8.2. .. 212
8.3. . 213
4

8.4. .. 219
222
.. 223
9. .. 227
9.1.
9.2.
9.3.
9.4.

.. 227
.. 230
230
. 236
. 240
.. 241

10. . 245
10.1.
10.2.
10.3.
10.4.

. 245
247
248
... 251
. 254
. 255

11. .. 257
11.1.
11.2.
11.3.
11.4.
11.5.

257
ANCOVA 258
..... 263
266
... 267
. 272
.. 274

12. ... 277

12.1. . ..... 277
12.2. ... 278
12.3. 282
12.4. ... 287
12.5. .... 289
12.6. .
290
12.7. . 293
. 305
. 306
13. . 308
13.1. . 308
13.2. 311
5

13.3.
312
13.4. (). 315
13.5. 317
13.6. .. 319
13.7. .. 323
13.8. ... 326
. 328
. 329
... 335
349
350

 ,
,

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.

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( ). .


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10

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). .
(, )
,
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.

, . . , . . , .

,
. .

. .

,
, .
.
Q () P .
,
. ,

11

 , . ,
Q = + P,
< 0;

< 0;
Q = P ,
lnQ = + lnP, < 0
( ln ).
( )
.
, ,
. ,
.
, .
( ) ( ).
.
.
.
, ( ). . ,
(, , -,
).
, ,
.

(
Q) (P),

12

. , , ,
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,
.

.

: ; ;
. ,
.

13

1.
. , , , , . ., ,
. , . ? ,

. -, ,
. ,
. ,
,
.
.
.
? , . ,
. , ( , ).
, ,
, , , ,
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, . . ,

.
? , .

.
1.1. , ,
() , , . .
.
14

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

(
). , , (
). ( ).
, , ( ). ,
, ( ). ,
()
, (
).
, .
.
m (),
, n :
m
P(A) = .
(1.1)
n

:
1. 0 P(A) 1;
2. P(A) = 1;
3. P(A) = 0;
4. , P(A+B) = P(A) + P(B);
5. A , P( A ) = 1 P(A).
15

 m n (1.1)
. n , m . m/n
.

n (
) .
m , .

( ). , ,
. () , , .
- , ,
(
).
1.2.

() ,
. ,
. .
() , , .
, ,
, . .
.
.
, ,
(
). , 16

 (. . ). , , , ; ,
;
. , , , .
, , , , . . .
.

. , ( )
.

,
:
X
pi

x1
p1

x2
p2

xk
pk

1 < 2 < ...< xk. p1 + p2 + + pk = 1.

1.1. . , 100
, , 25 1 . 40 ,
2 . 20 , 5 . 10 10 . 5
20 . .

10

20

pi

0.25

0.40

0.20

0.10

0.05

,
.
F(x), , , , . .
F(x) = P( X < x ) .
17

(1.2)

 , .
:
1. 0 F(x) 1;
2. F(x) , . . (1 < x2) F(x1) F(x2);
3. lim F(x) = 0 ,
lim F(x) = 1 ;
x

x +

4. P(a X < b) = F(b) F(a);

5. P(X x) = 1 F(x);
6. [a, b],

0, x a;
F(x) =
1, x > b.

.
1.1 F(x)
:
F(x)

F(x) =

0,
0.25,
0.65,
0.85,
0.95,
1,

x 1;
1 < x 2;
2 < x 5;
5 < x 10;
10 < x 20;
x > 20.

1
0.95
0.85
0.65

0.25
0

10

20

. 1.1

,
( ).
,
.
. . ,
0 1 (. 1.2).
( )
18

P( x X < x + x )
.

x
x 0

f(x) = lim

(1.3)

4
F( x + x) - F(x)
= F(x) .

x
x 0

f(x) = lim

(1.4)

, ( ).

1. f(x) 0;
b

2. P(a X b) = f(x)dx ;
a

3.
P( a X b) = P( a < x < b) = P( a X < b) = P(a < X b);
4. f(x) ,
x

F(x) = f(t)dt ;

5. f(x)dx = 1 ( ).

. 1.2 1.3 .
F(x)

f(x)
P(a X b)

f(m)

F(b)

F(a)
0

. 1.2

. 1.3

, f(m) = tg = F(x)x=m ( F(x) x = m).

19

 f(x) .
b

S = f(x)dx = P(a X b) .
a

1 ( a X b).
, f(x)
, . . P(a X b), .
1.3.

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

, . . . . ,
.
. , ,
. .
() .
:
k

M(X) = x i p i ,
i =1

(1.5)

k X.
:
+

M(X) = x f(x)dx.

20

(1.6)

 1.1 :
M(X) = 10.25 + 20.4 + 50.2 + 100.1 + 200.05 = 4.05.

1. () = , = const;
2. M(CX) = CM(X);
3. M(X Y) = M(X) M(Y) ;
4. M(aX + b) = aM(X) + b;
5. M(X Y) = M(X) M(Y ) .
,
, .
. , . ,
,
. ,
, . , ,

( ). .
D(X)
. :
D(X) = M(X M(X)) 2 = M(X 2 ) M 2 (X) .

(1.7)

i =1

i =1

D(X) = (x i M(X)) 2 p i = x i p i M 2 (X) .

(1.8)

D(X) = (x M(X)) 2 f(x)dx = x 2 f(x)dx M 2 (X).

1.1. :
D(X) = (1 4.05)20.25 + (2 4.05)20.4 + (5 4.05)20.2 +
+ (10 4.05)20.1 + (20 4.05)20.05 = 20.4475.
21

(1.9)


1. D() = 0, = const;
2. D(C X) = C 2 D(X) ;
3. D(X Y) = D(X) + D(Y), X Y ;
4. D(aX + b) = a 2 D(X).

, .
,
,
.
(X)
D(X):

(X) = D(X) .

(1.10)

V(X), :
(X)
V(X) =
100 % .
(1.11)
M(X)
1.1 : () = 20,4475 = 4.5219;
V(X) = 4.5219/4,05100 % = 111.65 %.
(, ,
)
,
,
. .
1.4.

,
. ,
. .
,
. 22

, 2, , .
, .
.
1.4.1.
( ) .
. ,
,
(x m)2

1
2
f(x) =
e 2 .
2
,

F(x) =

1
2

f(x)

(t m)
2

(1.12)

dt .

(1.13)

F(x)

1/2

m+

. 1.4

(1.12), (1.13), m .
m = M(X), = (X), . . D(X) = 2, = 3.14159 , = 2.71828 .
M(X) = m
(X) = , : X N(m, )
X N(m, 2). , m = 0 = 1.
() .
23


U (U N(0,1)), ,
f(u) =

1
e
2

F(u) =

1
2

- e

2
2

dt .

(1.14)

f(u), F(u) ,

(u) ( 1). :
(u) =

1
2

0 e

2
2

dt = F(u) 0.5.

(1.15)

( N(m, )) :
b m
bm
a m
a m

F
. (1.16)
=

P(a X b) = F

Xm
N(0,1).

. 1.4, . = m.
m . , ,
. ,
. P( X M(X) < ) = 0.68; P(X M(X) < 2 ) = 0.95;
P( X M(X) < 3 ) = 0.9973. , ( N(m, )) 99.73 %
[m 3 , m + 3].
,
. , N(m, ) Y N(my, y)
, Z = aX + bY N(mz, z), mz = a m + b my; 2z = a 2 2x + b 2 2y .
, N(m, ), U =

1.2. , Y B : X N(mx = 5, = 5),

24

Y' N(my = 10, y = 15). 100$. 1000$.

) X Y
B?
) Z
2 : 3?
) .
) , Z
110 150?
) 1000$ 10 . ,
=10 Y = 10Y .
mx = 10mx = 50 2x = 102 2x' = 10025 =2500; Y my = 10my = 150 2y = 102 2y' = 100225 = 22500; . .

X N(mx = 50, = 50), Y N(my = 150, y = 150).

) ,
B.
Z = 4X+ 6Y. , Z . mz = 4mx + 6my = 45 + 615 = 110;
2z = 4 2 2x' + 6 2 2y' = 1625 + 36225 = 8500; . . Z N(mz = 110, z 92.2).
)
1
2 50

f(x)

1
2 92.2

f(z)
1
2 150

f(y)
50

110

150

.1.5

150 110
110 110
) P(110 X 150) =

= (0.4338) (0)
92.2
92.2
0.1678 0 = 0.1678.

. , ,
25

 , . .
.
(
, . .).
(u)
1.5.1.
, . .

. 2-,
.
1.4.2. 2(-)
Xi, i = 1, ... , n
mi
i , . . Xi N(mi, i).
Ui = (Xi mi)/i, i = 1,..., n
, ,
Ui N(0, 1).
2 - n
( 2 2n ) ,
n

2 = U i2 = U12 + U 22 + ... + U 2n .
i =1

(1.17)

, (
) , ,
. , , n , m ,
= n m. , U2 12 .
(1.17) , 2 .
, 2-,

26

 .
2
( . 1.6).
f(2,)

=1
=6

M(2) = = n m,
D(2) = 2 = 2(n m).

=10
2

0
.1.6

X Y 2-
n k (X 2n , Y 2k ),
(X + Y) 2- = n + k.
2
, . 2- (.
1.5).
1.4.3.
U N(0, 1), V U , 2 n .

T =

U
V

(1.18)
n

(t-) n
( T ~ Tn).
(1.18) , n .
,
, (
).

27

f(t)

M(T) = 0,
D(T) =

n
n2

n=1
n=5
0
. 1.7

, n > 30 .
, .

(. 1.5).
1.4.4.
V W , 2
1 = m 2 = n .
V
m
F =
(1.19)
W
n

1 = m 2 = n
(F ~ Fm,n). , F
m n.
f(F)

m = 1, n = 1

M(F) =

m = 6, n = 60

n
n2

( n > 2 ),

D(F) =

m = 10, n = 10
0

. 1.8
28

2n (m + n 2)
2

m(n 2) (n 4)

( n > 4).

 m n . , Tn2 = F1,n, n ,
= n. F1,n ,
1 = 1
2 = n.
, .

(. 1.5).
1.5.

C .
( ) .
Y , . - ( ) +

y C Y , P(Y > y ) = f(y)dy = .

y

y y1- . , y1- = y.
f(y)

y1

. 1.9

y Y = y , .
, - (
)
( ) () .
29

1.5.1.

( 1)
1
2

(u) =

dt = P(0 U < u) = F(u) 0.5,

U [0,u).
1.1
U
0.0
0.1

3.0

5.0

0.00

0.01

0.02

0.03

0.04

0.05

0.06

0.07

0.08

0.09

.0000 .0040 .0080 .0120 .0160 .0199 .0239 .0279 .0319 .0359
.0398 .0438 .0478 .0517 .0557 .0596 .0636 .0675 .0714 .0753

.4987 .4987 .4987 .4988 .4988 .4989 .4989 .4989 .4990 .4990

.49999997

C U c
, U ( U
). (u)
u
( (u) ). , (0.17) = 0.0675, . .
P( 0 U < 0.17 ) = 0.0675. (u)
F(u)
. 1.10.
f(u)

U=

xm

F(u) = 0,5 + (u)

0,5 (u)
(u)

0
. 1.10
30

, F(u)
(u) 0.5.
.
1.5.2. t-

( 2) :
1.2

0.40

0.325

10 0.260

30 0.256

0.253
1

0.25

0.10

0.05

0.025

0.01

1.000

0.700

0.683

0.674

3.078

1.372

1.310

1.282

6.314

1.812

1.697

1.645

12.706

2.228

2.042

1.960

31.821

2.764

2.457

2.326

. ( )
. t, ,
. , t0.05;10 = 1.812. ,
P( t10 > 1.812) = 0.05.
t , , :
P( t > t , ) = .
f(t, )
= P( t > t,)
= P( t > t , )

0
. 1.11

31

t,

t ,

1.5.3. 2-
2- ( 3)
:
1.3

.975

.950

10

10-5

3.25

410-4

3.94

.900

.100

.050

.025

.016

4.87

2.71 3.84

15.99 18.31

5.02

20.48

20.60

40.26 43.77 46.98

30

16.79 18.49

. (
)
2 (. 1.12, ). 2, 2
, . , 0.25;
10 =
2
> 20.48) = 0.025. ,
20.48. , P( 10
2
-
2 2 . ,
1

2 , . .
f(2,)

f(2,)

2,

(. 1.12, ).
2

. 1.12
32

2
2

1.5.4. F-
( )
( 4 = 0.10; =
= 0.05; = 0.01). , = 0.05 :
1.4
2

161

4.96

3.94

3.84

10

100

10

242

2.98

1.92

1.83

100

253

2.59

1.39

1.24

254

2.54

1.28

1.00

,
1 = m 2 = n, F,m,n. , F0.05; 10; 10 = 2.98 (P(F10,10 > 2.98) = 0.05).
f(F,m,n)

F,m,n

. 1.13

1.6.

, , , . ,
;
,
, , . .

33

 .
(, ). , ; ; ; .
,
.
n CB X1,X2, ... ,Xn (n- =
= (X1,X2, ... ,Xn)) :

PX1 ... X n (x1 , ..., x n ) = P(X1 = x1 , ..., X n = x n );

(1.20)

F(x1 , ..., x n ) = P(X1 < x1 , ..., X n < x n );

(1.21)

n F(x1 ,..., x n )
f(x1 ,..., x n ) =
.
(1.22)
x1 x n
,
,
:
2 F(x1 , x 2 )
P(X1 = x1, X2 = x2); F(x1,x2)=P(X1 < x1, X2 < x2); f(x1 , x 2 ) =
.
x1x 2


, ( ) . () , . :
P1 (X1 = x1 ) = PX1X 2 ...X n (x1 ,..., x n ) ;
x2

F1 (x1 ) = F(x1 , , ..., ) =

x1 +

f X ...X

(1.23)

xn

34

(t, x 2 ,..., x n )dtdx 2 dx n ;

(1.24)

f1 (x1 ) =

f X ...X

(x1 , x 2 ,..., x n )dx 2 dx n .

(1.25)

.
n- .
, , 1, , n1 1, , n1 , n = n
:
P(X1 = x1 ,..., X n = x n )
.
(1.26)
P(X1 = x1 ,..., X n 1 = x n 1 X n = x n ) =
P( X n = x n )
, Y ( ) , Y
y (Y = y), ,
P(x, y)
f(x, y)
P(x y) =
;
( f( x y) =
).
(1.27)
P(y)
f(y)

( ) :
P(x, y) = P(X = x, Y = y) = P(x y) P(y) = P(y x) P(x)

(1.28)

( f(x, y) = f( x y) f(y) = f( y x) f(x) ) .

,
, - .
.
X Y :
P(x,y) = P(x) P(y); f(x,y) = f(x) f(y); F(x,y) = F(x) F(y). (1.29)
, ,
. .
, ,
(1.23), (1.24). ,
(X, Y) :
35

 1.5

Y
X
x1
x2

xi

xm
P(Y = yj)

y1

y2

yj

yn

P(X = xi)

p11
p21

pi1

pm1

p12
p22

pi2

pm2

p1j
p2j

pij

pmj

p1n
p2n

pin

pmn

P(X = x1)
P(X = x2)

P(X = xi)

P(X = xm)

P(Y = y1) P(Y = y2) P(Y = yj) P(Y = yn)

pij = P(X = xi, Y = yj).

n

j =1

i =1

P(X = xi) = pij , i = 1, 2, , m; P(Y = yj) = pij , j = 1, 2, , n.

.
,
.
: , .
k, l

x k y l P(x, y) ;
x y
(1.30)
m k,l = M(X k Y l ) = + +
k
l
x y f(x, y)dxdy .

, M(X) = m1,0, M(Y) = m0,1.

k, l

k,l = M((X M(X)) k (Y M(Y))l ).

, D(X) = 2,0;

(1.31)

D(Y) = 0,2.

X Y
1,1 (1,1), Y:
xy = COV (X, Y) = M((X M(X)) (Y M(Y)) =
= M(X Y) M(X) M(Y).
36

(1.32)

 ( )
( (co-vary)) .

xy

x i y j P(x i , y j ) M(X) M(Y) ,

x y
= + +
(1.33)
x

f(x,
y)dxd

M(X)

M(Y)

1. y = yx;
2. xx = D(X) = 2x ;
3. Y , xy = 0;
4. xy x y ;
5. COV (a + bX, c + dY) = bdCOV (X, Y), a, b, c, d
.

( )
( ) .
. . , ()
.
( ) .
Y

xy =

xy
x y

xy
D(X) D(Y)

(1.34)

Y,
, . Y , xy = 0, xy = 0.
xy 0, X Y .

37

1. xx = 1;
2. xy = yx;
3. 1 xy 1;
4. Y , xy = 0;
5. xy = 1 , Y = a + bx (..
Y ).
, Y , Y . . . 1.14.
Y

xy = 1

xy = 1

Y = aX2 + bX + c

xy 0

xy 0

xy 0 (xy < 0)
X 0

xy 0.7 0.9

. 1.14

1.3
,
. , ,
,
:
(1.35)
D(X Y) = D(X) + D(Y) 2COV(X, Y),
D(X Y) = D(X) + D(Y) 2xy x y.
38

(1.36)

,
.

. 4 .
1.3. X Y ( ) . . 1.6. , .
, , :
.
1.6
10

10

PX

10

0.05

0.25

0.3

0.6

20

0.15

0.20

0.05

0.4

PY

0.2

0.45

0.35

Y
X

.1.6 P(x, y)
. , P(X = 20, Y = 5) = P(20, 5) = p22 = 0.2.
Y . , P(X = 10) =
= PX(10) = 0.6. P(x|y)
, P(y|x) . , P(20Y = 5) =
= P( = 20, Y = 5) / P(Y = 5) = 0.2/0.45 = 0.444.
Y :
X

10

20

10

10

Px

0.6

0.4

Py

0.20

0.45

0.35

P(x, y) P(x)P(y) (, P( X = 20, Y = 10) = 0.05 0.40.35 =

= 0.14 = P( X = 20)P(Y = 10)), , . X Y:
M(X) = 100.6 + 200.4 = 2; M(Y) = 100.2 + 50.45 + 100.3 = 3.5;
2
2
D(X) = M(X ) M (X) = 1000.6 + 4000.4 4 = 216;
2
2
2
D(Y) = M(Y ) M (Y) = 1000.2 + 250.45 + 1000.35 (3.25) = 55.6875;
x = 216 14.7; y = 55.6875 7.46.
.
39

xy = M(XY) M(X)M(Y) = x i y j p ij M(X)M(Y) =

i =1 j=1

= 10(10)0.05 + (10)50.25 + (10)100.3 + 20(10)0.15 + 2050.2 +

+ 20100.05 (100.6 + 200.4)(100.2 + 50.45 + 100.3) = 44.
xy
44
xy =
=
0.4.
x y
14.7 7.46
, , X Y .
, . . .
, ,
, (D(X) = 216 > 55.6875 = D(Y)).
Z
(50:50) . , Z = 0.5X + 0.5Y.
M(Z) = M(0.5X + 0.5Y) = 0.5(M(X) + M(Y)) = 0.5(2 + 3.25) = 2.625;
D(Z) = D(0.5X + 0.5Y) = 0.25(D(X) + D(Y) + 2xyxy) =
= 0.25(216 + 55.6875 + 2( 0.4)14.77.46) 45.989.
D(Z) = 45.989 < 55.6875 = D(Y), ,

.

1. . ? ?
2. .
3. ?
.
4. . .
5. , ?
6. ?
.
7. ? .
8. ()? ?
9. .
10. .
.
11. ? .
12. ? .
13. ?
40

14.
, ?
15. ,
.
16. , .
17. ?
18. ,
2
, , ?
19. ,
2
, ?
20. .
21. .
22. , , ?
23. , ,
?
24. ?
25. ? ?

1.

80 % ,
50 %. , , 60 %. ,
.

2.

.
. , :
) ; ) ; ) ?

3.

A, B, C. 50 %, B 40 %, C 20%.
. , ?

4.

12 .
, .
. , 5 . ?
41

5.

. ,
80 % ,
25 % ,
50 % . ,
, , .

6.

10 % 10000 .
) 5 ;
) , ,
0.9;
) : 7 ?

7.

( )
(25 ). 5 10 . ., 10 20 . ., 7 25 . . 3
30 . .
. .

8.

1
b

3
2b

5
3b

7
4b

9
5b

) b.
) (), D(X).
) ( 3 < 7).
9.

(X).
X(%)
-10
-5
0
10
20
25
P
0.05 0.15 0.25 0.30 0.20 0.05
, . .

10.

:
X
P

100
0.05

200 300 400 500 600

0.15 0.25 0.30 0.20 0.05

$5,
$10 . .
?
42

11.

, . 1/3 $1, 1/3 $1.5, 1/3 $2.

,
. ?

12.

. 5000 . 250 , 1500 , 2500 , 600
150 . 0,05.
, 5 . ?

13.

(X, Y).
10

10

20

10

0.25

0.10

0.15

0.00

20

0.00

0.05

0.30

0.15

Y
X

) X Y.
) X Y, .
) P( X = xiY = yj) P(Y = yjX = xi).
) X Y ?
13.

X Y .
10

10

15

0.00

0.15

0.10

0.20

10

0.02

0.05

0.05

0.08

20

0.25

0.10

0.00

0.00

Y%
X%

)
.
) ?
) ?
) ?
15. , Y B . D(X) = 16, D(Y) =
= 9. (X,Y) = 0.6. , 30% 70% B?
43

16.

1
2 .
10

10

-10

0.20

0.10

0.02

0.03

0.30

0.05

10

0.01

0.04

0.25

X2
X1

:
) 1 2;
) Y = (1 + 2) / 2;
) ;
) Z = 2 1.
17.

, , $10,
10% 2
16 (%) . . P1
30 . P2 10 , .
)
?
) 0.5, .
)?
) , ?
) ( = 1),
50 % 50 % ?

18.

$1000 400. 1000 .

$1500? .

19.

$1 . $ 0.25 . , $0.8 . $1.2 $1.5 .?

20.

, () 30. 20%
35 . ,
?

44

2.
,
. ,
,
. . , . (
, ),
,
.
,
.

,
.

, .

.
:
) ; ; ; . .;
) ; ;
.
,
.
45

 .
, ,
.
2.1.
, . , ,
, . .
X
.
( ) , .

.
,
, .
, .
.
.
: , ,
, , , ,
.
.
.

. .
, , ,
46

 . , n = 1000, ,
. , :
, ( );
( ).
,
, .
.
.
.
,
.
. ,
, , . ,

. , ..
. , , , .
, , , , . ,
, . , , ,
47

 . , , - .

, . ,
(, , , . .).
, .
2.2.


.
. , x1, 2, , n , ,
. , . , ,
. .
- ( )
x1, x2,, xn : x1 x2
xn .
.
k ( k n ) .
x1 < x2 < < xk.
xi, i = 1, 2, ,k .
xi ni , ni
n
xi, i = i n
xi. , . 2.1:

48

 2.1

x1

x2

xk

ni

n1

n2

nk

n1
n

n2
n

nk
n

i =

ni
n

ni
i =1
k n
i

i =1

= n;

= 1.

F(x):
n
F(x) = x ,
(2.1)
n
nx , x ; n
. F(x) :
1.
0 F(x) 1;
2.
x1 < x2 F(x1) F(x2);
3.
F (x) = 0 x x1; F (x) = 1 x > xk.
F(x)
F(x) = P( X < x ), .
2.1. (%) . n = 100 , .
X
ni
ni
n

5
5

10
20

15
40

20
25

25
10

0.05

0.2

0.4

0.25

0.1

F(x)
.
0,
x 5;
0.05, 5 < x 10 ;

F (x) =

0.25, 10 < x 15 ;
0.65, 15 < x 20 ;
0.90, 20 < x 25 ;
1,
x > 25.
49

F(x)
1
0.90
0.65

0.25
0.05
0

10

15

20

25

. 2.1
(. 2.2, ) (. 2.2, ):
ni
n

ni

40 -

25 20 -

10 5-

0.250.20

10

15

0.4-

20

25

0.100.05-

10

15

20

25

. 2.2

. n x1 , x 2 , ... , x n k h (h ).
ni , i- n
. i = i i- n
. :

50

 2.2

[ xi-1, xi)

[ x0, x1 )

[ x1, x2 )

[ xk-1, xk )

ni

n1

n2

nk

ni
n

n1
n

n2
n

nk
n

, , i- ni

. nh
, .
2.2. ,
n = 300. k = 6 . :
[ xi-1, xi ) [ 0, 20 ) [ 20, 40) [ 40, 60)

[ 60, 80) [ 80, 100) [100,120)

ni

10

50

80

100

40

20

ni
n

1/30

5/30

8/30

10/30

4/30

2/30

.
, ,
100 . . h = 20, .
:
ni/(nh)
10/600 8/600 5/600 4/600 2/600 1/600 0

20

40

60

80

. 2.3

51

100

120

 (. 2.3) .
( N( m, )). m , .

2.3.

, , , .
N.
:
1 N
xi .
N i =1
:
x =

(2.2)

1 N
2
(2.3)
(x i x ) .
N i =1
:
D =

= D .
(2.4)
, . , ,
- : ,
, .

.
1 n
xB = xi .
(2.5)
n i =1
x B :
1 k
x B = nixi .
(2.6)
n i =1
:
52

D =

1 k
2
n i (x i x B ) .
n i =1

(2.7)

D :
1 n
(2.8)
D = (x i2 2x i x B + (x B ) 2 ) = x 2 x 2 .
n i =1
:
1 k
2
(2.9)
n i (x i x B ) .
n i =1

:
D =

= D =

1k
n (x x ) 2 =
n i =1 i i B

x2 x 2 .

(2.10)

(2.6), (2.9), (2.10) xi x + xi
.
i- : x i = i1
2
2.1 :
1
1 5
(5 5 + 20 10 + 40 15 + 25 20 + 10 25) = 15.75 ,
xB =
nixi =
100
20 i =1
D =

1 5
1
(5 10.752 + 20 5.752 + 40 0.752 +
n i (x i x B ) 2 =
100 i =1
100

+ 25 4.752 + 10 9.752 ) = 27.7625,

B =

27.7625 = 5.269.

2.2 :

xB =

1 6
1
(10 10 + 50 30 + 80 50 + 100 70 +
ni xi =
300 i =1
300

+ 40 90 + 20 110) = 61.33,
1 6
1
2
D =
(10 51.332 + 50 31.332 + 80 11.332 +
n i (x i x B ) =
100 i =1
300
+ 100 8.67 2 + 40 28.67 2 + 20 48.67 2 ) = 578.22,
B =

578.22 = 24.05.

53

 x B x .
. , 1.
V
, :

V = 100% .
(2.11)
x
,
,
.
1.6,
. Sxy rxy:
Sxy =

rxy =

Sxy
(X) (Y)

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

(2.12)

1 n
(x i x)(y i y)
xy x y
n i =1
=
.
n
2
2
2
2
1 n
1
2
2
x x y y
(x i x)
(y i y)
n i =1
n i =1

(2.13)

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

n (X, Y): (xi, yi),
n = 1, 2, , n.
xy =

2.3

xi

x1

x2

xn

yi

y1

y2

yn

54


, . ,
, :
1. () , rxy > 0 (rxy < 0).
2. rxy .
3. 1 rxy 1.
4. , rxy = 0.
5. rxy 1, .
.
, (. 2.4, ).
y

rxy > 0

rxy < 0

.QN

x 0
a

:N

:N.

rxy = 0

: .

: N
. M

. 2.4

1.
2.
3.
4.
5.
6.
7.
8.
9.

?
.
? ?
, .
? ?
: , , ?
?

.
.
55


1.

60 .
:
5, 6, 3, 2, 7, 7, 6, 6, 10, 11, 6, 4, 5, 6, 3, 12, 9, 10, 7, 4, 6, 7, 8, 8, 10, 5, 5, 4, 3, 6,
6, 7, 7, 8, 8, 10, 6, 4, 5, 6, 12, 7, 7, 8, 11, 9, 10, 5, 6, 4, 2, 7, 11, 8, 7, 9, 5, 6, 9, 5.
:
) ;
) ;
) ;
) ;
) , ,
.

2.

.
55 ( ):
39, 60, 40, 52, 32, 68, 77, 61, 68, 60, 47, 49, 70, 55, 66,
80, 35, 67, 70, 55, 42, 52, 60, 82, 70, 55, 47, 39, 50, 58,
45, 50, 53, 33, 49, 54, 55, 70, 62, 60, 60, 40, 59, 64, 70,
55, 54, 35, 48, 52, 57, 55, 82, 70, 51, 35, 49, 60, 55, 47.
:
) , ,
;
) , 5 ( h ?);
)
;
) ;
) , 7
;
) ), ) ); ?

3.

F(x) , n = 100.

F(x) =

0,
0.2,
0.5,
0.65,
0.9,
0.95,
1,

10;
10 < x 20;
20 < x 30;
30 < x 40;
40 < x 50;
50 < x 60;
x > 60.
56

4.

. 20 :
5, 10, 7, -5, 3, 10, 15, 10, 5, -3, -5, 3, 7, 15, 10, 10, 0, -2, 5, 10.
) ?
) ?

5.

(X) . 100
:
X%
ni

[0, 5)

[5, 10)

[10, 15)

[15, 20)

[20, 25)

[25, 30)

15

35

30

10

:
) () ;
) ;
) .
6.

20 :
50, 48, 47, 55, 50, 45, 50, 52, 48, 50, 52, 48, 50, 47, 50, 48, 52, 50, 50, 48.

) ;
) ;
) ;
) .

7.

X Y :
)

1 2 3 4 5

0 2 3 5 6

1 3 5 7 9

10 7 8 5 3

0 1 2 3 4 5 6

9 4 1 0 1 4 9

;
; ( ).
8.

10 (19811990) () (Y) :

57

1981
1982
1983
1984
1985

72500
72900
74150
73500
78350

1020
1290
1830
2250
2500

1986
1987
1988
1989
1990

82500
87000
86500
90000
89000

3000
4000
4200
4500
4000

) ; ?
)
; ?
) Y. ?
) Y , , , . . ?

58

3. :

(. . , ) , . , ()
( n = 1000).
n

x = x i n
i =1

S2 = (x i x) 2 n , .
i =1

: , . , ,
,
.
. , .
, . () . .
:
. ( )
,
. .
. . .

. ,
.
59

 , .
3.1.

. n: x1, x2, ..., xn,

* . ,
f(x) =

( x m) 2
2

2
m .
*
, n.
1 n
, m () m* = x = x i
n i =1
1 n
2
* = =
(x i x ) .
n i =1
, * ,
. . * = *(1, 2, ..., n). ,
* ,
. * = *(1, 2, ..., n )
.
, - * .
.
, ,
.
* (*) D(*). (*) D(*), (
). , : , .
60

 * ,
: (*) =.

,
n
.
()
.
.
,
.
. ? ,
,
.
,
. ,
. * , D(*) n, . . D(*) = Dmin.
. 3.1 , 1*

*2 .
f(*)
*

f( 1 )

f( 2 )

. 3.1

61

 ,
,
. 0.5.
, , . . D( n )0
n ( n n ).
n ,
n n , . . > 0
n P( n < ) 1. , ,

.
() . 3.2.
f(*)
f(*)n = 100

f(*)n = 50
f(*)n = 10

. 3.2

. , (, ) (. 3.2). . .
62

( n )

D( n ) 0 n , n .
, , .
, BLUE-
(Best Linear Unbiased Estimators). ,
, .
, ,
, .
3.2.

( , . .)
. ,
, , .
1 n
, x = x i n i =1
()
.
1 n
D = (x i x B ) 2
n i =1
2
D(X) = , . .
n 1
, D = 2
.
n
n 1
1,
. n
n
D ,
D(X) :
S2 =

n
1 n
1 k
2
2
D =
(x i x B ) =
n i (x i x B ) .
n 1
n 1 i =1
n 1 i =1

63

(3.1)

 S2 D(X) .
S:
S=

S2 =

1 n
1 k
2
2
(x i x B ) =
n i (x i x B ) .
n 1 i =1
n 1 i =1

(3.2)

, n > 30 D S2 ( S) .
.
D(X) ()
S2 S .
n
i n
P(X = xi). n
F*(x) = x ( )
n
()
F(x) = P(X < x).
3.3.

*
.
( n
). (1, 2), . , . ,
(1, 2).
= 1 , 0< < 1, ,
1 2, * ,
P(1 < < 2) = 1 = .
64

(3.3)

 , (1, 2) (1 ) 100(1 )% .
1 2 , P( < 1 ) = P( > 2 ) = /2 .
P(1 < < 2) = 1
P( < 1)= /2

P( > 2) = /2

. 3.3

, , n
( = 1 ). n ,
. ( = 1 )
. = 0.1; 0.05; 0.01,
90, 95, 99 % - .
:
1.
f(x, ) n,
* .
2. Y(), f(y, ).
3. .
4. Y,
1 2 ,
c2

P(c1 < Y() < c2) = f(y, )dy = 1

c1

1 2 , ,
P(Y() < c1) = /2;
P(Y() > c2 ) = /2 .
1 < Y() < c2
*
< < *+ , P(* < < *+ ) = 1 .
65

(3.4)

 (* , *+ ),
1 ,
.
,
.
. , = 1 , K n, (1 )K .
,
, .
3.3.1.


2 m (X (m, )). m.
1. m 1, 2, ..., n n.
1 n
m* = x i = x .
n i =1
xm
. , U
2. U =
/ n
, . . U N(0, 1)
u2

1 2
(f(u) =
e ).
2
3. .
4. , :
xm
P( U < u ) = P(
< u ) =
/
n
2
2
(3.5)

= P( x u
< m < x + u
) = 1 .
n
n
2
2

)
, ( x u
; x + u
n
n
2
2
66

 m 1 .

.
= u
n
2
, u 2

( 1) ( u ) =
2

1
= .
2
2

f(u)

=1
/2

/2

- u

. 3.4
3.1.
, , ,
= 10 . 25 ,
x = 244 . 95 %
?
, :
N(m, 10). 95 % - u = u0.025 1
2

0.95

= 0.475 . u 0.025 = 1.96.

2
(3.5) :
10
10
(244 1.96 ; 244 + 1.96 ) = (240.8; 247.92).
5
5

(u 0.025) =

3.3.2.

,
, . 67

 ,
.
N(m, 2), m 2 .
,
= 1 m.
n: 1, 2, ..., n.
1. m x ,
1 n
2
2 S2 =
(x i x ) ,
n 1 i =1
S = S2 .
2. xm
T =
,
S/ n
= n 1 m 2.
3. .
4.
P(T< t
2

t
2

, n 1

, n 1

) = P( t
2

, n 1

< T < t
2

, n 1

) = 1 ,

(3.6)

( 2).
xm
( t
< T < t
) = P( t
<
< t
)=
, n 1
, n 1
, n 1
, n 1
S/
n
2
2
2
2
(3.7)
S
S
= P( x t

< m < x + t

) = 1 .
, n 1
, n 1
n
n
2
2
, ( x t
2

, n 1

S
S
; x + t

)
, n 1
n
n
2

m 1 .

68

3.3.3.
N(m, 2), m 2 . 2 n: 1, 2, ..., n .
1. D(X) 1 n
2
S2 =
(x i x ) ,
n 1 i =1

S = S2 .
2.
(n 1)S2
2
, 2- =
2

= n 1
2 .
3. .
4. , 2-,
, 2
, 2

1 , n 1
2

, n 1
2

:
P( 2
< 2 < 2
) =1 .
1 , n 1
2
2

(3.8)

, n 1

,
(n 1)S2
2
2
2
2
P(
) = P(
<
< 2
)=
< <
2

1 , n 1
, n 1
1 , n 1
, n 1
2

= P(

S (n 1)
S (n 1)
2
<

<
) =1 .
2
2

(3.9)

1 , n 1
2

, n 1
2

S2 (n 1)
S2 (n 1)
2

< < 2
2

1 , n 1
2

, n 1
2

:
n 1
S 2

<< S

n 1
2

1 , n 1
2

, n 1
2

69

(3.10)

 , (

S2 (n 1) S2 (n 1)
, 2
)
2

, n 1
2

1 , n 1
2

2 1 . n 1
n 1
,S 2
) 1
( S 2

1 , n 1
2

, n 1
2

.
3.4.

3.4.1.

. , , , . .

.
. ,
, (
), : ( ) . , ,
, ,
.
, , . , 0, :
= 0. , , , . .
. , .
70

 0, , (). 1,
, 0. (). ,
0, . . 0: = 0,
:
H1(1) : 0 ;

H1(2) : > 0 ;

H1(3) : < 0 ;

H1(4) : = 1 (1 0 ).

,
, .
(,
),
, .
,
( H 0 : = 0 , H1(4) : = 1 ). ,
( H1(1) : 0 ; H1(2) : > 0 ; H1(3) : < 0 . ).
,
, . ,
?
.

0. .
, .
, ( , ). . .
, .
,
, .
71


:

0
0

3.1

0
1

. , , . . , 0
, ,
. , . , .

.
. , , ,
.

.

, . . (1 ) .
(, 0.1; 0.05; 0.01 . .), . , = 0.05, ,
5
100.
3.4.2. .

.

72

(, ),
. :
Z ( U) ;
;
2 2;
F .

K.
, K, .
: , ,
. ,
, . , , .

: K ( ) ,
. K , ().
,
, .
, ,
.
.
0 K.
, K 0 f(k|H0),
K k0. , K
(k1/2, k/2), :
k /2

P(k1 /2 < K < k /2 ) = f(k | H 0 )dk .

(3.11)

k 1/2

1
() K- k1/2, k/2 :
73

k1 /2

f(k | H 0 )dk = ,
2

P(K k /2 ) = f(k | H 0 )dk = .

2
k /2
P(K k1 /2 ) =

(3.12)

,
P(k1/2 < K < k /2 ) = 1 , P((K k1/2 ) (K k /2 ) ) = .
(0.05; 0.01), K (k1/2, k/2) . , , , 0 , K K (k1/2, k/2). K , ,
. ,
1 0 .
k1/2, k/2 .
f(kH0)

/2

/2

k1-/2

k0

k/2

. 3.5

( , k1 /2 ) (k /2 ,+) . , : 1: 0. , .
(k, +), P(K > k) = . ,
: 1: > 0 (. 3.6, ).
74

 (, k1), P( K < k1 ) = . , : 1: < 0 (. 3.6, ).

f(kH0)

f(kH0)
P(K > k) =

P(K < k1) =

k1

. 3.6

1. ( 0)
(1) ;
2. ;
3. n;
4. K 0;
5. ;
6. K.;
7. .


.
n
.

.
, , .
3.2 3.8.

75

3.5.

, , , .
() .
3.5.1.

,
m , 2 . , m = m0.

H 0 : m = m0 ,
H1(1) : m m 0

( H1(2) : m > m 0 ;

H1(3) : m < m 0 ).

H0 n: x1, x2, ... , xn

U=

x m0
,
/ n

(3.13)

1 n
2
x i , = . , 0 , n i =1
U
(UN(0,1)).
x =

1)
H1(1) : m m 0 . u/2 u1/2 = u/2
( 1) 1
(u /2 ) =
.
2
x m0
< u /2 0.
U . =
/ n
U . u /2 0 H1(1) .
2) H1(2) : m > m 0

u
1 2
(u ) =
.
2
76

 U. < u 0.
U. u 0 H1(2) .
3) H1(3) : m < m 0 u1 = u.
U. > u1 0.
U . u1 0 H1(3) .
3.2. 3.1 () = 250
= 0.05. , -
.

H0: m = 250;
H1: m 250.

244 250
= 3.
10 / 25
.
u/2 = u 0.025 = 1.96. U.=
= 3 > 1.96 = u., H0 H1.
, . , (240.8; 247.92), 3.1. 250 , H0.
(3.13) U =

3.5.2.

, m 2 . . , m = m0.
:

H 0 : m = m0 ,
H1(1) : m m 0

(H1(2) : m > m 0 ;

H1(3) : m < m 0 ).

0 n: x1, x2, ... , xn; 1 n

x = x i
n i =1
1 n
2
S2 =
(x i x) ,
n 1 i =1
S = S2 . t-:
77

T=

x m0
,
S/ n

(3.14)

H0 = n 1
.
3.5.1.
1) H1(1) : m m 0 ( 2)
= n 1 t /2, n 1 t 1/2, n 1 = t /2,n 1 .
x m0
< t /2, n 1 0.
S/ n
t /2, n 1 0 H1(1) .

T. =
T.

2) H1(2) : m > m 0 t,n-1 .

T. < t ,n 1 0.
T. t ,n 1 0 H1(2) .
3) H1(3) : m < m 0 t1,n1 =
= t,n1 .
T. > t ,n 1 0.
T. t ,n 1 0 H1(3) .
3.3. ,
. ,
$1 . 49 :
x = $0.9 S = $1.15 .
= 0.01?
H0: m = 1;
H1: m < 1.
0.9 1
H0 T. =
= 4.67.
0.15 / 7

t. = t0.01, 48 = 2.404.
T. = 4.67 < 2.404 = t., H0 H1,
, , $1 .
78

3.5.3.

, , . ,
-
, .

. ,
. .
N(m, 2); m 2 .
2 () 02 .
:
H 0 : 2 = 02 ,

H1(1) : 02
(H1(2) : > 02 ; H1(3) : < 02 ).
0 n: x1, x2, ... , xn; 1 n
x = x i ,
n i =1
1 n
2
S2 =
(x i x) . 0
n 1 i =1
:
(n 1) S2
.
(3.15)
2 =
02
0 2 2- = n 1 .
1) H1(1) : 2 02 2- ( 3) = n 1
2
12/2,n 1 /2,
n 1 .
2
2
12/2,n 1 < .
< /2,
n 1 0.
2
2
2
.
12/2,n 1 .
/2,
n 1 0

H1(1) .
79

2) H1(2) : 2 > 02 ,2 n 1 .
2. < ,2 n 1 0.
2. ,2 n 1 0 H1(2) .
3) H1(3) : 2 < 02 12 , n 1 .
2. > 12 , n 1 0.
2. < 12 , n 1 0 H1(3) .
3.4. -, , . 2
25 () . 20
1 20
2
2
2
S =
(x i x) = 30() .
20 1 i =1
, ? = 0.05.

, :
2
H0 : = 25;
2
H1 : > 25.
2
(3.15):
19 30
2
= 22.8. 2. = 0.05;
2. =
19. = 30.14.
25
2

2. = 22.8 < 30.14 = . , H0.

, ,
.

3.5.4.


. , ;
;
. X Y.
80

 X N(mx, 2x ) Y N(my, 2y ), 2x 2y
(, ). x1, x2, ... , xn y1, y2, ..., yk, n k
M(X) = M(Y) , . .
H 0 : M(X) = M(Y),
H1(1) : M(X) M(Y) (H1(2) : M(X) > M(Y); H1(3) : M(X) < M(Y)).
0 U:
U=

xy
2x
n

2y

(3.16)

0 U N(0, 1).
1) H1(1) : M(X) M(Y) ( 1) u1/2 u/2
1
, u1/2 = u /2 .
(u /2 ) =
2
U . < u /2 0.
U . > u /2 0 H1(1) .
2) H1(2) : M(X) > M(Y) u 1 2
.
(u ) =
2
U . < u 0.
U . u 0 H1(2) .
3) H1(3) : M(X) < M(Y) u1
u1 = u .
U . > u1 0.
U . u1 0 H1(3) .

81

3.5.5.

, .
X N(mx, 2x ) Y N(my, 2y ),

2x 2y . :
H 0 : M(X) = M(Y),
H1(1) : M(X) M(Y)

(H1(2) : M(X) > M(Y);

H1(3) : M(X) < M(Y)).

0 :
T=

xy
(n 1) S2x + (k 1) S2y

n k (n + k 2)
,
n+k

(3.17)

n, k x1, x2,... , xn y1, y2,... ,yk ;

x=

1 n
1 n
1 k
1 k
2
2
2
2
x i , Sx =
(x i x) , y = y i , S y =
(y i y) .
n i =1
n 1 i =1
k i =1
k 1 i =1

0 t- = n + k 2 .
1) H1(1) : M(X) M(Y) ( 2) = n + k 2
t 1/2,n + k 2 t /2, n + k 2 ( t 1/2, n + k 2 = t /2,n + k 2 )
.
T. < t /2,n + k 2 0.
T. t /2,n + k 2 0 H1(1) .
2) H1(2) : M(X) > M(Y) t,n+k-2
.
T. < t ,n +k 2 0.
T. t , n + k 2 0 H1(2) .

82

3) H1(3) : M(X) < M(Y)

t1 , n + k 2 = t , n + k 2 .
T. > t ,n + k 2 0.

T. t , n + k 2 0 H1(3) .
3.5. 25 . X Y
2

. : x = 400; S 2x = 300; y = 420; S y = 150.

, ? =
= 0.05.
:
H0 : M(X) = M(Y);
H1 : M(X) < M(Y).
(3.17) , n = k = 25:
400 420
25 25 ( 25 + 25 2)

= 4.71; t.= t0.05;25+252 = 1.68.

T. =
25 + 25
24 300 + 24 150
T. = 4.71 < 1.68 = t., H0 H1, ,
.

3.5.6.


.
,
. . , . , , .
X N(mx, 2x ) Y N(my, 2y ), 2x

2y . 2x 2y :

H 0 : 2x = 2y ,
H1(1) : 2x 2y (H1(2) : 2x > 2y ).
83

 x1, x2, ... , xn y1, y2, ... , yk

n k x, y, S2x S2y (
S2x S2y . ).
0
S2x
(3.18)
F= 2 ,
Sy
. 0 , F F 1 = n 1 2 = k 1 .
1) H1(1) : 2X 2Y ( 4)
1 2
F/2, 1 , 2 .
F. < F/2, 1 , 2 0.
F. F/2, 1 , 2 0 H1(1) .
2) H1(2) : 2x > 2y F, 1 , 2 .
F. < F, 1 , 2 0.
F. F, 1 , 2 0 H1(2) .
,
H1(2) .
3.6. 3.5 , , X Y (. .
, ).
:
2

H0 : x = y ,
H1 : x > y .

(3.18) F. =
= 300/150 = 2. F.= F0.05; 24; 24 = 1.98.
F. = 2 > 1.98 = F., H0 H1,
, .

84

3.5.7.

( , , ). . X Y, . :
H 0 : xy = 0,
H1(1) : xy 0.
0 (x1, y1), (x2, y2), ... , (xn, yn) n

rxy n 2
,
(3.19)
T=
2
1 rxy
rxy .
0 = n 2 .
( 2) n 2
t/2,n2.
T. =

rxy n 2
2
1 rxy

< t /2,n 2 , -

0. T. > t /2,n2 , 0 H1(1) .

H0 , , ( ).
, X Y , . .
.
3.7.
(X) (Y) 11 .
() rxy =
= 0.34. ( = 0.02)?
85

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

(3.19) - . =

0.34 11 2
1 ( 0.34) 2

= 3.254.

t/2;n2 =
= t0.01; 9 = 2.821. .= 3.254 > 2.821 = t., rxy . , xy
, (X) (Y) .

1. ?
2. , .
3. ?
.
4. (BLUE)?
5. ? ?
6. ?
7. ?
8. ?
9. ?
10. ?
11. ? .
12. ? .
13. .
14. ?
?
15. ?
16. ?
17. . ?
18.
?
86


1.

(%) 10 : 2.8; 3.2; 5.1; 1.8; 0.6; 0.7; 2.1; 2.7; 4.1; 3.5.
,
.

2.

(, $ .) . 16 : 8.5; 10.5; 12.25; 7.0; 17.0; 8.75; 10.0; 9.3; 8.0; 11.5; 10.0; 12.0;
9.0; 6.5; 13.0; 10.2. . ?

3.

,
2
m = $1000 =
2
= 40000($) . 500
x = $900.
) 90 95 %-
.
) $1000?
)
? ?

4.

7 . . ( ,
, ).
I : 85.5; 92.7; 79; 68.6; 102.5; 88.3; 82.7.
II : 90.5; 77.5; 85.3; 72.5; 108.7; 80.3; 79.
) 95 %- 1)
; 2) ; 3)
.
) ? , ?
) ,
, : 83; 90.5; 79;
68; 94.5; 85; 80.5. 95 %-
.
) , 3 ?

5.

- 250 . ,
,
87

 5 . 10 : 245, 248, 250, 250, 252, 256, 243, 251, 244, 253.
) 95 99 %- .
) ?
?
6.

()
m = 7.5 = 0.5 . , , my
7 . 15 x = 7.45; y = 7.15. ?

7.

( ) .
,
.
:
: 41, 50, 35, 45, 53, 30, 57, 20, 50, 44, 36, 48, 55, 28, 40, 50.
: 40, 57, 52, 38, 25, 47, 52, 48, 55, 48, 53, 39, 46, 51, 45, 55, 43, 51, 55, 40.
)
?
) = 0.05, ?
?
) .
) = 0.01?

8.

25 , 7
S = 2 . , ()
:
) 90 99 %-
mx x.
) , , 5 .
) , 5.5 . ?

9.

,
$1000 = 100. 36
: x = $900 S = $150. 88

 , , ? ?
10.

10
100 . , 9 100 . , x > 9.4.
, n = 25.

11.

25 , $1200
S = $120. , , :
) 90 % - m
.
) ,
m $50?
) , m $50 0.9?

12.

$100 = $50. ,
, 100 0.95? , ,
$6000?

13.

Y 25 : x = 100; y = 75; (x i x) 2 = 625; x i y i =

2

= 187000; (y i y) = 484.
Y. xy ?
14.

:
) rxy = 0.43, n = 60, = 0.1 H1: xy < 0;
) rxy = 0.2, n = 45, = 0.05 H1: xy 0;
) rxy = 0.35, n = 100, = 0.01 H1: xy 0.

15.

(N)
(Q) . 10 :
N
50
61
72
43
60
65
76
55
62
40
Q

10

12

20

15

15

21

14

18

N Q.
89

16.

( .) 2
. X N(m = 25, = 36).
25 . , 15 30 .?

17.

( ), , ( Y).
450
:
xi = 25200;
yi = 110500; (x i x) 2 = 72300;
2
2
(yi y) = 1500200; (x i x)(y i y) = 201350.
) .
) , ?
= 0.05.
) 95%- . ?
) ( = 0.01).

90

4.
4.1.
, ,
, , , .
, ,
. ,
, . , , .
, ,
.

. , .

,
. . ,
, , . ,
.
, . . ,
; ; ( , , . .);

91

 ,
.

, , ,
. ,
,
(-) (-) .
, , .
-. , . , ,

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

() ,
.
. ,
, , . .
, , , , -,
, ; -,
, ; -,
. .
92

 , ,
. ,
, .
,
. , , .
.
4.2.

X Y. , ( ) .
. , , , .
,
. ,
. ,
, ,
.
(),
(). . ,
. .
.
. .
, (
) ,
. , ( )
93

 ( ). , () () ()
. ,
M(Yx) = f(x),

(4.1)

Y X. X () (), Y () . . ,
(Yx1, x2, , xm) = f(x1, x2, , xm),

(4.2)

.
( , ) XIX . , ,
. , ,
. () . , .

( ) ,
()
.
, ( ), , , ,
. ,
()
Y = M(Yx) + ,
(4.3)
Y = (Yx1, x2, , xm) + ,
().
94

(4.4)

 .
,
(). , .
1. .
( , ) .
, ,
. , (Q) (P), (Ps) -, (Pc) , (I) , (N), (T), (W) . .
, . , , , ,
, , ,
: Q = f(P, Ps, Pc, I, N, T, W, ).
, ,
, . ,
-
. , , , , ,

. , (, ),
(, , ).
2. . -
, - , .
, , ,
. , (Y) (X)
95

Y = a + bX,
Y = aXb (0 < b < 1), .
, .
3. . ,
, . ,

, , , .
.
4. . ,
, .
5. .
, . , . .
6. . . ,
, .
,
.
.
, , .
:
1) ;
2) ;
3)
, .

.
96

 , ( )
(. 4.1).
Y

Y
1

. 4.1

4.1 .
4.1, X Y ,
1 .
X Y Y = b 0 + b1X .
4.1, X Y, , Y = aX 2 + bX + c ( 2),
(, 1), .
4.1, X Y .
,
( ) . , 1 2, ,
, Y X.

, .
()
() .

97

4.3.

, . ( )
. ,
.
,
I: C = Co +bI, Co , b (0 < b 1) .

, . .
.
, () . . 4.2.

I1

I2

I3

I4

I5

. 4.2

, ( ) M(YX =
= xi) Y X.
M(YX = xi) = 0 + 1xi.

(4.5)

, 0 1 .
98

 , yi
, (4.5) i.
yi = M(YX = xi) + i = 0 + 1xi + i.

(4.6)

(4.6) ; 0 1 ( ) ; i .
, yi
(0 + 1xi) (i), 4.2.
Y = 0 + 1 + .

(4.7)

X Y
, .
, , ( x i , y i ),
i = 1, 2, , n, Y:
) 0 1;
) ;
) , ( ).
,

)
y i = b 0 + b1x i ,
(4.8)
)
y i M(YX = xi); b0
b1 0 1, . ,

yi = b0 + b1xi + ei,
(4.9)
i i.
b0 b1
99

 0 1, .
.

. 4.3.
Y

M(YX) = 0 + 1X

n
)
Y = b 0 + b1 X

en

ei

e1
1

x1

xi

xn

. 4.3

, (xi, yi), i = 1,
2, , n, b0 b1 0 1 ,
. , )
Y = b 0 + b1X .
ei, i = = 1, 2, ,
n. , b0 b1 ,
:
n
n
n
)
1) e i = (y i y i ) = (y i b0 b1x i ) ;
i =1
n

i =1
n

i =1
n

)
2) e i = y i y i = y i b 0 b1x i ;
i =1
n

i =1
n

i =1
n

)
3) ei2 = (yi yi )2 = (yi b0 b1x i )2 .
i =1

i =1

i =1

100


,
n

( , Y = y ), e i = 0 ( i =1

).
().

, n

e i2 . i =1

(). . ,
, , .
() ().
4.4.

(xi, yi), i = 1, 2, , n
b (4.8).
Y

e3

e1

e2

x1

x2 x3

)
Y = b 0 + b1 X

e5

e4

x4

en

.....

x5

....

xn

. 4.4

:
101

n
n
n
)
Q(b 0 , b1 ) = e i2 = (y i y i ) 2 = (y i b0 b1x i ) 2 .
i =1

i =1

i =1

(4.10)

, Q
b0 b1 (Q = Q(b0, b1)), x i , y i
. Q , (Q 0) , .

n
Q(b0, b1) = (y i b 0 b1x i ) 2
i =1

b0 b1. n

i =1

, , i = 1 i = n.
Q
b = 2 (y i b0 b1x i ) = 0;
0

Q = 2 (y b b x )x = 0.
i 0 1 i i
b
1

nb0 + b1 x i = y i ;

b0 x i + b1 x i2 = x i y i .

(4.11)

(4.12)

(4.12) n, :
xy x y

;
b0 + b1x = y;
b1 = 2
2

(4.13)

x
x

b0 x + b1x 2 = xy.
b = y b x.
0
1
1
1
1
1
x = x i , x 2 = x i2 , y = yi , xy = x i yi .
n
n
n
n
, b0 b1 (4.13).
, b1 :
(x x)(y i y) Sxy
(4.14)
b1 = i
= 2 .
Sx
(x i x) 2

S xy
S xy S y
Sy
(4.15)
b1 = 2 =

= rxy ,
Sx
Sx Sx Sy Sx
102

 rxy ; Sx, Sy
. ,
,
.
, rxy ,
b1
(4.15).
)
, Y X (Y = b 0 + b x X) ,
X Y
)
2
(X = c 0 + b y Y) , bx by rxy
:

bxby = rxy

Sy
Sx

rxy

Sx
2
.
= rxy
Sy

(4.16)

, c0 by ,
(4.13):
xy x y

;
b y = 2
2
y
y

(4.17)

c = x b y.
y
0

:
1. ,
.
2. .
3. (4.12)
( x, y ).
4. ,
ei ,
e .
, 2 (yi b 0 b1x i ) = 0
1
(4.11) , 2 ei = 0. ei = 0. ei = 0. e = 0.
n
5. i
yi Y.
,
Y . ,
103

Sye =

1
1
(yi y)(ei e) = (yi y)ei .
n
n
____

, (yi y )ei = 0. i (i = 1,n ) (4.9), :

yi = nb0 + b1xi + ei = nb0 + b1xi (. . ei = 0).

n, :
y = b0 + b1 x .

(4.9) ,
:
yi y = b1(xi x ) + ei.

(4.18)

(yi y )ei = b1(xi x )ei = b1(xi x )((yi y ) b1(xi x )) =

= b1(xi x )(yi y ) b12 (xi x )2 =
= b12 (xi x )2 b12 (xi x )2 = 0.
, Sye = 0.
6. i
xi X.
, Sxe = 0 (4.11) ( ).
i yi
Y.
.
4.1. Y (. .) X (. .) n = 12 ( ), . 4.1.
; Y X; X Y; X = 160.
4.1

xi

107

109

110

113

120

122

123

128

yi

102

105

108

110

115

117

119

125

10

11

12

136

140 145

150

132

130

144

141

:
104

Y
144
141
132
130

125

119
117
115

110
108
105
102

107 110

113

120

123

128

136

140

145

150

. 4.4
,
)
X Y : Y = b 0 + b1 X .
:
4.2
i

xi

yi

xi

xiyi

yi

)
yi

ei

ei

107

102

11449

10914

10404

103.63

1.63

2.66

109

105

11881

11445

11025

105.49

0.49

0.24

110

108

12100

11880

11664

106.43

1.57

2.46

113

110

12769

12430

12100

109.23

0.77

0.59

120

115

14400

13800

13225

115.77

0.77

0.59

122

117

14884

14274

13689

117.63

0.63

0.40

123

119

15129

14637

14161

118.57

0.43

0.18

128

125

16384

16000

15625

123.24

1.76

3.10

136

132

18496

17952

17424

130.71

1.29

1.66

10

140

130

19600

18200

16900

134.45

4.45

19.8

11

145

141

21025

20445

19881

139.11

1.89

3.57

12

150

144

22500

21600

20736

143.78

0.22

0.05

**

35.3

1503

1448

190617

183577

176834

125.25

120.67

15884.75

15298.08

14736.17

.
.

105


xy x y 15298.08 125.25 120.67 184.1625

=
=
= 0.9339;
b 1 = 2
197.1875
15884.75 (125.25) 2
x x2

b = y bx = 120.67 0.9339 125.25 = 3.699.

2
, :
)
Y = 3.699 + 0.9339X .
.
)
)
y i , e i = y i y i .
:
xy x y
184.1625
rxy =
=
= 0.9914 .
2
2
2
2
14
.
04

13
.
23
x x y y

()
X Y. .
= 160
)
y(160) 153.12.

. , , .
b1
(MPC 0.9339). , , .
b1
( ). .
b0 Y ,
(. . ). . , ( ),
,
. b0 = 3.699 , 3.699 . . 106

 ( ), . b0
Y.
,
b0 b1 0
1,
. (. . 4.2) .
ei. i .

. .
. .

1. ?
2. ?
3. .
4. .
5. , ?
6.
?
7. .
8. ()?
9. .
10.
?
11. , ?
12. .
107

13. , , ,
?
) i i .
) .
)
.
) .
) .
) b1
Y .
) b1 Y X ,
rxy.
) , .
) , . . ,
.
14. , , :
) ;
) ;
) ;
) ;
) ;
) .
(
), ,
, .
15. , Y
X X Y, ?
16. :
) ;
) ;
) ;
) .
.
17. Y .
Y
108

 .
L1 L2 (. 4.5).
2
| ei | , ei .
, , ?
.
Y
L1

L2

X
. 4.5
18. x , :
) Y y ;
) Y = b0 + b1X Y
y , ;
) Y = b0 + b1X Y
y ;
) i y( x ) .
?

1.

P
,
.

10

11

12

10

20

15

25

30

35 40 35 25

40

45

40

110 75 100 80

60

55 40 80 60

30

40

30

) P Q.
) .
) rpq.
) .
109

2.

() (Y) 60
.
X

100
120
140
160
180
200
220
240
260
280

60, 65, 75, 85, 90

70, 70, 80, 85, 90, 100
90, 95, 95, 100, 100,120
100, 110, 115, 120, 125, 125, 130
110, 120, 120, 130, 135, 140, 150, 150
120, 125, 130, 135, 140, 150, 160, 165
120, 140, 145, 145, 155, 165, 180
150, 160, 170, 190, 200
140, 160, 180, 210, 220
180, 210, 230

) , (YX = xi).
) .
) ,
.
) , .
) . , ,
?
) ) ).
? .
3.

10 :
x i = 100 ;

y i = 200 ;

x i y i = 21000 ; x i = 12000 ;

y i = 45000 .

Y X X Y.
rxy.
4.

:
yt = b0 + b1xt + et, t = 1, 2, , T.
, et = 0; etxt = 0.

5.

n = 10 :
2

x i = 993.4 ; y i = 531.3 ; x i y i = 53196.61 ; x i = 105004.5 ; rxy = 0.75.

Y X X Y.
110

6.

, 25 :
) yt = 30 + 0.18xt (yt , xt );
) yt = 50 + 4.5t (yt , t ). .
?

7.

, .
.

8.

(CONS) (INC)
:
CONS = 0 + 1INC + .
) 1?
) 0?
) 100 :

CONS = 145.65 + 0.825 INC.

) ?
)
$20000?
)
(MPC)?
) , (APC)?
) .
MPC APC?

111

5.
5.1. .

. , , , ,
b0 b1 )
0 1, y i M(YX = xi),
. .
(4.6), i xi i. , Y , i. ,
,
i, . ,
,
, .

Y = 0 + 1 + .

(5.1)

n
)
Y = b0 + b1X.
(5.2)
(4.14),

b1 =

S xy

,
(5.3)
S2x
, b1 .
, Sxy , X Y.
, , Y i. b1 .
Sxy = COV(X, 0 + 1 + ) = COV(X, 0) + COV(X, 1) + COV(X, ).

Sxy = 1 S2x + COV( X, ).

112

(5.4)

 :
COV(X, 0) = 0, . . 0 = const, COV(X, 1) = 1COV( X, ) = 1 S2x .
,
S xy
S
(5.5)
b1 = 2 = 1 + x2 .
Sx
Sx
1 ( S
), x2 .
Sx
b0. ,
, 0 1,
.
, , , ,
. , , .
( )
10. i
: M(i) = 0 .
,
.
,
, .
, M(i) = 0
M(YX = = xi) = 0 + 1xi.
20. i :
D(i) = D(j) = 2 i j.
, ,
, , ,
().
( ).
( ).
113

 D(i) = M(i M(i))2 = M( i2 ) ,

: M( i2 ) = 2.
, , 8.
30. i j
i j.
, . , .
:
0, i j;
i j = cov( i , j ) =
(5.6)
2
, i = j.
, , . 10 (5.6) : M(i j) = 0 (i j).
, , 9.
40. .
,
.
:
i xi = cov(i, xi) = M((i M(i))(xi M(xi))) = M(i(xi M(xi))) =

= M(i xi) M(i) M(xi) = M(i xi) = 0.

,
.
50. .

114

 . 1 5 ,
, , :

1. , . . M(b 0 ) = 0 , M(b1 ) = 1 .
, M( i ) = 0

.
2. , . .
n :
0 . , D(b 0 ) n
0 , D(b1 ) n

(b0
0, b1 1).
3. , . .
, yi.
BLUE (Best Linear Unbiased Estimators) .
2 3 , . .
() i , j , , .

. :
;
;
;
;
.
5.2.

b0 b1 0 1
.
i M(b 0 ) = 0 ,
115

M(b1 ) = 1 . ,
0 1, . . D(b0) D(b1) . , ,
i. D(i)
D(YX = xi) Y ( Y, X). , , ,
( 20) D(i) = 2 = 2.
D(b0)
D(b1) 2 i.
b
Y:
b1 =

(x i x)(y i y) (x i x)y i y (x i x)
=

.
2
2
2
(x i x)
(x i x)
(x i x)

b1 =

(x i x)(y i y) (x i x)y i
=
, . . (xi x ) = 0.
2
2
(x i x)
(x i x)

ci =

(x i x)
, :
2
(x i x)
b1 = ciyi.

(5.7)

:
b 0 = y b1x =
di =

1
yi
c i y i x = ( c i x)y i .
n
n

1
c i x , :
n
b 0 = d iy i.

(5.8)

, Y
X, ci di . ,
2
2
2
D(b1) = D( ciyi) = c i =
(5.9)
2
(x i x)
1 2c x
1
D(b0) = D( diyi) = 2 d i2 = 2( c i x )2 = 2 ( 2 i + c i2 x 2 ) =
n
n
n

116

= 2(

1
x2
x2
2 x i2
2 1
)
=
. (5.10)
0+
)
=

(
+
2
2
2
n
n
(x
x
)
n
(x
x
)

(x
x
)
i
i
i

(5.10), (5.11) .
b0 b1
2. , ,
.
n , .
, . . ,
.
( (i x )2) , .
,
, ( ).

.
, i
, e i = y i b 0 b1x i yi
Y .
D(i) = 2
2
1
ei
2
2
(yi b0 b1xi) =
.
(5.11)
S =
n2
n2

S2
2
,
(5.12)
D(b1 ) Sb1 =
2
(x i x)

D(b 0 ) S2b 0 =

S2 x i2
= x 2 S2b1 .
2
n (x i x)

(5.13)

ei
S =
( n2
). ,
2

ei
, , . . S =
n2
( ).

117

S2b0 Sb1 =

S b0 =

S2b1 -

b0 b1,
.
.
b1 .
Y , (
) . , ( i = 0 ), b a ( e i = 0 S2 = 0 Sb 0 = Sb1 = 0 ). , . 5.1, ( e i2 = 0 ). . . 5.1,
,
( ),
. 5.1, .
((1, 2), (1, 3), (2, 3)). , , , Sb1 b1 .
Y

3
1

2
1

. 5.1

(5.12), S2b1 ,
(i x )2 xi x .
( , , S2b1 118

 ), X.
, . 5.2 (1, 3) (2, 3)
. (1, 3) (2, 3).
3 3, 3 (. .
), (1, 3) , (2, 3).
Y
3

2
1

. 5.2
2

xi
n
2
Sb1 . , , (x, y) ,
, OY.
, ,
x 2 . ,
X
,
OY.
.5.3 (1, 2) (3, 4)
, OY (0, b0).
X ( X Y), .
1 3 ( 1, 3),
(1, 2) (3, 4) . S2b 0 = S2b1

119

 b01 b0, b02 .

Y
3
a

b02

3
1a

b01

b0

X
. 5.3

5.3.

. ,
. b0 b1 0 1 .
, 3.4.

H0: b1 = 1,
H1: b1 1

b 1
,
(5.14)
t= 1
Sb1
H0
= n 2, n . , H0: b1 = 1 ,

.=

b1 1
,
t
,n 2
Sb1
2
120

(5.15)

 . (5.15) c, H0.


Y X. :
H0: b1 = 0,
H1: b1 0.

. , H0 , , Y . , b1 ( ). H0 b1 , Y X.
, . . ,
, .
, 1 = 0,
b1
Sb1 = S2b1 .
=
= n 2, n . t.
b
b
t= 1 = 1 .
(5.16)
2
Sb1
Sb
1

t-
. , t = 0 b1 = 0, t b1.
X Y.
t- b0:
b
b
t= 0 =
.
(5.17)
S b0
S2b
0

121

, b1, . .
Y.
S2b1

4.1.
2
2
S2
35.3
(y i b0 b1x i )
ei
=
=
=
=
= 0.0023.
n( x 2 x 2 ) n(n 2)( x 2 x 2 )
n(n 2)( x 2 x 2 ) 12 10 125.25

S b1 = 0.0023 = 0.0485.
t b1 =

b1
0.9339
=
= 19.2557.
S b1 0.0485

= 0.05 t. = t
2

,n 2

= t 0.025;10 = 2.228.
t b1 = 19.2557
t 0.025;0.8 . t b1 = 19.2557 > 2.228 = t.,

{t = 0}

. b1.
b0:
S2 x i2
S2b 0 =
= S 2b1 x 2 = 0.0023 15884.75 = 36.5349 .
2
2
n( x x )
S b 0 = 36.5349 = 6.044.
t b0 =

b0
3.699
=
= 0.612 .
S b 0 6.044
t b 0 = 0.612 < 2.228 = t., -

b0 . , ,
Y = b1X.

,
.

( t < 1 ), , . . 0.7.
1 < t < 2,
122

 () .
0.7 0.95.
2 < t < 3, X Y.
0.95 0.99.
, t > 3,
.
, . , . n >10
.
5.4.

5.2,
i
, . .
i N(0, 2 ) .

(), .
,
, ,
.
i , .
,
(, ). , . , i
(i = 1, n ) M( i ) = 0 , 2 ( i ) = 2 .

(BLUE) b0 b1 0 1
, ,
.
,
b0 b1 . , 123

,
. , (5.7),
(5.8), b1 b0 :
b1 = ci yi ,

b0 = di yi ,

ci, di .
, b1 b0
yi. yi (4.6) i ( , 0, 1 xi
). b1 b0 yi
i, . , b1 b0
.
, M(b 0 ) = 0 , M(b1 ) = 1 .
S2
=
,
2
(x i x)

D(b1 ) S2b1

D(b 0 ) S2b 0 =

S2 x i2
,
n (x i x) 2

S2 =

ei
.
n2

, b0 N(0, D(b0)), b1 N(1, D(b1)).

, ,
b0 0
b 1
t b1 = 1
,
(5.18)
S(b 0 )
S(b1 )
= n 2.
100(1 )%-
=1
t ,
t b0 =

,n 2

P( t < t
2

,n 2

) =1 .

(5.18) (5.19),
b 0
< 0
P( t
< t ) =1 ;
,n 2
,n 2
S(b
)
0
2
2

P( t
2

,n 2

b 1
< 1
< t ) =1 .
,n 2
S(b1 )
2

, , :
124

(5.19)

(5.20)

P(b 0 t
2

,n 2

P(b1 t
2

S(b 0 ) < 0 < b 0 + t

,n 2

S(b1 ) < 1 < b1 + t

S(b 0 )) = 1 ,

(5.21)

S(b1 )) = 1 .

(5.22)

,n 2

,n 2

C (5.12), (5.13)

P(b 0 t
2

P(b1 t
2

,n 2

,n 2

S2 x i2
S2 x i2
<
<
+
) = 1 ; (5.23)

b
t
0
0

, n 2 n (x x) 2
n (x i x) 2
i
2
S2
S2
<
<
+
) =1 .

b
t
1
1

2
, n 2 (x x) 2
(x i x)
i
2

(5.24)

(5.23), (5.24)

(5.25)
b 0 t S(b 0 ); b 0 + t S(b 0 ) ,
,n 2
,n 2

2
2

(5.26)
b1 t S(b1 ); b1 + t S(b1 ) ,
,n 2
,n 2

2
2
(1 )
0 1.
4.1 95%- :
(3.699 2.2286.044; 3.699 + 2.2286.044) = (9.767; 17.165);
(0.9339 2.2280.0485; 0.9339 + 2.2280.0485) = (0.826; 1.042).

0 0, (1 ) b0 b1.
5.5.

() .
: ( ),
( ).
125

 .
)
y i = b 0 + b1x i , M(YX = xp)
)
Y X = xp. y p = b 0 + b1x p -

M(YX = xp). ,
)
y p ,
, .
, (1 )
xp .
)
, , Yp
. (5.7), (5.8), :
)
Yp = b0 + b1xp = diyi + ( ciyi)xp = (di + cixp)yi.
)
, Yp
, , .
)
M( Yp ) = M(b0 + b1xp) = M(b0) + M(b1)xp = 0 + 1xp ,
(5.27)
)
2
D( Yp ) = D(b0 + b1xp) = D(b0) + D(b1) x p + 2cov(b0, b1) xp
( : D(X + Y) = D(X) + D(Y) + 2cov(X, Y);
D(cX) = c2D(X); cov(X, bY) = bcov(X, Y)).
cov(b0, b1) = M[(b0 M(b0))(b1 M(b1))] = M[(b0 0)(b1 1)] =
= M[( y b1x ( y 1x ))(b1 1)] = x M[(b1 1)(b1 1)] =
2
= x D(b1) = x
.
2
(x i x)
2 x i2
2
2
2
x p 2 x
+
xp =
2
2
n (x i x) 2
(x i x)
(x i x)

(x x p ) 2
2
2 1
2
[ x 2xx p + x p ] = +
=
.
(5.28)
2
2
(x i x)
n (x i x)
2
ei
2
2
,
S =
n

2
)
S2( Yp ) .
)
D( Yp ) =

126

)
Yp ( 0 + 1x p )
)
=
S(Yp )

(5.29)

= n 2.
,
= n 2 t , 2

P( T < t
2

,n 2

,n 2

) = 1 . (5.29) :

Yp ( 0 + 1x p )
< t = 1 .
P
)
(5.30)

,n 2
S(
Y
)
p
2

:
)
)
P(b0 +b1xp t S( Yp )<0+1xp<b0+b1xp+ t S( Yp )) =1. (5.31)
2

,n 2

,n 2

, M(YX = xp) = 0 + 1xp

:
2
2
1 (x x p )
1 (x x p )
b0 + b1xp t
S
; b0 +b1xp+ t
S
+
+
2
2
,n 2
,n 2
n
n
(x
x
)

(x i x)
i
2
2

(5.32)

Y

M(YX = xp)

)
Y = b 0 + b1X

)
yp
y

x
. 5.4
127

xp


0 : M(YX = xp) = yp;
1 : M(YX = xp) yp
:
T=

M(Y X = x p ) y p
2

(5.33)

1 (x x p )
+
n (x i x) 2
=
=n2. 0 , . t (
S

,n 2

).
.
Y,
.
Y.
0 Y xp .
Y X = xp yp. 0 Y0, yp
Yp, ,

(x x p ) 2
2
2 1
Y0 N(0 + 1xp, ), Yp N(b0 + b1xp, +
).
2
n (x i x)

Y0 Yp , , U = Y0 Yp

1 (x x p ) 2
2
.
M(U) = 0 D(U) = 1 + +
2
n
(x
x
)

U
=
Su

Y0 Yp

2
1 (x x p )
S 1+ +
n (x i x) 2
= n 2.
,

128

P ( t
2

,n 2

Y0 Yp

<

S 1+

1 (x x p )
+
n (x i x) 2

< t
2

,n 2

) = 1 .

(5.34)

,
2
1 (x x p )
b0 + b1xp m t S 1 + +
,n 2
n (x i x) 2
2

(5.35)

,
100 % X = xp. ,
( . 5.4 ).
, ,
p = x . p (. . 5.4).
. , n
n .
4.1 95 %-
M(YX = xp) = 160. (5.32), :
1 (125.25 160) 2
+
.
12
2102.1875
, Y = 160
: (149.728; 156.5193). , 160 95 % (149.728; 156.5193).
,
95% = 160. (5.35).
3.699+ 0.9339160 2.2281.8788

1 (125.25 160) 2
+
.
12
2102.1875
, , , 95 % = 160, : (147.4898; 158.7082).
, .
3.699 + 0.9339160 2.2281.8788 1 +

129

5.6. .
R2

,
,
. , . , ,
Y X . . Y .
(. 5.5).
Y

Y=X

. 5.5

. 5.5, Y. . , . 5.5, Y
.
( ) R2. .
:
2
ei
.
(5.36)
R2 = 1
2
( yi y )

130

 . :
)
(5.37)
Y = b 0 + b1X .
() i, i = 1, 2, , n )
y i ei:
)
i = y i + ei .
(5.38)
(5.38) :

)
)
i y = ( y i y ) + (i y i ),
i y =

. .

ki

(5.39)

i,

(i y ) i- () y Y; ki i-
)
y ; i i- y i ,
.
(. . 5.6).
Y

.
.
y
ki
ei

yi

xi
. 5.6

(5.39)
n:

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

(5.40)

)
, (( y i y ) e i ) = 0 (
). :
2
2
2
(y i y) = k i + e i .

131

(5.41)

, (y i y) 2 ()
() )
Y y . k i2 = ( y i y ) 2
, , )
. e i2 = (y i y i ) 2 ()
, ,
( ).
(5.41) , :
2

ki
ei
1=
+
2
2
( yi y )
( yi y )

ki
ei
. (5.42)
= 1
2
2
( yi y )
( yi y )
2

ki
,
2
( yi y )
(5.36). , R2 ,
Y X.
2
ei
,
2
( yi y )
Y X.
R2 =

, 0 R2 1. R2 0 .
, Y , ei2 ,
2
( y i y ) . , , -

e i2 , Y = y
, y = b 0 + b1x . (5.36) ,
(, Y = y ). , R2 .
, R2 ,
, 132

 Y, Y = y .
, Y,
R2 (. 5.5, ). , R2 (. 5.5, ).
R2, . .

, Y
, - .
(, , , ). ( , , )
. (,
) R2
.
,
, Y = y .
,
, R2
0.6 0.7. R2 ,
( ,
. .).
, , R2
. (
) R2 .
, , . R2
.
,
Y = b jX j . , (), (. 5.7). R2 , Y = y , (),
.
133

Y = bX
Y = b0 + b1X

Y= y

x
. 5.7

. 5.7 , Y Y = y Y = bX . R2 Y = b jX j (Y = b0 + b1X, . . 5.7).

6.7.
R2
rxy.
)
2
2
2
ki
(y i y )
(b 0 + b1x i (b 0 + b1x))
2
=
=
=
R =
2
2
2
( yi - y )
( yi - y )
( yi - y )
2

b12

2
(x i x)(y i y) (x i - x)) 2
(x i - x))

=
=
2
2
2

(x
x
)
(y
y
)
(y i - y )

i
i

(x i x)(y i y)

=
=
2
2
(x x) 2 ( y - y ) 2
(x i x) ( y i - y )
i
i

( (x i x)(y i y) )2

= r2 .
xy

R2 4.1.
2
35.3
ei
2
= 0.983.
=1
R =1
2
2108.6668
(yi y )

2
2
2
. R = 0.983 (0.9914) = rxy
( ).

134

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.

13.

,
?
(BLUE)?
?
.
?
.
.
?
?
.
?
:
) ;
) ;
) ;
) (, ) ;
) ;
) .
, , , .
)
.
) .
) ,
.
) , , ei = 0.
)
, .
) , .
)
.
) 90 %- 90 %
.
2
) 0 R 1.
135

) .
14. 150 Y = 0 + 1X + 0 1 .
, Y .
) ,
?
) Y ,
(; ;
).
) , (; ; ).
) , , . .
.
15.
) ;
) ;
) ;
) ;
) .
(; ; . ).
16. Y = 0 + 1X +
b1 1. 0: , ? .

1.

10 ( Y) :
(%) 19.2

15.8

12.5

10.3

5.7

5.8 3.5

5.2 7.3

6.7

Y (%) 20.1 18.0 10.3 12. 5 6.0 6.8 2.8 3.0 8.5 8.0
) Y = b0 + b1X + e.
) .
2
) R .
) Y = bX + u.
) b, Sb
S (
).
) b1 b?
) ?
) , ?
136

2.

. 1989 1998 .

89

90

91

92

93

94

95

96

1000 1090 1150 1230 1300 1360 1400

190

220

240

240

260

250

280

97

98

1470 1500 1580

290

310

350

) , ;
) ;
) ;
) ;
) 90 %- 95 %- ;
) = 0.1 = 0.05;
) ;
) 2000 2003 .;
) 95 %- ;
)
;
)
?
) .
3.

( .):

91

92

93

94

95

96

97

( I ) 14.56 15.70 16.30

18.50 20.34 21.70 23.50

() 12.00 12.70 13.00

15.50 16.70 17.30 20.00

) C = b0 + b1X + e ;
) ;
) = 0.05;
) 95 %- ;
) I = 25.00; ;
) C = b0 + b1X + e,
;
) C = b0 + b1X + e,
(91, 92) (96, 97);
137

) , ) ), 0, 1;
) ;
) , 3 .
4.

(POP)
(D).

81

82

83

84

85

86

87

88

89

90

POP( .) 10.0 10.3 10.4 10.55 10.6 10.7 10.75 10.9 10.9 11.0
MED(.) 12.1 12.6 13.0 13.8 14.9 16.0 18.0 20.0 21.0 22.0
)
MEDt = b0 + b1POP.
) ?
) rpop;med;
?
) 1995 . 11.5 ,
? 99 %- .
) 0.8 ,
?
2
) R ,
, ).
) .
5.

Y:

0
0

0
2

2
0

2
2

) Y = b0 + b1X + e .
) Y = bX + v
.
) .
) .
6.

10 Y :
xi = 1700; yi = 1100; xiyi = 204400;

x i2 = 316000;

y i2 = 135000.

, ,
) b0 b1;
138

) ;
) 90 99 %- 0 1;
) 0: 1 = 0;
) R2.
7.

15- :
t = 787.4723 + 8.0863M1t + e t
se = ( ) (0.2197)
2
( ),
R = 0.9912.
t = (10.0)
( $), M1 .
) ;
) ;
) ;
) , . ?
) ?
)
550 $. ?
) 95 %.

8.

9 :
)
y t = 70.85 + 0.888x t ,
2

R = 0.685,
t = (5.89) (5.9),
Y ; .
) b1 ?
) ?
) .
) b1 ?
) .
9.

Y . :
2
x = 122.167 ; y = 125.25; (xi x ) = 2135.679;
2

(yi y ) = 2216.168; (xi x )(yi y ) = 2115.

) ;
) ;
) ;
139

) ;
)
.
10.

:
)
Y = 150 + 5,
2

se = (20) (1.2), R = 0.87,

xt = zt / zt1 Z. ,
Z (%):
xt = (zt zt1) / zt1.
11.

(Y)
(). 25- :
)
Y = 250.15 + 0.2941
2
se = ( 25.832) ( )
R = 0.9215.
t = ( ) (15.275)
) .
) .
) ?
?
) , b1 0.3?
) ( ,
) ?

140

6.
6.1.
, . , , ,
.
M(Yx) = f(x)
(Yx1, x2, , xm) = f(x1, x2, , xm).

(6.1)

Y X1,
X2, ..., Xm .
Y = f(, X) + ,

(6.2)

X = (X1, X2, ..., Xm) () ; ( ); (); Y () .

,
f Y X.
.
:
Y = 0 + 1X1 + 2X2 + ... + mXm +

(6.3)

i, i = 1, 2, , n:
yi = 0 + 1xi1 + 2xi2 + ... + mxim + i.

(6.4)

= (0, 1, ..., m) (m + 1)
. j, j = 1, 2, , m, j- ( ). Y Xj.
,
(Yx1, x2, , xm) Y j ,
. 0 ,
Y, , Xj .
141


.
n
X = (X1, X2, , Xm) Y:
(xi1, xi2, , xim, yi), i = 1, 2, , n.
0, 1, ..., m (. . ), n m + 1. , , Y . , n = m + 1,

m + 1 :
yi = 0 + 1x i1 + 2x i2 + ... + mx im , i = 1, 2, ..., m + 1.

(6.5)

,
Y = 0 + 1X1 + 2X2
(x i1,x i2, xi3, yi), i = 1, 2, 3. 0, 1, 2
Y = 0 + 1X1 + 2X ,
. ,
, (x 41,x 42, x 43, y4)
(, , ).
. ,
:
, . .
n > m+1, , , , . . 0, 1, ..., m, .
= n m 1 . ,
, . , ( ) , . , 142

 ,
, , 3
.

(). ,
)
Y Y , .

,
,
.
5.1. .

10. i :
M(i) = 0 .
20. ( ).
i :
D(i) = D(j) = 2 i j.
30. .
i j
i j.
0, i j;
i j = cov(i , j ) = 2
, i = j.
40.
.

i x i = 0 .
50. .
.
60. .
() .
70. i (i N(0, )).
143

 .
,
j . (6.3) . :
Y = b0 + b1X1 + b2X2 + ... + bmXm + .

(6.6)

b0, b1, ..., bm 1, 2, ..., m

( );
. :
yi = b0 + b1xi1 + + bmxim + ei.

(6.7)

() Y.

.
n: (xi1, xi2, , xim, yi), i = 1, 2, , n
j , . .
( xij, j = 1, 2, , m Xj i- ).
i
b0, b1, ..., bm 1, 2, ..., m
, (. . BLUE-).
(6.7) i yi )
Y y i ,
i- (i = 1, 2, , n), :
ei = yi b0 b1xi1 bmxim.
(6.8)
b0, b1, ..., bm :
n

i =1

i =1

j =1

Q = e i2 = (y i (b 0 + b jx ij )) 2 .

(6.9)

bj, j = 0, 1, ..., m. , ,
. Q 144

 bj.
(6.9)
n
m
Q
=

+
2
(y
(b
i
b jx ij )),
0
b
=
=1
i
1
j
0
(6.10)
Q
n
m
= 2 (y i (b 0 + b jx ij ))x ij , j = 1, 2, ... , m.

i =1
j =1
b j
, (m + 1)
(m + 1) :

n (y (b + m b x )) = 0,
j ij
i
0
i
=1
j =1
n
m
(y i (b 0 + b jx ij ))x ij = 0, j = 1, 2, ..., m.
j =1
i =1

(6.11)

. , , .
.
(6.11) . .
6.2.
c

.
1 x11 x12 ... x1m
b0
e1
y1
1 x
b
e
y
x 22 ... x 2m
2
21
1

, X=
Y=
, B=
, e = 2 .
... ...
...
...
... ... ...
...

y
n
1 x n1 x n2 ... x nm
b m
e n
Y - n
Y; n (m + 1), i-
(i = 1, 2, , n) X1, X2, , Xm; b0; B - (m
145

+ + 1) (6.6); e - n () yi )
Y y i ,
)
y i = b0 + b1X1 + b2X2 + ... + bmXm.
(6.12)
n

, Q = e i2
i =1

- eT = ( e1, e2, ... , en )

- e. - e, , :
e = Y XB.
(6.13)

Q = eTe = (Y XB)T( Y XB) = YT Y BT XT Y YT XB +BT XT XB =

= YT Y 2BT XT Y + BTXT XB.

(6.14)

eT, BT, XT, YT ,

e, B, X, Y . (6.14) :
(Y XB)T = YT - (XB)T; (XB)T = BTXT;

BT XT Y = YT XB.

(6.15)

, .
Q Q

bj,
b j
Q
B
:
j = 0, 1, , m. , -

Q
= 2 XT Y + 2(XT X)B.
(6.16)
B
XT X (m + 1) (m + 1) Z.

146


z1 m+1 b 0

z 22 ... z 2 m+1 b1
=
...
...
... ...

z m +1 2 ... z m +1 m+1 bm

b0
b
m
m
m

= b i z i +1 1 , b i z i +1 2 , ... , b i z i +1 m +1 1 =
i=0
i=0
i=0
...

bm

z11

z
T

S = B Z B = (b 0 , b1 , ..., bm) 21

...

z m+11

j= 0

i=0

z12

...

= b j b i z i +1 j +1 = b j b i z i + 1 j +1 .
j= 0 i = 0

m
S
= 2 b i z i +1 j + 1 .
b j
i=0

S
= 2(XT X)B.
B
- TY (m + 1) R.

BT XT Y = BTR = a jrj +1 , rj+1

j= 0

(B R)
= R = XTY.
B
(Y T Y)
T
Y Y B ,
= 0.
B

R.

Q
B
, (6.18) :

, (6.16) .

2 XTY + 2(XT X)B = 0

XTY = (XT X)B

B = (XT X)1XTY.

(XT X)1 , XT X.

147

(6.17)
(6.18)

 m .
m = 1, m = 2.
Y = b0 + b1X + e :
e1
1 x1
y1
e
1 x
y
b 0
2
2

Y=
X=
, B = , e = 2.
...
... ...
y3
b1

y
4
e n
1 xn
e1 y1 1 x1
e y 1 x b
2 0
2 = 2

(6.13) e = Y XB
.
... ... ... ... b1

e n y n 1 x n
1 x1

xi
1 1 ... 1 1 x 2 n
T
Z=X X=

2.

x1 x2 ... xn ... ... x i x i

1 xn
2

xi
xi

2
2
n x i2 ( x i ) 2 .
Z 1 = (XT X)1 = n x i ( x i )
n
xi

2
2
2
2
n x i ( x i )
n x i ( x i )
y1

1 1 ... 1 y 2 y i
T
R= Y=
=

.
x1 x2 ... xn ... x i y i

yn
2

x i x i yi
x i yi

2
2
2
2
n
x
(
x
)
n
x
(
x
)

T
1 T

i
i
i
i
=
(6.18) B = (X X) X Y =
n x i yi
x i yi

+
2
2
2
2
n x i ( x i )
n x i ( x i )
x i2 y i x i x i y i

y b x b
2
2
n
x
(
x
)
1

i
i
=
=
= 0 (4.13)

n x i y i x i y i b1 b1
n x i2 ( x i ) 2
148

 z jj Z 1 = (XT X)1
(5.12), (5.13), , S2b j = S2 z jj , j = 0, 1.

, (
) (m = 2). (6.17) b0, b1, b2:

y i = nb 0 + b1 x i1 + b 2 x i2 ,
2
x i1y i = b 0 x i1 + b1 x i1 + b 2 x i1x i2 ,

(6.19)

2
x i2 y i = b 0 x i2 + b1 x i1x i2 + b 2 x i2 .

:
b 0 = y b1x1 + b 2 x 2 ,
2
(xi1 x1 )(yi y) (xi2 x2 ) (xi2 x2 )(yi y) (xi1 x1 )(xi2 x2 )
b1 =
2
2
2
(xi1 x1 ) (xi2 x2 ) ((xi1 x1 )(xi2 x2 ))
2
(xi2 x2 )(yi y) (xi1 x1) (xi1 x1)(yi y) (xi1 x1)(xi2 x2 )
.
b2 =
2
2
2
(xi1 x1) (xi2 x2 ) ((xi1 x1)(xi2 x2 ))

(6.20)

6.3.

, , .
. , :
10. M() = 0;
20. D() = 2I;
T

30. K() = M( ) = 2E.

149

 1
1

1
2

=
, I = [1] n 1 = , E = E n n =
...
...


1
n
D(1 ) 12 ... 1n

D( 2 ) ... 2n
21

.
K() =
...
...
...
...

n 1 n 2 ... D( n )

1
0

...

0
1
...
0

...
...
...
0

0
0

...

, (6.18)

B = (XT X)1XTY.
Y = X + , :

B = (XT X)1XT(X + ) = (XT X)1(XTX) + (XT X)1XT =

= + (XT X)1XT.
, B = (XT X)1XT.
-
T

K() = (( B)( B)T) = [((XT X) 1XT)((XT X) 1XT) ] =

T
= M(XT X) 1XT X(XT X)1.
, j , :
T
K() = (XT X)1XT( ) X(XT X)1 = (XT X)1XT2EX(XT X)1 =
= 2(XT X)1
D(i) = 2zjj.

(6.21)

, z jj j- Z 1 =
= (XT X)1.
2 ,

2
ei
2
,
(6.22)
S =
n m 1
150

 m . ,
(6.22) n m 1 =
= n k, k (
).
, :
2

ei
S zjj =
(6.23)
zjj, j = 0, 1, , m.
n m 1
, S = S2
S2b j =

. Sb j = S2b j .

)
, Y = b 0 + b1X1 + b 2 X 2 :

1 x 2 (xi2 x2 )2 + x22 (xi1 x1 )2 2x1x2 (xi1 x1 )(xi2 x2 ) 2

S2b0 = + 1
S ,
2
2
2
n
(x
x
)
(x
x
)
(
(x
x
)(x
x
))

i1 1 i2 2
i1 1 i2 2

S2b1 =
S2b1

S2
=
,
2
2
(x i1 x1 ) (1 r12 )

S2b 2 =
S2b 2

2
(x i2 x 2 )
S2
2
2
2
(x i1 x1 ) (x i2 x 2 ) ( (x i1 x1 )(x i2 x 2 ))

(6.24)

2
(x i1 x1 )
S2
2
2
2
(x i1 x1 ) (x i2 x 2 ) ( (x i1 x1 )(x i2 x 2 ))

S2
=
,
2
2
(x i2 x 2 ) (1 r12 )
Sb0 = S2b0 ,

Sb1 = S2b1 ,

Sb2 = S2b2 .

r12 = rx1x 2
1 2.
:
r12 S2
.
(6.25)
Cov(b1, b2) =
2
2
2
(1 r12 ) (x i1 x1 ) (x i2 x 2 )
151

6.4.
c
(. 5.4) bj j (j = 0, 1, , m)
.
j t-
t=

bj j
Sb j

(6.26)

=
= n m 1 (n , m ).
100(1 )%-
j.

t
,
2

, n m 1

P( | t | < t
2

, n m 1

) = P( t
2

, n m 1

< t < t
2

, n m 1

)=1.

(6.27)

(6.26) (6.27),
P( t
2

, n m 1

<

bj j
Sb j

< t
2

, n m 1

) = 1 ,

P( b j t
2

, n m 1

Sb j < j < b j + t
2

, n m 1

Sb j ) = 1 .

(6.28)

, S b j
n

S b j = S z jj =

ei

i =1

n m 1

z jj .

(6.29)

, , (1 ) j,
152

bj t
2

, n m 1

Sb j < j < b j + t
2

, n m 1

Sb j .

(6.30)

, , (. 5.5)
:
)
)
)
)
Yp t
S(Yp ) < M(Yp X Tp ) < Yp + t
S(Yp ) . (6.31)
2

,n m 1

,n m 1

:
)
)
Yp t
S XTp (XT X)1 Xp < M(Yp XTp ) < Yp + t
S XTp (XT X)1 Xp .
2

,nm1

,nm1

(6.32)
6.5.

.
.
.
( , ).
.
- :

;
;
,
(
).
6.6.

(. 5.3, (5.16)),

153

 m
t-:
bj
,
(6.33)
t=
Sb j
= n m 1 (n ). t-
.
t
2

t > t
2

, n m 1

, n m 1

, bj

.
(t < t
2

, n m 1

) bj

( ). , Xj Y. . - , . ,
bj , Xj. , .
.
t < 1 ( bj < Sb j ), .

1 < t < 2 ( bj < 2Sb j ), .

.
2 < t < 3, . > 20 0.05 (.
).
t > 3, . 0.001.

154

6.7.

.
, ,
R2, :
2
ei
2
R =1
.
(6.34)
2
(yi y )

Y, , 5.6. ,
0 R2 1. , Y. R2.
. R2. , , , . ( ) Y.

.
()
:
2
e i /( n m 1)
2
R = 1
.
(6.35)
2
( y i y) /(n 1)
, ( y i y) 2 /(n 1)
Y y . (n 1).
y .
2
e i /( n m 1) ( ). (nm1).
(m + 1)

155

 (m + 1) . , ( y ) ,
:
(n 1) (n m 1) = m.
(6.35) :
R 2 = 1 (1 R 2 )

n 1
.
n m 1

(6.36)

(6.36) , R 2 < R 2 m > 1. m

R 2 , () R2. ,
. , R 2 = R 2 R2 = 1.
R 2 (, R2 = 0).
, R 2 , t-
. , .

2
R , R 2 ,
. . , ( ).
, , .
6.7.1.


.
-

156


:
0: 1 = 2 = = m = 0.
, ,
m 1, 2, ,
m Y
, .
.
0: ( ) = ( ),
1: ( ) > ( ).
F-:
)
2
2
k i /m
(y i - y ) /m
,
(6.37)
F=
=
) 2
2
e i /(n m 1) (y i - y i ) /(n m 1)
k i2 /m ; e i2 /(n m 1)
. F
1 = = m, 2 = n m 1. , F. > F. = F;m;nm1 ( F;m;nm1 ), 0 1. ,
,
,
Y. F. < F. =
= F;m;nm1, 0. ,
, . , , ,
.

R2:
0: R2 = 0,
0: R2 > 0.
F:

157

R2 n m 1
.
(6.38)

m
1 R2
F H0 F-
(6.37). ,
(6.37) (y i y) 2 ,
(6.38):
2
2
R2 n m 1
k i / (y i y) (n m 1)
=
.

F=
2
2
m
m
1 R2
e i / (y i y)
F=

(6.38) , F R2
. F = 0, R2 = 0, Y = y
, , , Y
X1, 2, ..., Xm. H0: F= 0

F. =
F;m;nm1. , F > F.. , R2 > 0, . . R2 .
F ,
, R2 .

.
, , 0.65 30 2 1
2
30 R = 0.65. F =

25.07.
0.35
2
F0.05;2;27 = 3.36; F0,01;2;27 = =
5.49. F. = 25.07 > F. 5%, 1% 2
, . R
0.4 27

= 9 .
= 0.4, F =
0.6 2
.

, F-
r n2
(.
t- t = xy
2
1 rxy
158

3.5.6). F- t-. R2 .
6.7.2.

, . F ,
.
n

Y = b0 + b1X1 + b2X2 + ... + bm-kXm-k + ... + bmXm ,

(6.39)

R 12 .
k ( ,
, k ). n :
Y = 0 + 1X1 + 2X2 + ... + m-kXm-k,

(6.40)

R 22 . ,
R 22 R 12 ,
( ) . : Y. , H0: R 12 R 22 = 0

R 12 R 22 n m 1
F=
.

k
1 R 12

(6.41)

H0 F 1 = k , 2 = n m 1.
, (6.41)
(R 12 R 22 )/k
.
F=
(1 R 12 ) /( n m 1)
159

(6.42)

 (R 12 R 22 ) k ; k ; (1 R 12 ) /(n m 1) . ,
(6.37).

F. = F;m;nm1 ( ). F. (6.41) F., ( k ) . k ,
R 12 R 22 . ,

, .
, , F- (. . ,
F.), , R 12 R 22 . , , k
, .

k .
F-
R2 R2 n m 1
.
(6.43)
F = 2 21
k
1 R2
F.,
. . , ,
, . , (6.35), . . R2
; R 2
m, .

160


, R 2 .
.
,
R2 ,
, n .
, Y
:

Y = 0 + 1X1 + 2X2 +

lnY = 0 + 1X1 + 2X2 + .

R 12 R 22
:
R 12

ei
=1
2
(y i y)

R 22

ei
=1
.
2
(lny i ln y)

,
.
6.7.3.

F-

. , .
n1 n2 .
:
Y = b0k + b1kX1 + b2kX2 + ... + bmkXm + ek, k = 1, 2.

(6.44)

H0: bj1 = bj2, j = 0, 1, ..., m.
,
?

161

 e ik2 (k = 1, 2) yi
i

S1 S2 .
(n1 + n2)
,
yi S0.
0 F-:
F=

S0 S1 S2 n1 + n 2 2m 2

.
m +1
S1 + S2

(6.45)

H0 F- 1 = m + 1; 2 = n1 +
+ n2 2m 2 .
, F- , S0 S1 + S2 ,
,
. F < F.= F; 1 ; 2 . F >
> F., . ,
(. 6.1, ),
(. 6.1, ).
Y

t0

t1

t2

t0

t1

t2

. 6.1

162

 .
6.8. .

R2
.
[3],
CONS ( . 1982) ( .) 19311990 .
. 6.2.
CONS
3000
2500
2000
1500
1000
500

1931
100

150

200

250

300

. 6.2

, , :
CONS = 1817.3 + 16.7POP.
Sb0 = 84.7, Sb1 = 0.46. , t- t b0 = 21.4 , t b1 = 36.8. 3, . R2 = 0.96 (. .
96% ).
, CONS ,
.
, , .
( ),
163

 ( ), . . .
, t- F (, R2 = 0.96, ,
, CONS ). ?
, i (. 6.1).
.
, , . . , .
,

.
, ,
, , . , , , .
, , , . , (. 6.2)
,
,
i1 i
164

. -
. - ,
.
.

,
,
. i
Y = 0 + 1X + , i, i = 1, 2, , n.
, , . , i.
( )
X ( ) i. , ,
( e - M(e i ))( e i 1 - M(e i 1 ))
e i e i 1
re i e i1 = i
. (6.46)
=
2
2
2
2

(e
M(e
))
(e
M(e
))
i
i 1
e i e i 1
i
i 1
, M(ei) = 0, i = 1, 2, , n.

DW, :
2

(e i e i 1 )
.
DW =
2
ei

(6.47)

,
2
2
2
2
2
(e i ei 1 ) = (e i 2ei ei 1 + e i 1 ) = e i 2 e i ei 1 + e i 1

2 e i2 2 ei e i 1 .

165

 , n : e i2 e i21 .

2( ei2 ei e i 1 )
DW
= 2(1 re i e i1 ) .
(6.48)
2
ei
, ei = ei1, re i e i1 = 1 DW = 0.
ei = ei , re i e i1 = 1, DW = 4.
0 < DW < 4 .
.
ei
ei-1, (ei ei1) (6.47) . , , (6.47)
, , DW . , CONS POP (. 6.2) DW =
= 0.045, ( ).
,
( ei ei1 ),
2
2
(2e i )
ei
=4
= 4 .
ei ei1 2ei DW =
2
2
ei
ei
.
,
, . , ,
ei ei1, ei ei1 .

1
2
2
( 2e i )
ei
2
DW =
= 2.
= 0.5 4
2
2
ei
ei
, .
, DW 2, ( ).
166

, , , . , , . -
. , R2
, ,
, ,
.
, DW ?

( 6) , n, m ( )
DW.
, n, m ( 6)
: dl du . .
DW
0

dl

du

4du

4-dl

H0

. 6.3

.
DW < dl , .
DW > 4 dl , .
167

 du < DW < 4 du .
dl < DW < du 4 du < DW < 4 dl , , .
,
, , 1.5 < DW < 2.5.
.

.
DINC DW. ( t- 0.16)
. R2
,
, , () .
9.
,
, . ,
,
,
.
6.1. S
10 . , st t
yt1 Y rt R .
. 6.1.
6.1

Y(. ..)
Z( % )
S(. ..)

80
100
2
20

81
110
2
25

82
140
3
30

83
150
2
30

84
160
3
35

168

85
160
4
38

86
180
4
40

87
200
3
38

88
230
4
44

89
250
5
50

90
260
5
55

:
) S = 0 + 1Y + 2Z;
) b0, b1, b2;
) 95%- ;
2
) R
= 0.05;
) ,
;
2
e) R 2

R ;
) DW ;
) ;
) MPS ,
0.5;
)
; ;
) 1991 ., 270 . . ., 5.5.
) :
Z
2
2
3
2
3
4
4
3
4
5
5

S
20
25
30
30
35
38
40
38
44
50
55

Y2
10000
12100
19600
22500
25600
25600
32400
40000
52900
62500
67600

Z2
4
4
9
4
9
16
16
9
16
25
25

80
81
82
83
84
85
86
87
88
89
90

Y
100
110
140
150
160
160
180
200
230
250
260

1940

37

405

370800

137

7050

76850

1472

176.3636

3.3636

36.8182

33709.0909

12.4546

640.9091

6986.3636

133.8182

YZ
200
220
420
300
480
640
720
600
920
1250
1300

YS
2000
2750
4200
4500
5600
6080
7200
7600
10120
12500
14300

ZS
40
50
90
60
105
152
160
114
176
250
275

2
2
2
(yi y) (z i z) (si s) (yi y)(zi z) (yi y)(si s) (z i z)(s i s )

28654.55

12.5455

1087.636

524.5451

169

5422.727

109.7272

 (6.20):
b0 = 2.9619423

b1 = 0.124189

b2 = 3.553841

, :
s t = 2.9619423 + 0.124189 y t + 3.553841 z t .

)
st
S ei :

)
S

ei

ei

ei ei1

(ei ei1)2

80
81
82
83
84
85
86
87
88
89
90
C

20
25
30
30
35
38
40
38
44
50
55
405
36,81818

22.48852
23.73041
31.00991
28.69796
33.49369
37.04753
39.53131
38.46125
45.74076
51.77838
53.02027
405
36.81818

-2.48852
1.269594
-1.00991
1.30204
1.50631
0.95247
0.46869
-0.46125
-1.74076
-1.77838
1.97973
0

6.19273
1.61187
1.01992
1.69523
2.26896
0.90719
0.21967
0.21275
3.03024
3.16263
3.91933
24.24058

3.75811
-2.27950
2.31194
0.20427
-0.55384
-0.48378
-0.92994
-1.27951
-0.03762
3.75811

14.12339
5.19612
5.34507
0.04173
0.30674
0.23404
0.86479
1.63714
0.00141
14.12332
41.87375

) ,
(6.24).
, (6.22):
2

ei

24.24058

= 3.03 .
8
n m 1
S = 1.7407.
, :
2
1 31104.119 12.54545 + 11.314 28654.55 2 176.3636 3.3636 524.5451
Sb 0 = +
3.03= 3.5832;
28654.55 12.54545 275147.56
11

S =

12.54545

28654.55 12.54545 275147.56

28654.55

S b1 =
Sb 2 =

28654.55 12.54545 275147.56

S b 0 = 1.8929;

S b1 = 0.0212;

3.03

= 0.00045;

3.03

= 1.0294.

S b 2 = 1.0146.

(6.33) t-:
t b 0 = 1.565;
t b1 = 5.858;
t b 2 = 3.503.
( ) . t, , .
170

. . . , .
: = 0.05; = 0.01.
( 2)
t. = t
: t0.025; 8 = 2.306, t0.005; 8 = 3.355.
2

, n m 1

, t b1 > t., t b 2 > t. . , , , Y

R S. t b0 < t., b0 ( ),
.
. . ,
, .
) 95 %-
(6.30):
2.9619423 2.3061.8929 < 0 < 2.9619423 + 2.3061.8929;
0.124189 2.3060.0212 < 1 < 0.124189 + 2.3060.0212;
3.553841 2.3061.0146 < 2 < 3.553841 + 2.3061.0146.
0.0753 < 1 < 0.1731;
1.2142 < 2 < 5.8935.
-1.4031 < 0 < 7.3270;
2
) R (6.34):
24.2408
2
R =1
= 0.9777.
1087.636
2
R F- (6.38):
0.9777 8
F=
= 175.3732.
1 0.9777 2
F- ( 4):
F. = F; m; nm1 = F0.05;2;8 = 4.46.
F. = 175.3732 > F. = 4.46, F, , 2
R . , Y SR S .

. .
) ,
97.77 % S. , 171

 . , , .
) R 2
(6.36):
11 1
2
R = 1 (1 0.9777)
= 0.9721.
8
, .
) DW (6.47):
41.87375
DW =
= 1.72742.
24.24058
DW ( 5). = 0.05
n = 11 :
dl = 0.658; du = 1.604.
1.604 < DW < 2.396 (du < DW < 4 du), , . . ,
.
. , , , . n
, .
) . t-. 2
R . . .
.
) MPS b1, ,
. , MPS = 0.124189.
, MPS 0.5,
:
H0: M(1) = 0.5,
H1: M(1) < 0.5.
(6.26),
0
= 1121 = 8.
0.124189 0.5
= 17.7269.
T=
0.0212
t. = t; nm1 ( 2): t0.05; 8 = 1.860.

172

 . = 17.7269 > 1.860 = t., 0

1. 50 % ( ) 12.4 %.
) , b2 ,
, ( b2 ).
.
) 1991 .,
270 . . ., 5.5,
)
M(S Y = 270, RS = 5.5) = 2.9619423 + 0.124189270 + 3.5538415.5 = 56.039.

, (6.32). :
1.182602134 - 0.005314218 - 0.04592
1
1

( ) = - 0.00531422 0.000148755 - 0.00622 ; 1991 = 270 ;

- 0.04592002 - 0.006219683 0.339765
5 .5

X1991 = [1 270 5.5] ;

X1991 ( X X ) X1991 = 0.457475.
= 0.05 (6.32) :
56.039 2.3061.7407 0.457475 < M(S X1991) < 56.039 + 2.3061.7407 0.457475 ;
T

53.324 < M(S X1991) < 58.754.

, S 1991 .
Y = 270 SR = 5.5 95 %
(53.324; 58.754).

1.
2.
3.
4.

?
. ?
?
?
5.
.
6. .
7. ?
8. ?
2
9. R ?
10. ?

173

11. ?
12. ?
13. F- ?
14. ?
15.
?
16. ?
17. ,
:
) ;
) ;
)
;
)
;
)
2
2
, R = 1 R = 0;
) t- ;
) ,
;
2
) R , ;
2
2
) R = 1, F = 1; R = 0, F = 0;
) t-, F DW , ;
)
0 DW 4;
) (n 1) n;
2
) R
, 0.9;
)
;
)
.
18. Y = 0 + 1X1 + 2X2 + 3X3 + .
0: 1 = 2; 0: 3 = 2?

174

1.

,
) e i2 = 750; n = 50; m = 3;
) e i2 = 600; n = 25; m = 3; .

2.

Y
1
3
5
11

X1
0
1
3
4

X2
3
1
0
2

) Y = 0 + 1X1+ ,
) Y = 0 + 2X2 + ,
) Y = 0 + 1X1 + 2X2 + .

) 0: 1 = 1; 0: 2 = 2?
) ?
3.

Y:
Y = 0 + 1X1+ ,
Y = 0 + 1X1 + 2X2 + .

:
) a1 = b1;
) e i2 v i2 ;
) a1 5 %- ,
b1 ;
) b1 5 %- ,
a1 .

4.

, Q P W , :
Q = 0 + 1P + 2W2 + .
, 16 ,
:
Q
P
W

20
10
12

35
15
10

30
20
9

45
25
9

60
40
8

69
37
8

75
43
6

90 105 110 120 130 130 130 135 140

35 38 55 50 35 40 55 45 65
4
4
5
3
1
2
3
1 2

) .

175

) ,
; .
)
= 0.1.
.
) .
2
) R ?
) .
) .
5.

10
() (I). :

C( $)
I ($)

9.5

1.65 1.8

($) 14

16

11

12

13

14

15

16.5

17

18

2.0 2.1 2.2 2.4 2.65 2.85 3.2 3.55

18

20

23 23.5 25

26.5 28.5 30.5

) , ,
= 0 + 1I + 2C + .
) .
2
) R R 2 ; .
2
R 0.01.
) DW .
?
) .
) : = 22, I = 3.8. ?
6.

20 :
2
= 2.518; xi2 = 26.7;
xi1 = 4.88; x i1

2
x i2 = 75.15;

yi = 44.7;

xi1xi2 = 13.75; xi1yi = 22.1; xi2yi = 125.75; y i2 = 210.4; e i2 = 0.015.

) Y = 0 + 1X1 + 2X2 + .
) .
2
) R R 2 .
) 95 %- 1 2 .
) = 0.05.
) .
176

7.

:
Y = 1 + 2X1 + e,
R 12 = 0.2;
(t) = (2) (4)
R 22 = 0.6;
Y = 1.5 + 3X1 + 4X2 + e,
(t) = (1.8) (2)
(3)
. ?

8.

25 2
. R = 0.8. 25 . 0.9, 2.0.
?

9.

20 :
x1 = 7.3; x 2 = 420.7; y = 350.3; (y i y) 2 = 62050.35; (x i1 x1 ) 2 = 265.52;
2
(x i2 x 2 ) = 92845.072; (x i1 x1 )(x i2 x 2 ) = 4803.5;

(x i1 x1 )(y i y) = 3950.9; (x i2 x 2 )(y i y) = 75380.645.

:
) Y = 0 + 1X1 + 2X2 + ;
) ;
2
) R 2
R ;
) .

10. , (6.18) b1 :
(y i y)[(x i1 x1 ) b12 (x i2 x 2 )]
b1 =
=
2
[(x i1 x1 ) b12 (x i2 x 2 )]
1 Y, 2
,
=
1 , 2
b12 1 2: 1 = + b122.

11.

:
: Y = 0 + 1X1 + 2X2 + .
: (Y X2) = 0 + 1X1 + 2X2 + .
) 0 0?
) 1 1?
177

) 2 2?
) , ?

12. Y = 0 + 1X1 + 2X2 + 3X3 + .

25 :
)
y t = 4 + 7x t1 + 1.4x t2 + 4.2x t3 ,
R 2 = 0.978.
(t) =
(1.9)
(2.3)
(3)
1 = 2:
)
y t = 3 + 5.8(x t1 + x t2 ) 1.3x t3 ,
R 2 = 0.864.
(t) = (2.7)
(2.5)
) 0: 1 = 2.
?
) X2 R 2 ?
2
) R ?
)
Y?
13. :
Y = 1X1 + 2X2 + .
) ?
) ?
) :
e i = 0;
e i x i1 = 0;
e i x i2 = 0 ?
14. Y = 10 + 5X1 + 0.16X2 + .

S2b1 = 2.15; S2b 2 = 0.056;

Cov(b1, b2) = 0.05.

, b1 b2
.

15.

Y = 0 + 1X1 + 2X2 +
n =15:
20
= 32800
140

140
T
72560 290540 ; X Y =
290540 1280
32800

31240
66300920 ;

255430

y = 2010; x1 = 2200; x 2 = 10.

) .
) Cov(b1, b2).
) 0: 1 = 2 = 0.
178

16.

30 Y = 0 + 1X1+ 2X2 + .
, , . 20 21 .
S0, S1, S2 ,
.
S0 = 150, S1 = 90, S2 = 40.
,
?

17.
:

( k i )

84320

( e i )

87540

19

) .
2
) R 2
R .
) 0: 1 = 2 = 3 = 0.
)
Y?

18. 6 :
)
Y = 12.23 + 0.91 DINC 2.1 SR,
R 2 = 0.976,
t = ( 3.38) (123.7)
( 3.2)
DW = 1.79.
Y ; DINC ; SR .
) , , .
) ?
) ?
) ,
?
) .
) F-
.
) , . )
- ?

179

7.

.
.
, , ,
. , Y : Y = 0 + 1X . 1
Y ( ) .
,
.

(. 7.1). Y (, )
(. 7.4).
.
. , Y = A K L
( Y ; K L ; A, ). , .
.
.
,
.
.
.
7.1. (-)
180


Y = A X ,
(7.1)
(. . , ).
Y
X ( < 0) (
> 0; Y (7.1) ). (7.1) Y ( ), 0 < < 1, . . (7.1) ( Y , Y
dY
:
= A X 1 , . . ,
dX
). ( e = 2.71828).
lnY, lnX.
(7.1), :
lnY = lnA + lnX .

(7.2)

lnA = 0, (7.2) :
lnY = 0 + lnX .

(7.3)

(
):
lnY = 0 + lnX + .

(7.4)

X Y, lnX lnY, 0 1. Y * = lnY X * = lnX , (7.4) :

181

Y * = 0 + X * + .

(7.5)

(7.5) , . 4, 5. (7.5) ,
0 .
, Y , . . Y
. , (7.4) , :
1 dY
1
dY X

= =
= X (Y) .
Y dX
x
dX Y

(7.6)

, , . . .
7.1.
Y

ln Y

Y = AX

LnY = +

. 7.1

, . (xi, yi) (lnxi, lnyi), i = 1,

2, , n. .
,
.
.
,
182

lnY = 0 + 1lnX1 + 2 lnX 2 + .

(7.7)

1, 2 Y
1 2 . . ,
Y = A K L .

(7.8)

(7.8) :
lnY = lnA + lnK + lnL .

(7.9)

.
, . + = 1
( , ).
+ < 1 ( ).
+ > 1 ( ).
7.2.

lnY = 0 + X + ,
Y = 0 + lnX +

(7.10)
(7.11)

.
, -
. , ,
() ,
, . .
7.2.1. -

183

 ,
Yt = Y0 (1 + r) t ,
(7.12)
Y0 Y (, ); r Y ( ); Yt Y t (
t). (7.12) (7.10). ,
(7.12), :
lnYt = lnY0 + t ln(1 + r) .
(7.13)
: lnY0 = 0 , ln(1 + r) = . (7.13) :
lnYt = 0 + t + t .

(7.14)

(7.14) t
.
(7.10)
Y * = lnY .
(7.10) Y , . . Y . ,
(7.10) , :
dY
1 dY
Y

= = Y =
.
Y dX
dX
X
100, Y ( Y). (7.10)
. ,
= ln(1 + r) r Y:

1 + r = e r = e 1.

(7.15)

, (7.14)
, r (7.15) ()
. .
7.2.2. -
184

 -
Y = 0 + lnX + .

(7.16)

X * = lnX .
Y (, 1%), . .
Y . , (7.16), :
1
dY
=
X
dX

dY
Y
=
dX X
X

dY =

dX
X
Y
.
X
X

100,
Y . ,

X
X

1% (0.01), Y 0.01 .
(7.11) , .
, Y = GNP ( ), X = M ( ), :
GNP = + lnM + ,
, M 1%,
0.01 .
7.3.

Y = 0 + 1

1
+
X

(7.17)

. X * = 1 . ,
X

Y (

185

 0). 0 1 :
0>0
1>0

0>0
1<0

Y
0

0<0
1>0

0
0

0 1/0

. 7.2

7.2, () (Y). 7.2,

Y
(, , ) (
X = 1 ).
0
, . 7.2,
, ()
(Y).
0X
.
7.4.

Y = 0 + 1X + 2 X 2 + L + m X m +

(7.18)

. ,
Y = 0 + 1X + 2 X 2 + 3 X 3 +

(7.19)

(Y)
() (. 7.3, ).

Y = 0 + 1X + 2 X 2 +
186

(7.20)

 ()
(Y) (. 7.3, );
(. 7.3, ) . .
TC

AC
TC

MC AC

FC
0

Q 0

Q 0

. 7.3

, (7.18) 0, 1, , m. , .
X X1, X2 2, , X m m, (7.18) m X1 , X 2 , K, X m :
Y = 0 + 1X1 + 2 X 2 + L + m X m + .

(7.21)

7.5.

Y = 0eX

(7.22)

.
= 2.7182818 .
, Y . t:
Y = 0et.

(7.23)

(ln et = t) (7.14):
lnY = ln0 + t .
(7.24)
187

, :
Y = 0X ,

(7.25)

( 1).
a
(7.22) X = ln .
, ,
. ,
- :
Y = A K L e t .

(7.26)

, :
LnY = lnA + lnK + lnL + t,

(7.27)

a = lnA, k = lnK, l = lnL,

y = LnY.
7.6.

,
. ,
i 2, (i N(0, 2), ov(
i, j) = 0 i j).
, , BLUE, .
, ,
, , .

(7.1) Y = A X , . . :
Y = A X e ,

(7.28)

Y = A X ,

(7.29)

Y = A X + .

(7.30)

188


(, ). , :
lnY = a + lnX + ,

(7.31)

lnY = a + lnX + ln,

(7.32)

lnY = ln(AX + ).

(7.33)

a = lnA.
(7.31) (7.28) , .
(7.29) (7.32) i lni. (7.32) BLUE- , i = lni
: i N(0, 2).
i
2

(i) = e 2 D(i) = e (e 1) .
(7.30) .
.
,
, .
7.7.

,
. , .
.
, . , , , , . 189

 , .
,
, , .
. , ,
, , .
, . , , ,
.
1. () ?
2. ,
?
3. ?
4.
() ?
7.7.1.
, . . ,
.
().
(). . , , .
, ,
, .
. .
. , . 190


R 2 .
.
, . , , R2 (, 0,7) . ,
, . .
.
. , .
:
S
(7.34)
V= ,
y

S =

ei

, y n m 1
. V
( )
(
DW ),
.
,
V ,
, , . . ,

,
Y.
, ,
, 3 ,
.
191

 - ,
.
7.7.2.
() . ,
, .
.
. .
1.

. , , :
Y = 0 + 1X 1 + 2 X 2 + .

(7.35)

:
Y = b 0 + b1X1 + b 2 X 2 + e .

(7.36)

- ( ,
. .) ,
Y 1. (7.37):
Y = 0 + 1X + .

(7.37)

2, .
, (7.37), :
Y = g 0 + g1X 1 + v .

(7.38)

. , (7.38),
(M(g0) 0, M(g1) 1)
192

 . ,
.
, g1 1. , g1 (4.14):
g1 =
=

S xy
S2x

cov(X1 , Y) cov(X1 , 0 + 1X1 + 2 X 2 + )

=
=
D(X1 )
D(X1 )

1
[cov(X1 , 0 ) + cov(X1 , 1X1 ) + cov(X1 , 2 X 2 ) + cov(X1 , )] =
D(X1 )
1
[0 + 1D(X1 ) + 2 cov(X1 , X 2 ) + cov(X1 , )] =
=
D(X1 )

= 1 + 2

cov(X1 , X 2 ) cov(X1 , )
+
.
D(X1 )
D(X1 )

(7.39)

40 (. 5.1), cov(X1, ) = 0.
:

cov(X1 , X 2 )
cov(X1 , X 2 )
= 1 + 2
M(g1) = M 1 + 2
.
D(X
)
D(X
)

1
1

(7.40)

, , ,
. , g1
,
cov(X1 , X 2 )
. 2
D(X1 )
. , 2 cov(X1, X2).
, 2 X1 X2 g1 1.
, (7.40) . (7.36) b1 b2
Y 1 2. (7.38)
g1 , 1, ( ) 2. ,

193

 2 (7.38) cov(X1 , X 2 )
1, 2
.
D(X1 )

1 X1 X2
(cov(X1, X2) = 0).
2
(?).
,
R2. (7.38) 1 Y.
g1 2,
.
,

.
2.

, . , :

Y = 0 + 1X 1 + .

(7.41)

:
Y = 0 + 1X 1 + 2 X 2 + ,

(7.42)

Y 2. .
,
. g0, g1 ,
(7.42), , , (M(g0) = 0,
M(g1) = 1) . , , . . , . 194

 (5.12), (6.24) :
S2
S2
2
2
S b1 =
S g1 =
;
.
2
2
2
(x i x)

(x i1 x1 ) (1 r12 )

r12 1 2. , S2b1 Sg21 , r12 = 0.

, .
3.
.
:
Y = 0 + 1X 1 + 2 X 2 + .

(7.43)

, ,
. ,
lnY = a 0 + a 1X1 + a 2 X 2 + e ,

(7.44)

Y = c 0 + c1lnX1 + c 2 lnX 2 + u

(7.45)

. . , .

.
.
7.7.3.
,
, .
-
, - ,
-
.
195

 . .
, t-.
.
, . F-
(6.41) R 12 R 22 :
F=

R 12 R 22 n m 1

.
k
1 R 12

n , m
, k . 6.7.2.
, , .
10.

( )
, , .
, , , Y , :

Y = + X + , < 0;
ln Y = + lnX + , < 0;
Y = +
Y= +a

1
+ , > 0;
X+

+ , < 0

. .

, , , , . 196

 . , (7.38),
(M(g0) 0, M(g1) 1)
. ,
.
, g1 1. , g1 (4.14):
g1 =
=

S xy
S2x

cov(X1 , Y) cov(X1 , 0 + 1X1 + 2 X 2 + )

=
=
D(X1 )
D(X1 )

1
[cov(X1 , 0 ) + cov(X1 , 1X1 ) + cov(X1 , 2 X 2 ) + cov(X1 , )] =
D(X1 )
1
[0 + 1D(X1 ) + 2 cov(X1 , X 2 ) + cov(X1 , )] =
=
D(X1 )

= 1 + 2

cov(X1 , X 2 ) cov(X1 , )
+
.
D(X1 )
D(X1 )

(7.39)

40 (. 5.1), cov(X1, ) = 0.
:

cov(X1 , X 2 )
cov(X1 , X 2 )
= 1 + 2
.
M(g1) = M 1 + 2
D(X
)
D(X
)

1
1

(7.40)

, , ,
. , g1
,
cov(X1 , X 2 )
. 2
D(X1 )
. , 2 cov(X1, X2).
, 2 X1 X2 g1 1.
, (7.40) . (7.36) b1 b2
Y 1 2. (7.38)
g1 , 1, ( 193

,
:
) R 2 (. 6.7);
) t- (. 6.6);
) DW (. 6.8);
) ;
) () (. 7.7.1).
,
. - ,
( ; ; ,
).

.
7.7.4.
e (. .
ei, i = 1, 2, ..., n)

( ).
.
ei

ei

. 7.4

,
ei 197

. e
i. , , () (. 7.4, ), , .
, :
1. RESET (Regression specification error test).
2. () (The
Likelihood Ratio test).
3. (The Wald test).
4. (The Lagrange multiplier test).
5. (The Hausman test).
6. BoxCox (BoxCox trasformation).

. , , , .
, (RESET) :
)
Y = b 0 + b1 X 1 + b 2 X 2 + L + b m X m + e
)
Y = a 0 + a 1 X1 + L + a m X m .
)
) ei( y i ). ,
e =
)
= f( Y ),
)
Y = a 0 + a 1X 1 + L + a m X m + f( Y. ) + e .
)
F-:
R2 R2 n k
.
(7.46)
F = 2 21
r
1 R2
n , k , r ( ).
F 1 = r, 2
198

= = n k. F- ,
, .
. :
y i = 0 + 1x i + 2 x i2 + 3 x 3i + e i .

(7.47)

:
y i = 0 + 1x i + e i .

(7.48)

(7.48), , . , i
, e =
)
= f( Y ), . 7.5.
e

)
Y

. 7.5

. (7.48) )
)
y i2 y 3i :
)
)
y i = 0 + 1x i + 2 y i2 + 3 y 3i + e i .
(7.49)
R 22 R 12
(7.49) (7.48) F- (7.46) ( k = 4; r = 2). F. > F. = F;2;n4, , (7.48)
.

199

 , , . .
,
.
)
e = f( Y )
. ,
x i2 x 3i . ,
(7.47).
R2. ,
n nR2 2- r, . nR2 22 ( n ). 2r . nR2 > 2r ,

.
[ 6, 9].
7.8.

, .
. , , .

.
( t- , F-
,
).
- .

200


.
.

. ,
. , , , . .
.
. ,
- , , , , . , .

.
.
, :
) ;
) .
, .
, ), . ) , . ,
. ,
, .
,

201

 F 1 = r,
2 = n k. F- ,
, .
. :
y i = 0 + 1x i + 2 x i2 + 3 x 3i + e i .

(7.47)

y i = 0 + 1x i + e i .

(7.48)

(7.48), , . , i
, e =
)
= f( Y ), . 7.5.
e

)
Y

. 7.5

. (7.48)
)
)
y i2 y 3i :
)
)
y i = 0 + 1x i + 2 y i2 + 3 y 3i + e i .
(7.49)
R 22 R 12 (7.49) (7.48) F- (7.46) ( k = 4; r = 2).
F. > F. = F;2;n4, ,
(7.48) .
199

 , , . .
,
.
)
e = f( Y )
. ,
x i2 x 3i . ,
(7.47).
R2. ,
n nR2 2- r, . nR2 22 ( n ). 2r . nR2 > 2r ,

.

[ 6, 9].
7.8.

, .
. , , .

.
( t- , F-
,
).
- .
200

 ,
.

1.
2.

?
.
3.
?
4. .
5.
?
6. ?
7. .
8. ?
9. ?
10. ?
11. .
12. , , , .
) .
) .

) Y = AK L lnY = lnA + lnK + lnL + ln,
, .
) lnY = 0 + 1lnX1 + 2lnX2 +
lnY = 0 + 1X1 + 2X2 + , , .
)
lnY = 0 + 1lnX1 + 2lnX2 +
.

) Y = AK L , - .
) 2
R .
) .
13. Y = b0 + b1X1 + b2X2, b1 > 0. X2 Y = a0 + a1X1 a1
202

 (a1 < 0). ? , ?

14. :
Y = 1X + .

Y = 0 + 1X + .
? ,
? , ?
15. :
Y = 0 + 1X1 + 2X2.
:
Y = 0 + 1(X1 + 2)?
16. :
yi = 1xi i,
i - .
yi = 1xi + i .
?
17.
:
2
) Y = 0 + 1ln X + ;
1
;
) Y = 0 + 1
x
1
+;
) Y =
0 + 1X

0 (X + 5) 2
+ ;
1X
X
) Y =
.
0 + 1X 2
18. :
Y = + X1X3 + X2X3 + X1 + X2 + .
) ?
)
(i1, i1, i1, yi), i = 1, 2, , n?
19.

) Y =

203

Y = AK L ,
- () = 1.
) , - ? , () = 1?
) ,
?

1.

40 :
2
y = 0.6 + 0.46l + 0.32k,
R = 0.75; DW = 2.45;
t = (2.6) (0.75) (1.81)
y, l, k ,
.
?
) , . .
;
) ,
;
) l, . . ;
) . ;
) , .
.
?

2.

26
2

R = 0.41; DW = 0.67;

y = 0.46l + 0.32k
t = (1.81) (2.87),

y, l, k , .
?
) l, . . ;
) ,
;
) k, . . ;
) , ;
) ;
204

) . ;
) .
.
?
3.

20 ,
:
2

lnY = 3.52 + 1.53lnK + 0.47lnL + e ,

R = 0.875;
t = (1.45) (2.76)
(5.321),
Y ( $), K ( $), L (-).
) .
) ?
) .
) , , ?
) ?

4.

Y( $)
( $). 9 :
Y
5
7
13 15 20 25 22 20 17
X 0.8 1.0 1.8 2.5 4.0 5.7 7.5 8.3 8.8
)
.
) Y = 0 + 1X + .
) .
)
2
Y = 0 + 1X + 1X + .
) . ?

5.

(e = exp):
t
Y = e + .
t
Y

6.

1
4
0.85 0.45

16
0.4

15 :
2
) Y = 3.435 0.5145X + e,
R = 0.6748;
t = (20.5) (4.3),
205

) lnY = 0.851 0.2514X + e,

R = 0.7785;
t = (43.6) (5.2),
Y ( 100 ),
( ./).
) .
) ,
?
) , , ? ?
7.

Y(1990 = 100) ( $) 1981 1998 .

Y
X

81 82 83 84 85 86 87 88
65 68 72.5 77.5 82 85.5 88.5 91
110 125 132 137 160 177 192 215

91
92
93
94 95 96 97
106.5 112 115.5 118.5 120 120.5 121

89 90
95 100
235 240

X
245 250 275 285 295 320 344

) .
) 1) Y ; 2) Y lnX;
3) lnY ; 4) lnY
lnX.
) .
) Y .
) .
8.

16 . ,

:

81

EX

54.1 35.4 56.6 46.6 46.7 52.1 56.6 44.8 68.3 36.3 75.0 57.2 69.0 55.5 73.3 64.1 60.0

82

83

84

85

86

87

88

89

90

91

92

93

94

95

96

97

) .
) EX = 0 + 1t + .
2
) EX = 0 + 1t + 2t + .
2
3
) EX = 0 + 1t + 2t + 3t + .
) . ?
) .
9.

:
2

LnC = b0 + b1lnQ + b2 ln Q + e.
206

 ,
?
10.

t 1
&t = t

100%
t

ut.

70 71 72 73 74 75 76 77 78 79
1.61 1.66 1.80 1.95 2.05 2.12 2.25 2.45 2.55 2.67

ut

1.0 1.38 1.15 1.50 1.55 1.20 1.1

t
ut

1.0

1.35 1.8

80 81 82 83 84 85 86 87 88
2.73 2.80 2.93 3.02 3.15 3.27 3.45 3.60 3.80
1.9 1.45 1.85 1.2

1.5 1.25 1.4

1.3

1.6

1
& t = 0 + 1 + t .

ut
) b0, b1 0, 1.
) b0, b1 . 1?
) , ut
& t .
,
) 95%- 0, 1.
) u0 ( u0 ,
& t = 0).

)

&
d

u = 1 u = 3. du
? ?
) & t ut.

.
) .
11.

Q, K L 20 .

Qt

46000 59000 37500 107000 130000 128000 154000 226500 146500 31500
207

Kt
Lt

2
2

5.6
2

2
4

5.6
4

2
6

10.4
2

5.6
6

10.4
4

10.4
6

2
2

Qt 70500 70500 108000 90500 74000 160000 225000 167500 88500 54000
Kt 2
5.6
5.6
2
10.4
5.6
10.4
10.4
5.6
2
Lt 4
2
4
6
2
6
4
6
4
2
,

Qt = A K t L t .

) : qt = 0 + 1kt + 2lt + .
?
) 0, 1, 2.
) 1, 2, 1 + 2.
) , Q
= 0.05 K = 8 L = 3.
) = 0.05 :
1) 1 = 0, 2 = 0; 2) 1 = 2; 3) 1 = 2 = 0; 4) 1 + 2 =1.
?
) ? ,
?

208

8.
,
, ,
. ,
. (
), . . . . (. 5.1, 20):
i . D(i)=D(j) = 2
i j.
( ).
( ).
, ,
.
8.1.

, i- i. ? ,

yi c i, i = 1, 2, ..., n. .
. ,

, ,
,
209

 () .
. ,
i . ,
,
, .
.
. 8.1 I: C = 0 + 1I + .
C

I1

Ik

In

I1

Ik

In

. 8.1

. . 8.1, , . 8.1, , .
,
, , , ,
.
. .

, . () . 8.2.
210

(. 8.2, ) i ,
(. 8.2, ) i ( ).

. 8.2

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

(, , ,
211

 . . ). ()
.
8.2.
5.1,
(BLUE-) , (): 2(i) = 2 i, i = 1,
2, , n.
( ) .
1. -
.
2. (. . ). . .
3. . ,
2
ei
S2 =
(m n m 1
),
(. 6.2, (6.23)), .
4. , t- F-, . , , ,
. , , , t- .
, .

.
212

y1

x1

yn

. 8.3

xn

. 8.3 , i
Y i ,
, ( 1 n).

2
2
e i = ( y i b0 b1x i ) .

e i2 , (, e12 )
(, e 2n ). , . . ,
, .
, . , , ,
() . , , , .
8.3.

.

.
213


, . . 2(i) Y,
i .
i i ,
Y i .
, - .
. : , ,
, , .
8.3.1.

.
( Y = b0 + b1X1 + ... +
+ bmXm), i, e i2 .
. 8.4.
e i2

e i2

e i2

xi

e i2

xi

e i2

xi
. 8.4
214

xi

xi

 . 8.4, e i2
, . e i2 ,
.. .
. 8.4,
xi e i2 . . 8.4, 8.1.
. 8.4, ; 8.4, ; 8.4,
. , , . 8.4, , .
,
. j , j = 1, 2, , m . )
j y i ,
.
)
y i
ij , j = 1, 2, , m, ,
)
e i2 y i ,
. 8.4, .
.
8.3.2.
,
, . , , i i . i i ( ).
:
2

rx, e

di
=1 6
,
n(n 2 1)

(8.1)

di i ei , i = 1, 2, , n; n .
, 20 25- ; 20 32-, di = 25 32= 7.
215

, , ,
r
n2
t = x,e
(8.2)
2
1 rx, e

= n 2.
, t-, (8.2), t. = t,n2 ( ),
,,
, .
.
, t .
8.3.3.
. ,
. , i2 = 2(ei ) i- i .

i2 = 2 x i e v i .

(8.3)

(8.4), :
ln i2 = ln 2 + lnx i + v i .

(8.4)

i2 , e i2 .
:
1. yi = b0 + b1xi + i.
)
2. lne i2 = ln(y i y i ) 2 .
3.
ln e i2 = + lnxi + vi ,
2

(8.5)

= ln .
(8.5)
.
216

4.

. (8.5) t- t =
S
, ln e i2 lnxi, . .
.
, (8.5) (, , ). . vi . .
8.3.4.

(, )
i i.
ei( i2) i.
:

| ei |= + ik + vi .

(8.6)

k, .
k = , 1, 0.5, 0.5, 1, . (8.6) , .
, , ,
vi .
.
8.3.5.
, i = (i) i
, . . i2 = 2 x i2 . , i
.
:
217

1. n .
2. k, (n 2k), k .
3. (k ) (k ). , ( k

S1 = e i2 ) i =1

(
n

S3 = e i2 ) .
i=n-k

4.
F-:
S /(k m 1) S3
F= 3
= .
(8.7)
S1/(k m 1) S1
(k m 1) (m
).
F-
1 = 2 = k m 1.
S
5. F.= 3 > F.= F; 1;2 , S1
( ).
,
. : n = 30,
k = 11; n = 60, k = 22.

,
i. k , (m + 1).
Xj, .
i . : F = S1/S3.
218

8.4.

8.2,
, .
.

.
, i2 i .
8.4.1. ()
i2. ,
.
.
:
yi = 0 + 1xi + i .
(8.8)

(9.7) i =

i2 :

yi
1
x
= 0 + 1 i + i .
i
i
i i

(8.9)

yi
xi
e
1
= i* ,
= xi*, i = vi,
= zi,
i
i
i
i
,
Z v:

i* =0zi + 1xi* + vi.

(8.10)

vi .
,
2
i2 (v i ) = M(v i M(v i )) 2 = M(v i ) M 2 (v i ) .
1
10 M(ei) = 0, M(v i ) = 2 M(e i ) = 0 ,
i
i2 (v i ) = M(v i2 ) =
e i2
1
1
1
= M( 2 ) = 2 M(e i2 ) = 2 M(e i M(e i )) 2 = 2 i2 = 1 = const.
i
i
i
i
219

, (8.10)
10 50 . ,
, .
, :
1. (i , i) i .

,
. , , .
.
1 x y
2. , i , i
i i i
.
8.4.2.

i2 . . , ,
i2 .
, ,
i2 i i (.8.5, )
i2 (. 8.5, ).
2

xi
. 8.5

1. i2 i (. 8.5, ).

i2 = 2 i (2 ).
220

xi

 (8.9) x i :
yi
xi

x
e
a
+b i + i
xi
xi
xi

yi
xi

=a

1
+ b xi + v i .
xi
ei

, vi =

xi

(8.11)
-

. ,
(8.11) . , i2 = 2 (i) = 2 i :

2 (v i ) = 2 (

i
1
1
) = 2 (i ) = 2 x i = 2 = const.
xi
xi
xi

, (8.11) 0 1,
(8.8).
, . )
Xj Y )
Y = b0 + b1X1 + ... + bmXm ,
. . .
:
yi
x i1
x im
i
1
(8.12)
) = 0 ) + 1 ) + ... + m ) + ) .
yi
yi
yi
yi
yi

, (. 8.4).
2. i2 i2 (. 8.4, ).

, i2 i
, , (8.8) i:
yi
1

= 0 + 1 + i
xi
xi
xi

yi
1

= 0 + 1 + v i , v i = i .
xi
xi
xi

(8.13)

, vi .
0 1
(8.13) (8.8).
221

,

i2, ,
. , ,
, .
. (, , . .).
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.
( ).
(, ).

1. ?
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)
;
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222

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4.
5.
6.
7.

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1.

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2.

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26.2 33.1

42.5

47.0

48.5

49.0

49.1

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52.4

10.0 11.2

15.0

20.5

21.2

19.5

23.0

19.0

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59.0

61.3

62.5

63.1

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24.5 21.5

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73.2 75.4

76.0

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81.2 83.3

92.0

95.5 103.2 110.4

22.5 27.4

40.0

23.5

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53.2

21.3

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) .
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.
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223

3.

(Y) ( ) (). :
Y
75.5
80.5
85.5
93.0
102.0

75.5
82.0
88.5
93.5
105.5

77.5
84.5
90.0
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107.0

78.5
85.0
91.0
99.0
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80.0
85.5
95.0
102.5
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X
100
200
300
400
500

81.0
86.5
96.0
105.0
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) Y .
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. , k = 12.
) , ,
,
, ,
.
) , , .
) , ) ).
4.

Y = b0 + b1X + e 2
2
M(ei ) = xi. , .
.

5.

Y = b0 + b1X1 + b2X2 + e,
(19711998), : 2
19711980 . S1 = ei = 15, 1981
2
1998 . S2 = ei = 50. ,
( , - 1981 .).

6.

.
1961 1990 . :
)
1) it = 52.5 + 0.275gnp t 0.63c t ,
2

(t) = (12.5) (10.2)

(6.4)
R = 0.98.
)
it
c
1
2)
= 50.7
+ 0.27 0.62 t ,
gnp t
gnp t
gnp t
(t)

(13.3)

(9.3)
224

(6.9)

R = 0.87,

 GNP ; ; I ; gnpt, ct, it t.

)
?
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[0, 5) [5, 10) [10, 15) [15, 20) [20, 25) [25, 30) [30, 35) [35, 40]

10000 12500 14300 18700 25400 29000 32000 34300

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(Y) . 40 .
X 25.5 26.5 27.2 29.6 35.7 38.6 39.0 39.3 40.0 41.9 42.5 44.2 44.8 45.5
Y 14.5 11.3 14.7 10.2 13.5 9.9 12.4 8.6 10.3 13.9 14.9 11.6 21.5 10.8
45.5 48.3 49.5 52.3 55.7 59.0 61.0 61.7 62.5 64.7 69.7 71.2 73.8 74.7
Y 13.8 16.0 18.2 19.1 16.3 17.5 10.9 16.1 10.5 10.6 29.0 8.2 14.3 21.8
225

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10740

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1100

11200

5000

1520

) yi = b0 + b1xi + ei,
.
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yi
1
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i
i
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) .
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226

9.
9.1.

i (. 5.1). ((i, j) = cov(i, j) = 0
i j) , , ((i1, i) = 0),
i = 2, 3, , n.
( )
, ( ) (
). ()
. ( ) .
i t, .
T n.

((t1, t) > 0), ((t1, t) < 0).

. .
Y
. , ,
Y= 0 + 1X, . 9.1.
Y

. 9.1
227


.

.
, .

. 9.2.
Y

. 9.2

, , ( ).
, , ,
, , .
. -
, .
. Q.
MC = 0 + 1Q +
+ 2Q2 + MC = 0 + 1Q + , .

.
(. 9.3) . , .
228

MC = 0 + 1Q + 2Q2
MC = 0 + 1Q

Q
. 9.3

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

.
.
. , , , , .

229

9.2.

.
.
1. , , . ,
(BLUE-).
2. . ,
, ,
t-.
,
.
e 2t
3. S2 =

n m 1
2 , .
4. t- F-,
, , .
.
9.3.

t. t, . .
9.3.1.
. , t
t ( i), . 9.4.
- .

, ,
t ( t).
, . 9.4, , . . 230

. . 9.4, , , .
t, e t

t, e t

t, e t

t(i)

t(i)

t(i)

t, e t

t, e t

t(i)

t(i)

. 9.4

, . 9.4, , , . . , , . , 9.4, t
t1 , .
t

t1

. 9.5
231


I III , .
,
.
. , . , .
9.3.2.
:
et. ,
( )(+ + + + + + +)( )(+ + + +)(),
. . 5 , 7 +, 3 , 4 +, 1 20 .
. .
.
n, . , .
.
n ;
n1 + n ( et);
n2 n ( et);
k .
(n1 > 10, n2 > 10)
k

2n1n 2
2n n (2n n n1 n 2 )
+ 1 ; D(k) = 1 2 12 2
.
M(k) =
n1 + n 2
(n1 + n 2 ) (n1 + n 2 1)

, M(k) u/2D(k) < k < M(k) + u/2D(k), .

232

 (n1 < 20, n2 < 20)

n ( 7). .
n1 n2 k1
k2 = 0.05.
k1 < k < k2 , .
k k1, .
k k2 , .
n = 20, n1 = 11, n2 = 9, k = 5. ( 7) k1 = 6, k2 = 16. k = 5 < 6 = k1 ,
= 0.05.
9.3.3.

.
DW
. DW
6.7.
DW .
T

DW =

( e t e t 1 )

t =2

2
et
t =1

(9.1)

(6.46) re t e t 1 :
DW 2(1 re t e t 1 ).

(9.2)

, 0 DW 4 . , re t e t 1 0
( ), DW 2. re t e t 1 1 ( ), DW 0. re t e t 1 1 (
), DW 4.
233

 , DW , , .
, n m :
dl du .
:
1.
)
y t = b 0 + b1x t1 + ... + b m x tm
)
t = t y t t, t = 1, 2, , T.
2. (9.1) DW.
3.
dl du :
0 DW < dl ,
dl DW < du ,
du DW < 4 du ,
4 du DW < 4 dl ,
4 dl DW 4 .

, .
1. DW , .
2. , t t = t1 + vt, AR(1). vt .
3.
(. . ).
4. ,
, . . :
yt = 0 + 1xt1 + ... + mxtm + Yt1 + t.

(9.3)

. :
yt = 0 + 1xt + yt1 + t .

234

(9.4)

 t :
t = t1 + vt.

(9.5)

(9.4)
:
(9.6)
yt = 0 + 1xt + yt1 +t1 + vt.
yt1 t1, . . (9.4) t,
t 1. ,

.
( 40) (. . ).
, .
.

, h- ,
n
)
,
(9.7)
h=
1 nD(g)
)
(9.5), D(g) yt1 , n
.
n H0: = 0 h
(h N(0, 1)).
u/2 (u/2) = (1 ) / 2
h u/2. h > u/2 , .
.
)
,
)
= 1 0.5DW, D(g) Sg g
. h .

h nD(g) > 1.
235

9.4.

,
. , ,
. , ,
, . , .
(. 6.7).
(,
-, . .).
, , , , , - {et}. .
, , AR(1).
AR(1)
Y = 0 + 1X + .

(9.8)

t (t1)
yt = 0 + 1xt + t ,
yt1 = 0 + 1xt1 + t1.

(9.9)
(9.10)

(9.5):
t = t1 + t,
t , t = 2, 3, ... , T ,
, .
(9.9) (9.10), :
yt yt1 = 0(1 ) + 1(xt xt1) + (t t1).
236

(9.11)

 yt* = yt yt1, xt* = xt xt1, 0* = 0(1 )

(9.5), :
yt* = 0* + 1xt* + t.
(9.12)
, , yt*, xt*, t . , t ,
0* 1 .
yt*, xt* ( ).
,
, .
:

x1 = 1 2 x1 ,
y1

(9.13)

= 1 y1.

,
, . . .
AR(1)
AR(2), AR(3) . .:
t = 1t1 + 2 t2 + t ,
(9.14)
t = 1t1 + 2 t2 + 3 t3 + t.
. . .
9.4.1.
, (9.2):
DW 2(1 re t e t 1 ).

r = re t e t 1 . (9.2) :
237

DW
.
(9.15)
2
. r
.
9.4.2.
, . (9.8):

r 1

Y = 0 + 1X +
(9.5) AR(1)

t = t1 + t .
1. (9.8) et t, t = 1, 2, ..., n.
2. AR(1),
)
et = et1 + t,
(9.16)
)
.
3. :
)
)
)
)
(y t y t 1 ) = (1 ) + (x t x t 1 ) + ( t t 1 ) ,

(9.17)

(
)
).
)
4. 0 = (1 ) 1 = (9.8). et 2.
,
.
.
9.4.3.
(9.11)
[1, 1] ()
, 0.001; 0.01 . .). , ,
238

. 0* 1 (9.11)
)
.
.
9.4.4.
, , , .

. = 1, ,
, (9.11) :

yt yt1 = 1( xt xt1) + ( t t1 )

(9.18)

yt yt1 = 1( xt xt1) + t.
yt = yt yt1 , xt = xt xt1 , (9.18)
yt = 1xt + t.

(9.19)

(9.19) 1. , 0 . , 0 = y 1x .
= 1, (9.9) (9.10) (9.5), :
yt + yt1 = 20 + 1( xt + xt1) + t

(9.20)
y t + y t 1
x + x t 1
= 0 + 1 t
+ t .
2
2

( = 1). .
, . ( , .) . . , , . . 239

 . , , ,
.
. ( )
- , , ,
{t}. , .

AR(1), , , AR(k), k = 2, 3, ...

. : , , . h- .
.

1.
2.
3.
4.
5.
6.
7.
8.
9.

?
.
?
?
?
.
DW .
DW .
?
10. AR(1).
11. ?
12.
AR(1).
13. . .
) .
) , , .

240

) DW
.
) DW 0 4.
) DW
.
) AR(1) , = 1.
2
) R
.
)
.
1.

50 DW
:
) 0.91; ) 1.37; ) 2.34; ) 3.01; ) 3.72.
,
. .

2.

= 0.05 = 0.01 DW,

n m: ) n = 20, m = 1; ) n = 25, m = 2; ) n = 50, m = 1;
) n = 50, m = 4; ) n = 100, m = 2.
, .

3.

( 7),
(n , n1
+, n2 , k ).
n2
k
n
n1
) 20 12
8
3
) 30 16
16
21
) 25 16
9
4
) 15
8
7
5

4.

20
, DW = 0.71.
) ? ,
?
) ?
) ?
) ?

5.

9
(EX) (IM). :
241

EX 12.47 12.65 12.89 12.97 13.00 13.31 13.25 12.65 14.49 14.47 14.74 14.62
IM 11.07 11.50 12.01 12.28 13.16 13.43 13.28 13.50 15.32 15.62 17.44 16.14
EX 17.60 17.70 16.60 15.26 19.49 19.08 18.69 18.65 19.33 19.11 18.62 18.40
IM 16.13 16.08 16.55 15.00 18.72 17.80 16.64 17.39 18.70 18.02 17.46 16.96
EX 16.15 16.58 17.60 18.48 15.36 15.25 15.61 15.93 14.38 14.30 14.75 15.58
IM 15.06 16.01 16.63 17.86 14.56 15.64 16.45 17.42 14.30 14.59 14.66 14.95

) .
) t- 2
R .
) DW
.
) .
)
(IM = IMt IMt1) (EX = EXt EXt1).
) DW .
) .
6.

35 :

ln(DI) t = 6.32 + 0.0084 t;

(S) = (3.54) (0.017)

R = 0.9931 DW = 0.173,
DI , t .
.
) .
) .
) ?
) , ,
?
7.

lny t = 5.12 + 0.31 lnxt1 + 0.52 lnxt2 0.81 lnxt3

(S)
(2.1) (0.18)
(0.21)
(0.29)
R 2 = 0.62 DW = 0.49,
yt ; xt1 ; xt2
; xt3 t.
) .
) lnx3t.
) DW?
= 0.01.
242

)
?
) ?
8.

(Y) . 32
:
)
y t = 41.2 + 0.254 xt + 0.539yt1
2

(S)
(0.107) (0.133)
R = 0.783 DW = 1.86,
.
) .
) 95%- .
)
.
)
= 0.01.
9.

25
Y%, 1%, 2%.
Y = 0 + 1X1 + 2X2 + .
, .
1
2
3 4
5
6
7
8
9 10 11 12 13
X1 3.5 2.8 6.3 4.5 3.1 1.5 7.6 6.7 4.2 2.7 4.5 3.5 5.0
X2 4.5 3.0 3.1 3.8 3.8 1.1 2.3 3.6 7.5 8.0 3.9 4.7 6.1
Y
9.0 6.0 8.9 9.0 7.1 3.2 6.5 9.1 14.6 11.9 9.2 8.8 12.0
14
X1 2.3
X2 6.9
Y 12.5

15
2.8
3.5
6.7

16 17
1.5 6.0
7.1 3.1
8.5 5.9

18
2.9
3.7
6.8

19
2.8
3.9
5.6

20 21 22 23
2.6 1.5 0.9 0.6
4.0 4.8 4.8 4.2
4.8 4.5 6.7 5.5

24
0.7
4.9
4.0

25
3.1
3.2
3.3

10. (INF) (U). 25 :

INF 3.07 0.70 4.08 2.20 2.38 0.90 1.10 5.12 0.93 2.54 1.55 3.45 1.09
U 3.69 9.10 3.92 6.50 4.63 8.50 9.55 3.71 5.80 3.60 6.53 4.32 9.20
INF 2.15 5.14 1.72 0.74 4.16 0.93 1.79 1.24 1.12 1.28 7.36 5.30
U 5.75 3.65 7.30 9.65 3.65 9.80 6.28 7.80 8.75 7.22 3.60 3.65
:

243

ln INFt = 0 + 1lnUt + t.
) 0 1.
) 95 %- 1.
) .
) DW
.
) .
) 1.
) , AR(1).
) 95 %-
1. .
) .
11. 30- :

it = 0 + 1yt + 2rt + t,
it t; yt t; rt
t.
Y
R
I

8.58
18.12
11.55

Y 16.55
R 19.3
I
9.32
Y 28.6
R 5.45
I 28.1

10.45 8.35 10.65 9.7 12.0 13.45 14.2 14.45 13.85

11.05 9.0 17.0 16.25 13.8 19.95 18.74 13.8
9.55
13.25 10.9 10.45 15.1 17.5 17.77 16.1 10.59 10.65
18.0
15.2
11.0
30.6
9.52
24.2

18.4 20.4
12.4 16.5
15.05 15.1
31.32
7.95
32.3

26.0
7.45
21.5

21.0 23.75 25.75 24.2 25.2 26.2

5.95 17.5 16.43 7.4 15.45 19.15
22.7 21.95 23.1 25.65 26.15 25.55
26.85 32.1 32.95 33.3 33.85 35.6
19.9 8.65 21.35 11.11 15.82 21.67
22.95 30.45 24.6 32.5 31.2 29.5

) .
)
.
) DW , .
) , AR(1).
) , yt+1 = 37
rt+1 = 15.
) 95 %- .

244

10.
. ,
, . (
)
. .
10.1.

. .

Y = 0 + 1X1 + 2X2 + .

(10.1)

:
X2 = 0 + 1X1.

(10.2)

(10.2) (10.1), :
Y = 0 + 1X1 +2(0 + 1X1) +
Y = (0 + 20) + (1+ 21)X1 + .
0 + 20 = a, 1+ 21 = b,
:
Y = a + bX1 + .

(10.3)

a b. :

0 + 2 0 = a,
+ = b.
1
2 1

(10.4)

(10.4) 0, 1, 2 ( 0 1 (10.2)).
. , 245

 (10.1) X1 X2
Y.
. , .
. ,
, .
. . , , .

.
(. 10.1).
Y

X1

X2
X1

X2

X1

Y
X2

X1 = X2

. 10.1

. 10.1, 1 2 Y
1 2 Y.
1 2
. 246

 1 2 Y. . 10.1,
1 2 Y.
10.2.

,
(BLUE-).
, .
, ( ) . ,
.
. , . , .
:
1. ( ) .
, .
2. t- ,
.
3. , . .
.
4. .
5. .
3, 4
(10.1).
247

 Y X1 X2.
,
X1 X2 .
:
. . 10.2
Y Y ,
X1 X2 Y Y
, .
Y
Y
2
0

X1
. 10.2

10.3.

, .
1. R2 ,
, ..
t-.
2. .

. .
3. .


.

. , Y
,
248

 , , ,
, , , .
,
.
, , .
, X1, X2, X3 X1 X2 :
r12 r13 r23
.
(10.5)
r12. 3 =
2
(1 r132 )(1 r23
)
, ,
r12. , , r12 = 0.5; r13 = 0.5;
r23 = 0.5. r12.3 = 1, . .
r12 r12.3 () X1 X2. ,
. , .

Xi Xj (1 i < j m), (m 2) ,
rij.1 2 (i 1)(i+1)(j 1)(j+1)m .
.

1, 2, , m

249

c11
c12

r23
c21 c22
C* = R 1 = c 31 c32
1

...
...
...

rm3
c m1 c m2
* R.

1 r12
r
1
21
R = r31 r32
... ...

rm1 rm2

r13

c13

... r1m
... r2m

... r3m .
... ...
... 1

rij.1 2 (i 1)(i +1)(j 1)(j +1)m =

c*ij
c*ii c*jj

c23
c 33
...
c m3

... c1m

... c 2m

... c 3m .
... ...

... cmm

(10.6)

(10.6)
(10.5) (10.7) :
rij.kl =

rij. k ril . k rjl . k

(1

ril2. k )(1 r jl2. k )

(10.7)

rj = ryj.1 2 (j 1)(j +1)m

Y j,
. rj2 , Y, j.
, rj2 , j = 1, 2, ,m
Xj Y.
4. () .
,
- (
) .
Xj, j = 1, 2, , m
. Rj2 F-
Fj =

R 2j
1

R 2j

250

nm
.
m 1

(10.8)

 n , m . F 1 = m 1 2 = n m . (6.36). Rj2 , Xj
.
, Xi
, .
, .

10.4.
, , ,
. .
, R2 ( 0.9) . , ,
.

, ,
, ,
. .
, ,
, . ,
.
10.4.1. ()
.
251

 . . ,
, . , , , . . , ,
.
10.4.2.
,
, ,
.
. ,
.
.
. , . .
10.4.3.
:
, , , . , ,
. .
10.4.4.


, 252

, .
, , - ( ) ,
, .
. (10.1). , X1 X2 . Y = 0 +
+ 1X1+ 1 (
1 = 0.8), Y X1. , Y X1 , 1 = 1 = 0.8. (10.1) :
Y = 0 + 0.8X1 + 2X2 + .

Y 0.8X1 = 0 + 2X2 + .

(10.9)

(10.9) , .
,
, -, , -, , , .
10.4.5.

.
,
)
Y = b0 + b1X1 + b2X2,
(10.10)
X1 X2 .

)
X
Y
= b 0 + b1 2 ,
X1
X1
(10.11)
)
X
Y
= b 0 + b1 1 .
X2
X2
253

 , , (10.11),
.
,
. , ,
. .

1.
2.
3.
4.
5.
6.
7.

.
?
?
?
?
.
, ? .
) .
)
BLUE-.
) ,
.
) .
2
) ,
.
) , t- .
2
) R ,
( t).
) , .
) Y = 0 + 1X1 + 2X2 + , 1 2.
254

 Y = 0 + 1X1 + 2X2 + .

X1 X2. . .
? ?
9. .
10. Y = 0 + 1X1 + 2X2 + X1 X2
. X2 X1,
. Y 2
. ?

8.

1.

10 X1, X2, Y:
X1
X2
Y

1
1
0

2
1.6
3

3
2.2
6

4
2.8
9

5
3.4
12

6
4
15

7
4.6
18

8
5.2
21

9
5.6
24

10
6.2
27

)
. .
) ) ,
.
2.

n = 50 X1, 2, X3

1.0 0.45 0.35

R = 0.45 1.0 0.52 .

0.35 0.52 1.0

) r12.3, r23.1, r13.2.
) ?

3.

Y = b0 + b1X1 + b2X2 + e
rx 1 x 2 = 0.
:

Y = 0 + 1X1 + ;

Y = d0 + d2X2 + .

, :
) b1 = 1; b2 = d2;
) b0 0, d0, ;
) S(b1) = S(1); S(b2) = S(d2) .
255

4.

(GNP), (CONS)
(INV) .
GNP
CONS
INV

240 248 261 274 273 269 283 296 312 319
149 154 162 169 167 171 180 188 196 200
38.2 41.9 46.5 52.1 48.1 38.3 45.4 52.1 56.8 57.5

GNP
CONS
INV

318 325 317 327 350 361 372 385 402 412
200 202 205 215 225 235 245 252 261 266
50.9 54.5 44.7 50.4 65.8 63.7 64.0 76.4 71.6 71.8

) INV = b0 + b1GNP + b2 CONS + e.

) .
)
? .
) ? ?
) INV GNP INV CONS. ?
) CONS GNP. ?
)
?
5.

AQ ( ). : PC , lnYD
, POP , PT
. ,
t- 2
R ? .

6.

:
CONSt = 0 + 1GNPt + 2GNPt1 +3(GNPt GNPt1) + ,
CONSt t; GNPt, GNPt1
t t1 .
) ?
) ?
) ?
) GNPt
GNPt1? .
256

11.

11.1.
( ), . ,
,
, , . . ( ).
, ,
. .
.
.
.
() ,

. , ,
,
. .
:

0, ,
D =
1, .
, D = 0, , D = 1, ; D = 0,
, D = 1, .
D (, )
().
, , ( X i ), , ( Di), .
, , ANOVA- ( ).
, Y .
257

0 , ,
D =
1 , ,

Y = 0 + D + .

(11.1)

, M(Y | D = 0) = 0 + 0 = 0,
M(Y | D = 1) = 0 + 1 = 0 + .
0 .
,
.
t-
R2 F-, , .
, ANOVA- - .
. , , .
11.2. ANCOVA

, , , ANCOVA ( ).
11.2.1. ANCOVA-

ANCOVA , :
(11.2)
Y = 0 + 1X + D + .

, , Y , X
, D , . .
0, ,
D=
1, .
x
:
M(Y | x, D = 0) = 0 + 1 ,
(11.3)
258

M(Y | x, D = 1) = 0 + 1 + = (0 + ) + 1 . (11.4)

(. 11.1). 1. (11.3), (11.4) . t- 0 (0 + ), ,
.
, , ,
. , > 0 , < 0 .
Y(/)

)
Y = (0 + ) + 1
)
Y = 0 + 1

0+
0
0

. 11.1

, .
,
? ,

Y = 0 + 1X + 1D 1 + 2 D 2 + ,

(11.5)

0, ,
D1 =
1, .
0, ,
D2 =
1, .
D1 D2
: D2 = 1 D1.
, b1
b2 . 259


(11.2). ,
:
k , (k 1)
.

, .
. . ,
(11.2) , :
0, ,
D=
1, .
.
,
D = 0, . , .
(11.2) , . . , , ,
.
11.2.2. ANCOVA

, , . . , , ,
: ,
. , -

260

 .
, :
Y = 0 + 1X + 1D1 + 2 D 2 + ,

(11.6)

Y , X .
0, ,
D1 =
1, .
0, ,
D2 =
1, .
, .
:

M(Y | D1 = 0, D 2 = 0) = 0 + 1X .

(11.7)

:
M(Y | D1 = 1, D 2 = 0) = ( 0 + 1 ) + 1X .

(11.8)

:
M(Y | D1 = 1, D 2 = 1) = ( 0 + 1 + 2 ) + 1X .

(11.9)

1, 2 . .
, (11.7), (11.8),
(11.9), (. 11.2):
)
Y = ( 0 + 1 + 2 ) + 1X
)
Y = ( 0 + 1 ) + 1X
)
Y = 0 + 1X

0 + 1 + 2
0 + 1
0
. 11.2

(11.7)
(11.9) 1 2
t-.
261

 , (11.7). 0 + 1 (11.8) , 1
, (11.7). 0 + 1+
+2. , , 1 2 . 1 2 ,
, .
11.2.3.

,
.
.
Y , X , D1 , D2 ,

0, ,
D1 =
1, .
0, ,
D2 =
1, .
, :
Y = 0 + 1X + 1D1 + 2 D 2 + .

(11.10)

.
:
M(Y | D1 = 0, D 2 = 0) = 0 + 1X .

(11.11)

:
M(Y | D1 = 0, D 2 = 1) = ( 0 + 1 ) + 1X .

(11.12)

:
M(Y | D1 = 1, D 2 = 0) = ( 0 + 2 ) + 1X .

(11.13)

:
M(Y | D1 = 1, D 2 = 1) = ( 0 + 1 + 2 ) + 1X .
262

(11.14)

 , . , 11.2.2.
1 2 ,
.
, . , k , (k 1) .
11.3.

, , ,

. , , . ,
11.2.1 , 1 , 1
. , ,
,
.

,
. , , , . ,
, .
:
Yt = 0 + 1X t + 1D t + 2 D t X t + t ,

(11.15)

0, ,
D t =
1, .
:
M(Yt | D t = 0) = 0 + 1X t ,
263

(11.16)

M(Yt | D t = 1) = ( 0 + 1 ) + (1 + 2 )X t .

(11.17)

1 2 (11.15) . Dt
(11.15) (1Dt), (1DtXt), ,
. (11.15) ,
. 11.3.
Y

T
. 11.3

. 11.3,
. . 11.3, , t . ,
,
(. .
) (.11.3, )

(. 11.3, ).
, 6.7.3.
. n. S0 e i2
yi (. 11.3, ).
, n1 n2 (n1 + n2 = n)
(. 11.3, ). S1 S2
264

 yi . , S0 = S1 + S2 .
Y , S0
S1 + S2. S0 (S1 + S2)

. , [S0 (S1 + S2)]/(m + 1)
. (m + 1), . . (m + 1)
(2m + 2) . (S1 + S2)/(n 2m 2) . ,
,
.
F- (. 3.5.5). F-
:
F=

S0 S1 S2 n 2m 2

.
S1 + S2
m +1

(11.18)

, F-
1 = m + 1
2 = n 0 2m 2 . m (m ).
, F , (11.18),
F. = F; m +1; n 2m 2 , ,
S0 S1 + S2 .
.
.

265

, F- ( )
. ,
, t- (
),
. , , .
11.4.

. , , , .
, .
. .
.


, , . .
, .
Y
X, .
:

t = 0 + 1 t + 1D1t + 2 D 2t + 3 D 3t + t ,

1,
D1t =
0,
1,
D 2t =
0,

(11.19)

II ,
.
III ,
.

1, IV ,
D 3t =
0, .
, ,
.
I . Y 266

 (), (11.19)
. Y
:
M(Y | D1 = 0, D 2 = 0, D 3 = 0) = 0 + 1X

I ,

M(Y | D1 = 1, D 2 = 0, D 3 = 0) = ( 0 + 1 ) + 1X

II ,

M(Y | D1 = 0, D 2 = 1, D 3 = 0) = ( 0 + 2 ) + 1X

III ,

M(Y | D1 = 0, D 2 = 0, D 3 = 1) = ( 0 + 3 ) + 1X

IV .

, (11.19) ,
. ,
:

Yt = 0 + 1X t + 1D1t + 2 D 2t + 3 D 3t +
+ 4 D1t X t + 5 D 2t X t + 6 D 3t X t + t .

(11.20)

, . .
. .
(11.20). .
, (11.19). , , () .
11.5.

, ( ) . , : ,
. ., :
0, , 1, .

267

 , , , (BLUE).

.
11.5.1. LPM
, () . , .
, , , , . . Y
:

0, ,
Y=
1, .
, ,
:
0, ,
Y=
1, .
:
Y = 0 + 1X1 + ... + m X m + 1D1 + ... + k D k + .

(11.21)

, Y
; X1 ; X2
,
; D3 .
0, ,
Y=
1, .
0 X1 50 , 0 X2 100 %,
0, ,
D3 =
1, .
:
Y = 0 + 1X1 + 2 X 2 + 3D3 + .
268

(11.22)

 (11.21) (11.22) (linear probability models) (LPM-).

:
Y = 0 + 1X + .

(11.23)

(11.23)
Y ( Y) = ,
M(i) = 0, M(Y = ) = 0 + 1 .
, M (Y ) = 0P(Y = 0 ) + 1P(Y = 1 ) = P(Y = 1 ).
, (11.23) :
P(Y = 1 ) = 0 + 1.

(11.24)

,
LPM :
1. i , , .
(11.23) , i = y i 0 1x i .

i = 1 0 1x i yi = 1,
i = 0 1x i yi = 0.

, ,

( ), . .
2. ().
,
D( i ) = M( i M( i )) 2 = M( i2 ) (. . M( i ) = 0 ).
D( i ) = M( i2 ) = ( 0 1x i ) 2 P(y i = 0) + (1 0 1x i ) 2 P(y i = 1) =
= ( 0 1 x i ) 2 (1 P(y i = 1)) + (1 0 1x i ) 2 P(y i = 1) =

= ( 0 1x i ) 2 (1 0 1x i ) + (1 0 1x i ) 2 ( 0 + 1x i ) =
= ( 0 + 1x i )(1 0 1x i ) = P(y i = 1)(1 P(y i = 1)) .
269

, D(i)
Y,
X. ,
.
(. 8.4).
3. , (11.21) (11.23)
, yi ,
.
(11.24), . . 0 P(Y = 1) 1.

.
4. LPM .
, (11.23) X
Y 1
X, , , (,
. .).
, LPM .
.
11.5.2. Logit
LPM- , , , 0 P(Y = 1 ) 1, P(Y = 1 )
,
.

LPM logit . .
LPM pi = P(Y = 1 | xi ) :

pi = P(Y = 1| xi ) = M(Y = 1| xi) = 0 + 1xi.

pi :

270

(11.25)

p i = M(Y = 1 | x i ) =

1
1+ e

( 0 +1x i )

1
,
1 + e zi

(11.26)

z i = 0 + 1x i .
(11.26) , < z i < +
: 0 pi 1. ,
pi xi . ,
(11.26) , pi
. ,
. . ,
1 pi =

1
.
1 + e zi

(11.27)

, (11.26) (11.27), :
pi
1 + ez i
=
= ez i .
zi
1 pi 1 + e

(11.28)

pi
, 1 pi
P(y i = 1) , P(y i = 0) .
(11.28),

ln

Pi
= z i = 0 + 1x i .
1 Pi

(11.29)

(11.29) logit . .
0 pi 1, - < zi < + (. .
- +).
Logit ,
,
. , p
ln i ,
1 pi
.
pi. , ) n
, pi p i = i (n
). 271

 pi .
, ,

. ,
.

1. (, )?
2. ?
3. ANOVA-? .
4. ANOVA-? .
5. ?
6. ?
7.
?
8. ?
9. .
10.
?
11. LPM?
12. logit ?
13. , :
) ;
) ;
) ;
) , ;
) ;
) ;
) ;
)
.
)
14. Y = 5 + 2X + 3D,
Y , , D , (D = 0 D = 1 ). 272

15.

16.

17.

18.

, D = 1 D = 0 ?
, D = 1 D = 1
?
Y = 0 + 1X1 + D + , D .
. - ?
, ?
(Y) .
: (1), (2), (3). : Y = 0 + 1D1 + 2D2 + , Di = 0 i- , Di =
= 1 .
) ?
) ,
?
)
Y = 0 + 1X1 + ( X1
)? .
)
Y = 0 + 1D1 + 2D2 + 3D3 + ( D3 = 0 , , D3 = 1 , )? .
:
)
Y = 16 + 10 + 5DS + 3DE + 2DSE,
Y ; ;
DS, DE, DSE (DS = 0 , DS = 1 ; DE = 0, , DE = 1
; DSE = DSDE).
)
) Y : ,
?
)
?
) DSE?
) DSE
?
(Q)
(P) (I). . 15 :
qt = 0 + 1pt + 2it + 1D1+ 2D2 + 3D3 + 4D4 + ,
Dj = 1 i- , Dj = 0 (j = 1, , 4).
) ? .

273

) ) , .
) ,
?
19. ,
() , , ,
.
) ?
) , ?
) ,
?
20.
. , ? ?

1.

Y = 0 + 1D + , D ,
(D = 0 , D = 1 ). Y 15 5, 25 3.
2
, (i) = 64.
) 0 1.
) , 1 = 1 ( = 0.05).

2.

(A, B, C). . (M, ) (H, ) . 40 :

A B C A C A B C B A B C C B A A C B A A
M
23 30 65 69 75 63 25 75 75 52 20 70 62 40 66 20 39 25 48 59
H
280 230 112 176 90 176 216 110 45 200 265 148 150 176 123 245 176 260 236 205

M
H

A B A C B A C B A B B C A B A C B A B A
25 69 71 26 45 40 30 69 30 22 33 48 75 21 56 58 50 37 56 67
240 65 115 200 126 225 210 45 260 220 194 156 100 240 170 116 120 240 88 120

) H = 0 + 1M + .
) ,
. ?
) .
) .
) .
274

3.

(F) (AG), (A, B,

C). 36 :
C A B A B B A C C A C A A B C B C A
AG 29 53 29 58 66 67 63 59 51 67 63 33 33 42 67 33 23 28
EF 36 69 47 73 64 60 62 71 62 70 71 52 63 48 71 46 25 55
C B B A C C B A C B C A B B C A A B
AG 19 30 23 21 56 45 43 38 37 43 27 43 45 48 47 48 53 58
EF 28 40 41 56 62 50 45 58 46 58 34 65 55 57 59 64 61 62
) AG EF,
, , .
) EF = 0 + 1AG + . ?
) .
) EF = 0 + 1AG + 1D1+ 2D2 + , D1, D2
, .
.
) .
)
EF = 0 + 1AG + 1D1+ 2D2 + 1AGD1 +2 AGD2 + .
) .
AGD1 AGD2?
) .
) , , ?

4.

() (Y) , , ,
.
:

75 76 77 78 79 80 81 82 83 84 85

100 105 108 111 115 122 128 135 143 142 147
Y
4.7 6.1 6.5 6.8 5.2 6.5 7.5 8.0 9.0 9.1 8.7

86 87 88 89 90 91 92 93 94

155 167 177 188 195 210 226 238 255

Y
12.0 16.2 18.5 18.0 17.6 20.0 23.0 22.5 24.3
) ,
, 1986 .
) ?
)
( = 0.05).

275

5.

(S) 70 (45
25 ) (T)
:
)
1.
S = 50 + 0.12 T
2
DW = 0.17
t = (5.23) (9.35)
R = 0.63
)
2.
S = 30 + 0.092 T + 25 D
2
DW = 1.06
t = (4.63) (4.3)
(6.23)
R = 0.72
)
3.
S = 25 + 0.078 T + 32 D + 0.07(TD)
2
t = (3.07) (3.73)
(2.93) (1.98)
R = 0.912 DW = 1.83,
D , .
) (1 2), , ?
) 1 ?
) (2 3), , ?
) 3.

6.

(Y = 1, ;
Y = 0, ) (). 40 :
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

10 20 22 18 9 15 25 30 40 16 12 8 20 19 30 50 37 28 45 38
Y
0 1 1 0 0 0 1 1 1 0 0 0 1 0 1 1 1 1 1 1

21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40
30 12 16 27 19 15 32 18 43 13 22 14 10 17 36 45 14 22 41 34
1 0 0 1 0 0 1 0 1 0 1 0 0 0 1 1 0 1 1 1

) LPM-.
) .
) , , 18, .
7.

(N), (X), (n),

.
X
Ni
ni

10 15
35 45
5 10

20
60
18

25 30 35 40
80 100 130 90
30 45 60 55

45
65
45

50
50
38

55
30
24

60
15
13

) logit .
) logit , , ni
1
)
)
.
: i2 = )
) ; pi =
N i p i (1 p i )
Ni
) .
) .

276

12.
12.1. .
(
) , ,
, . ,
, , , . ., ,
- .
.
.
Y.
() t yt; Y yt+1, yt+2, ... , yt+k, ...; Y yt1, yt2, ..., ytk, ... .
,


, ,
. .
,
, .
.
1. ( ) ,

() . (12.1):
yt = + 0xt + 1xt1 + ... + kxtk + t.

(12.1)

2. , . (12.2):
yt = + xt + yt1 + t.

(12.2)

. , , .
277

 ,
.
,
. , , .
, .
. ,


, .
. ,
,
().
. , ; ( )
. .
12.2.

, (12.1) .
yt = + 0xt + 1xt1 + ... + kxtk + t,
yt = + 0xt + 1xt1 + 2xt2 + ... + t.

(12.3)

, 0
, Y
.
j j

, Y .
h

j (h < k) j= 0

278

 (12.1)
.
X 0 = xt, X1 = xt1, ..., X k = xtk :

yt = + 0 X 0 + 1 X1 + ... + k X k + t.

(12.4)

.
12.2.1.
(12.3)
.
.
- k
xtk . xt, xt1, , xtk+1,
.
k xtk . ,
xt, xt1, ,
xtk+1, .

, , . ,
.
12.2.2. ( )
, ( ) k :

k = 0k , k = 0, 1, ... ,

(12.5)

0 < < 1 ( ). , ,
279

 ,
.
(12.3)
(12.6):
yt = + 0xt + 0xt1 + 02xt2 + ... + t.
(12.6)
, 0, . , .
[0, 1] (, 0.01;
0.001; 0.0001).
zt = xt + xt1 + 2xt2 + 3xt3 + + pxtp.

(12.7)

p , zt
.

yt = + 0zt + t.

(12.8)

, R2 (12.8) .
, 0 (12.6).
.

.
(12.6) ,
(t 1)
yt1= + 0 xt1 + 02xt1 + ... +t1,

(12.9)

:
yt yt1 = (1 ) + 0xt + (t t1)
yt = (1 ) + 0xt + yt1 + t,

(12.10)

t = t t1 t t1.
(12.3)
(12.10) .
,
( 280

) (12.10),
: , , 0. ,
, .
(12.10) . yt-1
0.
. , t *, yt
yt1 y*.
(12.10) :
y* = (1 ) + 0x + y.

(12.11)

,
0
(12.12)
x*.
(1 )
, 0

= 0 + 0 + 02 + 03 + ...
(1 )
, X Y. 0 < < 1 0
(. .
> 0).
(1 )

:
yt1, , , ,
. , , , t.
t, t1 30 , t, , . DW
h- (. 9.3.3).
, , .

y* = +

281

12.3.

: . ,
.
12.3.1.
, , ,
.
. ,

. ,
. , , , ,
.

.
() . . , .
.
.

t () t:
(12.13)
yt = + xt + t.

, ,
:
282

x t x t 1 = (x t x t 1 ) .

(12.14)

(12.14) . 0 1 .
(12.14) , . .

, , . (12.14) xt xt-1:
x t x t 1 = (x t 1 x t 1 ) .

(12.15)

(12.14)
x t = x t + (1 )x t 1 .

(12.16)

(12.16) , xt xt (1 ) . =
= 0, (): xt = x t 1 . = 1, xt = xt, .
(12.16) (12.13), :
y t = + ( t + (1 )x t 1 ) + t .

(12.17)

(12.17) yt1,
(1 ), :
y t (1 )y t -1 = + x t + ( t (1 ) t 1 ) .
y t = + x t + (1 )y t 1 + t ,

(12.18)

t = t (1 )t1.
(12.13) ,
yt
xt . (12.18) xt yt .
= 1,
. .
(xt = xt).

(12.18) (
283

 y), xt ( =

).

, (12.18)
(12.10) .
, , yt
x t +1

( =

y t = + x t +1 + t .

(12.19)

yt
.
, (12.16), ,

:
x t +1 = x t + (1 )x t .

(12.20)

x t , :
x t +1 = x t + (1 )[x t 1 + (1 )x t 1 ] =

= x t + (1 )x t 1 + (1 ) 2 x t 1 .
(12.16)
x t 1 , x t 2 , :
x t +1 = [ x t + (1 )x t 1 + (1 ) 2 x t 2 + ...] .

(12.21)

x t +1 (12.19), :
y t = + [ x t + (1 )x t 1 + (1 ) 2 x t 2 + ...] + t .

(12.22)

0 (1 ) ,
(12.6):
yt = + 0xt + 0xt1 + 02xt2 + ... + t,
.
284


, ,

.
12.3.2.
( )
yt, () yt:

yt = + xt + t.

(12.23)

yt , :
yt yt1 = ( yt yt1),

(12.24)

yt yt1

yt yt1. 0 1 . (12.24) :
yt = yt + (1 )yt1.

(12.25)

(12.23) (12.25),
yt = + xt + (1 )yt1 + t,

(12.26)

. (12.25)
, yt yt . , .
= 1 . = 0
.
, (12.23)
() y Y ( y ). , (12.26) yt Y,
. ,
(12.26) ( , yt1,

),
=
=

285

(12.23). :

y3 y2 -

y1

.12.1

y1 Y, y Y, = 0.5. ,
.
(12.26)
(12.10).
yt1.
t (. . t
, yt1). .
: Y , .
(12.24): It = yt yt1 = (yt yt1) t .
12.3.3.
() :
286

yt = + xt + t.

(12.27)

, yt t; xt
t. yt , xt .
yt xt ,
xt ,
yt . :
yt = + xt + [(1 ) + (1 )] yt1
(1 )(1 )yt2 + [t (1 )t1]
yt = 0 + 1xt + 2yt1 + 3yt2 + t ,

(12.28)

0 = , 1 = , 2 = (1 ) + (1 ),
3 = (1 )(1 ), t = t (1 )t1.
,
, yt2.
12.4.

(12.1)
. ,
.
,
. , 34 ,
(3, 4 > 0,
1). .
, i (12.1) i:
i = a0 + a1i + a2i2 + + amim.

(12.29)

, , ,
. 12.2.
287

0 t1 t3
t2 t4

0 t1 t3
t2 t4

0 t1 t3
t2 t4

. 12.2

, . 12.2, , :
i = a0 + a1i + a2i2.

(12.30)

. 12.2,
.
i = a0 + a1i + a2i2 + a3i3,
(12.31)
i = a0 + a1i + a2i2 + a3i3 + a4i4.

(12.32)

, i (12.30). (12.1) :
k

yt = + (a 0 + a1i + a 2 i 2 )x t i + t =
i=0

i=0

i=0

i=0

= + a 0 x t i + a1 i x t i + a 2 i 2 x t i + t.
k

i=0

i=0

i=0

(12.33)

z t0 = a 0 x t i , z t1 = a1 i x t i , z t2 = a 2 i 2 x t i , :
yt = + a0zt0 + a1zt1 + a2zt2 + t.

(12.34)

, a0, a1, a2 .
288

 t . i (12.30).
,
k. , ,
. k m (12.29). : , , (, ) i = (t i). zti. ai , (12.34).
12.5.

:
yt = 0 + 1xt + yt1 + t.

(12.35)

( ) .
(12.35) . ,
:
t ((tt1) 0);
yt1
t.
,
, .
, ,
.
, yt1 (12.35),
t, , yt1,
t.
289

 . ,
yt1, Y
Xj, . , , .
12.6. .

9.3.3, DW , . . DW
2, .

h-, :
)
h=

n
,
1 nD(g)

(12.36)

n ; D(g)
)
yt1;
,
DW
)
. 9.3.3
(9.2): 1
2
. :
, Y
, h t1;
h , nD(g) > 1.
.
h n.
, . ,
.
290

 , . . {t}.
. , ,
, ARMA
ARIMA.
12.6.1. (AR)
Y ,

(yt m) = 1(yt1 m) + ut,

(12.37)

m Y, ut 2 (
). (12.37)
AR(1). yt Y t yt1 (t 1) .

(yt m) = 1(yt1 m) + 2(yt2 m) + ut

AR(2).

(12.38)

(yt m) = 1(yt1 m) + 2(yt2 m) + ... + (yt m) + ut

(12.39)

AR().
yt Y
( ) ut.
12.6.2.
:

yt = + 0ut + 1ut1,

(12.40)

= const, ut ut1
. Y t
( ). 291

 (12.40)
(1).

yt = + 0ut + 1ut1 + 2ut2 + ... + qutq

(12.41)

q
(q).
12.6.3. ARMA
AR MA ARMA. ,
Y ARMA(1,1) :

yt = + 1yt1 + 0ut + 1ut1.

(12.42)

ARMA(p,q) p
q .
12.6.4. ARIMA
ARMA
ARIMA. . ( )
Y yt yt1.
d Y yt yt1
yt2 ... ytd.
ARIMA(p,d,q) :

yt = 1 y*t 1 + ... + p y*t p + 0ut + 1ut1 + ... + qutq,

(12.43)

i, i = 1, 2, ..., p; i, i = 0, 1, 2, ..., q . y*t i , i = 0, 1, ... , p

d Y. uti , i = 0, 1, ... , q .
, AR, MA ARIMA
, , .

292

12.7.
12.7.1.
.
, -,
, -,
(.. ).


; , , .
, , .
, ,

yt = 0 + 1xt + t,
(12.44)
)
y t + p Y:

)
y t + p = b0 + b1xt+p.

(12.45)

, xt+p , Y . xt+p , , Y. , ,
xt+p .
, . , .
.
.
, .
,
293

. , .
.
5.5.
yt+p Y )
(t + p). y t + p
( ).

)
t+p = y t + p y t + p .
(12.46)

, t+p .
(12.44)
:

1 (x t + p x) 2 2 1 (x t + p x) 2 2
= 1 + +
. (12.47)
D B ( t + p ) = 1 + +
n (x x) 2 n n D B (x)
i

(12.47) , ,
. , , n.
D B ( t + p ) n
2 . ,

a n
, b n
,

t+p , 2.
(12.47) 2 Se2.
1 (x t + p x) 2 2
Se
S( t + p ) = 1 + +
2
n
n S x

294

(12.48)

)
y t +p y t +p
S( t +p )

= n 1. , yt+p :
)
)
(12.49)
y t + p t S( t + p ) < y t + p < y t + p + t S( t + p ) .
2

, n 1

, n 1

(5.35).
X Y
. 5.4.
S2t + p .
(6.31).
. p .
, Dt+1, Dt+2, , Dt+p.
Dt+i = 1 (t + i).
Dt+i = 0. ,
Xj , , . Dt+i (t + i).
.
12.7.2.
, , ,
() .
, , .
.

295


. , (
) .
.
e i2
S, Sd .
(S Sd)
p () .
, , F-:
F=

(S Sd )/p
,
Sd /(T m 1)

(12.50)

T , m
. (T
m 1) (T + p)
(m + p + 1)
. Sd
ST
, T. F- (12.50)
:
F=

(S ST )/p
.
ST /(T m 1)

(12.51)

(
) 1 = p 2 = T m 1. F.
F.= F, 1 , 2 , . F.> F., , . . .

, 6.6.2.
: ,
.
296

12.7.3.

.
,
.
,
.
yt+p Y )
(t + p). y t + p
( ).
(12.46).

)
t + p = y t + p y t + p , :
)
t + p
yt+p yt +p
(12.52)
t + p =
100% =
100% .
yt+p
yt+p

Y
t+p ,
.
:
)
)
y t + p = y t + p yt

yt+p = yt+p yt
Y :
)
y t + p y t + p
t + p =
100% .
y t + p

(12.53)

(12.53) , (12.52).

. ,
, . .
.
297

.
:

U=

1
)
(y t + p y t + p ) 2

k
.
1
2
(y t +p )
k

(12.54)

k .
. (0 U 1).
(12.54)
. , U = 0.

)
( y t + p = 0) (12.54) . , U = 1. , , , ,
, .
, U
.
, .
. , ,

. .
, ( )
. , , .
- .
,
. , . 298

 . ,

,
.
12.1. .
,
.
, . , , . ,
.
( ).
( ).

( ).
( ) .
.


1995 . 1999 . (
).

:
CPI t = 0 + 1M t + 2EFt1,

(12.55)

CPIt ,
t ( 3), EFt1
.
- .
:
CPIt = 14.24 + 0.00769t + 0.07452EFt1,
(t)
(2.74) (6.8)
(3.1)
2

R = 0.5761;

F = 24.46;
299

DW = 0.62.

(12.56)

30
25
20

15
10
5
0
-5

99

99

98

98

98

98

98

98

97

97

97

97

97

97

96

96

96

96

96

96

-10

.12.3
. t
, EFt1, .
, EFt1 CPIt CPIt1, , . . ( ), ,
. ,
,
.
, t-, ,
(| t | > 2) (. 6.6). .
R2 = 0.5761 ,
.
F- , , , , , , . , ,
t- .
(DW),
, . DW = 0.62, (. 9.3.3). ,

300

 .12.3 .
.
,
. CPIt1. , . . ,
.
.
CPIt = 2.12 + 0.00108t + 0.77323CPIt1 + 0.01445EFt1,
(t)
(-0.4) (0.6)
(4.7)
(0.6)
2

R = 0.7409;

(12.57)

h = 2.0797.

30
25
20

15
10
5
0
-5

99

99

98

98

98

98

98

98

97

97

97

97

97

97

96

96

96

96

96

96

-10

.12.4
CPIt1 R2,
, EFt1 t ( t-
). , () ().
CPIt1 t (rcpi m. ef = 0.82).
.

.
, h- (. 12.6). h = 2.0797
5 %- u0.025 = 1.96. , .
.
, 301

 .
CPI EF, CPI. , ,
EFt1
EFt1 = EFt1/EFt2.
, :
CPIt = 17.149 + 18.2355EFt1 + 0.8817CPIt1,
(t)
(3)
(3.2)
(11.5)
2

R = 0.794;

(12.58)

h = 1.1932.

30
25
20

15
10
5
0
-5

99

99

98

98

98

98

98

98

97

97

97

97

97

97

96

96

96

96

96

96

-10

. 12.5
. , R2. ,
, . .
, ,
1998 . . , , , . .
1. .
2. .
302

 .
, (12.58) D1, 5% (D1 = 1, 5 %; D1 = 0, ). :
CPIt = 21.6 + 22.313EFt1 + 0.709CPIt1 + 3.96D1,
(t)
(4.2) (4.4)
(8.8)
(3.7)
2

R = 0.85;

(12.59)

h = 0.4778.

30
25
20

15
10
5
0
-5

99

99

98

98

98

98

98

98

97

97

97

97

97

97

96

96

96

96

96

96

-10

. 12.6
,
2
R . .
(.12.6) , ,
: . ,
, 1998 . 1999 .
, .
, D2 (D2 = 1 ; D2 = 0
) D3 (D3 = 1 1998 . 1999 ., D3 = 0
).
, :
CPIt = 24.149 + 27.684EFt1 +0.703CPIt1 + 3.0639D1+2.36934D2+ 8.13595D3,
(t)
(-7)
(7,2)
(11.5)
(3.7)
(2)
(5.5)
2

R = 0.9254;

h = 0.1372.
303

(12.60)

30
25
20

15
10
5
0
-5

99

99

98

98

98

98

98

98

97

97

97

97

97

97

96

96

96

96

96

96

-10

. 12.7
.
, .
,

95
96
96
96
96
96
96
96
96
96
96
96
96
97
97
97
97
97
97
97

CPIt

EFt

3.9
5.6
4
2
1.5
0.6
2.3
2
1.3
1.8
1.3
3.9
7.4
13.3
6.6
2.3
4.3
5
4.5
1.4

17.9
16.8
17.7
19.2
19.9
21.1
21.4
22.4
24.3
25
26.2
26.2
27.3
29.5
31.8
34.6
37.2
39
41.1
43.2

241
248
256
259
248
234
234
214
217
226
217
220
235
191
189
177
171
180
188
186

97
97
97
97
97
98
98
98
98
98
98
98
98
98
98
98
98
99
99
99
304

CPIt

EFt

1
5
3.2
1.8
2.3
3.9
3.1
3.3
3.8
3.4
2.7
2.8
3.8
17.6
21
25
21.7
16.6
13.7
12.1

46
49.9
51.9
53.4
57.7
55.3
57.6
61.7
67.9
70.6
76.1
83.2
90.9
98.4
108.4
124.2
217.2
219.1
238.8
262.1

186
191
189
186
186
181
180
177
177
178
176
165
183
225
247
230
227
207
139
153


1. ?
2. ?
3. ?
4. .
5. ?
6. ?
7.
?
8. .
9. ?
10. AR, MA, ARMA ARIMA?
11. ?
12. ?
13. .
14. .
15. .
16. , (
).
) , , .
) .
) , .
) , t- .
)
.
) .
)
.
) , ,
, , , . . .
) .
305

) , , - .
) h-
, .
) .
)
.

1.

:
yt = 3.5 + 0.5 xt + 0.9 yt1
2
(S)
(0.5) (0.06)
R = 0.97
DW = 2.15.
2
, R , 2 ( ), . ?

2.

25 .
35- :
yt = 43.5 + 0.251 xt + 0.545 yt1
(S)
(0.105)
(0.135)
DW = 1.9,
yt
t; xt t.
) 95 %- xt.
) ?
) . ?

3.

(Y), (1)
(2) 20 :
Y
6.0 8.9 9.0 7.1 3.2 6.5 9.1 14.6 11.9 9.4
X1 2.8 6.3 4.5 3.1 1.5 7.6 6.7 4.2
2.7 3.5
X2 3.0 3.1 3.8 3.8 1.1 2.3 3.6 7.5
8.0 6.3
Y
X1
X2

12.0 12.5 8.5 5.9 6.8 5.6 4.8 6.7 5.5

5.0 2.3 1.5 6.0 2.9 2.8 2.6 0.9 0.6
6.1 6.9 7.1 3.1 3.7 3.9 3.9 4.8 4.3

4.0
0.7
4.8

) yt = b0 + b1 x1t + b2 x2t + et.

) , .
) yt = 0 + 1 x1t1 + 2 x2t1 + vt,
, x10 = 3.5; 20 = 4.5.
) .
) . ?
306

4.

ln yt = b0 + b1ln yt1 + b2 ln xt + b3 ln xt1 + et.
) ?
) Y ?
) 90 %- ?

5.

() (Y) 22 :

9.098 9.137 9.095 9.280 9.230 9.348 9.525 9.755 10.280 10.665 11.020
5.490 5.540 5.305 5.505 5.420 5.320 5.540 5.690 5.870 6.157 6.342

X 11.305 11.430 11.450 11.697 11.870 2.018 12.525 12.055 12.088 12.215 12.495
Y 5.905 6.125 6.185 6.225 6.495 6.720 6.920 6.470 6.395 6.555 6.755

) yt = 0 + 1 xt +t.
) .
)
yt = 0 + 1 xt + yt1 +t.
) .
) .
) . ?
6.

: St = S t 1 + (1 )St 1 ,
*

S , S .
, = 0.4:

S*
S
7.

t3
90
100

t2

t1

t+1

120

150

170

ct = ypt + ( lt1 lt ) + t,
lt1 ; lt ,
ypt, , ,
yt = ypt1 + (yt ypt1); yt .
) , : ct1, lt1, lt2, yt.
) ?

307

13.

,
, . , . , .
13.1.

.

.
, , , . . , (), () .
.
13.1.
.
, QD QS
t P
, :
:

q Dt = 0 + 1p t + t1 ,

1 < 0 ,

(13.11)

q St = 0 + 1p t + t2 ,

1 < 0 ,

(13.12)

q Dt = q St .

(13.13)

,
(, , ,
, , . .).
308

 . ,
(. 13.1). .
P
S

pt+1
pt
D2
D1
qt

qt+1

. 13.1

, (13.1) . , Y,
(13.2):
:

qDt = 0 + 1pt + 2 yt + t1,

1 < 0 , (13.21)

qSt = 0 + 1pt + t2 ,

1 < 0, (13.22)

q Dt = q St .

(13.23)

13.2.
,
:
:

t = 0 + 1yt + t, (13.31)

yt = t + it.

(13.32)

Y, C, I , (yt, t, it t).

309

 13.3. ISLM
IS ( ) :
:

t = 0 + 1yt,

(13.41)

t = 0 + 1yt,

(13.42)

it = 0 + 1rt,

(13.43)

y(d)t = yt t,

(13.44)

gt = g ,

(13.45)

yt = t + it + gt.

(13.46)

yt, t, it, gt, t, y(d)t, rt t (Y), (), (I), (G, G = g =

= onst) , (), (Yd),
(r).
(13.42) (13.44) (13.41). , (13.43) (13.45) (13.46).

yt = 0 + 1rt,

(13.5)

0 + 0 1 + 0 + g
1
; 1 =
.
1 1 (1 1 )
1 1 (1 1 )
(13.5) IS,
, .
LM ( ) ,
.
:
M Dt = a + by t crt ,
(13.61)
:

0 =

M St = M,

(13.62)

M Dt = M St .

(13.63)

(13.61) :
310

y t = 0 + 1M + 2 rt .

(13.7)

0 = a/b, 1 = 1/b, 2 = c/b.

(13.7) LM.
IS LM .13.2.
r
LM (M = M )

IS
Y
. 13.2

, . (13.5) (13.7).
13.2.

, . , .
. .
. , (13.1) ,
q Dt , q St P. , . . . (13.3) Y , . I ()
. , . , .
. (13.31) ,
Y . Y I. , 311

 Y I . ct
, :

1
(13.81)
yt = 0 +
it + t ,
1 1 1 1
1 1

ct = 0 + 1 it + t .
(13.82)
1 1 1 1
1 1
1
,
(13.81)
1 1
, ,
.
, , . -. . ,
(, ). , (13.3) (13.31) , (13.32) .
,
, ( ). ,
, .
(13.81) (13.82).
,
. ,
:
q St = 0 + 1i t + 2 p t 1 + t .
(13.9)
pt1 ; pt1 .
13.3.


312

 .

. (13.3).
(13.31) :
10. (t) = 0; 20. (t2) = 2;
30. (tt+i) = 0; 40. cov(yt, t) = 0 .
(13.81) , yt
t. , (13.31) yt t
(cov(yt, t) 0). , (13.81) :
0
1
M(yt) =
+
it .
(13.10)
1 1 1 1
, (t) = 0, , it () .
(13.10) (13.81), :
t
yt (yt) =
.
(13.11)
1 1
,
cov(yt, t) = ((yt (yt))(t (t))) =
1
2
t
2
M( t ) =
> 0.
(13.12)
= (
t) =
1 1
1 1
1 1
,
0 < 1 < 1. b1 1 :

b1 =

(ct c)(yt y) c t (yt y) c (yt y) c t (yt y)

=
.
+
=
2
2
2
2
(yt y)
(yt y)
(yt y)
(yt y)

(13.13)

(yt y ) = 0.
(13.13) t (13.31), :
b1 =
=

( 0 + 1y t + t )(y t y)
=
2
(y t y)

0 (y t y) 1 y t (y t y) t (y t y)
t (y t y)
+
+
= 1 +
. (13.14)
2
2
2
2
(y t y)
(y t y)
(y t y)
(y t y)
313


t (y t y)
.
(b1) = 1 + M
2
(y t y)

(13.15)

t (y t y)


2
(y
y
)

, . . ( ). :

1
t (y t y)
cov( t , y t )
t (y t y) n
=
n

.
2

1
D(y
)
2
(y t y)
t
(y t y)
n
(13.81) , D(it) 2I , :
D(yt) = D(

1
1
2I + 2 .
+
it + t ) =
2
1 1 1 1
1 1
(1 1 )

(13.12) (13.14) :

b1 n
1 +

2
1 1

1
2I + 2
2
(1 1 )

= 1 +

(1 1 ) 2
.
2I + 2

(13.16)

, b1 ( , , 0 < 1 < 1) 1.
.
(13.16) , 1 ,
2I 2 . , , 1 = 0.6, 2I = 3 2 ,
b1 0.6 + 0.4/0.4 = 0.7.
, (13.16) ,
> 0 , lim P( b1 1 < ) 1 . n

, b1 1.
314

13.4. ()

,
. (),
.
(13.3).
0
1
(13.8). (13.81)
= 10 ,
= 11 ,
1 1
1 1
0
1
t
2
(13.82)
= 20 ,
).
= 21 ,
= t ~ N(0,
1 1
1 1
1 1
1 1
(13.81) (13.82) :

yt = 10 + 11it + t,

(13.171)

ct = 20 + 21it + t.

(13.172)

I , it t
(13.81), (13.82), , t (13.171) (13.172). ,
) )
) ) t . 10 , 21 , 20 , 21 , , BLUE 10 , 21 , 20 , 21 . ,
b1 b2 1 2 (13.31):
)
)
) 21
)
20
b1 = 1 = ) ; b 0 = 0 = ) .
(13.18)
11
11

().
b1 b2
. b1 b2, , , , , .
, b1 b2 . (13.31) ( ).
315

 , :
1. , .
2. .
3. , . 2, .
13.1. :
:
qt = 0 + 1pt + 1t,
:
qt = 0 + 1pt + 2yt + 2t,
qt, pt t; yt ; 1t, 2t .
, . .
pt
1
2
3
4
5

qt
8
10
7
5
1

yt
2
4
3
5
2

pt
1
4
9
16
25

yt
4
16
9
25
4

ptqt
8
20
21
20
5

ptyt
2
8
9
20
10

qtyt
10
40
21
25
2

15

31

16

55

58

74

49

98

6.2

3.2

11

11.6

14.8

9.8

19.6

.
. :
(0 0) + (1 1) pt 2yt + (1t 2t) = 0.
, :
pt = 10 + 11yt + 1t,
qt = 20 + 21yt + 2t,
10 =

0 0
2t
2
, 11 =
;
, 1t = 1t
1 1
1 1
1 1

20 = 0 + 110, 21 = 111, 2t = 11t + 1t.

, .
b1 b0 1 0 :
)

)
)
1 = 21 , 0 = 20 110 b1 = ) 21 , b0 = 20 b110 .
11
11
316

 :
yp y p 0.2
)
11 =
=
= 0.147,
y 2 y 2 1.36
)
)
10 = p 11y = 3 0.147 3.2 = 2.5296,
yq y q 0.24
)
21 =
=
= 0.1765,
1.36
y2 y2
)
)
20 = q 21y = 6.7648.
,
: b1 = 0.1765/0.147 = 1.2, b0 = 6.7648 + 1.22.5296 = 9.8. , :
)
q t = 9.8 1.2 pt.
, , :
pq p q 5.2
b1 = 2
=
= 2.6, b 0 = q b1 p = 13.8.
2
p p2
:
)
q t = 13.8 2.6 pt.
,
.

13.5.

.
( ()), :
( ) ;
.
,
cov(X, ) 0:
Y = 0 + 1X + .

(13.19)

X Z , cov(Z, X) 0
317

cov(Z, ) = 0. :
M(t) = 0, cov(zt, t) = 0.

(13.20)

:
1
e t = 0,
T
1
z t e t = 0.
T

(13.211)
(13.212)

(13.21) :

(y t b0 b1 x t ) = 0,

(13.221)

z t (y t b 0 b1 x t ) = 0.

(13.222)

(13.22) :
b1 =

(z t z)(y t y)
,
(z t z)(x t x)

b 0 = y b1 x.

(13.231)
(13.232)

D(X) 2x , cov(Z, X)
zx 0.
, b1 1. (13.231) :
b1 =
=

cov(Z, Y) cov(Z, 0 + 1X + )
=
=
cov(Z, X)
cov(Z, X)
cov(Z, 0 ) cov(Z, 1X) cov(Z, )
=
+
+
cov(Z, X)
cov(Z, X)
cov(Z, X)

= 1 +

cov(Z, )
0
n
1 +
= 1 .

cov(Z, X)
zx

(13.24)

:
ov(Z, 0) = 0, . . 0 = const; ov(Z, 1X) = 1ov(Z, X).
b 1 :
318

b1 ~N(1, S2( b1 )),

S2( b1 ) =

S2 (z t z)
1

2
2
;
S
=
e t ; et = yt b 0 b1 x t .
2
T
[ (z t z)(x t x)]
13.6.

, ,
. .

( ), . , .

(),

. , .

(),
. , ,
.

.
13.6.1.
. , (13.1) (13.11) (13.12)
. 319

 ,
, . . pe qe.
, , ,
, . .
.

(13.1). (13.13):
0 + 1pt + t1 = 0 + 1pt + t2.

(13.25)

pt:
pt = 0 + ut,

(13.26)

0 0
t1
.
, u t = t2
1 1
1 1
pt (13.11) (13.12), :

0 =

qt = 1 + t,

(13.27)

1 0 0 1
1 t1
, t = 1 t2
.
1 1
1 1
(13.26) (13.27) . : 0, 1, 0, 1. ,
k
k () . , , :

1 =

0 =

0 0
,
1 1

(13.281)

1 =

1 0 0 1
.
1 1

(13.282)

, (13.26) (13.27)
pt = 0
qt = 1,
( ).
(. 13.3, ).
320

 .
, .
P

S1
S2

pe

D3

S3

D2
D
qe

D1
Q

. 13.3

, () I . :
q Dt = 0 + 1pt + 2it + t1, (1 < 0, 2 > 0),

(13.291)

q St = 0 + 1pt + t2. (1 > 0).

(13.292)

.
2 > 0. , :
0 + 1pt + 2it + t1 = 0 + 1pt + t2.

(13.30)

pt = 0 + 1it + t,

(13.31)

0 0
t1
2
, 1 =
, t = t2
.
(13.32)
1 1
1 1
1 1

(13.29), :

0 =

qt = 2 + 3it + t,
0 1
1 t1

, 1 = 2 1 , t = 1 t2
.
2 = 1 0
1 1
1 1
1 1

321

(13.33)
(13.34)

 (13.31) (13.33) . , 0, 1, 2,
3. 0, 1, 2,
0, 1 (13.29).
0 1 (13.292):
3
,
1

(13.351)

0 = 2 1 0 .

(13.352)

1 =

0, 1, 2 . , . , (13.291) (. 13.3, ).
(, pt1),
, (. 13.3, ).
.
,
( )
(, it pt1 ), .
().
13.6.2.

, :
q Dt = 0 + 1pt + 2it + 3st + t1,

(13.361)

q St = 0 + 1pt + 2pt1 + t2,

(13.362)

st
t.
:
322

pt = 0 + 1it + 2st + 3pt + t,

(13.37)

qt = 4 + 5it + 6st + 7pt1 + t.

0 =

0 0
;
1 1

1 =

3 =

2
;
1 1

4 =

5 =

2
;
1 1

2 =

(13.38)

3
;
1 1

1 0 0 1
;
1 1

(13.39)

2 1

; 6 = 3 1 ; 7 = 1 2 ;
1 1
1 1
1 1
t =

1 t2 1 t1
t1
; t = t2
.
1 1
1 1

, 0,
1, 2, 3, 0, 1, 2
(13.39). . , (13.39) 1. , 1 = 6 /2 1 = 5 /1. ,
6 /2 = 5 /1, . 1
, .
. () .
.
,
.
, .
13.7.

. N N .
M 323

. n m . , ,
, (
). N n M
m .

, ,
, N 1 ( ), : (N n) + (M m) N 1.

,

, : M m n
1.

.
.
1. (13.1)
q Dt = 0 + 1p t + t1 ,

q St = 0 + 1p t + t2 ,
N = 2, M = 0. n = 2, m = 0. ,
((N n) + (M m) N 1) , . . (N n) + (M m) = 0,
N 1 = 1. , .
2. (13.29) I ( ):
q Dt = 0 + 1pt + 2it + t1, (1 < 0, 2 > 0),
q St = 0 + 1pt + t2. (1 > 0),

N = 2, M = 1. n = 2. m = 1,
m = 0. (N n) + (M m) = 0 <
< 1 = N 1. ,
324

 .
(13.29)
(N n) + (M m) = 1 = N 1. . , .
3.
q Dt = 0 + 1pt + 2it + t1,

(13.401)

q St = 0 + 1pt + 2pt1 + t2,

(13.402)

N = 2, M = 2. n = 2, m = 1.
(N n) + (M m) = 1 = N 1. ,
(13.40) .
4. (13.36)
q Dt = 0 + 1pt + 2it + 3st + t1,
q St = 0 + 1pt + 2pt1 + t2,

N = 2, M = 3. n = 2.
m = 2. (13.361) , . . (N n) + (M m) = 1 = N 1.
(13.362) m = 1. , (N n) + (M m) =
= 2 > 1 = N 1. .
(.
13.8.2).

, N N
, , , , , N 1.

325

13.8.
13.8.1.

() . () .
, Y1 Xi, i = 1, 2, , m 1.
Y2
Xi, i = 1, 2, , m 2,
Y1. Y3
, Y2, 3,
(Y1, Y2) . .

(Y1 Y2 Y3 YN). .
.
,
. ,
, . 13.4.
13.8.2. ()
IS LM (t):

Y = 0 + 1r + 2G + 3t + 1, (1 < 0),

(13.411)

Y = 0 + 1r + 2M + 2. (1 > 0).

(13.412)

(13.412) (
r) ().
.
().
326

 ,
( ) .
1
(13.412)
r. ,
(, (13.412) (13.411)):
2 1
).
(13.42)
1 1
)
(13.42) , r r:
)
)
)
) )
r = 0 + 1M + 2 G + 3 t ,
(13.43)
)
r M, G, t.

R = 0 + 1M + 2G + 3t + ( =

2
(13.43) (13.412), :
)
Y = 0 + 1 r + 2M + 2.

(13.44)

, (,
)
). , r , , . .
(13.41) (13.412) (13.44), , .
.
,
.
1. ( ) , .
.
327

2.
.
3.
.
4. ,
R2 , , .
)
( r )

(r) .
R2 ,
. . .
,
.
.

1. ?
2.
?
3. ?
4. ()?
5.
?
6. .
7. .
8. ?
9. ()?
10. , ? .
) .
)
, . .
.
328

) , ,
.
)
.
) .
) -
.
) , , , , ,
.
) , ,
.
) .
11. :
ct = 0 + 1yt + t,
it = 0 + 1rt + t,
yt = ct + it + gt.
yt t; ct t; it
t; gt t; rt
t.
) ,
?
) ?
) ?
12. , .

1.

ct = 0 + 1yt + t,
it = 0 + 1yt + 2 gt1 + t,
yt = ct + it + gt,
C ; I ; Y ; G
.
) .
) ?

329

)
,
ct = 0 + 1yt + t?
2.

ct = 0 + 1yt + t,
it = 0 + 1yt + 2 yt1 + t,
yt = ct + it + gt,
C ; I ; Y ; G .
) .
) , ?
) ?

3.

:
qD
t = 0 + 1 p t + 2 y t + 1 p t 1 + t ,

(i, j) = 0 i j.

q St = 0 + 1p t + t ,

(i, j) = 0 i j.

S
qD
t = qt .
) ?
)
?
) ?
) ?
) , ) )?
) ?

4.

:
D
:
Q = 0 + 1P + ,
:

Q = 0 + 1P + 2W + ,
D

Q =Q ,
Q ; P ; W ; ,
, .

P 10 15 5 8 4
Q
6 6 18 12 8
W 2 6 2 7 4
) ,
?
330

) .
) ( ).
)
?
)
.
)
? , ?
5.

:
ct = 0 + 1yt + t,
it = 0 + 1rt + t,
yt = ct + it + gt.
yt t; ct t; it t; gt t; rt
t.
) ,
?
) , .
) :
yt = 10 + 11rt + 12 gt + 1t,
ct = 20 + 21rt + 22 gt + 2t,
it = 30 + 31rt + 32 gt + 2t.
) ?
) 0 1.

6.

:
ct = 0 + 1yt + 1ct1 + t,
it = 0 + 1rt + t,
yt = ct + it + gt.
yt t; ct, ct1 t t1 ; it t; gt
t; rt t.
) ,
, ?
) ,
.
) .
331

) :
yt = 10 + 11rt + 12 gt + 13 ct1 + 1t,
ct = 20 + 21rt + 22 gt + 23 ct1 + 2t,
it = 30 + 31rt + 32 gt + 33 ct1 + 2t.
) ?
) .
7.

:
qt = 0 + 1pt + 2it + t,
qt = 1pt + t.
) ,
?
) :
2
2
2
q t = 110, p t = 50, i t = 80, q t p t = 100, q t i t = 90, p t i t = 100.
1.
) .
) . ?

8.

:
y1t = 0 + 1y2t + 2 xt + t,
y2t = 0 + 1y1t + t.

y1t = 2 + 5 xt,
y2t = 1 + 10t.
) .
) , 1 = 0.
) , 0 = 0.

9.

(Y), () (I)
20 :
Y
C
I

95.75 98.55 103.55 109.00 108.25 107.40 112.70 117.75 123.45 126.55
60.45 62.45 65.90 68.90 68.45 70.00 73.55 76.55 79.70 81.60
14.30 15.85 17.75 19.70 18.10 14.60 17.35 20.00 22.15 22.30

Y 125.85 128.10 125.35 130.25 138.30 142.65 146.80 151.30 157.40 161.25
C 81.55 82.55 83.45 87.35 91.55 95.50 99.00 101.75 105.40 107.45
332

19.80

21.00

18.00

20.00

25.25

24.85

24.50

25.00

25.80

26.15

) ,
t = 0 + 1yt +t
(. 13.3), 0 1 .
)
.
) . .
10.

:
t = 0 + 1yt + 2Tt + t,
it = 0 + 1yt1 + t,
Tt = 0 + 1yt + t,
yt = t + it + gt,
Y ; ; I ; ; , , .
) , , ?
)
, ?
) ?
) , rt t?

11.

:
rt = 0 + 1yt + 2 mt + t,
yt = 0 + 1rt + t,
rt t; yt t; mt
M2 t.
) ?
) ?
) . .
rt
yt

95.75 98.5 103.55 109.00 108.25 107.40 112.70 117.75 123.45 126.55

mt

58.30 60.00 60.55

6.55

4.50

4.45

7.00
64.50

7.50

8.75

65.00 63.45

9.70
67.60

10.00
70.50

11.50
74.00

7.75
76.50

rt
6.00 6.10 5.90
9.80 8.00 7.50
7.00
6.50
7.40 5.50
yt 125.85 128.10 125.35 130.25 138.30 142.65 146.80 151.30 157.40 161.25
mt 75.00 77.25 74.00 78.45 83.50 87.00 88.00 90.50 94.40 96.50
333

12.

:
t = 0 + 1yt + 2rt + 1t,
rt = 0 + 1it + 2 mt + 2t,
it = 0 + 1rt + 2(yt yt1) + 3t,
yt = t + it + gt,
ct t; rt t; it t; yt t; mt M2 t;
gt t.
) ?
)
?

13.

, :
yt = 0 + 1xt + 1t,
zt = 0 + 1yt + 2t. (1, 2) = 0.
) ?
?
) , , ?
) , ?

14.

:
mD
t = 0 + 1yt + 2 rt1 + 3 pt1 + 1t,
mSt = 0 + 1yt + 2t.
S
yt ; m D
t ; m t
t; rt1 ; pt1 t 1.
) ?
) ?
) , yt1 mt1?
) ?

334


1
( )
f(u)
(u) =

:
(1.65) = P( 0 U 1.65) = 0.4505;
P( U > 1.65 ) = 0.0495.
u
.00
.01
.02
.03
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2.0
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
3.0

.0000
.0398
.0793
.1179
.1554
.1915
.2257
.2580
.2881
.3159
.3413
.3643
.3849
.4032
.4192
.4332
.4452
.4554
.4641
.4713
.4772
.4821
.4861
.4893
.4918
.4938
.4953
.4965
.4974
.4981
.4987

.0040
.0438
.0832
.1217
.1591
.1950
.2291
.2611
.2910
.3186
.3438
.3665
.3869
.4049
.4207
.4345
.4463
.4564
.4649
.4719
.4778
.4826
.4864
.4896
.4920
.4940
.4955
.4966
.4975
.4982
.4987

.0080
.0478
.0871
.1255
.1628
.1985
.2324
.2642
.2939
.3212
.3461
.3686
.3888
.4066
.4222
.4357
.4474
.4573
.4656
.4726
.4783
.4830
.4868
.4898
.4922
.4941
.4956
.4967
.4976
.4982
.4987

.0120
.0517
.0910
.1293
.1664
.2019
.2357
.2673
.2967
.3238
.3485
.3708
.3907
.4082
.4236
.4370
.4484
.4582
.4664
.4732
.4788
.4834
.4871
.4901
.4925
.4943
.4957
.4968
.4977
.4983
.4988

t2
2

(u)
dt

.04

.05

.06

.07

.08

.09

.0160
.0557
.0948
.1331
.1700
.2054
.2389
.2704
.2995
.3264
.3508
.3729
.3925
.4099
.4251
.4382
.4495
.4591
.4671
.4738
.4793
.4838
.4875
.4904
.4927
.4945
.4959
.4969
.4977
.4984
.4988

.0199
.0596
.0987
.1368
.1736
.2088
.2422
.2734
.3023
.3289
.3531
.3749
.3944
.4115
.4265
.4394
.4505
.4599
.4678
.4744
.4798
.4842
.4878
.4906
.4929
.4946
.4960
.4970
.4978
.4984
.4989

.0239
.0636
.1026
.1406
.1772
.2123
.2454
.2764
.3051
.3315
.3554
.3770
.3962
.4131
.4279
.4406
.4515
.4608
.4686
.4750
.4803
.4846
.4881
.4909
.4931
.4948
.4961
.4971
.4979
.4985
.4989

.0279
.0675
.1064
.1443
.1808
.2157
.2486
.2794
.3078
.3340
.3577
.3790
.3980
.4147
.4292
.4418
.4525
.4616
.4693
.4756
.4808
.4850
.4884
.4911
.4932
.4949
.4962
.4972
.4979
.4985
.4989

.0319
.0714
.1103
.1480
.1844
.2190
.2517
.2823
.3106
.3365
.3599
.3810
.3997
.4162
.4306
.4429
.4535
.4625
.4699
.4761
.4812
.4854
.4887
.4913
.4934
.4951
.4963
.4973
.4980
.4986
.4990

.0359
.0753
.1141
.1517
.1879
.2224
.2549
.2852
.3133
.3389
.3621
.3830
.4015
.4177
.4319
.4441
.4545
.4633
.4706
.4767
.4817
.4857
.4890
.4916
.4936
.4952
.4964
.4974
.4981
.4986
.4990

3.1 .49903 3.2 .49931 3.3 .49952 3.4 .49966 3.5 .49977 3.6 .49984 3.7 .49989 3.8 .49993 3.9 .49995
4.0 .499968
4.5 .49999
5.0 .49999997
335

 2
(t-)
f(t)
: t, = t0.05;20 = 1.725;

P( T > 1.725 ) = 0.05;

.
P(T > 1.725 ) = 0.10.

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
80
100
120
200
500

0.4
0.325
0.289
0.277
0.271
0.267
0.265
0.263
0.262
0.261
0.260
0.260
0.259
0.259
0.258
0.258
0.258
0.257
0.257
0.257
0.257
0.257
0.256
0.256
0.256
0.256
0.256
0.256
0.256
0.256
0.256
0.255
0.255
0.255
0.254
0.254
0.254
0.254
0.253
0.253

0.25
1.000
0.816
0.765
0.741
0.727
0.718
0.711
0.706
0.703
0.700
0.697
0.695
0.694
0.692
0.691
0.690
0.689
0.688
0.688
0.687
0.686
0.686
0.685
0.685
0.684
0.684
0.684
0.683
0.683
0.683
0.681
0.680
0.679
0.679
0.678
0.677
0.676
0.675
0.674

0.10
3.078
1.886
1.638
1.533
1.476
1.440
1.415
1.397
1.383
1.372
1.363
1.356
1.350
1.345
1.341
1.337
1.333
1.330
1.328
1.325
1.323
1.321
1.319
1.318
1.316
1.315
1.314
1.313
1.311
1.310
1.303
1.296
1.296
1.292
1.290
1.289
1.286
1.283
1.282

0.05

0.025

0.01

0.005

0.001

12.706
4.303
3.182
2.776
2.571
2.447
2.365
2.306
2.262
2.228
2.201
2.179
2.160
2.145
2.131
2.120
2.110
2.101
2.093
2.086
2.080
2.074
2.069
2.064
2.060
2.056
2.050
2.080
2.450
2.042
2.021
2.009
2.000
1.990
1.984
1.980
1.972
1.965
1.960

31.821
6.965
4.541
3.747
3.365
3.143
2.998
2.896
2.821
2.764
2.718
2.681
2.650
2.624
2.602
2.583
2.567
2.552
2.539
2.528
2.518
2.508
2.500
2.492
2.485
2.479
2.473
2.467
2.462
2.457
2.423
2.403
2.390
2.374
2.365
2.358
2.345
2.334
2.326

63.657
9.925
5.841
4.604
4.032
3.707
3.499
3.355
3.250
3.169
3.106
3.055
3.012
2.977
2.947
2.921
2.898
2.878
2.861
2.845
2.831
2.819
2.807
2.797
2.787
2.779
2.771
2.763
2.756
2.750
2.704
2.678
2.660
2.639
2.626
2.467
2.601
2.586
2.576

318.31
22.327
10.214
7.173
5.893
5.208
4.785
4.501
4.297
4.144
4.025
3.930
3.852
3.787
3.733
3.686
3.646
3.610
3.579
3.552
3.527
3.505
3.485
3.467
3.450
3.435
3.421
3.408
3.396
3.385
3.307
3.262
3.232
3.195
3.174
3.160
3.131
3.106
3.090

6.314
2.920
2.353
2.132
2.015
1.943
1.895
1.860
1.833
1.812
1.796
1.782
1.771
1.761
1.753
1.746
1.740
1.734
1.729
1.725
1.721
1.717
1.714
1.711
1.708
1.706
1.703
1.701
1.699
1.697
1.684
1.676
1.671
1.664
1.660
1.658
1.653
1.648
1.645

336

t,
.0005
636.6
31.6
12.94
8.610
6.859
5.959
5.405
5.041
4.781
4.587
4.437
4.318
4.221
4.140
4.073
4.015
3.965
3.922
3.883
3.850
3.819
3.792
3.767
3.745
3.725
3.707
3.690
3.674
3.659
2.646
3.551
3.495
3.460
3.415
3.389
3.366
3.339
3.310
3.291

-
f(2)

:
= 15

P(2 > 8.55) = 0.9,

P(2 > 22.31) = 0.1;

> 100

2 1 = U

(U(0,1)).
2

.995

1 .410-6
.010
2
.072
3
.207
4
.412
5
.676
6
.989
7
1.34
8
1.73
9
2.16
10
2.60
11
3.07
12
3.57
13
4.07
14
4.60
15
5.14
16
5.68
17
6.26
18
6.84
19
7.43
20
8.03
21
8.64
22
9.26
23
9.89
24
25 10.52
26 11.16
27 11.81
28 12.46
29 13.12
30 13.78
40 20.71
50 27.99
60 35.53
70 43.28
80 51.17
90 59.20
100 67.32

.990

.975

.950

.900

.750

.500

.250

.100

.050

.025

.010

.005

.210-5
.020
.115
.297
.554
.872
1.24
1.65
2.09
2.56
3.05
3.57
4.11
4.66
5.23
5.81
6.41
7.01
7.63
8.26
8.90
9.54
10.20
10.86
11.52
12.20
12.88
13.56
14.26
14.95
22.16
29.70
37.48
45.44
53.54
61.75
70.06

10-5
.051
.216
.484
.831
1.24
1.69
2.18
2.70
3.25
3.82
4.40
5.01
5.63
6.26
6.91
7.56
8.23
8.91
9.59
10.28
10.98
11.69
12.40
13.12
13.84
14.57
15.31
16.05
16.79
24.43
32.36
40.48
48.76
57.15
65.65
74.22

410-4
.103
.352
.711
1.15
1.64
2.17
2.73
3.33
3.94
4.57
5.23
5.89
6.57
7.26
7.96
8.67
9.39
10.12
10.85
11.59
12.34
13.09
13.85
14.61
15.38
16.15
16.93
17.71
18.49
26.51
34.76
43.19
51.74
60.39
69.13
77.93

.016
.211
.584
1.06
1.61
2.20
2.83
3.49
4.17
4.87
5.58
6.30
7.04
7.79
8.55
9.31
10.09
10.86
11.65
12.44
13.24
14.04
14.85
15.66
16.47
17.29
18.11
18.94
19.77
20.60
29.05
37.69
46.46
55.33
64.28
73.29
82.36

.101
.58
1.21
1.92
2.67
3.45
4.25
5.07
5.90
6.74
7.58
8.44
9.30
10.1
11.04
11.91
12.79
13.68
14.56
15.45
16.34
17.24
18.14
19.04
19.94
20.84
21.78
22.66
23.57
24.48
33.66
42.94
52.29
61.70
71.14
80.62
90.13

.454
1.39
2.37
3.36
4.35
5.35
6.35
7.34
8.34
9.34
10.34
11.34
12.34
13.34
14.34
15.34
16.34
17.34
18.34
19.34
20.34
21.34
22.34
23.34
24.34
25.34
26.34
27.34
28.34
29.34
39.34
49.33
59.33
69.33
79.33
89.33
99.33

1.32
2.77
4.11
5.39
6.63
7.84
9.04
10.22
11.39
12.55
13.70
14.85
15.98
17.12
18.25
19.37
20.49
21.60
22.72
23.88
24.93
26.04
27.14
28.24
29.34
30.43
31.53
32.62
33.71
34.80
45.62
56.33
66.98
77.58
88.13
98.65
109.1

2.71
4.61
6.25
7.78
9.24
10.64
12.02
13.37
14.68
15.99
17.28
18.55
19.81
21.06
22.31
23.54
24.77
25.99
27.20
28.41
29.61
30.81
32.01
33.20
34.38
35.56
36.74
37.92
39.09
40.26
51.81
63.17
74.38
85.53
96.58
107.6
118.5

3.84
5.99
7.81
9.49
11.07
12.59
14.07
15.51
16.92
18.31
19.68
21.03
22.36
23.69
25.00
26.30
27.59
28.87
30.14
31.41
32.67
33.92
35.17
36.42
37.65
38.89
40.11
41.34
42.56
43.77
55.76
67.50
79.08
90.53
101.9
113.1
124.3

5.02
7.38
9.35
11.14
12.83
14.45
16.01
17.53
19.02
20.48
21.92
23.34
24.74
26.12
27.49
28.85
30.19
31.53
32.85
34.17
35.48
36.78
38.08
39.36
40.65
41.92
43.19
44.46
45.72
46.98
59.34
71.42
83.30
95.02
106.6
118.1
129.6

6.63
9.21
11.34
13.28
15.09
16.81
18.48
20.09
21.67
23.21
24.73
26.22
27.69
29.14
30.58
32.00
33.41
34.81
36.19
37.57
38.93
40.29
41.64
42.98
44.31
45.64
46.96
48.28
49.59
50.89
63.69
76.15
88.38
100.4
112.3
124.1
135.8

7.88
10.60
12.84
14.86
16.75
18.55
20.28
21.96
23.59
25.19
26.76
28.30
29.19
31.32
32.80
34.27
35.72
37.16
38.58
40.00
41.40
42.80
44.18
45.56
46.93
48.29
49.64
50.99
52.34
53.67
66.77
79.49
91.95
104.2
116.3
128.3
140.2

337

 4 ()
(F-)
f(F)
:
1 = 6, 2 = 5
1 = 6, 2 = 5
1 = 6, 2 = 5

P(F > 3.40) = 0.1;

P(F > 4.95) = 0.05;
P(F > 10.7) = 0.01.
0

F; 1; 2

1 ( )

.10
.05

39.9
161

49.5
200

53.6
216

55.8
225

57.2
230

58.2
234

.10
.05
.01

8.53
18.5
98.5

9.00
19.0
99.2

9.16
19.2
99.2

9.24
19.2
99.2

9.29
19.3
99.3

.10
.05
.01

5.54
10.1
34.1

5.46
9.55
30.8

5.39
9.28
29.5

5.34
9.12
28.7

.10
.05
.01

4.54
7.71
21.2

4.32
6.94
18.0

4.19
6.59
16.7

.10
.05
.01

4.06
6.61
16.3

3.78
5.79
13.3

.10
.05
.01

3.78
5.99
13.7

.10
.05
.01

10

11

12

58.9
237

59.4
239

59.9
241

60.2
242

60.5
243

60.7
244

9.33
19.3
99.3

9.35
19.4
99.4

9.37
19.4
99.4

9.38
19.4
99.4

9.39
19.4
99.4

9.40
19.4
99.4

9.41
19.4
99.4

5.31
9.01
28.2

5.28
8.94
27.9

5.27
8.89
27.7

5.25
8.85
27.5

5.24
8.81
27.3

5.23
8.79
27.2

5.22
8.76
27.1

5.22
8.74
27.1

4.11
6.39
16.0

4.05
6.26
15.5

4.01
6.16
15.2

3.98
6.09
15.0

3.95
6.04
14.8

3.94
6.00
14.7

3.92
5.96
14.5

3.91
5.94
14.4

3.90
5.91
14.4

3.62
5.41
12.1

3.52
5.19
11.4

3.45
5.05
11.0

3.40
4.95
10.7

3.37
4.88
10.5

3.34
4.82
10.3

3.32
4.77
10.2

3.30
4.74
10.1

3.28
4.71
9.96

3.27
4.68
9.89

3.46
5.14
10.9

3.29
4.76
9.78

3.18
4.53
9.15

3.11
4.39
8.75

3.05
4.28
8.47

3.01
4.21
8.26

2.98
4.15
8.10

2.96
4.10
7.98

2.94
4.06
7.87

2.92
4.03
7.79

2.90
4.00
7.72

3.59
5.59
12.2

3.26
4.74
9.55

3.07
4.35
8.45

2.96
4.12
7.85

2.88
3.97
7.46

2.83
3.87.
7.19

2.78
3.79
6.99

2.75
3.73
6.84

2.72
3.68
6.72

2.70
3.64
6.62

2.68
3.60
6.54

2.67
3.57
6.47

.10
.05
.01

3.46
5.32
11.3

3.11
4.46
8.65

2.92
4.07
7.59

2.81
3.84
7.01

2.73
3.69
6.63

2.67
3.58
6.37

2.62
3.50
6.18

2.59
3.44
6.03

2.56
3.39
5.91

2.54
3.35
5.81

2.52
3.31
5.73

2.50
3.28
5.67

.10
.05
.01

3.36
5.12
10.6

3.01
4.26
8.02

2.81
3.86
6.99

2.69
3.63
6.42

2.61
3.48
6.06

2.55
3.37
5.80

2.51
3.29
5.61

2.47
3.23
5.47

2.44
3.18
5.35

2.42
3.14
5.26

2.40
3.10
5.18

2.38
3.07
5.11

10

.10
.05
.01

3.29
4.96
10.0

2.92
4.10
7.56

2.73
3.71
6.55

2.61
3.48
5.99

2.52
3.33
5.64

2.46
3.22
5.39

2.41
3.14
5.20

2.38
3.07
5.06

2.35
3.02
4.94

2.32
2.98
4.85

2.30
2.94
4.77

2.28
2.91
4.71

11

.10
.05
.01

3.23
4.84
9.65

2.86
3.98
7.21

2.66
3.59
6.22

2.54
3.36
5.67

2.45
3.20
5.32

2.39
3.09
5.07

2.34
3.01
4.89

2.30
2.95
4.74

2.27
2.90
4.63

2.25
2.85
4.54

2.23
2.82
4.46

2.21
2.79
4.40

338

 4 ()
()

1 ( )
40

50

60

100

120

200

500

62.0 62.3
249 250

62.5
251

62.7
252

62.8
252

63.0
253

63.1
253

63.2
254

63.3
254

63.3
254

.10
.05

9.44
19.4
99.4

9.45
19.5
99.5

9.46
19.5
99.5

9.47
19.5
99.5

9.47
19.5
99.5

9.47
19.5
99.5

9.48
19.5
99.5

9.48
19.5
99.5

9.49
19.5
99.5.

9.49
19.5
99.5

9.49
19.5
995

.10
.05
.01

5.20
8.70
26.9

5.18
8.66
26.7

5.18
8.64
26.6

5.17
8.62
26.5

5.16
8.59
26.4

5.15
8.58
26.4

5.15
8.57
26.3

5.14
8.55
26.2

5.14
8.55
26.2

5.14
8.54
26:2

5.14
8.53
26.1

5.13
8.53
26.1

.10
.05
.01

3.87
5.86
14.2

3.84
5.80
14.0

3.83
5.77
13.9

3.82
5.75
13.8

3.80
5.72
13.7

3.80
5.70
13.7

3.79
5.69
13.7

3.78
5.66
13.6

3.78
5.66
13.6

3.77
5.65
13.5

3.76
5.64
13.5

3.76
5.63
13.5

.10
.05
.01

3.24
4.62
9.72

3.21
4.56
9.55

3.19
4.53
9.47

3.17
4.50
9.38

3.16
4.46
9.29

3.15
4.44
9.24

3.14
4.43
9.20

3.13
4.41
9.13

3.12
4.40
9.11

3.12
4.39
9.08

3.11
4.37
9.04.

3.10
4.36
9.02

.10
.05
.01

2.87
3.94
7.56

2.84
3.87
7.40

2.82
3.84
7.31

2.80
3.81
7.23

2.78
3.77
7.14

2.77
3.75
7.09

2.76
3.74
7.06

2.75
3.71
6.99

2.74
3.70
6.97

2.73
3.69
6.93

2.73
3.68
6.90

2.72
3.67
6.88

.10
.05
.01

2.63
3.51
6.31

2.59
3.44
6.16

2.58
3.41
6.07

2.56
3.38
5.99

2.54
3.34
5.91

2.52
3.32
5.86

2.51
3.30
5.82

2.50
3.27
5.75

2.49
3.27
5.74

2.48
3.25
5.70

2.48
3.24
5.67

2.47
3.23
5.65

.10
.05
.01

2.46
3.22
5.52

2.42
3.15
5.36

2.40
3.12
5.28

2.38
3.08
5.20

2.36
3.04
5.12

2.35
2.02
5.07

2.34
3.01
5.03

2.32
2.97
4.96

2.32
2.97
4.95

2.31
2.95
4.91

2.30
2.94
4.88

2.29
2.93
4.86

.10
.05
.01

2.34
3.01
4.96

2.30
2.94
4.81

2.28
2.90
4.73

2.25
2.86
4.65

2.23
2.83
4.57

2.22
2.80
4.52

2.21
2.79
4.48

2.19
2.76
4.42

2.18
2.75
4.40

2.17
2.73
4.36

2.17
2.72
4.33

2.16
2.71
4.31

.10
.05
.01

2.24
2.85
4.56

2.20
2.77
4.41

2.18
2.74
4.33

2.16
2.70
4.25

2.13
2.66
4.17

2.12
2.64
4.12

2.11
2.62
4.08

2.09
2.59
4.01

2.08
2.58
4.00

2.07
2.56
3.96

2.06
2.55
3.93

2.06
2.54
3.91

.10
.05
.01

10

2.17
2.72
4.25

2.12
2.65
4.10

2.10
2.61
4.02

2.08
2.57
3.94

2.05
2.53
3.86

2.04
2.51
3.81

2.03
2.49
3.78

2.00
2.46
3.71

2.00
2.45
3.69

1.99
2.43
3.66

1.98
2.42
3.62

1.97
2.40
3.60

.10
.05
.01

11

15

20

24

61.2
246

61.7
248

9.42
19.4
99.4

30

339

 4 ()
()
1 ( )

10

11

12

12

.10
.05
.01

3.18
4.75
9.33

2.81
3.89
6.93

2.61
3.49
5.95

2.48
3.26
5.41

2.39
3.11
5.06

2.33
3.00
4.82

2.28
2.91
4.64

2.24
2.85
4.50

2.21
2.80
4.39

2.19
2.75
4.30

2.17
2.72
4.22

2.15
2.69
4.16

13

.10
.05
.01

3.14
4.67
9.07

2.76
3.81
6.70

2.56
3.41
5.74

2.43
3.18
5.21

2.35
3.03
4.86

2.28
2.92
4.62

2.23
2.83
4.44

2.20
2.77
4.30

2.16
2.71
4.19

2.14
2.67
4.10

2.12
2.63
4.02

2.10
2.60
3.96

14

.10
.05
.01

3.10
4.60
8.86

2.73
3.74
6.51

2.52
3.34
5.56

239
3.11
5.04

2.31
2.96
4.69

2.24
2.85
4.46

2.19
2.76
4.28

2.15
2.70
4.14

2.12
2.65
4.03

2.10
2.60
3.94

2.08
2.57
3.86

2.05
2.53
3.80

15

.10
.05
.01

3.07
4.54
8.68

2.70
3.68
6.36

2.49
3.29
5.42

2.36
3.06
4.89

2.27
2.90
4.56

2.21
2.79
4.32

2.16
2.71
4.14

2.12
2.64
4.00

2.09
2.59
3.89

2.06
2.54
3.80

2.04
2.51
3.73

2.02
2.48
3.67

16

.10
.05
.01

3.05
4.49
8.53

2.67
3.63
6.23

2.46
3.24
5.29

2.33
3.01
4.77

2.24
2.85
4.44

2.18
2.74
4.20

2.13
2.66
4.03

2.09
2.59
3.89

2.06
2.54
3.78

2.03
2.49
3.69

2.01
2.46
3.62

1.99
2.42
3.55

17

.10
.05
.01

3.03
4.45
8.40

2.64
3.59
6.11

2.44
3.20
5.18

2.31
2.96
4.67

2.22
2.81
4.34

2.15
2.70
4.10

2.10
2.61
3.93

2.06
2.55
3.79

2.03
2.49
3.68

2.00
2.45
3.59

1.98
2.41
3.52

1.96
2.38
3.46

18

.10
.05
.01

3.01
4.41
8.29

2.62
3.55
6.01

2.42
3.16
5.09

2.29
2.93
4.58

2.20
2.77
4.25

2.13
2.66
4.01

2.08
2.58
3.84

2.04
2.51
3.71

2.00
2.46
3.60

1.98
2.41
3.51

1.96
2.37
3.43

1.93
2.34
3.37

19

.10
.05
.01

2.99
4.38
8.18

2.61
3.52
5.93

2.40
3.13
5.01

2.27
2.90
4.50

2.18
2.74
4.17

2.11
2.63
3.94

2.06
2.54
3.77

2.02
2.48
3.63

1.98
2.42
3.52

1.96
2.38
3.43

1.94
2.34
3.36

1.91
2.31
3.30

20

.10
.05
.01

2.97
4.35
8.10

2.59
3.49
5.85

2.38
3.10
4.94

2.25
2.87
4.43

2.16
2.71
4.10

2.09
2.60
3.87

2.04
2.51
3.70

2.00
2.45
3.56

1.96
2.39
3.46

1.94
2.35
3.37

1.92
2.31
3.29

1.89
2.28
3.23

22

.10
.05
.01

2.95
4.30
7.95

2.56
3.44
5.72

2.35
3.05
4.82

2.22
2.82
4.31

2.13
2.66
3.99

2.06
2.55
3.76

2.01
2.46
3.59

1.97
2.40
3.45

1.93
2.34
3.35

1.90
2.30
3.26

1.88
2.26
3.18

1.86
2.23
3.12

24

.10
.05
.01

2.93
4.26
7.82

2.54
3.40
5.61

2.33
3.01
4.72

2.19
2.78
4.22

2.10
2.62
3.90

2.04
2.51
3.67

1.98
2.42
3.50

1.94
2.36
3.36

1.91
2.30
3.26

1.88
2.25
3.17

1.85
2.21
3.09

1.83
2.18
3.03

26

.10
.05
.01

2.91
4.23
7.72

2.52
3.37
5.53

2.31
2.98
4.64

2.17
2.74
4.14

2.08
2.59
3.82

2.01
2.47
3.59

1.96
2.39
3.42

1.92
2.32
3.29

1.88
2.27
3.18

1.86
2.22
3.09

1.84
2.18
3.02

1.81
2.15
2.96

28

.10
.05
.01

2.89
4.20
7.64

2.50
3.34
5.45

2.29
2.95
4.57

2.16
2.71
4.07

2.06
2.56
3.75

2.00
2.45
3.53

1.94
2.36
3.36

1.90 1.87
2.29 2.24
3.23 3.12

1.84
2.19
3.03

1.81
2.15
2.96

1.79
2.12
2.90

30

.10
.05
.01

2.88
4.17
7.56

2.49
3.32
5.39

2.28
2.92
4.51

2.14
2.69
4.02

2.05
2.53
3.70

1.98
2.42
3.47

1.93
2.33
3.30

1.88 1.85
2.27 2.21
3.17 3.07

1.82
2.16
2.98

1.79
2.13
2.91

1.77
2.09
2.84

340

 4 ()
()
1 ( )
15

20

24

30

40

50

60

100

120

200

500

2.10
2.62
4.01

2.06
2.54
3.86

2.04
2.51
3.78

2.01
2.47
3.70

1.99
2.43
3.62

1.97
2.40
3.57

1.96
2.38
3.54

1.94
2.35
3.47

1.93
2.34
3.45

1.92
2.32
3.41

1.91
2.31
3.38

1.90
2.30
3.36

.10
.05
.01

12

2.05
2.53
3.82

2.01
2.46
3.66

1.98
2.42
3.59

1.96
2.38
3.51

1.93
2.34
3.43

1.92
2.31
3.38

1.90
2.30
3.34

1.88
2.26
3.27

1.88
2.25
3.25

1.86
2.23
3.22

1.85
2.22
3.19

1.85
2.21
3.17

.10
.05
.01

13

2.01
2.46
3.66

1.96
2.39
3.51

1.94
2.35
3.43

1.91
2.31
3.35

1.89
2.27
3.27

1.87
2.24
3.22

1.86
2.22
3.18

1.83
2.19
3.11

1.83
2.18
3.09

1.82
2.16
3.06

1.80
2.14
3.03

1.80
2.13
3.00

.10
.05
.01

14

1.97
2.40
3.52

1.92
2.33
3.37

1.90
2.29
3.29

1.87
2.25
3.21

1.85
2.20
3.13

1.83
2.18
3.08

1.82
2.16
3.05

1.79
2.12
2.98

1.79
2.11
2.96

1.77
2.10
2.92

1.76
2.08
2.89

1.76
2.07
2.87

.10
.05
.01

15

1.94
2.35
3.41

1.89
2.28
3.26

1.87
2.24
3.18

1.84
2.19
3.10

1.81
2.15
3.02

1.79
2.12
2.97

1.78
2.11
2.93

1.76
2.07
2.86

1.75
2.06
2.84

1.74
2.04
2.81

1.73
2.02
2.78

1.72
2.01
2.75

.10
.05
.01

16

1.91
2.31
3.31

1.86
2.23
3.16

1.84
2.19
3.08

1.81
2.15
3.00

1.78
2.10
2.92

1.76
2.08
2.87

1.75
2.06
2.83

1.73
2.02
2.76

1.72
2.01
2.75

1.71
1.99
2.71

1.69
1.97
2.68

1.69
1.96
2.65

.10
.05
.01

17

1.89
2.27
3.23

1.84
2.19
3.08

1.81
2.15
3.00

1.78
2.11
2.92

1.75
2.06
2.84

1.74
2.04
2.78

1.72
2.02
2.75

1.70
1.98
2.68

1.69
1.97
2.66

1.68
1.95
2.62

1.67
1.93
2.59

1.66
1.92
2.57

.10
.05
.01

18

1.86
2.23
3.15

1.81
2.16
3.00

1.79
2.11
2.92

1.76
2.07
2.84

1.73
2.03
2.76

1.71
2.00
2.71

1.70
1.98
2.67

1.67
1.94
2.60

1.67
1.93
2.58

1.65
1.91
2.55

1.64
1.89
2.51

1.63
1.88
2.49

.10
.05
.01

19

1.84
2.20
3.09

1.79
2.12
2.94

1.77
2.08
2.86

1.74
2.04
2.78

1.71
1.99
2.69

1.69
1.97
2.64

1.68
1.95
2.61

1.65
1.91
2.54

1.64
1.90
2.52

1.63
1.88
2.48

1.62
1.86
2.44

1.61
1.84
2.42

.10
.05
.01

20

1.81
2.15
2.98

1.76
2.07
2.83

1.73
2.03
2.75

1.70
1.98
2.67

1.67
1.94
2.58

1.65
1.91
2.53

1.64
1.89
2.50

1.61
1.85
2.42

1.60
1.84
2.40

1.39
1.82
2.36

1.58
1.80
2.33

1.37
1.78
2.31

.10
.05
.01

22

1.78
2.11
2.89

1.73
2.03
2.74

1.70
1.98
2.66

1.67
1.94
2.58

1.64
1.89
2.49

1.62
1.86
2.44

1.61
1.84
2.40

1.58
1.80
2.33

1.57
1.79
2.31

1.56
1.77
2.27

1.54
1.75
2.24

1.53
1.73
2.21

.10
.05
.01

24

1.76
2.07
2.81

1.71
1.99
2.66

1.68
1.95
2.58

1.65
1.90
2.50

1.61
1.85
2.42

1.59
1.82
2.36

1.58
1.80
2.33

1.35
1.76
2.25

1.54
1.75
2.23

1.53
1.73
2.19

1.51
1.71
2.16

1.50
1.69
2.13

.10
.05
.01

26

1.74
2.04
2.75

1.69
1.96
2.60

1.66
1.91
2.52

1.63
1.87
2.44

1.59
1.82
2.35

1.57
1.79
2.30

1.56
1.77
2.26

1.53
1.73
2.19

1.52
1.71
2.17

1.50
1.69
2.13

1.49
1.67
2.09

1.48
1.65
2.06

.10
.05
.01

28

1.72
2.01
2.70

1.67
1.93
2.55

1.64
1.89
2.47

1.61
1.84
2.39

1.57
1.79
2.30

1.55
1.76
2.25

1.54
1.74
2.21

1.51
1.70
2.13

1.50
1.68
2.11

1.48
1.66
2.07

1.47
1.64
2.03

1.46
1.62
2.01

.10
.05
.01

30

341

 4 ()
()
1 ( )

10

11

40

.10
.05
.01

2.84
4.08
7.31

2.44
3.23
5.18

2.23
2.84
4.31

2.09
2.61
3.83

2.00
2.45
3.51

1.93
2.34
3.29

1.87
2.25
3.12

1.83
2.18
2.99

1.79
2.12
2.89

1.76
2.08
2.80

1.73
2.04
2.73

1.71
2.00
2.66

60

.10
.05
.01

2.79
4.00
7.08

2.39
3.15
4.98

2.18
2.76
4.13

2.04
2.53
3.65

1.95
2.37
3.34

1.87
2.25
3.12

1.82
2.17
2.95

1.77
2.10
2.82

1.74
2.04
2.72

1.71
1.99
2.63

1.68
1.95
2.56

1.66
1.92
2.50

80

.01
.05
.01

2.77
3.96
6.96

2.37
3.11
4.88

2.16
2.72
4.04

2.02
2.48
3.56

1.93
2.33
3.25

1.85
2.21
3.04

1.80
2.12
2.87

1.75
2.05
2.74

1.72
1.99
2.64

1.69
1.95
2.55

1.65
1.91
2.48

1.63
1.88
2.41

100

.10
.05
.01

2.76
3.94
6.90

2.36
3.09
4.82

2.14
2.70
3.98

2.00
2.46
3.51

1.91
2.30
3.20

1.83
2.19
2.99

1.78
2.10
2.82

1.73
2.03
2.69

1.70
1.97
2.59

1.67
1.92
2.51

1.63
1.88
2.43

1.61
1.85
2.36

120

.10
.05
.01

2.75
3.92
6.85

2.35
3.07
4.79

2.13
2.68
3.95

1.99
2.45
3.48

1.90
2.29
3.17

1.82
2.17
2.96

1.77
2.09
2.79

1.72
2.02
2.66

1.68
1.96
2.56

1.65
1.91
2.47

1.62
1.87
2.40

1.60
1.83
2.34

200

.10
.05
.01

2.73
3.89
6.76

2.33
3.04
4.71

2.11
2.65
3.88

1.97
2.42
3.41

1.88
2.26
3.11

1.80
2.14
2.89

1.75
2.06
2.73

1.70
1.98
2.60

1.66
1.93
2.50

1.63
1.88
2.41

1.60
1.84
2.34

1.57
1.80
2.27

.10
.05
.01

2.71
3.84
6.63

2.30
3.00
4.61

2.08
2.60
3.78

1.94
2.37
3.32

1.85
2.21
3.02

1.77
2.10
2.80

1.72
2.01
2.64

1.67
1.94
2.51

1.63
1.88
2.41

1.60
1.83
2.32

1.57
1.79
2.25

1.55
1.75
2.18

342

12

 4 (e)
()
1 ( )
15

20

24

30

40

50

60

100

120

200

500

1.66
1.92
2.52

1.61
1.84
2.37

1.57
1.79
2.29

1.54
1.74
2.20

1.51
1.69
2.11

1.48
1.66
2.06

1.47
1.64
2.02

1.43
1.59
1.94

1.42
1.58
1.92

1.41
1.55
1.87

1.39
1.53
1.83

1.38
1.51
1.80

.10
.05
.01

40

1.60
1.84
2.35

1.54
1.75
2.20

1.51
1.70
2.12

1.48
1.65
2.03

1.44
1.59
1.94

1.41
1.56
1.88

1.40
1.53
1.84

1.36
1.48
1.75

1.35
1.47
1.73

1.33
1.44
1.68

1.31
1.41
1.63

1.29
1.39
1.60

.10
.05
.01

60

1.58

1.52

1.49

1.45

1.41

1.38

1.36

1.31

1.31

1.29

1.27

1.25

.10

80

1.77

1.70

1.65

1.60

1.54

1.51

1.47

1.42

1.40

1.38

1.34

1.32

.05

2.24

2.11

2.03

1.94

1.84

1.78

1.76

1.65

1.63

1.57

1.52

1.49

.01

1.56
1.75
2.19

1.50
1.68
2.06

1.47
1.63
1.98

1.43
1.57
1.89

1.39
1.51
1.79

1.36
1.48
1.73

1.34
1.45
1.70

1.29
1.39
1.59

1.28
1.38
1.57

1.26
1.34
1.51

1.24
1.30
1.46

1.22
1.28
1.43

.10
.05
.01

100

1.55
1.75
2.19

1.48
1.66
2.03

1.45
1.61
1.95

1.41
1.55
1.86

1.37
1.50
1.76

1.34
1.46
1.70

1.32
1.43
1.66

1.27
1.37
1.56

1.26
1.35
1.53

1.24
1.32
1.48

1.21
1.28
1.42

1.19
1.25
1.38

.10
.05
.01

120

1.52

1.46

1.42

1.38

1.34

1.31

1.28

1.24

1.22

1.20

1.17

1.14

.10

200

1.72

1.62

1.57

1.52

1.46

1.41

1.39

1.32

1.29

1.26

1.22

1.19

.05

2.13

1.97

1.89

1.79

1.69

1.63

1.58

1.48

1.44

1.39

1.33

1.28

.01

1.49
1.67
2.04

1.42
1.57
1.88

1.38
1.52
1.79

1.34
1.46
1.70

1.30
1.39
1.59

1.26
1.35
1.52

1.24
1.32
1.47

1.18
1.24
1.36

1.17
1.22
1.32

1.13
1.17
1.25

1.08
1.11
1.15

1.00
1.00
1.00

.10
.05
.01

5

:

P( > ) =

0.20

0.10

0.05

0.02

0.01

0.001

1.073

1.224

1.358

1.520

1.627

1.950

343

 6()

dl du = 0.05

(n , m )
m=1

m=2

m=3

m=4

m=5

m=6

m=7

m=8

m=9

n
dl
6
7
8
9
10
11
12
13
14
15

16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
45
50
55
60
65
70
75
80
85
90
95
100
150

du

dl

du

dl

du

dl

du

dl

du

dl

du

dl

du

dl

du

dl

du

0.610 1.400
0.700 1.356 0.467 1.896
0.763 1.332 0.359 1.777 0.368 2.287
0.824 1.320 0.629 1.699 0.435 2.128 0.296 2.388
0.879 1.320 0.697 1.641 0.525 2.016 0.376 2.414 0.243 2.822
0.927 1.324 0.658 1.604 0.595 1.928 0.444 2.283 0.316 2.645 0.203 3.005
0.971 1.331 0.812 1.579 0.658 1.864 0.512 2.177 0.379 2.506 0.268 2.832 0.171 3.149
1.010 1.340 0.861 1.562 0.715 1.816 0.574 2.094 0.445 2.390 0.328 2.692 0.230 2.985 0.147 3266
1.045 1.330 0.905 1.551 0.767 1.779 0.632 2.030 0.505 2.296 0.389 2.572 0.286 2.848 0.200 3.111 0.127 3.360
1.077 1.361 0.946 1.543 0.814 1.750 0.685 1.977 0.562 2.220 0.447 2.472 0.343 2.727 0.251 2.979 0.175 3.216
1.106 1.371 0.982 1.539 0.857 1.728 0.734 1.935 0.615 2.157 0.502 2.388 0.398 2.624 0.304 2.860 0.222 3.090
1.133 1.381 1.015 1.536 0.897 1.710 0.779 1.900 0.664 2.104 0.554 2.318 0.451 1537 0.356 2.757 0.272 2.975
1.158 1.391 1.046 1.535 0.933 1.696 0.820 1.872 0.710 2.060 0.603 2.257 0.502 2.461 0.407 2.667 0.321 2.873
1.180 1.401 1.074 1.536 0.967 1.685 0.859 1.848 0.752 2.023 0.649 2.206 0.549 2.396 0.456 2.589 0.369 2.783
1.201 1.411 1.100 1.537 0.998 1.676 0.894 1.828 0.792 1.991 0.692 2.162 0.595 2.339 0.502 2.521 0.416 2.704
1.221 1.420 1.125 1.538 1.026 1.669 0.927 1.812 0.829 1.964 0.732 2.124 0.637 2.290 0.547 2.460 0.461 2.633
1.239 1.429 1.147 1.541 1.053 1.664 0.958 1.797 0.863 1.940 0.769 2.090 0.677 2.246 0.588 2.407 0.504 2.571
1.257 1.437 1.168 1.543 1.078 1.660 0.986 1.785 0.895 1.920 0.804 2.061 0.715 2.208 0.628 2.360 0.545 2.514
1.273 1.446 1.188 1.546 1.101 1.656 1.013 1.775 0.925 1.902 0.837 2.035 0.751 2.174 0.666 2.318 0.584 2.464
1.288 1.454 1.206 1.550 1.123 1.654 1.038 1.767 0.953 1.886 0.868 2.012 0.784 2.144 0.702 2.280 0.621 2.419
1.302 1.461 1.224 1.553 1.143 1.652 1.062 1.759 0.979 1.873 0.897 1.992 0.816 2.117 0.735 2.246 0.657 2.379
1.316 1.469 1.240 1.556 1.162 1.651 1.084 1.753 1.004 1.861 0.925 1.974 0.845 2.093 0.767 2.216 0.691 2.342
1.328 1.476 1.255 1.560 1.181 1.650 1.104 1.747 1.028 1.850 0.951 1.958 0.874 2.071 0.798 2.188 0.723 2.309
1.341 1.483 1.270 1.563 1.198 1.650 1.124 1.743 1.050 1.841 0.975 1.944 0.900 2.052 0.826 2.164 0.753 2.278
1.352 1.489 1.284 1.567 1.214 1.650 1.143 1.739 1.071 1.833 0.998 1.931 0.926 2.034 0.854 2.141 0.782 2.251
1.363 1.496 1.297 1.570 1.229 1.650 1.160 1.735 1.090 1.825 1.020 1.920 0.950 2.018 0.879 2.120 0.810 2.226
1.373 1.502 1.309 1.574 1.244 1.650 1.177 1.732 1.109 1.819 1.041 1.909 0.972 2.004 0.904 2.102 0.836 2.203
1.383 1.508 1.321 1.577 1.258 1.651 1.193 1.730 1.127 1.813 1.061 1.900 0.994 1.991 0.927 2.085 0.861 2.181
1.393 1.514 1.333 1.580 1.271 1.652 1.208 1.728 1.144 1.808 1.080 1.891 1.015 1.979 0.950 2.069 0.885 2.162
1.402 1.519 1.343 1.584 1.283 1.653 1.222 1.726 1.160 1.803 1.097 1.884 1.034 1.967 0.971 2.054 0.908 2.144
1.411 1.525 1.354 1.587 1.295 1.654 1.236 1.724 1.175 1.799 1.114 1.877 1.053 1.957 0.991 2.041 0.930 2127
1.419 1.530 1.364 1.590 1.307 1.655 1.249 1.723 1.190 1.795 1.131 1.870 1.071 1.948 1.011 2.029 0.951 2.112
1.427 1.535 1.373 1.594 1.318 1.656 1.261 1.722 1.204 1.792 1.146 1.864 1.088 1.939 1.029 2.017 0.970 2.098
1.435 1.540 1.382 1.597 1.328 1.658 1.273 1.722 1.218 1.789 1.161 1.859 1.104 1.932 1.047 2.007 0.990 2.085
1.442 1.544 1.391 1.600 1.338 1.659 1.285 1.721 1.230 1.786 1.175 1.854 1.120 1.924 1.064 1.997 1.008 2.072
1.475 1.566 1.430 1.615 1.383 1.666 1.336 1.720 1.287 1.776 1.238 1.835 1.189 1.895 1.139 1.958 1.089 2.022
1.503 1.585 1.462 1.628 1.421 1.674 1.378 1.721 1.335 1.771 1.291 1.822 1.246 1.875 1.201 1.930 1.156 1.986
1.528 1.601 1.490 1.641 1.452 1.681 1.414 1.724 1.374 1.768 1.334 1.814 1.294 1.861 1.253 1.909 1.212 1.959
1.549 1.616 1.514 1.652 1.480 1.689 1.444 1.727 1.408 1.767 1.372 1.808 1.335 1.850 1.298 1.894 1.260 1.939
1.567 1.629 1.536 1.662 1.503 1.696 1.471 1.731 1.438 1.767 1.404 1.805 1.370 1.843 1.336 1.882 1.301 1.923
1.583 1.641 1.554 1.672 1.525 1.703 1.494 1.735 1.464 1.768 1.433 1.802 1.401 1.837 1.369 1.873 1.337 1.910
1.598 1.65 1.571 1.680 1.543 1.709 1.515 1.739 1.487 1.770 1.458 1.801 1.428 1.834 1.399 1.867 1.369 1.901
1.611 1.662 1.586 1.688 1.560 1.715 1.534 1.743 1.507 1.772 1.480 1.801 1.453 1.831 1.425 1.861 1.397 1.893
1.624 1.671 1.600 1.696 1.575 1.721 1.550 1.747 1.525 1.774 1.500 1.801 1.474 1.829 1.448 1.857 1.422 1.886
1.635 1.679 1.612 1.703 1.589 1.726 1.566 1.751 1.542 1.776 1.518 1.801 1.494 1.827 1.469 1.854 1.445 1.881
1.645 1.687 1.623 1.709 1.602 1.732 1.579 1.755 1.557 1.778 1.535 1.802 1.512 1.827 1.489 1.852 1.465 1.877
1.654 1.694 1.634 1.715 1.613 1.736 1.592 1.758 1.571 1.780 1.550 1.803 1.528 1.826 1.506 1.850 1.484 1.874
1.720 1.746 1.706 1.760 1.693 1.774 1.679 1.788 1.665 1.802 1.651 1.817 1.637 1.832 1.622 1.847 1.608 1.862

344

200 1.758 1.778 1.748 1.789 1.738 1.799 1.728 1.810 1.718 1.820 1.707 1.831 1.697 1.841 1.686 1.852 1.675 1.863

6()

dl du = 0.01

(n , m )
m=1

m=2

m=3

m=4

m=5

m=6

m=7

m=8

m=9

dl

du

dl

dl

dl

2.433
2.193 0.130 2.690
2.030 0.193 2.433 0.124 2.892
1.913 0.244 2.280 0.164 2.663
1.826 0.294 2.130 0.211 2.490
1.737 0.343 2.049 0.237 2.334
1.704 0.391 1.967 0.303 2.244
1.663 0.437 1.900 0.349 2.133
1.630 0.480 1.847 0.393 2.078
1.604 0.322 1.803 0.433 2.013
1.384 0.361 1.767 0.476 1.963
1.367 0.398 1.737 0.313 1.918
1.334 0.633 1.712 0.332 1.881
1.343 0.667 1.691 0.387 1.849
1.334 0.698 1.673 0.620 1.821
1.328 0.728 1.638 0.632 1.797
1.323 0.736 1.643 0.682 1.776
1.318 0.783 1.633 0.711 1.739
1.313 0.808 1.626 0.738 1.743
1.313 0.832 1.618 0.764 1.729
1.312 0.833 1.611 0.788 1.718
1.311 0.877 1.606 0.812 1.707
1.310 0.897 1.601 0.834 1.698
1.310 0.917 1.397 0.836 1.690
1.310 0.936 1.394 0.876 1.683
1.311 0.934 1.391 0.896 1.677
1.312 0.971 1.389 0.914 1.671
1.313 0.988 1.388 0.932 1.666
1.314 1.004 1.386 0.930 1.662
1.313 1.019 1.383 0.966 1.638
1.317 1.034 1.384 0.982 1.633
1.318 1.048 1.384 0.997 1.632
1.328 1.111 1.384 1.063 1.643
1.338 1.164 1.387 1.123 1.639
1.348 1.209 1.392 1.172 1.638
1.338 1.249 1.398 1.214 1.639
1.368 1.283 1.604 1.231 1.642
1.378 1.313 1.611 1.283 1.643
1.387 1.340 1.617 1.313 1.649
1.393 1.364 1.624 1.338 1.633
1.603 1.386 1.630 1.362 1.637
1.611 1.406 1.636 1.383 1.661
1.618 1.423 1.642 1.403 1.666
1.623 1.441 1.647 1.421 1.670
1.679 1.337 1.693 1.343 1.708
1.713 1.623 1.723 1.613 1.733

0.103
0.140
0.183
0.226
0.269
0.313
0.333
0.396
0.436
0.474
0.310
0.343
0.378
0.610
0.640
0.669
0.696
0.723
0.748
0.772
0.794
0.816
0.837
0.837
0.877
0.893
0.913
0.930
0.946
1.019
1.081
1.134
1.179
1.218
1.233
1.284
1.312
1.337
1.360
1.381
1.400
1.330
1.603

n
dl

du

dl

du

dl

du

dl

2.102
1.873
1.733
1.640
1.373
1.326
1.490
1.464
1.446
1.432
1.422
1.413
1.411
1.408
1.407
1.407
1.407
1.409
1.411
1.413
1.413
1.418
1.421
1.423
1.428
1.432
1.433
1.439
1.442
1.446
1.449
1.433
1.437
1.474
1.491
1.306
1.320
1.334
1.346
1.337
1.368
1.378
1.387
1.396
1.604
1.663
1.704

0.183
0.230
0.286
0.339
0.391
0.441
0.488
0.332
0.374
0.613
0.630
0.683
0.718
0.748
0.777
0.803
0.831
0.833
0.878
0.900
0.921
0.941
0.960
0.979
0.996
1.012
1.028
1.043
1.038
1.072
1.083
1.098
1.136
1.203
1.247
1.283
1.313
1.343
1.368
1.390
1.411
1.429
1.446
1.462
1.371
1.633

du

dl

du

du

du

du

6 0.390 1.142
7 0.433 1.036 0.294 1.676
8 0.497 1.003 0.343 1.489 0.229
9 0.554 0.998 0.408 1.389 0.279
10 0.604 1.001 0.466 1.333 0.340
11 0.633 1.010 0.319 1.297 0.396
12 0.697 1.023 0.369 1.274 0.449
13 0.738 1.038 0.616 1.261 0.499
14 0.776 1.034 0.660 1.234 0.347
15 0.811 1.070 0.700 1.232 0.391
16 0.844 1.086 0.737 1.232 0.633
17 0.874 1.102 0.772 1.233 0.672
18 0.902 1.118 0.803 1.239 0.708
19 0.928 1.132 0.833 1.263 0.742
20 0.932 1.147 0.863 1.271 0.773
21 0.973 1.161 0.890 1.277 0.803
22 0.997 1.174 0.914 1.284 0.831
23 1.018 1.187 0.938 1.291 0.838
24 1.037 1.199 0.960 1.298 0.882
25 1.033 1.211 0.981 1.303 0.906
26 1.072 1.222 1.001 1.312 0.928
27 1.089 1.233 1.019 1.319 0.949
28 1.104 1.244 1.037 1.323 0.969
29 1.119 1.234 1.034 1.332 0.988
30 1.133 1.263 1.070 1.339 1.006
31 1.147 1.273 1.083 1.343 1.023
32 1.160 1.282 1.100 1.332 1.040
33 1.172 1.291 1.114 1.338 1.033
34 1.184 1.299 1.128 1.364 1.070
35 1.193 1.307 1.140 1.370 1.083
36 1.206 1.313 1.133 1.376 1.098
37 1.217 1.323 1.163 1.382 1.112
38 1.227 1.330 1.176 1.388 1.124
39 1.237 1.337 1.187 1.393 1.137
40 1.246 1.344 1.198 1.398 1.148
45 1.288 1.376 1.243 1.423 1.201
50 1.324 1.403 1.283 1.446 1.243
55 1.336 1.427 1.320 1.466 1.284
60 1.383 1.449 1.330 1.484 1.317
65 1.407 1.468 1.377 1.300 1.346
70 1.429 1.483 1.400 1.313 1.372
75 1.448 1.301 1.422 1.329 1.393
80 1.466 1.313 1.441 1.341 1.416
85 1.482 1.328 1.438 1.333 1.433
90 1.496 1.340 1.474 1.363 1.432
95 1.310 1.332 1.489 1.373 1.468
100 1.322 1.362 1.303 1.383 1.482
150 1.611 1.637 1.398 1.631 1.384
200 1.664 1.684 1.633 1.693 1.643

345

3.033
2.838
2.667
2.330
2.416
2.319
2.238
2.169
2.110
2.039
2.013
1.977
1.944
1.913
1.889
1.867
1.847
1.830
1.814
1.800
1.788
1.776
1.766
1.737
1.749
1.742
1.733
1.729
1.724
1.704
1.692
1.683
1.682
1.680
1.680
1.682
1.683
1.683
1.687
1.690
1.693
1.722
1.746

0.090
0.122
0.161
0.200
0.241
0.282
0.322
0.362
0.400
0.437
0.473
0.307
0.340
0.372
0.602
0.630
0.638
0.684
0.710
0.734
0.737
0.779
0.800
0.821
0.841
0.860
0.878
0.893
0.974
1.039
1.093
1.144
1.186
1.223
1.236
1.283
1.312
1.336
1.338
1.378
1.313
1.392

3.182
2.981
2.817
2.681
2.366
2.467
2.381
2.308
2.244
2.188
2.140
2.097
2.039
2.026
1.997
1.970
1.947
1.923
1.906
1.889
1.874
1.860
1.847
1.836
1.823
1.816
1.807
1.799
1.768
1.748
1.734
1.726
1.720
1.716
1.714
1.714
1.714
1.714
1.713
1.717
1.737
1.737

0.078
0.107
0.142
0.179
0.216
0.233
0.294
0.331
0.368
0.404
0.439
0.473
0.303
0.336
0.366
0.393
0.622
0.649
0.674
0.698
0.722
0.744
0.766
0.787
0.807
0.826
0.844
0.927
0.997
1.037
1.108
1.133
1.192
1.227
1.239
1.287
1.312
1.336
1.337
1.301
1.382

3.287
3.101
2.944
2.811
2.697
2.397
2.310
2.434
2.367
2.308
2.233
2.209
2.168
2.131
2.098
2.068
2.041
2.017
1.993
1.973
1.937
1.940
1.923
1.911
1.899
1.887
1.876
1.834
1.803
1.783
1.771
1.761
1.734
1.748
1.743
1.743
1.741
1.741
1.741
1.732
1.768

 7


( = 0.05)
K1
N1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

N2
2

2
2
2
2
2
2
2
2
2

2
2
2
2
2
2
2
2
2
3
3
3
3
3
3

2
2
2
3
3
3
3
3
3
3
3
4
4
4
4
4

2
2
3
3
3
3
3
4
4
4
4
4
4
4
5
5
5

6
2
2
3
3
3
3
4
4
4
4
5
5
5
5
5
5
6
6

10

11

12

13

14

15

16

17

18

19

20

2
2
3
4
4
5
6
6
7
7
7
8
8
8
9
9
9
10
10

2
2
3
4
5
5
6
6
7
7
8
8
8
9
9
10
10
10
10

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

2
3
3
4
5
6
6
7
7
8
8
9
9
10
10
11
11
11
12

2
3
4
4
5
6
6
7
8
8
9
9
10
10
11
11
11
12
12

2
3
4
4
5
6
7
7
8
9
9
10
10
11
11
11
12
12
13

2
3
4
5
5
6
7
8
8
9
9
10
10
11
11
12
12
13
13

2
3
4
5
6
6
7
8
8
9
10
10
11
11
12
12
13
13
13

2
3
4
5
6
6
7
8
9
9
10
10
11
12
12
13
13
13
14

16

17

2
2
3
3
3
4
4
5
5
5
5
5
6
6
6
6
6
6

2
3
3
3
4
4
5
5
5
6
6
6
6
6
7
7
7
7

2
3
3
4
4
5
5
5
6
6
6
6
7
7
7
8
8
8

2
3
3
4
5
5
5
6
6
7
7
7
7
8
8
8
8
9

2
3
4
4
5
5
6
6
7
7
7
7
8
8
9
9
9
9

10

11

12

13

14

15

18

19

20

11
12
13
13
14
14
14
14
15
15
15

11
12
13
14
14
15
15
16
16
16
16
17
17
17
17
17

13
14
14
15
16
16
16
17
17
18
18
18
18
18
18

13
14
15
16
16
17
17
18
18
18
19
19
19
20
20

13
14
15
16
17
17
18
19
19
19
20
20
20
21
21

13
14
16
16
17
18
19
19
20
20
21
21
21
22
22

15
16
17
18
19
19
20
20
21
21
22
22
23
23

15
16
17
18
19
20
20
21
22
22
23
23
23
24

15
16 17 17 17
18 18 18 18
18 19 19 19
19 20 20 20
20 21 21 21
21 21 22 22
22 22 23 23
22 23 23 24
23 23 24 25
23 24 25 25
24 25 25 26
24 25 26 26
25 25 26 27

17
18
20
21
22
23
23
24
25
26
26
27
27

17
18
20
21
22
23
24
25
25
26
27
27
28

K2
N1
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

4
9
9

5
9
10
10
11
11

6
9
10
11
12
12
13
13
13
13

N2

: n = 20 11 + (= N1) 9 (= N2).
= 0.05 K1 = 6, K2 = 16. . 6 . 16,
.
346

 6()

dl du = 0.05

(n , m )

m=1

m=2

m=3

m=4

m=5

m=6

m=7

m=8

m=9

344

6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

d1

du

0.610
0.700
0.763
0.824
0.879
0.927
0.971
1.010
1.045
1.077
1.106
1.133
1.158
1.180
1.201
1.221
1.239
1.257
1.273
1.288
1.302
1.316
1.328
1.341
1.352
1.363
1.373

1.400
1.356
1.332
1.320
1.320
1.324
1.331
1.340
1.330
1.361
1.371
1.381
1.391
1.401
1.411
1.420
1.429
1.437
1.446
1.454
1.461
1.469
1.476
1.483
1.489
1.496
1.502

d1
0.467
0.359
0.629
0.697
0.658
0.812
0.861
0.905
0.946
0.982
1.015
1.046
1.074
1.100
1.125
1.147
1.168
1.188
1.206
1.224
1.240
1.255
1.270
1.284
1.297
1.309

du

d1

du

1.896
1.777
1.699
1.641
1.604
1.579
1.562
1.551
1.543
1.539
1.536
1.535
1.536
1.537
1.538
1.541
1.543
1.546
1.550
1.553
1.556
1.560
1.563
1.567
1.570
1.574

0.368
0.435
0.525
0.595
0.658
0.715
0.767
0.814
0.857
0.897
0.933
0.967
0.998
1.026
1.053
1.078
1.101
1.123
1.143
1.162
1.181
1.198
1.214
1.229
1.244

2.287
2.128
2.016
1.928
1.864
1.816
1.779
1.750
1.728
1.710
1.696
1.685
1.676
1.669
1.664
1.660
1.656
1.654
1.652
1.651
1.650
1.650
1.650
1.650
1.650

d1

du

d1

du

0.296
0.376
0.444
0.512
0.574
0.632
0.685
0.734
0.779
0.820
0.859
0.894
0.927
0.958
0.986
1.013
1.038
1.062
1.084
1.104
1.124
1.143
1.160
1.177

2.388
2.414
2.283
2.177
2.094
2.030
1.977
1.935
1.900
1.872
1.848
1.828
1.812
1.797
1.785
1.775
1.767
1.759
1.753
1.747
1.743
1.739
1.735
1.732

0.243 2.822
0.316 2.645
0.379 2.506
0.445 2.390
0.505 2.296
0.562 2.220
0.615 2.157
0.664 2.104
0.710 2.060
0.752 2.023
0.792 1.991
0.829 1.964
0.863 1.940
0.895 1.920
0.925 1.902
0.953 1.886
0.979 1.873
1.004 1.861
1.028 1.850
1.050 1.841
1.071 1.833
1.090 1.825
1.109 1.819

d1

du

0.203 3.005
0.268 2.832
0.328 2.692
0.389 2.572
0.447 2.472
0.502 2.388
0.554 2.318
0.603 2.257
0.649 2.206
0.692 2.162
0.732 2.124
0.769 2.090
0.804 2.061
0.837 2.035
0.868 2.012
0.897 1.992
0.925 1.974
0.951 1.958
0.975 1.944
0.998 1.931
1.020 1.920
1.041 1.909

d1

du

0.171 3.149
0.230 2.985
0.286 2.848
0.343 2.727
0.398 2.624
0.451 2.537
0.502 2.461
0.549 2.396
0.595 2.339
0.637 2.290
0.677 2.246
0.715 2.208
0.751 2.174
0.784 2.144
0.816 2.117
0.845 2.093
0.874 2.071
0.900 2.052
0.926 2.034
0.950 2.018
0.972 2.004

d1

du

0.147 3266
0.200 3.111
0.251 2.979
0.304 2.860
0.356 2.757
0.407 2.667
0.456 2.589
0.502 2.521
0.547 2.460
0.588 2.407
0.628 2.360
0.666 2.318
0.702 2.280
0.735 2.246
0.767 2.216
0.798 2.188
0.826 2.164
0.854 2.141
0.879 2.120
0.904 2.102

d1

du

0.127 3.360
0.175 3.216
0.222 3.090
0.272 2.975
0.321 2.873
0.369 2.783
0.416 2.704
0.461 2.633
0.504 2.571
0.545 2.514
0.584 2.464
0.621 2.419
0.657 2.379
0.691 2.342
0.723 2.309
0.753 2.278
0.782 2.251
0.810 2.226
0.836 2.203

m=1

m=2

m=3

m=4

m=5

m=6

m=7

m=8

m=9

n
d1

du

d1

du

d1

du

d1

du

d1

du

d1

du

d1

du

d1

du

d1

du

345

33 1.383 1.508 1.321 1.577 1.258 1.651 1.193 1.730 1.127 1.813 1.061 1.900 0.994 1.991 0.927 2.085 0.861 2.181
34 1.393 1.514 1.333 1.580 1.271 1.652 1.208 1.728 1.144 1.808 1.080 1.891 1.015 1.979 0.950 2.069 0.885 2.162
35 1.402 1.519 1.343 1.584 1.283 1.653 1.222 1.726 1.160 1.803 1.097 1.884 1.034 1.967 0.971 2.054 0.908 2.144
36 1.411 1.525 1.354 1.587 1.295 1.654 1.236 1.724 1.175 1.799 1.114 1.877 1.053 1.957 0.991 2.041 0.930 2.127
37 1.419 1.530 1.364 1.590 1.307 1.655 1.249 1.723 1.190 1.795 1.131 1.870 1.071 1.948 1.011 2.029 0.951 2.112
38 1.427 1.535 1.373 1.594 1.318 1.656 1.261 1.722 1.204 1.792 1.146 1.864 1.088 1.939 1.029 2.017 0.970 2.098
39 1.435 1.540 1.382 1.597 1.328 1.658 1.273 1.722 1.218 1.789 1.161 1.859 1.104 1.932 1.047 2.007 0.990 2.085
40 1.442 1.544 1.391 1.600 1.338 1.659 1.285 1.721 1.230 1.786 1.175 1.854 1.120 1.924 1.064 1.997 1.008 2.072
45 1.475 1.566 1.430 1.615 1.383 1.666 1.336 1.720 1.287 1.776 1.238 1.835 1.189 1.895 1.139 1.958 1.089 2.022
50 1.503 1.585 1.462 1.628 1.421 1.674 1.378 1.721 1.335 1.771 1.291 1.822 1.246 1.875 1.201 1.930 1.156 1.986
55 1.528 1.601 1.490 1.641 1.452 1.681 1.414 1.724 1.374 1.768 1.334 1.814 1.294 1.861 1.253 1.909 1.212 1.959
60 1.549 1.616 1.514 1.652 1.480 1.689 1.444 1.727 1.408 1.767 1.372 1.808 1.335 1.850 1.298 1.894 1.260 1.939
65 1.567 1.629 1.536 1.662 1.503 1.696 1.471 1.731 1.438 1.767 1.404 1.805 1.370 1.843 1.336 1.882 1.301
1.923
70 1.583 1.641 1.554 1.672 1.525 1.703 1.494 1.735 1.464 1.768 1.433 1.802 1.401 1.837 1.369 1.873
1.337 1.910
75 1.598 1.65
1.571 1.680 1.543 1.709 1.515 1.739 1.487 1.770 1.458 1.801 1.428 1.834 1.399
1.867 1.369 1.901
80 1.611 1.662 1.586 1.688 1.560 1.715 1.534 1.743 1.507 1.772 1.480 1.801 1.453 1.831
1.425 1.861 1.397 1.893
85 1.624 1.671 1.600 1.696 1.575 1.721 1.550 1.747 1.525 1.774 1.500 1.801 1.474
1.829 1.448 1.857 1.422 1.886
90 1.635 1.679 1.612 1.703 1.589 1.726 1.566 1.751 1.542 1.776 1.518 1.801
1.494 1.827 1.469 1.854 1.445 1.881
95 1.645 1.687 1.623 1.709 1.602 1.732 1.579 1.755 1.557 1.778 1.535
1.802 1.512 1.827 1.489 1.852 1.465 1.877
100 1.654 1.694 1.634 1.715 1.613 1.736 1.592 1.758 1.571 1.780
1.550 1.803 1.528 1.826 1.506 1.850 1.484 1.874
150 1.720 1.746 1.706 1.760 1.693 1.774 1.679 1.788 1.665
1.802 1.651 1.817 1.637 1.832 1.622 1.847 1.608 1.862
200 1.758 1.778 1.748 1.789 1.738 1.799 1.728 1.810
1.718 1.820 1.707 1.831 1.697 1.841 1.686 1.852 1.675 1.863

 6()

dl du = 0.01

(n , m )

m=1

m=2

m=3

m=4

m=5

m=6

m=7

m=8

m=9

346

6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

dl

du

dl

du

dl

du

0.390
0.433
0.497
0.554
0.604
0.633
0.697
0.738
0.776
0.811
0.844
0.874
0.902
0.928
0.932
0.973
0.997
1.018
1.037
1.033
1.072
1.089
1.104
1.119
1.133
1.147
1.160

1.142
1.036
1.003
0.998
1.001
1.010
1.023
1.038
1.034
1.070
1.086
1.102
1.118
1.132
1.147
1.161
1.174
1.187
1.199
1.211
1.222
1.233
1.244
1.234
1.263
1.273
1.282

0.294
0.343
0.408
0.466
0.319
0.369
0.616
0.660
0.700
0.737
0.772
0.803
0.833
0.863
0.890
0.914
0.938
0.960
0.981
1.001
1.019
1.037
1.034
1.070
1.083
1.100

1.676
1.489
1.389
1.333
1.297
1.274
1.261
1.234
1.232
1.232
1.233
1.239
1.263
1.271
1.277
1.284
1.291
1.298
1.303
1.312
1.319
1.323
1.332
1.339
1.343
1.332

0.229
0.279
0.340
0.396
0.449
0.499
0.347
0.391
0.633
0.672
0.708
0.742
0.773
0.803
0.831
0.838
0.882
0.906
0.928
0.949
0.969
0.988
1.006
1.023
1.040

2.102
1.873
1.733
1.640
1.373
1.326
1.490
1.464
1.446
1.432
1.422
1.413
1.411
1.408
1.407
1.407
1.407
1.409
1.411
1.413
1.413
1.418
1.421
1.423
1.428

dl

0.183
0.230
0.286
0.339
0.391
0.441
0.488
0.332
0.374
0.613
0.630
0.683
0.718
0.748
0.777
0.803
0.831
0.833
0.878
0.900
0.921
0.941
0.960
0.979

du

2.433
2.193
2.030
1.913
1.826
1.737
1.704
1.663
1.630
1.604
1.384
1.367
1.334
1.343
1.334
1.328
1.323
1.318
1.313
1.313
1.312
1.311
1.310
1.310

dl

0.130
0.193
0.244
0.294
0.343
0.391
0.437
0.480
0.322
0.361
0.398
0.633
0.667
0.698
0.728
0.736
0.783
0.808
0 .832
0.833
0.877
0.897
0.917

du

2.690
2.433
2.280
2.130
2.049
1.967
1.900
1.847
1.803
1.767
1.737
1.712
1.691
1.673
1.638
1.643
1.633
1.626
1.618
1 .611
1.606
1.601
1.397

dl

0.124
0.164
0.211
0.237
0.303
0.349
0.393
0.433
0.476
0.313
0.332
0.387
0.620
0.632
0.682
0.711
0.738
0.764
0.788
0.812
0.834
0.836

du

2.892
2.663
2.490
2.334
2.244
2.133
2.078
2.013
1.963
1.918
1.881
1.849
1.821
1.797
1.776
1 .739
1.743
1.729
1.718
1.707
1.698
1.690

dl

du

0.103
0.140
0.183
0.226
0.269
0.313
0.333
0.396
0.436
0.474
0.310
0.343
0.378
0.610
0.640
0.669
0.696
0.723
0.748
0.772
0.794

3.033
2.838
2.667
2.330
2.416
2.319
2.238
2.169
2.110
2.039
2.013
1.977
1.944
1.913
1.889
1.867
1.847
1.830
1.814
1.800
1.788

dl

du

dl

du

0.090
0.122
0.161
0.200
0.241
0.282
0.322
0.362
0.400
0.437
0.473
0.307
0.340
0.372
0.602
0.630
0.638
0.684
0.710
0.734

3.182
2.981
2.817
2.681
2.366
2.467
2.381
2.308
2.244
2.188
2.140
2.097
2.039
2.026
1.997
1.970
1.947
1.923
1.906
1.889

0.078
0.107
0.142
0.179
0.216
0.233
0.294
0.331
0.368
0.404
0.439
0.473
0.303
0.336
0.366
0.393
0.622
0.649
0.674

3.287
3.101
2.944
2.811
2.697
2.397
2.310
2.434
2.367
2.308
2.233
2.209
2.168
2.131
2.098
2.068
2.041
2.017
1.993

m=1

m=2

m=3

m=4

m=5

m=6

m=7

m=8

m=9

n
dl

347

33
34
35
36
37
38
39
40
45
50
55
60
65
70
75
80
85
90
95
100
150
200

1.172
1.184
1.193
1.206
1.217
1.227
1.237
1.246
1.288
1.324
1.336
1.383
1.407
1.429
1.448
1.466
1.482
1.496
1 .310
1. 322
1.6 11
1.664

du

dl

du

1.291
1.299
1.307
1.313
1.323
1.330
1.337
1.344
1.376
1.403
1.427
1.449
1.468
1.483
1.301
1.313
1.328
1.340
1.332
1.362
1.637
1.684

1.114
1.128
1.140
1.133
1.163
1.176
1.187
1.198
1.243
1.283
1.320
1.330
1.377
1.400
1.422
1.441
1.438
1.474
1.489
1.303
1.398
1.633

1.338
1.364
1.370
1.376
1.382
1.388
1.393
1.398
1.423
1.446
1.466
1.484
1.300
1.313
1.329
1.341
1.333
1.363
1.373
1.383
1.631
1.693

dl

du

dl

du

dl

du

dl

du

dl

du

dl

du

dl

du

1.033
1.070
1.083
1.098
1.112
1.124
1.137
1.148
1.201
1.243
1.284
1.317
1.346
1.372
1.393
1.416
1.433
1.432
1.468
1.482
1.384
1.643

1.432
1.433
1.439
1.442
1.446
1.449
1.433
1.437
1.474
1.491
1.306
1.320
1.334
1.346
1.337
1.368
1.378
1.387
1.396
1.604
1.663
1.704

0.996
1.012
1.028
1.043
1.038
1.072
1.083
1.098
1.136
1.203
1.247
1.283
1.313
1.343
1.368
1.390
1.411
1.429
1.446
1.462
1.371
1.633

1.310
1.311
1.312
1.313
1.314
1.313
1.317
1.318
1.328
1.338
1.348
1.338
1.368
1.378
1.387
1.393
1.603
1.611
1.618
1.623
1.679
1.713

0.936
0.934
0.971
0.988
1.004
1.019
1.034
1.048
1.111
1.164
1.209
1.249
1.283
1.313
1.340
1.364
1.386
1.406
1.423
1.441
1.337
1.623

1.394
1.391
1.389
1.388
1.386
1.383
1.384
1.384
1.384
1.387
1.392
1.398
1.604
1.611
1.617
1.624
1.630
1.636
1.642
1.647
1.693
1.723

0.876
0.896
0.914
0.932
0.930
0.966
0.982
0.997
1.063
1.123
1.172
1.214
1.231
1.283
1.313
1.338
1.362
1.383
1.403
1.421
1.343
1.613

1.683
1.677
1.671
1.666
1.662
1.638
1.633
1.632
1.643
1.639
1.638
1.639
1.642
1.643
1.649
1.633
1.637
1.661
1.666
1.670
1.708
1.733

0.816
0.837
0.837
0.877
0.893
0.913
0.930
0.946
1.019
1.081
1.134
1.179
1.218
1.233
1.284
1.312
1.337
1.360
1.381
1.400
1.330
1.603

1.776
1.766
1.737
1.749
1.742
1.733
1.729
1.724
1.704
1.692
1.683
1.682
1.680
1.680
1.682
1.683
1.683
1.687
1.690
1.693
1.722
1.746

0.737
0.779
0.800
0.821
0.841
0.860
0.878
0.893
0.974
1.039
1.093
1.144
1.186
1.223
1.236
1.283
1.312
1.336
1.338
1.378
1.313
1.392

1.874
1.860
1.847
1.836
1.823
1.816
1.807
1.799
1.768
1.748
1.734
1.726
1.720
1.716
1.714
1.714
1.714
1.714
1.713
1.717
1.737
1.737

0.698
0.722
0.744
0.766
0.787
0.807
0.826
0.844
0.927
0.997
1.037
1.108
1.133
1.192
1.227
1.239
1.287
1.312
1.336
1.337
1.301
1.382

1.973
1.937
1.940
1.923
1.911
1.899
1.887
1.876
1.834
1.803
1.783
1.771
1.761
1.734
1.748
1.743
1.743
1.741
1.741
1.741
1.732
1.768

 7


( = 0.05)
K1
N1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

N2
2

2
2
2
2
2
2
2
2
2

2
2
2
2
2
2
2
2
2
3
3
3
3
3
3

2
2
2
3
3
3
3
3
3
3
3
4
4
4
4
4

2
2
3
3
3
3
3
4
4
4
4
4
4
4
5
5
5

6
2
2
3
3
3
3
4
4
4
4
5
5
5
5
5
5
6
6

10

11

12

13

14

15

16

17

18

19

20

2
2
3
4
4
5
6
6
7
7
7
8
8
8
9
9
9
10
10

2
2
3
4
5
5
6
6
7
7
8
8
8
9
9
10
10
10
10

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

2
3
3
4
5
6
6
7
7
8
8
9
9
10
10
11
11
11
12

2
3
4
4
5
6
6
7
8
8
9
9
10
10
11
11
11
12
12

2
3
4
4
5
6
7
7
8
9
9
10
10
11
11
11
12
12
13

2
3
4
5
5
6
7
8
8
9
9
10
10
11
11
12
12
13
13

2
3
4
5
6
6
7
8
8
9
10
10
11
11
12
12
13
13
13

2
3
4
5
6
6
7
8
9
9
10
10
11
12
12
13
13
13
14

16

17

2
2
3
3
3
4
4
5
5
5
5
5
6
6
6
6
6
6

2
3
3
3
4
4
5
5
5
6
6
6
6
6
7
7
7
7

2
3
3
4
4
5
5
5
6
6
6
6
7
7
7
8
8
8

2
3
3
4
5
5
5
6
6
7
7
7
7
8
8
8
8
9

2
3
4
4
5
5
6
6
7
7
7
7
8
8
9
9
9
9

10

11

12

13

14

15

18

19

20

11
12
13
13
14
14
14
14
15
15
15

11
12
13
14
14
15
15
16
16
16
16
17
17
17
17
17

13
14
14
15
16
16
16
17
17
18
18
18
18
18
18

13
14
15
16
16
17
17
18
18
18
19
19
19
20
20

13
14
15
16
17
17
18
19
19
19
20
20
20
21
21

13
14
16
16
17
18
19
19
20
20
21
21
21
22
22

15
16
17
18
19
19
20
20
21
21
22
22
23
23

15
16
17
18
19
20
20
21
22
22
23
23
23
24

15
16 17 17 17
18 18 18 18
18 19 19 19
19 20 20 20
20 21 21 21
21 21 22 22
22 22 23 23
22 23 23 24
23 23 24 25
23 24 25 25
24 25 25 26
24 25 26 26
25 25 26 27

17
18
20
21
22
23
23
24
25
26
26
27
27

17
18
20
21
22
23
24
25
25
26
27
27
28

K2
N1
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

4
9
9

5
9
10
10
11
11

6
9
10
11
12
12
13
13
13
13

N2

: n = 20 11 + (= N1) 9 (= N2).
= 0.05 K1 = 6, K2 = 16. . 6 . 16,
.

348


1. . . 2 . . 1: . ., 1996. 397 .
2. . . ., 1997. 402 .
3. . ., . ., . .
. ., 1997. 248 .
4. ., ., . . . .,
1997. 248 .
5. Brennan M. J., Carrol T. M. Preface to Quantitative Economics nd Econometrics.
Cincinnati: South-Western Pub, 1987. 580 p.
6. Griffiths W. E., R. Carter Hill, Judge G. G. Learning and Practicing Econometrics.
New York: John Wiley & Sons, Inc., 1993. 866 p.
7. Griffiths W. E., R. Carter Hill, Judge G. G. Undegraduate Econometrics. New
York: John Wiley & Sons, Inc., 1997. 366 p.
8. Gujarati D. N. Essentials of Econometrics. New York: McGraw-Hill, 1992. 466 p.
9. Gujarati D. N. Basic Econometrics. New York: McGraw-Hill, 1995. 838 p.
10. Maddala G. S. Introduction to Econometrics. New York: Macmillian, 1992. 472 p.
11. Pindyck R. S., Rubinfeld D. L. Econometric Models and Econometric Forecasts.
New York: McGraw-Hill, 1991. 596 p.

349


(autocorrelation), 164168, 227
AR(1)
(first-order autoregressive scheme), 236237
(detection), 230235

(estimation autocorrelation coefficient), 237240
() (residual), 164168
(negative), 227
(positive), 227
(consequences), 230
(cause), 228229
(nature), 227
() (remedial), 236240
(in autoregressive models), 235, 290
, 287289
, 131, 246
(verification), 11
(probability), 15
(multivariate probability), 34
(probability experiment), 14
(time series data), 277
(sample), 46
(GaussMarkov conditions), 113114
(population), 46
(heteteroscedasticity), 113, 209
(detection), 213218
(consequence), 212
(remedial measures), 219222
(nature), 209212
(tests), 214218
(Glejser), 217
K (GoldfeldQuandt), 217218
(Park), 216 217
(Spearmans rank correlation), 215216
(hypothesis), 70
(alternative), 71
(null), 70
I (II) (types I (II) errors), 7172
(statistical), 70
(hypothesis testing), 7286
(homoscedasticity), 113, 209
350

 (two-stage least squares), 326328

(variance), 2122
(sample variance), 5253
(population variance), 52
(confidence interval), 6470
(for dependent variable), 125130

(interval estimators for regression coefficients), 123125, 152153
(goodness of regression equation), 130135
(covarience), 3637
(sample covariance), 54
(indirect least squares), 315317
(CochraneOrcutt procedure), 238
R2 (coefficient of determination), 131135, 155159
() (adjusted), 155
(correlation coefficient), 3738
(sample correlation coefficient), 54
(regression coefficient), 99, 141
(statistical significance), 121123, 153154
(coefficient of variation), 22
(sample coefficient of variation), 54
(lag), 277
(lagged variable), 277
(expected value), 2021
(conditional), 94
(Method of weighted least squares),
219222
(ordinary least squares), 101104
(model)
(adaptive expectation model), 282285
(autoregressive), 282287
ANCOVA (analysis of covariance), 260263
ANOVA (analysis of variance), 258260
(log-log model, double-log model), 181183
(exponential), 187188
(dynamic model), 277
(linear model), 99
- (lin-log), 185
- (log-linear), 184
logit, 270272
LPM (linear probability model), 268270
(reciprocal), 185186
(exponential), 187188
(semilog), 183
351

 (. )
(recursive), 326
(polinomial), 186187
(distributed-lag model), 277
(partial adjustment model), 285287
(multicollinearity), 245256
(detection), 248251
(consequences), 247248
(nature), 245247
() (remedies), 251254
(multiplier), 278
(BLUE)
(the best linear unbiased estimators), 115
(, ) (residual), 99
(estimators)
(interval), 6466
(linear), 63
(unbiased), 61
(biased), 61
(consistent), 62
(point), 60
(efficient), 61
(parameters), 98, 141
(parameterization), 11, 97
(variable)
() (dependent; explained), 94
(instrumental), 317319
; (independent; explanatory; regressor), 94
(predetermined), 312
(. ), 257
(exogenous), 311
(endogenous), 311
(PraisWinsten transformation), 237
(probability density function (PDF)), 1920
(multivariate probability density function), 34
( )
(. ), 113114, 143144
(prediction), 293295
(process), 279282, 292293
AR (autoregressive process), 236237, 291
ARIMA (autoregressive integrated moving process), 292
ARMA (autoregressive and moving average process), 292
(MA) (moving average process), 292
(Koyck transformation), 279282
(forecasting), 293295
352

 (distribution), 22
(normal), 2326
; t- (Student), 2728
; F- (Fisher), 2829
-; 2- (chi-square), 2627
(regression model), 94
(classical linear (CLRM)), 112115
(linear), 99
(multiple linear), 141
(nonlinear), 180
(two-variable), 98
(functional form), 189
, 308
() (random variable), 16
(discrete), 17
(continuous), 17
(specification), 11
(specification errors), 192
, (tapes of), 192195
(adjustment), 195197
(detection), 195197
(mean value)
(population), 52
(sample), 52
(standard deviation), 22
(sample standard deviation), 53
(population standard deviation), 52

(standard error of regression coefficient), 118, 149151

(standard error of regression equation), 117, 151
(statistic)
DW (DurbinWatson statistic), 163168
h- (Durbin h-statistic), 235, 290
F- (F-statistic), 157161
(statistical estimator), 59
(degrees of freedom), 26
(residual sum of squares), 101
() (residual sum of squares), 132
(total sum of squares), 132
(explained), 132
(distribution tables), 2933
(trend), 266, 294
(Chow stability test), 264, 296297
(regression equation), 9899
353

 (identified), 319, 323324

(underidentified), 319322
(reduced), 312
(overidentified), 322323
(structural), 312
(population), 98, 141
(sample), 99, 144
(significance level), 72
(dummy variable), 257
(dependent variable as dummy), 267272
(seasonal), 266267
(comparing two regressions), 263266
(test Chow), 264

(comulative distribution function), 1718
(HildretLu procedure), 238239
(central limit theorem), 123
(Econometrics), 10
(Standard deviation), 64

354

. . -

- -

- , , 1.14

2
+
3
1

( x m) 2
2

1. , (.87)

(.60), (.65), , (.73) xy xy xy rxy (. 86)

, (.90)

4
)
, Y X (Y = b 0 + b x X) ,
X Y
(.103)
, , (.108)

0, i j;
i j = cov(i , j ) = 2
, i = j.
i x i
(.114)
0 1 i b0 b1 0 i j 0
1 2 2 (c. 116)

2 (c. 117)

(.115)
i (c. 118) 1 1 t
2

,n 2

(c. 118)

. (5.15)
(c. 121)
i N(0, 2 )

M( i ) = 0 , 2 ( i ) = 2 .

1 2 2 2 2 2 (c. 126)

t
2

t
2

,n 2

.131
6

t
2

,n 2

. .

t
2

,n 2

(c. 129)

(c. 123)
,n 2

2 (c. 128)

 0, i j;
i j = cov(i , j ) = 2
, i = j.

. 143
. 153

t
2

. 154

t
2

. 157

, n m 1

, n m 1

, n m 1

t
2

, n m 1

, n m 1

t
2

t
2

i x i = 0

, n m 1

, n m 1

t
2

, n m 1

, n m 1

1 = m,

. 162 F; 1 ; 2


c. 165 :
c. 168

ei1
c. 171

6.1

t
2

c. 178 (t) =
7
c. 190
. 194 2 0

(1.9)

(2.3)

1 0

(3)

c. 175 4.

, n m 1

c. 179

179

1 2

. 195
S2b1 =

S2
;
2
(x i x )

S2g1 =

Y = 0 + 1X 1 + 2 X 2 +

. 196
Y = + X + , < 0;
ln Y = + lnX + , < 0;
Y = +

1
+ , > 0;
X+

Y = + a x + , < 0

.198

S2
.
2
2
(x i1 x1 ) (1 r12 )

1. RESET (Regression specification error test).

2. () (The Likelihood
Ratio test).
3. (The Wald test).
4. (The Lagrange multiplier test).
5. (The Hausman test).
6. BoxCox (BoxCox trasformation).
.201
, :
.203

Y=

.205

0 + 1X

c. 206

Y
X

Y
X

81

82

83

65

68

72.5 77.5

82

110

125

132

160

91

92

93

84
137

85

94

86

88

89

90

85.5 88.5

91

95

100

177

215

235

240

95

87
192

96

97

106.5 112 115.5 118.5 120 120.5 121

245

250

275

285

295

320

344

.208
,

Qt = A K t L t .

.212

(. 6.2, (6.23)),

.215

. 8.4, ,

.217

.218

F , 1 , 2

c.226

yi
x
e
1
= b0
+ b1 i + i
i
i
i i

i2 = 2 x i2

.233
.235

6.7.
) ) ) )

re t e t 1

x1 = 1 2 x1 ,

.237

y1 = 1 2 y1.

. 239 1 0

1 t

.241 )
10

0 + 2
1 + 2
c.249
c.254
11
0, ,
c.257
1, .
. 245

.258

0 , ,
1 , ,

. 259 Y = 0 + 1X + 1D1 + 2 D 2 +
c. 263
Yt = 0 + 1X t + 1D t + 2 D t X t + t ,

(11.15)

0, ,
D t =
1, .
c.264

M(Yt | D t = 1) = ( 0 + 1 ) + (1 + 2 )X t

c.265
S1 + S2.

F; m +1; n 2m 2

c.266

t = 0 + 1 t + 1D1t + 2 D 2t + 3 D 3t + t ,

1,
D1t =
0,
1,
D 2t =
0,

II ,
.
III ,
.

1, IV ,
D 3t =
0, .

(11.19)

c.267

0 + 1X

(0 + 1) + 1X

(0 + 2) + 1X

(0 + 3) + 1X

Yt = 0 + 1X t + 1D1t + 2 D 2t + 3 D 3t +
+ 4 D1t X t + 5 D 2t X t + 6 D 3t X t + t .
.270
(. 8.4).
.271
1
1
p i = M(Y = 1 | x i ) =
=
,
(11.26)
( 0 +1x i )
1 + e zi
1+ e
z i = 0 + 1x i .
.276 ) i2
P
ln i = z i = 0 + 1x i
1 Pi
12

.278

.279

c.281

0
(1 )

j= 0

0
(1 )

0
(1 )

c.285
=

.290
)
)

12.6.2.
12.6.3. ARMA
12.6.4. ARIMA

.294 2
.295

t
2

2
, n 1

2
t
2

, n 1

.296 F, 1 , 2
. 297

t+p

t + p

.300

. 304

13 .308
:

q Dt = 0 + 1p t + t1 ,

1 < 0 ,

(13.11)

q St = 0 + 1p t + t2 ,

1 < 0 ,

(13.12)

q Dt = q St .

.309
:

(13.13)

qDt = 0 + 1pt + 2 yt + t1,

1 < 0 , (13.21)

qSt = 0 + 1pt + t2 ,

1 < 0,

q Dt = q St .

(13.22)
(13.23)

.310
yt = 0 + 1rt,
+ 0 1 + 0 + g
1
; 1 =
.
0 = 0
1 1 (1 1 )
1 1 (1 1 )

(13.5)

y t = 0 + 1M + 2 rt .

(13.7)

.311
.312
0

1
(13.81)
+
it + t ,
1 1 1 1
1 1

(13.82)
ct = 0 + 1 it + t .
1 1 1 1
1 1
1
,
(13.81)
1 1
yt =

q St = 0 + 1i t + 2 p t 1 + t .
.316

(13.9)

qt, pt t; yt ; 1t, 2t .
1t 2t
0
2
10 = 0
, 11 =
, 1t =
;
1 1
1 1
1 1
)
21
21
)
)
20 b110
)
11
11

.317
yp y p 0.2
)
11 =
=
= 0.147,
y 2 y 2 1.36
)
)
10 = p 11y = 3 0.147 3.2 = 2.5296,
yq y q 0.24
)
21 =
=
= 0.1765,
1.36
y2 y2
)
)
20 = q 21y = 6.7648.

.318

2x

cov(Z, Y) cov(Z, 0 + 1X + )
=
=
cov(Z, X)
cov(Z, X)
cov(Z, 0 ) cov(Z, 1X) cov(Z, )
=
=
+
+
cov(Z, X)
cov(Z, X)
cov(Z, X)

b1 =

= 1 +
.320

cov(Z, )
0
n
1 +
= 1 .

cov(Z, X)
zx

0 =

0 0
t1
.
, u t = t2
1 1
1 1

1 =

1 0 0 1
1 t1
.
, t = 1 t2
1 1
1 1

(13.24)

0 =

0 0
,
1 1

(13.281)

1 =

1 0 0 1
.
1 1

(13.282)

c.322
2 =

1 0 0 1
1 t1

, 1 = 2 1 , t = 1 t2
.
1 1
1 1
1 1
1 =

3
,
1

0 = 2 1 0 .

c.323

(13.34)

(13.351)
(13.352)

0 =

0 0
;
1 1

1 =

3 =

2
;
1 1

4 =

5 =

2
;
1 1

2 =

3
;
1 1

1 0 0 1
;
1 1

(13.39)

2 1

; 6 = 3 1 ; 7 = 1 2 ;
1 1
1 1
1 1
t =

1 t2 1 t1
t1
; t = t2
.
1 1
1 1

. 325
N = 2, M = 1. n = 2. m = 1,
m = 0. (N n) + (M m) = 0 <
< 1 = N 1. ,
.
(13.29)
(N n) + (M m) = 1 = N 1. . , .
.326 - 13.4 - 13.4
)
)
)
1
) )
r = 0 + 1M + 2 G + 3 t
= 2
.327
1 1
.330
qD
t = 0 + 1 p t + 2 y t + 1 p t 1 + t ,

(i, j) = 0 i j.

q St = 0 + 1p t + t ,

(i, j) = 0 i j.

S
qD
t = qt .

.332
+ t.

.335
.337

:
= 15
> 100

P(2 > 8.55) = 0.9,

P(2 > 22.31) = 0.1;
2

2 1 = U

(U(0,1)).