Академический Документы
Профессиональный Документы
Культура Документы
2001 .
.-
.
.
.
.
ISBN 5-93255-056-2
............................................................. 1
.......................................................................................................................... 5
1. ....................................... 6
1.1.
................................................................................................................... 6
1.1.1. ..................................................................................... 6
1.1.2. .................................................................. 7
1.1.3. ............................................ 10
1.2. .............................................................................. 14
1.2.1. ........................................................................................ 14
1.2.2. .. 15
2. ............. 19
2.1. .................................................................. 19
2.2. ....................................... 25
2.2.1. 1 ................................................................................ 25
2.2.2. M0 ................................................................................ 34
2.2.3. 2 ................................................................................ 40
2.3. ........................................ 45
2.3.1. ........................................................................................................ 45
2.3.2. ......................................................................................................... 49
2.4.
..................................................................................................... 54
2.4.1. ................................................................ 54
2.4.2. ............................................. 57
2.5. ............................ 61
2.6.
...................................................................................................................... 68
2.7. ..................... 73
2.8. ...................................... 74
2.9. -1 .................................................. 77
2.10. ....................................... 90
3. ..................... 101
3.1. ..................................... 101
3.1.1. 1 .............................................................................. 101
3.1.2. M0 .............................................................................. 102
3.1.3. 2 .............................................................................. 103
3.2. ...................................... 104
3.2.1. ...................................................................................................... 104
3.2.2. ....................................................................................................... 104
3.3. ............................................ 106
3.3.1. .............................................................. 106
3.3.2. ........................................... 108
3.4. ............................................................................................. 109
3.5. ............................... 110
3.6. ........................................................................ 112
3.7. ...................................................................................................... 113
3.8. -1 ................................................................................ 114
3.9. ..................................................................................... 115
................................................................................................................. 117
3
................................................................................................................ 120
1. , TS DS ................ 120
1.1. ........................................... 120
1.2. -.................................................................. 122
1.3. .................................................................................. 124
1.4. -. ................................................................. 124
1.5. DF-GLS..................................................................................... 124
1.6. --- (KPSS) ................ 124
1.7. ...................................................... 125
1.8. ( ) ....................................... 127
1.9. .............................................................................. 127
1.10. - ..................................................................... 128
1.11. . ........................................ 128
2. ............................................................. 128
2.1. ........ 128
2.2.
................................................................................................................. 131
2.3. ........... 136
2.4. ....... 145
2.5.
......................................................................................................... 151
3. ..................................................................... 156
3.1. ...................................................................................... 156
3.2. .................................................................................. 156
3.3. ..................................................................................... 158
3.4. .................................................................. 159
3.5. .............................................................. 159
3.6. ..................................... 159
3.7. -1 ............................................................................................ 160
3.8. .............................................................................. 163
3.9. ............................................................................................... 165
.................................................................................................................. 168
US AID
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(, / .)
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TS DS
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.
1.
1.1.
1.1.1.
.
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.
.
, (
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6
, ,
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,
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- .
. ,
- ,
,
. (
. , ,
, .) ,
,
,
.
, AR(p), MA(q),
ARMA(p, q), ARIMA(p, k, q).
1.1.2.
.
,
,
.
() . ,
,
( ) TS (trend
stationary) , , (,
) (
)
k-1 DS (difference stationary)
.
,
TS
, DS
-
.
TS DS
,
( , ,
). , DS- TS- (
)
(spurious) .
. , ,
DS-,
, , ,
(., ,
[Dweyer, Wallace (1992)]; [Dutt, Ghosh (1999))];
([Ardeni, Lubian (1991)], [Dutt (1998)];
([Johansen, Juselius (1990)]; [Hafer, Jansen (1991)]; [Funke, Thornton (1999))].
, DS-
,
, .
.
[Maddala, Kim (1998)], [Enders (1995)], [Hamilton
(1994)], [Hatanaka (1996)]. ( ) ,
:
: [Hasan (1998)].
: [Metin (1995)], [Freeman (1998)]
: [Christiano, Eichenbaum (1990)]; [Murray, Nelson
(2000)].
: [Clark (1989)]; [Woodward, Pillarisetti (1999)].
: [Copeland (1991)], [Kim, Mo (1995)],
[Nadal-De Simone, Razzak (1999)].
: [Milas (1998)].
: [Molana (1994)] .
: [Cheung, Chinn (1996)], [den Haan (2000)].
: [Fama, French (1988)].
,
,
.
, TS DS
.
TS ,
, , ,
-. DS (
) , -
DS
( ),
, -
,
.
TS-
, DS- ,
.
,
,
- .
, (, ARMA)
, , ..
. ([,
(1974)]) ARIMA
()
. ,
,
, .
[Chan, Hayya, Ord (1977)], [Nelson, Kang (1981)] ,
DS ()
, (
),
. , TS
,
, ,
-;
(
). , -
(., , [Hamilton
(1994), 4 5]).
, ,
,
,
, ..
(TS DS).
.
,
, , [Maddala, Kim (1998)],
.
,
,
( , )
9
, .
, , [Maddala, Kim
(1998)], [Enders (1995)], [Hamilton (1994)], [Hatanaka (1996)].
,
, 1. ,
TS- DS-.
,
14 ( 62 111
) [Nelson, Plosser (1982)] ([Perron
(1989)]). 14
TS, , , 11 .
,
TS . TS- ,
, .
,
, (. [Zivot, Andrews
(1992)]).
, . [Bierens (1997)]. , [Nunes, Newbold, Kuan (1997)]
:
[Zivot, Andrews (1992)]
14 , [Nelson, Plosser (1982)].
,
, (TS DS)
.
1.1.3.
,
, :
-,
;
-,
, P{xt < x} P{xt < x} t t.
,
. ,
.
, (
). ,
. ,
4 .
, ( )
xt.
f(t) (
), , .
.
10
,
. ()
( , ),
( ),
, , .
(),
,
( , ..)
(t).
(), .
xt, , ,
x1,, xT ,
1,, .
(, ) t.
, ,
.
,
,
, .
.
, (
) :
xt = 1f(t) + 2(t) +3(t) + t.
(1.3.1)
i = 1, i- i = 0
.
.
,
:
1. ,
(1.1.1), .. i;
2. ,
(1.1.1);
3. ,
t, .
,
,
, , -
.
.
- ,
.
.
, , ,
,
,
11
.
.
,
, , :
() ,
;
()
;
()
.
,
( ) ,
: , ,
( ) .
.
,
,
.
,
, ,
- ,
.
,
,
( )
. ,
, ,
, , - -.
,
(, ,
), .
, ,
: ()
( , ,
), () ,
, ()
, ,
(..
).
, ,
, () (), , ,
[., , Maddala, Kim (1998)],
TS- (trend stationary series ,
).
, (),
. , ,
12
(),
( ).
( ) xt ,
Ext, Dxt () = E[xt Ext)(xt+
Ext+)] t, . ,
, ,
p (AR(p)), q (MA(q)-)
p q (ARMA(p, q)).
xt () k,
kxt k (
!) . ,
, ,
p, k q (ARIMA(p, k, q)) .
(ARIMA(0, 1, 0)).
,
( ).
.
k
, k ( !) ,
.
.
(TS), .
,
, ,
. ,
, 4 .
{xt}, t = 1, 2,, T
,
x1, x2,, xT.
, .
, ,
(..
)
.
.
, {xt} {yt}, t = 1, 2,, T,
y x,
(x) (y) () ,
.
, ,
13
, ,
.
. ,
,
, .
- , ,
.
,
( , )
.
-
() ARIMA(p, k, q), ,
, AR-, MA- ARMA.
-
,
.
2 ,
, ,
, [, (1998)], [, (1990)].
1.2.
1.2.1.
,
Xt TS ( ) DS
( ) .
. ,
, ,
, , (
), .
, ,
.
,
, .
TS DS ,
, (
) .
TS DS
.
.
, DS TS ,
() DS, TS-
. DS-
(unit root, UR-), ..
14
z = 1 ( ) a(z) = 0, a(L)
L a(L)xt = t xt .
, () TS,
DS-.
xt
z = 1 b(z) = 0, b(L)
L
xt = b(z)t xt = xt - xt-1 xt .
, ,
1.
, .
, ADF
DS- KPSS TS .
:
KPSS TS
KPSS TS
ADF DS 1
2
ADF DS
3
4
2, DS-.
3, TS-.
1,
.
4, ,
(DGP) DS TS , , , .
1.2.2.
.
(., , [ (1989)], 2:
TS DS,
, . 2-1 (,
1 p >> 1
, . 2-1, ,
).
2-1.
1
TS
2
DS
3
TS
p 1
xt t xt 1 j xt j t
j 1
p 1
x t t j x t j t
j 1
p 1
x t x t 1 j x t j t
j 1
, ,
1. ,
( ), (
) .
2
15
DS
p 1
xt j xt j t
j 1
TS
p 1
x t x t 1 j x t j t
j 1
DS
p 1
x t j x t j t
j 1
:
p 1
1. xt t xt 1 j xt j t
j 1
p 1
2. xt xt 1 j xt j t
j 1
p 1
3. xt xt 1 j xt j t
j 1
:
1. 0: = 0
2. 0: = 0 = 0
3. 0: = 0 0
4. 0: = 0 = 0
5. 0: = 0 0
, ,
, :
1. 1 1, 2,
8;
2. 1 2, 4,
3;
3. 1 3, 9,
8;
4. 2 1, 5,
10;
5. 2 4, 7,
6;
6. 2 5,
11, 10;
7. 3 1,
13, 12;
8. . :
p 1
xt t xt 1 j xt j t
j 1
p 1
9. . : xt t j xt j t
j 1
p 1
10. . : xt xt 1 j xt j t
j 1
16
p 1
11. . : xt j xt j t
j 1
p 1
12. . : xt xt 1 j xt j t
j 1
p 1
13. . : xt j xt j t
j 1
. 2-1 .
.
.
17
2-1.
1
0: = 0
xt t xt 1 j xt j t
j 1
p 1
0: = 0 = 0
0: = 0 0
p 1
xt t j xt j t
j 1
0: = 0
xt xt 1 j xt j t
j 1
p 1
0: = 0 = 0
0: = 0 0
p 1
xt j xt j t
j 1
0: = 0
p 1
xt j xt j t
j 1
18
p 1
xt xt 1 j xt j t
j 1
2.
2.1.
, .
.
( ):
(Inflation), %
1991:01 2000:08;
M0 (M0), . . ( 1998 . . .)
1990:12 2000:07;
(Denbaza), . . ( 1998 . . .)
1992:05 2000:08;
(Shirdenmas), . . ( 1998 . . .)
1995:06 2000:07;
M1 (M1), . . ( 1998 . . .)
1995:06 2000:07;
M2 (M2), . . ( 1998 . . .)
1990:12 2000:07;
(Shirdengi), . . ( 1998 . . .)
1992:01 2000:07;
(Export), . . 1994:01 2000:04
(Import), . . 1994:01 2000:04;
(GDP), . . ( 1998 . . .)
1994:1 2000:2;
(Dokhfedbud), . . ( 1998 . . .)
1992:01 2000:05;
(Dokhnalog), . . ( 1998 .
. .) 1992:01 2000:05;
(Intprom)
1990:12 2000:07;
-1 (RTS1) ( ) 01/09/95
31/10/00;
./ (Rubkurs) 01/07/92
01/11/00.
( ), . (UNJOB)
01/1994 08/2000.
3.23.9.
(. .
2-1 2-9).
19
2-1.
245,00
235,00
225,00
215,00
205,00
195,00
185,00
175,00
165,00
155,00
145,00
135,00
125,00
115,00
105,00
95,00
85,00
75,00
65,00
55,00
45,00
35,00
25,00
15,00
5,00
-5,00
.91 .91 .92 .92 .93 .93 .94 .94 .95 .95 .96 .96 .97 .97 .98 .98 .99 .99 .00 .00
Inflation
20
2-2.
1300000
1200000
1100000
1000000
900000
800000
700000
600000
500000
400000
300000
200000
100000
0
9
.
91
9
.
92
9
.
93
9
.
94
9
.
Shirdenmas
95
9
.
96
.
Denbaza
9
.
9
.
Shirdengi
9
.
9
.
9
.
M2
.98
.99
9
.
9
.
0
.
2-3.
10,00
9,00
8,00
7,00
6,00
5,00
4,00
3,00
2,00
.94
.94
.95
.95
.96
.96
.97
.97
Export
Import
21
.98
.99
.00
2-4.
1 600 000
1 500 000
1 400 000
1 300 000
1 200 000
1 100 000
1 000 000
900 000
800 000
700 000
600 000
500 000
400 000
300 000
200 000
100 000
-
94
95
96
97
98
99
94
95
96
97
98
99
00
94
95
96
97
98
99
94
95
96
97
98
99
00
19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .19 .20 .20
.
I
I I I
I I I
I I I
I I I
I I I
I I
I
II
I
I
I
I
I
II
I
I
I
I
I
I
I
I
I
I
I
IV
IV
IV
IV
IV
IV
GDP
2-5.
100000
90000
80000
70000
60000
50000
40000
30000
20000
10000
0
.92 .92 .93 .93 .94 .94 .95 .95 .96 .96 .97 .97 .98 .98 .99 .99 .00
Dokhfedbud
22
Dokhnalog
2-6.
95,00
90,00
85,00
80,00
75,00
70,00
65,00
60,00
55,00
50,00
45,00
40,00
35,00
9
.
91
9
.
92
92
.
93
.
9
.
94
9
.
95
9
.
96
9
.
97
9
.
98
9
.
99
9
.
00
Intprom
2-7. 1
570,00
540,00
510,00
480,00
450,00
420,00
390,00
360,00
330,00
300,00
270,00
240,00
210,00
180,00
150,00
120,00
90,00
60,00
30,00
01.09.95
01.03.96
01.09.96
01.03.97
01.09.97
01.03.98
RTS1
23
01.09.98
01.03.99
01.09.99
01.03.00
01.09.00
2-8. ./.
30,00
28,00
26,00
24,00
22,00
20,00
18,00
16,00
14,00
12,00
10,00
8,00
6,00
4,00
2,00
0,00
01.07.92
01.03.93
01.11.93
01.07.94
01.03.95
01.11.95
01.07.96
01.03.97
01.11.97
01.07.98
01.03.99
01.11.99
01.07.00
Rubkurs
2-9. .
3000
16,0
14,0
2500
12,0
2000
10,0
1500
8,0
6,0
1000
4,0
500
2,0
.00
.00
.00
.00
.99
.99
.99
.99
.99
.99
.98
.98
.98
.98
.98
.98
.97
.97
.97
.97
.97
.97
.96
.96
.96
.96
.96
.96
.95
.95
.95
.95
.95
.95
.94
.94
.94
.94
.94
0,0
.94
( ), .
( ), .
( ), %
,
. ,
,
,
,
. ,
, .
,
(,
1998 .).
24
, ,
,
( ARIMA),
(ARCH, GARCH
, ., , [Bollerslev (1986)], [Engle (1983)], [Engle, Granger
(1991))].
.
2.2.
,
. :
(M0) (Denbaza);
M2 (Shirdengi);
1 (Shirdenmas).
, , 0, 1 2.
M1,
, M0 M2.
2.2.1. 1
M1
( ), ..
,
.
: M1,
. . ( 1998 . . .) 1995:06 2000:07;
.
Xt = M1 3:
700000
600000
500000
400000
300000
200000
100000
1996
1997
1998
1999
2000
M1
.
25
1998 1999
., - 1998 ,
,
1 ,
.
1 DS
( )
- ( ). , 1
,
.([Dolado, Jenkinson, Sosvilla-Rivero (1990)]),
(SM)
(DGP).
1 ,
,
:
SM: xt xt 1 t t , t 2,, T ,
,
DGP: xt t , t 2,, T .
DS
(UR Unit Root) .
H0 : = 0;
HA : < 0.
12,
( ) 12
.
t- - 1.495
(UR-)
(5% 10%
t- ,
, , ).
-
.
.
( 12
)
5
7
2
3
4
6
8*
11
1
10**
SC
22.492
P-val
LM-.
1 0.208
2 0.316
22.413
22.333
22.255
22.281
22.105
22.050
22.030
22.037
22.007
21.976
26
P-val
White
0.341
P-val
J-B
0.964
t-
1.495
1 0.595
2 0.851
0.116
0.699
2.085
1 0.689
2 0.410
0.119
0.484
0.850
,
.
,
10% .
(SC), .
P- (P-values) LM-
-. , P,
.
P- (White)
.
P- - (Jarque-Bera)
.
t- ()
-,
( ) .
( 10%
) 12
, 5, 7, 2, 3, 4, 6, 8
(). ,
, 1, 9, 10, 11 12 ;
, .
, ,
5% , ,
, .
( ,
9 , SC 21.976).
,
1.
, , UR
(
).
( 2 ) H0 : = 0
SM: xt xt 1 t t , t 2,, T ,
,
DGP: xt t t t , t 2,,T .
, GS, t , 0.480. ,
, t- 0.760. 5%
H0 : = 0
3.17. HA: > 0,
5% 2.80. H 0 :
= 0 , 3 .
3 ,
1
27
() () .
SM: xt xt 1 t , t 2,, T ,
H0 : = 0
HA : < 0 , ,
DGP
DGP: xt t , t 2,, T .
SM ,
9 12 , t- 3.674.
SM , 12
, 3.101. (5%)
3.503,
, H0.
4 , UR-
.
DGP H0
: = 0 HA : 0. SM
, 9 12 , t 1.966. SM ,
12 , 1.802.
(5%) () 2.89,
H0 : = 0 .
5 H0 : = 0
HA: < 0
SM: xt xt 1 t , t 2,,T ,
DGP: xt t , t 2,, T .
SM , 9 12
, t- 4.057. SM
, 12 ,
3.444. (5%)
() -1.95, H0 : = 0 .
,
M1 DS .
DS- ( ) DFGLS [Elliott , Rothenberg, Stock (1996)] ,
13 , (
4 ):
Test
DFGLS
Statistic
-1.274
1%
3.48
2.5%
-3.15
5%
-2.89
10%
-2.57
-1.274 5%
; DS- . , ,
[Cheung, Lay (1995)],
, ,
(
5% 2.62).
-
; t-
28
() . t, .
l
, [Newey-West (1987)]
(long-run) (
).
;
. , [Schwert
(1989)], ,
l = [k (T/100)1/4] ,
T , [a] a , k 4
12 . T = 62, ,
l = 10. , [Newey, West (1994)],
l = [k (T / 100)2/9];
l = 12.
, ,
12, , ,
( [White, Domovitz (1984)] [Perron (1988)])
, l 13. 13
RATS, ( UNITROOT).
UNITROOT
.
, :
Newey-West
3
10
11
12
13
t-
2.13839
2.64709
2.99993
2.99009
3.12147
, (
):
Newey-West
3
10
11
12
13
t-
4.31038
4.69271
5.03247
5.00240
5.11224
, ,
:
Newey-West
3
10
11
12
13
t-
6.87791
6.79343
7.04600
6.94513
6.96506
t- ,
(
)
.
29
1 DS
-.
KPSS, TS.
ETA(tau).
DS-,
. KPSS
:
ETA(tau) Values:
Critical Level:
0.10
0.05
Critical Value:
0.119
0.146
For lag parameter l =
3
10
11
12
13
0.025
0.01
0.176
0.216
ETA(tau) =
0.33186
0.16585
0.15930
0.15406
0.14997
TS 5%
l ( ).
, ,
(DS TS), . DS :
V
5
K
S
+
e
/
ie
1
:
9 1
10
D
1
11
12
13
14
, 1,
, - .
,
1998 1999 ., 1998 .
30
700000
600000
500000
400000
300000
200000
100000
1996
1997
1998
1999
2000
M1
,
1998 . ,
,
([Perron (1989a)]) ()
(AO ).
, TB ,
xt = + t+DTSt+ ut ,
DTSt t TB t > TB 0
t.
et.
et-1 et-1,, etp:
et = et-1 + pj=1 cj et-j + t ;
t- H0: = 1
, [Perron,
Vogelsgang (1993), . 249]).
,
.
TB = 42, 1998:08.
12 , ..
( 11 ) P- - ( AR(1)
), 0.0002 .
, GS SC,
,
( 10% )
.
,
-.
( 12
)
8
11
10
9*
SC
P-val
P-val
LM-. White
22.236
1 0.983 0.701
2 0.967
22.157
22.089
22.018
21.986
1 0.590 0.372
2 0.844
3 0.954
31
P-val t-
J-B
0.281
-1.92
0.223
-2.27
-2.60
-2.90
-3.27
4
5
3
1 ( GS)
7
6
2 ( SC)
21.974
21.935
21.898
21.837
21.834
21.793
21.782
0.040
0.035
0.016
0.006
0.002
-2.78
-2.59
-2.22
-2.04
-1.37
-1.31
-0.92
0.518
0.184
0.008
0.006
,
,
, .
= TB/T, TB
, , T
. = 42/62 = 0.667. 5%
3.94 ( = 0.6) 3.89 ( =0.7).
(
)
.
, GS-
,
. [Taylor (2000)],
[Ng, Perron (1995)]. .
, 1998:08
1998 .
1. ,
t-
.
PERRON97
RATS, , [Perron
(1997)]. ,
, , .
,
(IO).
PERRON97 :
break date TB = 1999:07; statistic t(alpha=1) = -3.34124
critical values at
1%
5%
for 70 obs.
-6.32
-5.59
number of lag retained : 12
explained variable : M1
coefficient
student
CONSTANT
124786.79561
3.33345
DU
-2506239.31872
-3.77751
D(Tb)
40455.79442
2.72347
TIME
9769.03708
3.44839
DT
23866.02686
3.78217
M1{1}
-0.91050
-1.59235
10%
-5.29
(,
6
: CONST, DU, D(Tb), TIME, DT
M1{1}.)
PERRON97 1999:07,
t-
t=1, . t=1 = 3.341,
5% 5.59, .
, ,
12 GS
10% .
t d DTt,
, 1998:04. t=1 = 0.547, 5%
5.33; .
( 11).
,
DT, ,
1998:04 UR-.
,
(AO).
PERRON97 :
break date TB = 1999:02; statistic t(alpha=1) = -3.59417
critical values at
1%
5%
for 100 obs.
-5.45
-4.83
number of lag retained : 12
explained variable : M1
coefficient
student
CONSTANT
104939.65455
20.48279
TIME
4832.56930
26.73200
DT
14335.07564
21.11189
M1 {1}
-0.75752
-1.54915
10%
-4.48
(,
.
CONST, TIME, DT;
et .. et
et-1 et-1,, et-p ).
t=1
1 et-1 .
1999:02, t=1= 3.594 ( 12 ),
5% 4.83, UR-
.
, ,
( kurtosis
1.626 4, 3).
,
. ,
4
33
()
DS
TS
DS
- ()
-
DF-GLS
KPSS
( )
( )
,
, : DS- ,
TS- ;
DS-.
2.2.2. M0
M0 .
: M0,
. . ( 1998 . . .) 1990:12 2000:07;
.
1, ,
M0, -
1995 . ,
, M0 (
M2) 1995:06 2000:07, 1.
350000
300000
250000
200000
150000
100000
50000
1996
1997
1998
1999
2000
M0
1:
3, - , ,
ECONOMETRIC VIEWS,
.
34
700000
600000
500000
400000
300000
200000
100000
1996
1997
1998
1999
2000
M1
,
0 , 1,
. ,
0.
1, 0
12;
13 .
-
:
ADF Test Statistic
1.368149
1% Critical Value*
5% Critical Value
10% Critical Value
-4.1584
-3.5045
-3.1816
t-Statistic
Prob.
Z(-1)
D(Z(-1))
D(Z(-2))
D(Z(-3))
D(Z(-4))
D(Z(-5))
D(Z(-6))
D(Z(-7))
D(Z(-8))
D(Z(-9))
D(Z(-10))
D(Z(-11))
D(Z(-12))
D(Z(-13))
C
@TREND(1995:06)
Variable
Coefficient
0.204696
-0.194405
-0.316411
-0.201863
-0.365408
-0.336200
-0.102447
-0.054527
-0.205422
-0.630249
-0.195244
-0.451913
0.632189
-0.651846
-9353.863
-232.7007
0.149616
0.228411
0.228968
0.216740
0.205424
0.174358
0.181976
0.214887
0.221867
0.212157
0.234221
0.232739
0.249860
0.266730
5632.908
423.7413
1.368149
-0.851122
-1.381904
-0.931362
-1.778799
-1.928221
-0.562972
-0.253748
-0.925878
-2.970678
-0.833589
-1.941718
2.530179
-2.443841
-1.660575
-0.549158
0.1808
0.4010
0.1766
0.3586
0.0848
0.0627
0.5774
0.8013
0.3614
0.0056
0.4107
0.0610
0.0165
0.0202
0.1066
0.5867
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
0.636001
0.465377
9205.038
2.71E+09
-496.4982
35
4816.396
12589.30
21.35409
21.97782
3.727491
Durbin-Watson stat
1.979912
Prob(F-statistic)
0.000867
t- ,
.
-
.
.
( 13
)
7
6
10
3
1
8
2
4
5 ( GS
SC)
11
SC
P-val
P-val P-val
LM-. White
J-B
21.978
1 0.746 0.249 0.227
2 0.781
21.899
21.826
21.761
21.699
21.619
21.557
21.502
21.471
21.411
1 0.717 0.162 0.775
2 0.778
21.415
t-
1.368
0.416
SC
,
.
1.368 0.416. ,
0.
, , DS-
( )
( ).
( 2 ) H0 : = 0
SM: xt xt 1 t t , t 2,, T ,
,
DGP: xt t t t , t 2,,T .
, GS ,
t- , 0.700. 5%
H0 : = 0
3.17. H0 : > 0, 5%
2.80. = 0
, 3 .
,
, , , 1,
DS-.
- .
:
3
0.18896
36
4
5
6
7
8
9
10
11
12
13
0.14980
0.28467
0.21953
0.21763
0.17085
0.28009
0.34388
0.49913
0.49863
0.57393
:
3
2.11867
4
2.24850
5
2.45154
6
2.41942
7
2.47094
8
2.45836
9
2.64371
10
2.77427
11
3.05619
12
3.10151
13
3.10151
:
3
4.51174
4
4.48610
5
4.76835
6
4.71538
7
4.77881
8
4.75252
9
5.00488
10
5.17870
11
5.56153
12
5.61023
13
5.84205
( 4 13)
,
.
DS- ( ) DFGLS , 13
, :
Critical values (asymptotic)
Test
Statistic
DFGLS
-0.985
1%
-3.48
2.5%
-3.15
5%
-2.89
10%
-2.57
0.985 5%
; DS- . ,
,
,
( 5% 2.62).
() 0
KPSS:
37
DS-,
ETA(mu) .
0, 1995:062000:07,
.
For lag parameter l =
3
4
12
13
ETA(mu) =
1.51504
1.24933
0.59065
0.56191
DS-.
,
ETA(tau),
Critical Level:
Critical Value:
0.10
0.119
0.05
0.146
0.025
0.176
0.01
0.216
DS-, .
0, 1995:062000:07,
.
For lag parameter l =
3
4
12
13
ETA(tau) =
0.31134
0.26651
0.15545
0.15098
0
1995:062000:07
.
, , DS
TS , .
DS- :
38
V
3
K
S
+
e
ie
1
:
01
21
D
0
41
61
82
,
.
(AO),
14 GS
10%. :
break date TB = 1999:01 ; statistic t(alpha=1) = -3.69570
Critical values at
1%
5%
for 100 obs.
-5.45
-4.83
Number of lag retained : 12
Explained variable : M0
t-
CONSTANT
59106.87212
14.93557
TIME
2357.19676
16.59750
DT
5505.22025
11.13153
M0 {1}
-0.36991
-0.99792
10%
-4.48
(,
.
CONST, TIME, DT;
et .. et
et-1 et-1,, et-p .)
(
)
(., , [Leybourne, Mills, Newbold (1998)]),
39
(IO),
,
14 GS
10%. :
break date TB = 1999:01 ; statistic t(alpha=1) = -3.24111
Critical values at
1%
5%
for 70 obs.
-6.32
-5.59
Number of lag retained : 12
Explained variable : M0
coefficient
student
CONSTANT
93203.60949
3.16641
DU
-802428.37416
-3.41458
D(Tb)
8419.59298
0.75410
TIME
4236.75927
3.31729
DT
7988.20640
3.43175
M0{1}
-0.91391
-1.54766
10%
-5.29
(,
6
: CONST, DU, D(Tb), TIME, DT
M0{1}.)
DS-.
0 1995:06 2000:07:
()
- ()
-
DF-GLS
KPSS
( )
( )
()
DS
TS
DS
,
, : DS- ,
TS- ;
DS-.
2.2.3. 2
M2 ( )
,
, ,
.
. 1 1998 .
.
: M2,
. . ( 1998 . . .) 1990:12 2000:07;
.
1995:06 2000:07. Xt=M2
40
1000000
800000
600000
400000
200000
0
1996
1997
1998
1999
2000
M2
. ,
2 : 1997:08-1998:07 2
.
- (
) 13
. t- 0.751 5%
3.482, .
:
ADF Test Statistic
0.751177
1% Critical Value*
5% Critical Value
10% Critical Value
-4.1109
-3.4824
-3.1689
Coefficient
Std. Error
t-Statistic
Prob.
0.068475
0.145734
0.141848
0.150454
0.151069
0.132650
0.127068
0.154991
0.156768
0.154209
0.159316
0.165689
0.171785
0.193203
5339.081
509.0531
0.751177
1.054815
1.993001
1.013107
-1.135680
-0.697270
2.095801
1.239288
-1.112312
-3.134619
0.092735
0.207073
3.349151
-2.495275
-1.010275
-0.402470
0.4564
0.2970
0.0522
0.3163
0.2620
0.4891
0.0416
0.2215
0.2718
0.0030
0.9265
0.8369
0.0016
0.0162
0.3176
0.6892
0.051437
0.153723
0.282703
0.152426
-0.171566
-0.092493
0.266310
0.192078
-0.174375
-0.483386
0.014774
0.034310
0.575335
-0.482094
-5393.940
-204.8787
41
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.680388
0.576167
10609.04
5.18E+09
-653.4275
2.096000
12790.32
16295.92
21.59444
22.14337
6.528315
0.000000
.
.
( 13
)
10
11
5
3
7
8
4
6*
1
2
SC
P-val
P-val
LM-. White
22.143
1 0.250
0.287
2 0.252
22.077
1 0.411
0.430
2 0.253
22.011
21.954
21.906
21.857
21.823
0.155
21.794
0.054
21.770
1 0.093
0.028
2 0.230
21.761
1 0.534
0.028
2 0.405
21.752
1 0.403
0.016
2 0.108
P-val t-
J-B
0.051
0.751
0.065
0.009
0.009
0.014
0.023
0.019
0.783
0.123
0.335
1.171
1.575
1.109
1.566
0.295
2.618
0.439
4.122
( 10%
) ,
, .
, 5%, ,
.
.
, ,
, , .
, ,
,
10 .
( ) ,
2.
( 2 ) H0 : = 0
SM: xt xt 1 t t , t 2,, T ,
,
DGP: xt t t t , t 2,,T .
( 10
), t- , 0.424.
5% H0 : = 0
3.17, ,
3 .
1 M0,
DS-. ( 13
).
42
t- 1.178;
t- 1.253.
-
: ,
.
, :
3
4
5
6
7
8
9
10
11
12
13
2.63324
2.59715
2.56834
2.43783
2.32673
2.26941
2.32449
2.39557
2.52389
2.55470
2.63931
( ):
3
4
5
6
7
8
9
10
11
12
13
4.37034
4.54957
4.46640
4.29340
4.14101
4.04731
4.06176
4.09185
4.17005
4.16109
4.19499
:
3
4
5
6
7
8
9
10
11
12
13
7.27233
7.03590
6.83753
6.55422
6.29882
6.11824
6.05329
6.00632
6.00280
5.91879
5.87156
.
DS- ( ) DF-GLS
, 13
:
Test
DFGLS
Statistic
-1.446
10%
-2.57
1.446 5%
; DS- .
43
,
,
( 5%
2.62).
KPSS, TS-.
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12
13
0.10
0.347
ETA(mu) =
1.45488
1.19809
0.57423
0.54802
0.025
0.574
0.05
0.463
0.01
0.739
.
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12
13
0.10
0.119
ETA(mu) =
0.32707
0.27270
0.14618
0.14212
0.025
0.176
0.05
0.146
0.01
0.216
10% 5%
, 13.
,
(DS TS), . DS-
:
V
1
K
S
+
e
ie
8 1
10
12
14
16
28
D
2
20
22
24
26
38
,
,
( ):
break date TB = 1999:10; statistic t(alpha=1) = -2.78182
critical values at
1%
5%
for 70 obs.
-6.32
-5.59
44
10%
-5.29
student
2.48260
-2.76082
-0.04148
2.99594
2.77995
1.47489
.
,
( ), :
break date TB = 1997:05; statistic t(alpha=1) =
critical values at
1%
for 100 obs.
-5.45
number of lag retained : 12
explained variable : M2
coefficient
student
CONSTANT
190978.79927
TIME
3283.15278
DT
9565.20521
M2 {1}
0.85569
-2.78944
5%
-4.83
10%
-4.48
8.21763
2.47380
5.15626
16.53993
.
2 1995:06 2000:07:
()
- ()
-
DF-GLS
KPSS
( )
( )
()
DS
TS
DS
,
, : DS- ,
TS- ;
DS-.
2.3.
2.3.1.
,
.
,
,
. , ,
.
: (
), . . 1994:01 2000:04;
.
:
45
10
9
8
7
6
5
4
1994
1995
1996
1997
1998
1999
2000
EXPORT
, .
, ,
,
3.2.1.
Sample: 1994:01 2000:04
Included observations: 76
Autocorrelation
|*****
|***
|***
|**
|**
|*
|*
|*
|
|
|
|**
|
*|
*|
*|
Partial Correlation
|*****
|*
|**
|
|
*|
|
|
|
*|
|*
|***
****|
*|
*|
|*
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
AC
PAC
Q-Stat
Prob
0.590
0.404
0.396
0.318
0.226
0.147
0.121
0.092
0.055
-0.037
0.012
0.229
-0.044
-0.165
-0.148
-0.106
0.590
0.085
0.198
0.004
-0.022
-0.059
0.012
-0.005
-0.008
-0.118
0.101
0.337
-0.456
-0.095
-0.094
0.149
27.557
40.623
53.370
61.698
65.950
67.774
69.024
69.769
70.034
70.155
70.169
75.013
75.192
77.799
79.917
81.031
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
,
-, 12 .
, , ,
-, ,
46
, .
.
ADF Test Statistic
-2.172099
1% Critical Value*
5% Critical Value
10% Critical Value
-3.5362
-2.9077
-2.5911
Coefficient
Std. Error
t-Statistic
Prob.
-2.172099
-0.130454
-0.081755
0.533990
0.946613
0.929464
0.396876
0.751501
0.799443
0.187288
-0.227401
-1.280726
5.080512
2.206731
0.0347
0.8967
0.9352
0.5958
0.3485
0.3572
0.6932
0.4559
0.4279
0.8522
0.8211
0.2063
0.0000
0.0320
EXPORT(-1)
D(EXPORT(-1))
D(EXPORT(-2))
D(EXPORT(-3))
D(EXPORT(-4))
D(EXPORT(-5))
D(EXPORT(-6))
D(EXPORT(-7))
D(EXPORT(-8))
D(EXPORT(-9))
D(EXPORT(-10))
D(EXPORT(-11))
D(EXPORT(-12))
C
-0.320298
-0.021490
-0.012906
0.081849
0.143501
0.142530
0.060647
0.115841
0.119480
0.026379
-0.030960
-0.163303
0.640801
2.198274
0.147460
0.164733
0.157857
0.153277
0.151594
0.153347
0.152810
0.154146
0.149454
0.140848
0.136149
0.127508
0.126129
0.996168
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.652897
0.560808
0.625328
19.16073
-51.89956
2.125882
0.040635
0.943584
2.092050
2.568302
7.089867
0.000000
10% .
, ,
12 , .
.
( 12
)
2
1
10
9
6
7
3
5
4
8
11
SC
2.568
P-val
LM-.
1 0.293
2 0.285
P-val
White
0.377
P-val
J-B
0.663
1 0.251
2 0.175
3 0.142
0.711
0.840
2.503
2.437
2.372
2.310
2.248
2.193
2.139
2.080
2.031
1.981
1.947
47
t-
-2.172
-3.186
4 0.244
( 10%
) 12
, 2, 1, 10, 9, 6, 7, 3, 5, 4, 8, 11
(). ,
, 12 ;
.
.
, t-
- 5% ,
( ). ,
,
,
, ,
-. ,
, DS .
KPSS.
V
0
K
r
+
ie
1
E
9 1
*
P
10
11
12
13
14
TS-.
KPSS ( )
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
10
0.10
0.347
0.05
0.463
ETA(mu) =
0.31930
0.27642
0.18705
48
0.025
0.574
0.01
0.739
11
12
13
14
0.18204
0.17662
0.17245
0.16979
.
EXPORT:
()
- ()
KPSS
()
DS
TS
TS
: DS , TS
;
TS-.
2.3.2.
. ,
, , ,
, .
: (
), . . 1994:01 2000:04;
.
9
8
7
6
5
4
3
2
1994
1995
1996
1997
1998
1999
2000
IMPORT
, 1998
( ),
.
, 1994:01 1998:01.
49
9
8
7
6
5
4
3
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
IMPORT
, .
. 3.2.2 .
,
-, , 12
.
,
12
.
ADF Test Statistic
-1.614015
1% Critical Value
5% Critical Value
10% Critical Value
-4.2242
-3.5348
-3.1988
Coefficient
-0.687650
0.020600
0.079784
0.159596
0.319003
0.508832
0.388655
0.281873
0.287544
0.003979
-0.130758
-0.465013
Std. Error
t-Statistic
Prob.
0.426050
0.417224
0.354080
0.311822
0.290247
0.292103
0.314875
0.336228
0.351195
0.350617
0.325622
0.273920
-1.614015
0.049375
0.225327
0.511818
1.099071
1.741961
1.234318
0.838341
0.818759
0.011350
-0.401564
-1.697620
0.1208
0.9611
0.8238
0.6139
0.2836
0.0955
0.2301
0.4109
0.4217
0.9910
0.6919
0.1037
50
D(IMPORT(-12))
C
@TREND(1994:01)
0.361035
2.840222
0.032467
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.820057
0.705548
0.437277
4.206651
-12.27708
2.158910
0.229435
1.558390
0.024645
1.573584
1.822536
1.317368
0.1299
0.0820
0.2013
0.064865
0.805842
1.474437
2.127512
7.161511
0.000027
t- - 10% ,
.
,
,
10% . ,
. , P-
- ,
( ) 2- ,
0.000766, 12
.
24.
,
-
, 12 .
,
. , [Dickey, Bell, Miller
(1986)] - ,
, , ..
(dummies) D1, D2,,
D12, , , 1- (), 2- (),..., 12- ()
. ( D1 1 0
.
.)
51
-1
-2
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
X_DESEASONED
;
( ).
:
break date TB = 1996:07 ; statistic t(alpha=1) = -5.03902
critical values at
1%
for 70 obs.
-6.32
number of lag retained : 6
explained variable : IMP_DES
coefficient
student
CONSTANT
-2.36511
DU
0.10875
D(Tb)
0.60556
TIME
0.10353
DT
-0.01642
IMP_DES {1}
-0.21537
5%
-5.59
10%
-5.29
-4.38786
0.08382
1.65437
4.48843
-0.91853
-0.89294
DS- .
t-
DT,
. ,
( ).
:
break date TB = 1997:05; statistic t(alpha=1) = -4.25858
critical values at
1%
for 60 obs.
-5.92
number of lag retained : 6
explained variable : IMP_DES
coefficient
student
CONSTANT
-1.31878
DU
-0.28657
52
5%
-5.23
-3.56353
-1.51369
10%
-4.92
D(Tb)
TIME
IMP_DES {1}
-0.54686
0.04897
0.17386
-1.59774
3.75276
0.89624
; , DS-
.
KPSS ( ):
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
5
10
11
12
13
0.10
0.119
0.025
0.176
0.05
0.146
0.01
0.216
ETA(tau) =
0.11094
0.09783
0.08947
0.08556
0.08864
0.09220
0.09675
ie
+
s
9 1
10
11
12
13
14
TS-.
DS- DF-GLS (
):
Lags = 13
Test
DFGLS
Statistic
-1.017
2.5%
-3.15
5%
-2.89
DS- TS-.
, ,
,
(
5% 2.68).
IMPORT 1994:01 1998:01:
()
()
DS
TS
53
10%
-2.57
DF-GLS
KPSS
( )
TS
,
, : TS,
DS. . 1.3.1,
,
.
2.4.
2.4.1.
,
. ,
,
.
.
,
.
,
;
, ;
, ,
,
; ,
-, ,
, , , ,
, , ;
.
:
( ) , . . ( 1998 . .
.) 1992:01 2000:05; .
Xt = Dokhfedbud :
120000
100000
80000
60000
40000
,
20000 1995 .,
0
92
93
94
54
95
96
97
X
98
99
00
.
1996:01-2000:05,
120000
100000
80000
60000
40000
20000
0
1996
1997
1999
1998
2000
DFB_DES,
:
60000
40000
20000
-20000
-40000
1996
1997
1998
1999
2000
DF B_DES
DFB_DES
(
) .
55
,
:
break date TB = 1998:12 ; statistic t(alpha=1) = -5.38168
Critical values at
1%
for 100 obs.
-5.45
Explained variable : X_deseas
Coefficient
student
CONSTANT
-13754.29814
TIME
124.63087
DT
3598.89564
X_deseas(-1)
0.26764
10%
-4.48
5%
-4.83
-8.20735
1.71624
16.31043
1.96676
, DS-
5% TS-. , ,
, P- -
0.006
(4.98 3 ).
[Zivot, Andrews (1992)],
, , t-
5.382 5% .
DS- .
( ),
:
break date TB = 1998:12 statistic t(alpha=1) = -5.20414
Critical values at
1%
for 70 obs.
-6.32
Number of lag retained : 0
Explained variable : DFB_DES
Coefficient
student
CONSTANT
-10006.79048
DU
-278103.35966
D(Tb)
7576.57283
TIME
93.92653
DT
2850.55763
DFB_DES {1}
0.26757
10%
-5.29
5%
-5.59
-3.73394
-4.86542
1.33219
1.08695
4.97317
1.90121
DS TS.
DF-GLS ( ):
:
Test
DFGLS
Statistic
1%
-3.48
-1.181
10%
-2.57
DS- .
,
,
(
5% 2.78).
KPSS (
):
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
0.10
0.119
0.05
0.146
ETA(tau) =
0.30564
0.25663
56
0.025
0.176
0.01
0.216
10
11
12
0.15320
0.14758
0.14357
DS- :
5
1
9 1
10
/
:
ie
V
S
12
11
13
14
1996:01-2000:05 :
()
DF-GLS
KPSS
( )
()
DS
TS
DS
,
, : DS- ,
TS- ;
DS-.
2.4.2.
,
.
:
, . . ( 1998 . . .)
1992:01 2000:05; .
Xt = Nalogdokh
100000
80000
60000
40000
57
Dokhfedbud (
). 1996:01:2000:05,
:
100000
80000
60000
40000
20000
0
1996
1997
1998
1999
2000
NALOGDO
, ,
. NAL_DES,
.
(
) . DFB_DES
NAL_DES:
58
60000
40000
20000
-20000
-40000
1996
1997
1998
1999
2000
DF B_DES
60000
40000
20000
-20000
-40000
1996
1997
1998
1999
2000
NAL_DES
PERRON97 ,
, :
break date TB = 1999:02 ; statistic t(alpha=1) = -4.88088
critical values at
1%
for 100 obs.
-5.45
number of lag retained : 0
explained variable : NAL_DES
coefficient
student
CONSTANT
-13594.20391
TIME
214.85839
DT
3441.92040
NAL_DES {1}
0.35871
5%
-4.83
-9.05378
3.43942
15.39548
2.73011
1999:02 ( 1998:12, ).
5%
DS- TS-.
(P- 0.134)
(-
0.425).
59
10%
-4.48
( ) PERRON97
1999:04. :
break date TB = 1999:04 ; statistic t(alpha=1) = -4.56691
critical values at
1%
for 70 obs.
-6.32
number of lag retained : 0
explained variable : NAL_DES
coefficient
student
CONSTANT
-8770.40256
DU
-151804.20882
D(Tb)
-12287.41898
TIME
163.54522
DT
1596.10854
NAL_DES {1}
0.38512
10%
-5.29
5%
-5.59
-3.69052
-2.66436
-2.36503
2.37784
2.88630
2.86039
DS- .
DF-GLS ( ):
Lags = 0
Test
DFGLS
Statistic
-1.090
2.5%
-3.15
5%
-2.89
10%
-2.57
DS- .
( 5%
2.62).
KPSS:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
10
0.10
0.119
0.05
0.146
0.025
0.176
ETA(tau) =
0.30690
0.25870
0.15405
TS DS-.
60
0.01
0.216
V
2
K
r
+
ie
1
N
9 1
*
L
S
_
10
D
D
11
12
13
14
DS-.
1996:01-2000:05:
()
DF-GLS
KPSS
( )
()
DS
TS
DS
,
, : DS- ,
TS- ;
DS-.
2.5.
, % 1991:01 2000:08;
- .
()
. ,
,
, ,
, .
:
,
;
61
.
Xt = INFL,
1991:01 2000:08, :
250
200
150
100
50
0
-50
91
92
93
94
95
96
97
98
99
00
INFL
1991 ., - 1992 .
1998 ., , ,
. ,
.
, , 1992:05-1998:07.
62
30
25
20
15
10
5
0
-5
1993
1994
1995
1996
1997
1998
INFL
Xt DS
-. ,
,
.
, :
- ,
:
Sample: 1992:05 1998:07
Included observations: 75
Autocorrelation
Partial Correlation
|*
|*
|
*|
**|
*|
|
|
|*
|
*|
|
**|
|*
|*
|
*|
**|
|
|
|
|
*|
*|
|
*|
1
2
3
4
5
6
7
8
9
10
11
12
13
AC
PAC
Q-Stat
Prob
0.106
0.079
0.004
-0.077
-0.203
-0.094
-0.047
0.012
0.085
-0.019
-0.087
-0.037
-0.194
0.106
0.069
-0.011
-0.083
-0.191
-0.050
-0.005
0.027
0.065
-0.084
-0.131
-0.033
-0.173
0.8693
1.3646
1.3662
1.8483
5.2570
6.0022
6.1929
6.2053
6.8398
6.8709
7.5465
7.6697
11.184
0.351
0.505
0.713
0.764
0.385
0.423
0.517
0.624
0.654
0.738
0.753
0.810
0.595
63
25
Series: Residuals
Sample 1992:05 1998:07
Observations 75
20
15
10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
6.45E-16
-0.047377
10.14915
-8.988688
2.825929
0.244567
5.999021
Jarque-Bera
Probability
28.85431
0.000001
0
-8 -6 -4 -2
0
2
4
6
8 10
t-
-.
1995 .:
15
10
-5
-10
1993
1994
1995
1996
1997
1998
RESIDUALS
[
(1998, 3)] [ (1998, IY)].
,
P- -
. ,
64
,
.
SD
SD
SD/SD
94:12
4.136
0.989
1.123
0.000
3.683
95:01
4.097
0.990
1.006
0.000
4.073
02
4.134
0.995
0.733
0.317
5.640
03
4.084
0.981
0.715
0.347
5.712
04
4.026
0.963
0.725
0.330
5.533
05
3.971
0.932
0.734
0.311
5.410
06
3.923
0.886
0.730
0.329
5.374
07
3.879
0.829
0.714
0.362
5.433
08
3.834
0.694
0.706
0.377
5.431
SD/SD
1995:03. P- -
1995:02,
. - -
1995:02-1998:07. ,
1992:05-1995:03 1995:04-1998:07
.
1992:05-1995:03
( )
. t-
- -2.193 5% 3.547, DS .
1995:03-1998:07
. t- - 3.437
5% 3.522, DS-
.
-,
-,
. ,
, , 3,
t-, 3.285 5% 3.470.
, t
1.877 5% 2.900. ,
,
t- 1.878 5% 1.945.
DS- . ,
, . ,
3 9
3.285 2.922
DS-.
DF-GLS
Lags = 0
Test
DFGLS
Statistic
-2.258
1%
-3.48
5%
-2.89
DS-.
[Cheung, Lay (1995)]
( 5% 3.08).
,
PERRON97 .
65
10%
-2.57
(
), :
break date TB = 1996:09 ; statistic t(alpha=1) = -3.68319
critical values at
1%
For 100 obs.
-5.45
number of lag retained : 9
explained variable : INFL
coefficient
student
CONSTANT
22.27305
TIME
-0.39843
DT
0.36387
INFL{1}
0.50575
10%
-4.48
5%
-4.83
19.61729
-11.77569
3.11099
3.76886
( ), :
break date TB = 1996:02 ; statistic t(alpha==1) = -3.77937
critical values at
1%
for 70 obs.
-6.32
for 100 obs.
-6.21
number of lag retained : 9
explained variable : INFL
coefficient
student
CONSTANT
15.38542
DU
-15.71117
D(Tb)
1.57031
TIME
-0.27679
DT
0.23045
INFL{1}
0.39869
10%
-5.29
-5.25
5%
-5.59
-5.55
3.44129
-2.70978
0.71748
-3.32577
2.74869
2.50589
, DS-
.
TS- KPSS.
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4
12
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12
0.10
0.347
0.05
0.463
0.025
0.574
0.01
0.739
0.05
0.146
0.025
0.176
0.01
0.216
ETA(mu) =
5.74061
2.96682
2.03981
1.57389
1.29263
0.59361
0.10
0.119
ETA(tau) =
0.11674
0.10484
0.09731
TS- DS-
.
3 TS- ,
.
:
66
ie
01
21
41
61
82
TS-.
KPSS ,
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4
0.10
0.347
0.05
0.463
0.025
0.574
0.01
0.739
0.05
0.146
0.025
0.176
0.01
0.216
ETA(mu) =
2.75929
1.49846
1.06897
0.85409
0.72445
0.10
0.119
ETA(tau)
0.67046
0.37587
0.27557
0.22718
0.19878
TS- DS-.
INFL 1992:05-1998:07:
()
-
-
DF-GLS
KPSS
()
DS
TS
67
( )
DS
, DS
,
.
2.6.
1990:12
2000:07,
.
( ) :
100
90
80
70
60
50
40
30
91
92
93
94
95
96
97
98
99
00
INTPROM
DS TS
, .
, .
, ,
.
1998 .
1994:01-1998:
52
50
48
46
44
42
40
38
36
1994
1995
1996
68
1997
X
1998
DS- -
7 , , 7
, :
ADF Test Statistic
-2.017956
1% Critical Value*
5% Critical Value
10% Critical Value
-4.1540
-3.5025
-3.1804
Coefficient
X(-1)
D(X(-1))
D(X(-2))
D(X(-3))
D(X(-4))
D(X(-5))
D(X(-6))
D(X(-7))
C
@TREND(1994:01)
-0.012284
2.593330
-3.204512
1.923210
0.193033
-1.372521
1.158955
-0.403933
0.534607
-0.000806
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.990786
0.988660
0.055885
0.121801
77.40310
2.112515
Std. Error
t-Statistic
Prob.
0.006087
0.134552
0.380911
0.604972
0.677911
0.563908
0.329394
0.104910
0.296595
0.001404
-2.017956
19.27388
-8.412763
3.179005
0.284747
-2.433943
3.518443
-3.850283
1.802481
-0.573960
0.0505
0.0000
0.0000
0.0029
0.7773
0.0196
0.0011
0.0004
0.0792
0.5693
-0.221429
0.524786
-2.751147
-2.365061
465.9683
0.000000
.
, 4 ,
.
Dependent Variable: D(X)
Method: Least Squares
Sample: 1994:01 1998:01
Included observations: 49
Variable
Coefficient
C
@TREND(1993:12)
X(-1)
D(X(-1))
D(X(-2))
D(X(-3))
D(X(-5))
D(X(-6))
D(X(-7))
0.530484
-0.000804
-0.012165
2.615517
-3.289578
2.085218
-1.221284
1.084367
-0.385655
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
0.990767
0.988920
0.055239
0.122054
77.35222
Std. Error
t-Statistic
Prob.
0.293839
0.001388
0.006003
0.108429
0.233588
0.203252
0.187269
0.197403
0.082023
1.805355
-0.579622
-2.026557
24.12187
-14.08281
10.25930
-6.521545
5.493155
-4.701813
0.0785
0.5654
0.0494
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
69
-0.221429
0.524786
-2.789886
-2.442409
536.5299
Durbin-Watson stat
2.154521
Prob(F-statistic)
0.000000
(- 0.938, - 0.449, - LM
0.405). t-
2.027 5% 3.503. DS-
.
DS- DGP.
t-
: 0.580. 5%
( < 0) ( 50 ) 2.81.
, = 0 , ( ).
,
, 7
.
4 .
:
Dependent Variable: D(X)
Method: Least Squares
Sample: 1994:01 1998:01
Included observations: 49
Variable
C
X(-1)
D(X(-1))
D(X(-2))
D(X(-3))
D(X(-5))
D(X(-6))
D(X(-7))
Coefficient
0.386789
-0.009415
2.627685
-3.313664
2.104959
-1.244470
1.109549
-0.398960
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.990689
0.989100
0.054790
0.123079
77.14730
2.169413
Std. Error
t-Statistic
Prob.
0.156455
0.003647
0.105513
0.227993
0.198748
0.181459
0.190997
0.078105
2.472206
-2.581691
24.90400
-14.53407
10.59107
-6.858130
5.809249
-5.107988
0.0177
0.0135
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
-0.221429
0.524786
-2.822339
-2.513470
623.2228
0.000000
t- 2.582 5%
, 2.922. DS- .
DGP.
.
2.472, 5% 2.89.
DGP . DS-
.
4 ,
Dependent Variable: D(X)
Method: Least Squares
Sample: 1994:01 1998:01
Included observations: 49
Variable
X(-1)
Coefficient
-0.000416
Std. Error
t-Statistic
Prob.
0.000237
-1.754543
0.0866
70
D(X(-1))
D(X(-2))
D(X(-3))
D(X(-5))
D(X(-6))
D(X(-7))
2.673588
-3.359898
2.125533
-1.227803
1.082069
-0.376041
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
0.989301
0.987773
0.058028
0.141427
73.74299
0.110005
0.240655
0.210311
0.192052
0.201944
0.082137
24.30418
-13.96145
10.10660
-6.393074
5.358274
-4.578220
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
-0.221429
0.524786
-2.724203
-2.453943
1.991915
1.755 t- 5%
1.947; DS- .
, - DS- .
DS-, DF-GLS.
:
Lags = 7
Test
DFGLS
Statistic
-0.976
2.5%
-3.15
5%
-2.89
10%
-2.57
DS-. ,
,
( 5% 2.88).
KPSS TS- :
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
7
8
12
0.10
0.119
0.05
0.146
0.025
0.176
ETA(tau) =
0.23079
0.19541
0.14612
0.13798
0.12337
3 TS DS-. ,
,
7 , 5%
.
1990:121998:08
:
71
0.01
0.216
100
90
80
70
60
50
40
30
91
92
93
94
95
96
97
98
,
. ,
(
t- DS-)
GS ( 10%) PERRON97
RATS. (
):
break date TB = 1994:10 ; statistic t(alpha=1) = -5.48413
critical values at
1%
for 100 obs.
-5.45
number of lag retained : 4
explained variable : INTPROM
coefficient
CONSTANT
96.10760
TIME
-1.09112
DT
0.98282
INTPROM(-1)
0.91884
5%
-4.83
student
176.67216
-64.60380
32.53140
62.08842
, INTPROM DS-,
( 1990:12 1998:08).
INTPROM:
()
1994:011998:08
- ()
-
DF-GLS
KPSS
1990:121998:08
( )
()
DS
TS
,
.
72
10%
-4.48
2.7.
()
,
,
, .
( ).
. .
:
, . . ( 1998 . .)
1994:1 2000:2; .
:
1600000
1200000
800000
400000
0
94
95
96
97
98
99
00
GDP
.
DS-, PERRON97
RATS. (26 ),
.
Yt = Xt Xt-1
,
( ,
12 ):
Sample: 1994:2 2000:2
Included observations: 25
Autocorrelation
Partial Correlation
|*
*|
|
|****
**|
***|
**|
|**
**|
***|
|*
*|
|*
|***
***|
*|
**|
|**
*|
*|
1
2
3
4
5
6
7
8
9
10
AC
PAC
Q-Stat
Prob
0.148
-0.133
0.045
0.477
-0.196
-0.344
-0.201
0.294
-0.231
-0.351
0.148
-0.159
0.096
0.456
-0.436
-0.162
-0.240
0.230
-0.142
-0.139
0.6181
1.1397
1.2022
8.5129
9.8056
13.998
15.518
18.956
21.203
26.741
0.432
0.566
0.752
0.074
0.081
0.030
0.030
0.015
0.012
0.003
73
*|
|*
*|
***|
11 -0.164 -0.108
12 0.120 -0.362
28.040 0.003
28.784 0.004
13 , 25 13 = 12
, . ,
-.
DF-GLS.
- -
2, Newey-West, t ( ) 0.423,
5% 3.603.
: 0.698 (
, 5).
, DS, ().
, TS-,
KPSS.
:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4
0.10
0.119
0.05
0.146
0.025
0.176
ETA(tau) =
0.37987
0.21571
0.16020
0.13464
0.12210
3 4, TS- ,
2 () DS-.
GDP:
()
- ()
-
DF-GLS
KPSS
()
DS
TS
-
.
2.8.
.
( ) ,
.
.
,
(), ,
,
:
( );
, ..
, ,
74
0.01
0.216
,
..
;
.
, , , .
11
10
9
8
7
6
5
4
94
95
96
97
98
99
00
UNJOB
1998-1999 ,
1994:01- 1998:04,
:
9
4
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
UNJOB
, , ,
75
, , ,
(P- - 0.429),
(P- 0.619) (P LM- 0.283, 0.108, 0.089, 0.155
1, 2, 3, 4).
- ( t 4.515 5% 3.499).
, DS.
KPSS, TS-,
:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12
0.10
0.119
0.025
0.176
0.05
0.146
ETA(tau) =
0.04899
0.04766
0.11558
TS ,
.
TS.
ie
9 1
10
11
D
B
12
13
14
UNJOB 1994:01-1998:04:
()
-
-
KPSS
()
DS
TS
TS
,
, : DS- ,
76
0.01
0.216
TS- ;
TS-.
2.9. -1
.
. 30
, 12:00 18:10. 18:00
. 18:10
. 12:00 .
.
.
. ( )
,
,
, .
,
.
.
-1 01/09/95
31/10/00.
. Xt = RTS1 (
1294 )
600
500
400
300
200
100
.
0
200
400
600
1000
, ,
800
Zt = lnX1200
t lnXt-1,
DS
TS
Y
t = lnXt,
RTS1
77
6. 5
6. 0
5. 5
5. 0
4. 5
4. 0
3. 5
200
400
600
800
1000
1200
X_LO G
DS- Yt ,
, , ,
,
, -,
:
36
.
200
S eries: RE S ID
S ample 38 1294
Observations 1257
150
100
50
0
-0.20 -0.15 -0.10 -0.05
0.00
0.05
0.10
Mean
Median
Maximum
Minimum
S td. Dev.
S kewness
K urtosis
-3.16E -18
-0.000104
0.185715
-0.190944
0.034402
-0.077948
6.361510
Jarque-B era
P robability
593.0974
0.000000
0.15
P- -
.
-
l = 7, t- PP(7) = 1.290
5% 2.864. 13
PP(13) = 1.359 36
PP(36) = 1.507, - DS- Yt
.
KPSS TS
DS-
, :
ETA(mu) Values ( ):
Critical Level:
0.10
Critical Value:
0.347
For lag parameter l = ETA(mu) =
7
1.90482
78
0.05
0.463
0.025
0.574
0.01
0.739
8
1.69460
9
1.52644
10
1.38886
11
1.27424
12
1.17726
24
0.61951
36
0.42440
ETA(tau) Values ( ):
Critical Level:
0.10
Critical Value:
0.119
For lag parameter l = ETA(mu) =
7
1.85758
8
1.65259
9
1.48861
10
1.35446
11
1.24268
12
1.14812
24
0.60424
36
0.41399
0.025
0.176
0.05
0.146
0.01
0.216
Yt DS-:
V
+
S
/
r
ie
1
s
1
2
5 5
0 7
15
0 1
0 2 1
5 5 1
0 7 2
5 0 2
0 2 2
5 5
, Yt
,
. 1 500
, 545 649 , 650 776 777 1294
.
c 1 500 ( 01/09/95 03/09/97)
-1. Yt = lnXt
79
6.5
6.0
5.5
5.0
4.5
4.0
50 100 150 200 250 300 350 400 450 500
X_LOG
-
13 ,
,
( 10%) 7
. t- ADF(7) ( ADF
-, 7
) 3.54, 5%
3.42, Yt
. ,
:
100
S eries: RE S ID
S ample 9 500
Observations 492
80
60
40
Mean
Median
Maximum
Minimum
S td. Dev.
S kewness
K urtosis
2.50E -17
-0.000953
0.150407
-0.121994
0.026987
0.280318
6.663588
Jarque-B era
P robability
281.5919
0.000000
20
0
-0.10
-0.05
0.00
0.05
0.10
0.15
.
-, .
l
t- - PP(l) ( ,
):
l
4
5
6
7
80
PP(l)
-3.10827
-3.11748
-3.12576
-3.14034
8
9
10
11
12
13
-3.15161
-3.15984
-3.16800
-3.17752
-3.18431
-3.18722
5% 3.42, DS
Yt .
Yt ,
DS-, ,
.
,
PERRON77 RATS,
. .
( ):
break date TB = 8 ; statistic t(alpha=1) = -3.83291
critical values at
1%
for 200 obs.
-5.28
infinite sample
-4.91
number of lag retained : 7
explained variable : Y
coefficient
CONSTANT
4.91560
TIME
-0.10263
DT
0.10692
Y{1}
0.97071
5%
-4.65
-4.36
10%
-4.38
-4.07
student
42.52236
-6.97001
7.25719
127.00868
,
( ):
break date TB = 148 ; statistic t(alpha=1) = -3.90218
critical values at
1%
for 100 obs.
-6.21
infinite sample
-5.57
number of lag retained : 7
explained variable : Y
coefficient
CONSTANT
0.17089
DU
-0.00316
D(Tb)
-0.02381
TIME
3.23993e-005
DT
1.32791e-004
Y {1}
0.96007
5%
-5.55
-5.08
student
3.72886
-0.37357
-0.86267
0.55435
1.62462
93.81295
10%
, DS- .
KPSS, TS. l 5 10
0.229 0.241.
5%- 0.146. KPSS TS DS-.
, :
81
10%
-5.25
-4.82
V
5
+
S
/
r
ie
51
10
15
10
25
DS-.
, Yt
1 500 (DS) .
Yt 545 649
(05/11/97-08/04/98), -1:
6.1
6.0
5.9
5.8
5.7
5.6
5.5
550 560 570 580 590 600 610 620 630 640
X_LOG
-
13 :
Dependent Variable: D(Y)
Method: Least Squares
Sample: 545 649
82
Coefficient
1.001140
-0.000405
-0.167945
0.131702
0.047363
0.054178
-0.031487
0.025801
0.039993
-0.015957
0.142763
0.061410
0.187308
0.075771
0.141246
0.261173
0.287618
0.167553
0.034484
0.105833
213.2539
1.943850
Std. Error
t-Statistic
Prob.
0.276175
0.000169
0.046235
0.097361
0.098355
0.098161
0.096156
0.091657
0.081728
0.079705
0.079639
0.079897
0.078298
0.080819
0.080762
0.080272
3.625016
-2.398596
-3.632429
1.352724
0.481549
0.551934
-0.327454
0.281497
0.489342
-0.200199
1.792618
0.768617
2.392236
0.937537
1.748919
3.253602
0.0005
0.0185
0.0005
0.1796
0.6313
0.5824
0.7441
0.7790
0.6258
0.8418
0.0764
0.4442
0.0188
0.3510
0.0838
0.0016
-0.003293
0.037795
-3.757217
-3.352804
2.395527
0.005872
, , ,
,
, (P-
0.327) LM (P- 0.691 2).
,
-. t 3.632 5% 3.453. DS Yt
DS- .
KPSS, TS:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
10
11
12
13
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
7
8
13
14
0.10
0.347
0.05
0.463
0.025
0.574
0.01
0.739
0.05
0.146
0.025
0.176
0.01
0.216
ETA(mu) =
0.86627
0.48031
0.45115
0.42656
0.40583
0.10
0.119
ETA(tau) =
0.20477
0.14726
0.13615
0.10383
0.10046
:
4 TS . ,
83
11 8
, 5% , TS
.
:
V
1
+
S
ie
1
s
TS-.
, -
. ,
PERRON97 .
( ):
break date TB = 586; statistic t(alpha=1) = -4.43466
critical values at
1%
for 100 obs.
-5.70
infinite sample
-5.41
number of lag retained : 13
explained variable : Y
coefficient
CONSTANT
1.68876
DU
-0.06361
D(Tb)
0.05179
TIME
3.66382e-004
Y{1}
0.71311
5%
-5.10
-4.80
student
4.43159
-3.47660
1.32380
1.34112
11.02328
. . , TS.
650 776
(09/04/98-08/10/98) -1
:
84
10%
-4.82
-4.58
6.0
5.5
5.0
4.5
4.0
3.5
660
680
700
720
740
760
X_LOG
- 13
:
Dependent Variable: D(Y)
Method: Least Squares
Sample: 650 776
Included observations: 127
Variable
C
@TREND(649)
Y(-1)
D(Y(-1))
D(Y(-2))
D(Y(-3))
D(Y(-4))
D(Y(-5))
D(Y(-6))
D(Y(-7))
D(Y(-8))
D(Y(-9))
D(Y(-10))
D(Y(-11))
D(Y(-12))
D(Y(-13))
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
0.361578
-0.001093
-0.061276
0.202075
-0.019964
0.016297
-0.040131
-0.000205
0.074409
0.035719
-0.106997
-0.054292
0.180209
-0.051534
0.151243
-0.017490
0.139304
0.022994
0.051610
0.295664
204.7775
1.994755
Std. Error
t-Statistic
Prob.
0.197475
0.000518
0.032801
0.094638
0.097305
0.097470
0.097273
0.096241
0.094653
0.094876
0.095171
0.095118
0.094765
0.097217
0.096972
0.098229
1.831010
-2.109901
-1.868122
2.135228
-0.205165
0.167195
-0.412567
-0.002131
0.786125
0.376477
-1.124268
-0.570793
1.901636
-0.530097
1.559657
-0.178050
0.0698
0.0371
0.0644
0.0349
0.8378
0.8675
0.6807
0.9983
0.4335
0.7073
0.2633
0.5693
0.0598
0.5971
0.1217
0.8590
-0.015926
0.052214
-2.972874
-2.614552
1.197698
0.284126
12 . ,
-.
4 14 t-
- 2.061 2.005,
5%
, 3.445, DS-.
TS-, KPSS
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
13
14
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
13
14
0.10
0.347
0.05
0.463
0.025
0.574
0.01
0.739
0.05
0.146
0.025
0.176
0.01
0.216
ETA(mu) =
2.44102
0.95431
0.90011
0.10
0.119
ETA(tau) =
0.39585
0.17636
0.16857
TS- 5% .
. ,
, DS-:
V
2
+
S
8 1
/
r
10
ie
1
2
1
s
1
4
16
2
8
2
0
2
2
24
2
6
3
8
/ . , ,
700 720 .
PERRON97,
( ).
:
break date TB = 711; statistic t(alpha=1) = -5.44184
critical values at
1%
for 100 obs.
-6.21
86
5%
-5.55
10%
-5.25
infinite sample
number of lag retained : 12
explained variable : Y
-5.57
coefficient
CONSTANT
DU
D(Tb)
TIME
DT
Y{1}
-4.82
-5.08
student
2.11919
2.59915
-0.07749
-0.00592
-0.00344
0.64395
5.38448
4.34286
-1.36832
-4.93560
-4.20653
9.84216
127 , 100
. -, 5.4418
5% 127 .
, , 777 1294
(09/10/98-31/10/00) -1:
6.0
5.5
5.0
4.5
4.0
3.5
800 850 900 950 1000 1050 1100 1150 1200 1250
X_LOG
,
-. 4 24
t- 1.05 1.41,
, DS- Yt .
KPSS
5 :
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
12
13
0.10
0.119
0.05
0.146
ETA(tau) =
0.52225
0.21694
0.20337
TS- DS-.
:
87
0.025
0.176
0.01
0.216
V
2
+
S
02
0 3
/
r
0 4
ie
0 5
0 6
07
0 8
0 9
10
DS-.
, , ,
1000 1100 ( 01/09/99 26/01/00). PERRON97
( ) :
break date TB = 1070 statistic t(alpha=1) = -4.16208
critical values at
1%
for 100 obs.
-6.21
infinite sample
-5.57
number of lag retained : 13
explained variable : Y
coefficient
CONSTANT
0.17712
DU
0.14512
D(Tb)
-0.05340
TIME
1.02229e-004
DT
-1.14638e-004
Y{1}
0.95704
5%
-5.55
-5.08
student
4.24500
2.85596
-1.60238
2.76409
-2.55189
92.72848
DS .
1 c 01/09/95 31/10/00
.
01/09/95-31/10/00:
()
- ()
-
DF-GLS
KPSS
()
DS
TS
DS
, ,
: DS- , TS-
88
10%
-5.25
-4.82
;
DS-.
c 1 500 ( 01/09/95 03/09/97)
()
- ()
-
DF-GLS
KPSS
( )
()
DS
TS
DS
,
, : DS- ,
TS- ;
DS-.
545 649 (05/11/97-08/04/98):
()
- ()
KPSS
( )
()
DS
TS
TS
,
, TS-:
KPSS ,
TS-.
650 776 (09/04/98-08/10/98):
()
- ()
-
DF-GLS
KPSS
( )
()
DS
TS
DS
t
5%
,
, DS-.
, 777 1294 (09/10/98-31/10/00):
()
- ()
-
DF-GLS
KPSS
( )
()
DS
TS
DS
89
,
, : DS- ,
TS- ;
DS-.
:
01/09/95-31/10/00 ()
01/09/95-03/09/97
05/11/97-08/04/98
09/04/98-08/10/98
09/10/98-31/10/00
(DS TS)
DS
DS
TS
DS
DS
2.10.
,
.
:
01/07/92
01/11/00; .
, ,
Xt=Rubkurs :
30
25
20
15
10
5
0
200
400
600
800
1000
1200
1400
90
4
3
2
1
0
-1
-2
-3
200
400
600
800
1000
1200
1400
X_LOG
1.80
1.75
1.70
1.65
500 550 600 650 700 750 800 850 900
X_LO G
-.
,
, :
91
0.002
0.001
0.000
-0. 001
-0. 002
500 550 600
900
RESID
TS DS, ,
.
, ,
.
Yt ,
( ).
11/01/99-01/11/00 ( 1050 1507 ):
3.4
3.3
3.2
3.1
3.0
1050 1100 1150 1200 1250 1300 1350 1400 1450 1500
X_LOG
1300 (11/01/00)
PERRON77
92
. ( )
:
break date TB = 1297 ; statistic t(alpha=1) = -5.64108
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
Number of lag retained : 11
Explained variable : RUBKURS
coefficient
student
CONSTANT
1.78751
DU
2.46555
D(Tb)
-0.24166
TIME
0.00125
DT
-0.00177
RUBKURS {1}
0.92176
10%
-5.25
-4.82
5%
-5.55
-5.08
5.66944
5.65979
-2.28691
5.25651
-5.61882
66.45906
DS TS.
, , 11/01/99-22/12/99 ( 1050 1290 ):
3.30
3.25
3.20
3.15
3.10
3.05
1050
1100
1150
1200
1250
X_LOG
KPSS :
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
12
13
14
15
16
0.10
0.119
0.05
0.146
0.025
0.176
ETA(tau) =
0.35318
0.16172
0.15316
0.14581
0.13943
0.13384
TS DS .
.
TS-:
93
0.01
0.216
V
1
K
r
+
ie
1
R
S
K
D
U
-.
24
(- LM 2 0.00008)
:
100
S eries: Residuals
S ample 1050 1290
Observations 241
80
60
40
Mean
Median
Maximum
Minimum
S td. Dev.
S kewness
K urtosis
1.33E -17
-0.000998
0.028061
-0.017462
0.005606
1.534219
9.026910
Jarque-B era
P robability
459.2954
0.000000
20
0
-0.01
0.00
0.01
0.02
0.03
94
0.03
0.02
0.01
0.00
-0.01
-0.02
1050
1100
1150
1200
1250
RESID
ARIMA c
:
, , ARCH, GARCH ,
.
,
DS-.
. , ,
,
TS-.
, ,
.
01/07/92-26/08/94 ( 1 215 ):
95
-1
-2
-3
50
100
150
200
X_LOG
PERRON97,
.
( ):
break date TB = 125 ; statistic t(alpha=1) = -4.64360
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
Number of lag retained : 12
Explained variable : RUBKURS
coefficient
CONSTANT
0.00411
DU
-0.10113
D(Tb)
0.26144
TIME
0.00118
DT
6.52082e-004
RUBKURS {1}
0.86678
5%
-5.55
-5.08
10%
-5.25
-4.82
student
0.82027
-4.46211
12.66729
4.36206
4.48231
30.21349
.
,
( ):
break date TB = 140; statistic t(alpha=1) = -3.15871
Critical values at
1%
for 200 obs.
-5.28
Infinite sample
-4.91
Number of lag retained : 1
Explained variable : RUBKURS
coefficient
CONSTANT
0.05774
TIME
0.00859
DT
0.00409
RUBKURS {1}
0.91711
5%
-4.65
-4.36
student
5.11654
68.56875
11.65102
34.94671
.
KPSS:
ETA(tau) Values:
96
10%
-4.38
-4.07
Critical Level:
Critical Value:
For lag parameter l =
0
4
12
24
0.10
0.119
0.025
0.176
0.05
0.146
ETA(tau) =
3.41074
0.76524
0.33370
0.21045
0 24 TS
DS-.
:
V
0
K
r
+
ie
1
R
S
K
D
U
,
1-250.
25/01/2000-28/07/00 ( 1310 1439 ):
97
0.01
0.216
29.0
28.8
28.6
28.4
28.2
28.0
27.8
27.6
1320
1340
1360
1380
1400
1420
RUBKURS
KPSS:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
4
12
16
17
18
19
20
24
0.10
0.119
0.05
0.146
0.025
0.176
ETA(tau) =
1.22425
0.29309
0.16087
0.14802
0.14680
0.14619
0.14612
0.14654
0.15205
0 12 TS- .
5% .
:
98
0.01
0.216
V
2
K
r
+
ie
01
5 2
1
R
0 2
5 3
*
B
0 3
S
K
D
U
54
0 4
5 5
DS-.
PERRON97,
.
( ):
break date TB = 1356; statistic t(alpha=1) = -4.83009
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
Number of lag retained : 1
Explained variable : RUBKURS
coefficient
CONSTANT
5.21179
DU
0.37708
D(Tb)
-0.10339
TIME
-0.00214
DT
-2.15747e-004
RUBKURS {1}
0.81950
5%
-5.55
-5.08
10%
-5.25
-4.82
student
4.85003
0.45186
-2.01671
-3.55302
-0.34859
21.92879
.
t-
DT, , -,
( ).
( ):
break date TB = 1356; statistic t(alpha=1) = -4.97646
Critical values at
1%
for 100 obs.
-5.70
Infinite sample
-5.41
Number of lag retained : 13
Explained variable : RUBKURS
coefficient
CONSTANT
8.15044
DU
0.10380
99
5%
-5.10
-4.80
student
4.98109
4.82563
10%
-4.82
-4.58
D(Tb)
TIME
RUBKURS {1}
-0.13128
-0.00324
0.71820
-2.51146
-5.74401
12.68305
120 , t-
4.976 5% .
.
01/07/92-26/08/94 ( 1 215 ):
()
KPSS
( )
()
DS
TS
()
DS
TS
()
DS
TS
TS
()
DS
TS
DS
:
01/07/92-26/08/94
11/01/99-01/11/00
11/01/99-22/12/99
25/01/00-28/07/00
(DS TS)
DS
TS
DS
,
,
(.. DS-).
,
.
,
. [Copeland (1991)],
, ,
, .
100
3.
3.1.
3.1.1. 1
,
.
(. . 2-2 2.1) ,
1998 1999 .,
- 1998 . ,
t = TB = 42,
1998 .
, ..
5,
.
2.2.1, 1 ( )
DS-. .
Yt = Xt Xt1
60000
40000
20000
-20000
-40000
1996
1997
1998
1999
2000
M1_DIF
, 1
, .
, ,
1997:08 1998:09.
. -,
( ) , .. .
- 1998
, , .
5
101
, ,
(
5 ).
-, ( 1997-1998 )
- .
, 1995 1997 ,
,
:
,
(
) .
(
1997 ) -
. , -
1998
- , -
. 1998
-
, , ,
, ,
.
3.1.2. M0
1
,
. ,
, 1995:06
2000:07.
350000
300000
250000
200000
150000
100000
50000
1996
1997
1998
1999
2000
M0
,
0 , 1.
.
1, ,
1998 , , -
102
.
,
(0) .
, ,
(..
) ,
,
.
1 0 .
1997:07 ,
1998 . ,
, 1999 .
3.1.3. 2
1995:06 2000:07. M2
1000000
800000
600000
400000
200000
0
1996
1997
1998
1999
2000
M2
.
0 1997:07 ,
1998 .
.
2
. 1997:08-1998:07 2
.
,
-.
103
375000
370000
365000
360000
355000
97:09
97:11
98:01
98:03
98:05
98:07
M2
3.2.
3.2.1.
EXPORT, 2.2.1
.
Xt = Export
, .
X_deseas :
2
-1
-2
, , ,
, 5
-3
.
1994
1995
1996
1997
1998
1999
2000
, X_DESEAS
,
, ,
. , ,
.
, -,
, , -,
.
.
3.2.2.
Xt = Import (. . 2-3 2.1)
1998:09,
104
,
( ).
Xt 1994:01-1998:01 (n=49) 1998:102000:04 (n=19). ,
( ).
2.2.2, ,
, :
TS, DS.
1994:01 1998:01.
9
8
7
6
5
4
3
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
IMPORT
,
.
2
-1
-2
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
X_DESEASONED
105
, ,
: 1995 .,
1996 . 1997 .
, , .
, 1996 (,
),
, .
,
(
).
1998:10 2000:04,
4.4
4.0
3.6
3.2
2.8
2.4
98:10
99:01
99:04
99:07
99:10
00:01
00:04
Xt,
, ,
, 1999 .
3.3.
3.3.1.
Xt = Dokhfedbud ( . 2-5 2.1)
,
1995 .,
.
1996:01-2000:05, ,
, X_deseas,
.
, 2.4.1, :
. ,
1998 ., TB = 28.
, .
106
120000
100000
80000
60000
40000
20000
0
1996
1997
1998
1999
2000
, ,
.
( , -)
,
. ,
,
.
1992:01 1995:12.
, 1993 .
: 1993:10 1995:05 1992:01
1993:09. 1993:10 1995:05 :
16000
12000
8000
4000
, 0 1992:01 1993:09
93:10
94:01
94:04
94:07
94:10
X
107
95:01
95:04
2500
2000
1500
1000
500
0
92:01 92:04 92:07 92:10 93:01 93:04 93:07
X
; ,
.
(
20% ),
.
3.3.2.
Xt=Nalogdokh ( . 2-5 2.1)
Dokhfedbud. 1996:01:2000:05 (53
),
100000
80000
60000
40000
20000
0
1996
1997
1998
1999
2000
NALOGDO
,
.
.
108
1998 .
, 1996- 1998
( , ) ,
. ,
1998 ,
.
3.4.
Xt = INFL
1990 . 2000 . (. .
2-1 2.1) ,
1991 ., - 1992 . 1998 .,
, , . ,
.
, ,
1992:05-1998:07. :
30
25
20
15
10
5
0
-5
1993
1994
1995
1996
1997
1998
INFL
2.5. DS-
, , AR(1),
20
10
-10
-20
Xt .
1993
1994
1995
1996
1997
[
1991 1997
(1998,
IY)] [
INFL
Residuals
.
109
110
-1
-2
-3
91
92
93
94
95
96
97
98
99
00
1990:12-1994:04, 1994:05-1998:08
1998:09-2000:07. ,
, ,
.
.
, ,
, (10 ),
,
,
( ) .
,
, .
,
( )
,
(, ).
(- ,
..) ,
,
. , ,
.
,
. ,
, ,
.
-, ,
1990-2000 ,
, -
.
U-
( ).
,
.
111
-,
, , .
, ,
, ,
.
, .
1990 1998 .
-, 1994
,
.
-
,
,
.. ,
, .
.
-,
1996 , 1997 . -
1997 - 1998
,
.
, 1994-1995
1998
,
.
-,
:
,
.
, ,
( ) .
3.6.
-
.
Xt = GDP (. 2-4 , 2.1)
,
(n=26), .
, 1, , T B=18 (
1998 .) ,
, (1- ) AR(1).
,
, , , , .
,
.
112
3.7.
UNJOB
11
10
9
8
7
6
5
4
94
95
96
97
98
99
00
UNJOB
4
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
UNJOB
, 2.8, TS-
.
.
, ,
,
,
.
(
113
), .
, ,
,
.
3.8. -1
. Xt = RTS1 (. 2-7 2.1 1294 )
.
,
Yt = lnXt,
6. 5
6. 0
5. 5
5. 0
4. 5
4. 0
3. 5
200
400
600
800
1000
1200
X_LO G
114
600
550
500
450
400
350
300
520
525
530
535
540
545
550
555
560
RTS1
.
, .
, ,
.
,
,
1998 ,
.
( ). ,
.
( , ,
, ..), ,
.
3.9.
. Xt = Rubkurs (.
. 2-8 , 2-1)
Yt=lnXt,
115
4
3
2
1
0
-1
-2
-3
200
400
600
800
1000
1200
1400
X_LOG
, 1995 1998 ,
( 1992 1995 ,
1998 2000 ).
,
,
. , ,
1999 ,
, .
,
.
1999
. , ,
, ,
. ,
,
, .
,
.
,
,
.
116
. ,
. ,
. ,
.
,
.
. , , ,
,
(,
) (,
).
,
.
, ,
. ,
,
.
, , ,
, ..
, TS (trend stationary),
, DS (difference
stationary) .
,
,
,
TS DS
. TS ,
, , , ,
-. DS
( )
, - DS
(
), , -
,
. TS-
, DS-
.
117
,
,
- .
,
,
, ,
.. (TS
DS).
, ,
. 1
1.
1
0
2
EXPORT
IMPORT
IMPORT
DOKHFEDBUD
DOKHFEDBUD
DOKHFEDBUD
NALOGDOKH
INFL
INTPROM
INTPROM
UNJOB
GDP
RTS1
RTS1
RTS1
RTS1
RTS1
RUBKURS
RUBKURS
RUBKURS
RUBKURS
(DS TS)
1995:06 2000:07
1990:12 2000:07
1990:12 2000:07
1994:01 2000:04
1994:01 2000:04
1994:01 2000:04
1992:01 2000:05
1992:01 2000:05
1992:01 2000:05
1992:01 2000:05
1991:01 2000:08
1990:12 2000:07
1990:12 2000:07
1994:01 2000:08
1994:2 2000:2
01/09/95 31/10/00
01/09/95 31/10/00
01/09/95 31/10/00
01/09/95 31/10/00
01/09/95 31/10/00
01/07/92 01/11/00
01/07/92 01/11/00
01/07/92 01/11/00
01/07/92 01/11/00
1995:06 2000:07
1995:06 2000:07
1995:06 2000:07
1994:01 2000:04
1994:01 1998:01
1998:10 2000:04
1992:01 1993:09
1993:10 1995:05
1996:01 2000:05
1996:01 2000:05
1992:05 1998:07
1990:12 1998:08
1994:01 1998:08
1994:01 1998:04
1994:2 2000:2
01/09/95 03/09/97
05/11/97 08/04/98
09/04/98 08/10/98
09/10/98 31/10/00
01/09/95 31/10/00
01/07/92 26/08/94
11/01/99-22/12/99
11/01/99-01/11/00
25/01/00-28/07/00
DS
DS
DS
TS
( )
( )
( )
DS
DS
DS
TS
DS
TS
DS
TS
DS
DS
DS
DS
TS
DS
,
DS, ..
,
. ,
,
. -1
( )
(05/11/97 08/04/98), (09/04/98 08/10/98)
DS .
,
1998 ., , -,
1998 .
118
,
TS DS .
,
.
.
.
1.
, .
2. , , .
3.
.
119
1. , TS DS
1.1.
1.1.1. -
- ,
, [Dickey (1976)],
[Fuller (1976)], [Dickey, Fuller (1979)], [Dickey, Fuller (1981)]. () , xt
DS (DS-);
TS (TS-). -
,
(, ).
,
.
(SM , statistical model; DGP
, data generating process).
1) x t (
),
SM: xt xt 1 t t , t 2,,T ,
DGP: xt t , t 2,,T .
t ,
..
SM
t- t H0 : = 0.
tcrit, ,
DGP
( ). DS- , t < tcrit.
, , ,
[Fuller (1976)], [Fuller (1996)],
T = 25, 50, 100, 250, 500. T ,
tcrit,
, [MacKinnon (1991)].
2) xt (
) ,
SM: xt xt 1 t , t 2,, T ,
DGP: xt t , t 2,, T .
SM
t- t H0 : = 0.
tcrit, ,
DGP
( ). DS- , t < tcrit.
, , ,
[Fuller (1976)], [Fuller (1996)],
T = 25, 50, 100, 250, 500. T ,
120
tcrit,
, [MacKinnon (1991)].
3) , xt (
) ,
SM: xt xt 1 t , t 2,, T ,
DGP: xt t , t 2, , T .
SM
t- t H0 : = 0.
tcrit, ,
DGP
( ). DS- , t < tcrit.
, , ,
[Fuller (1976)], [Fuller (1996)],
T = 25, 50, 100, 250, 500. T ,
tcrit,
, [MacKinnon (1991)].
-. ,
,
, ,
t, (. [Perron
(1988)]). ,
, .
-
[Dolado, Jenkinson, Sosvilla-Rivero (1990)]; . [Enders
(1995)].
1.1.2. -.
- ,
(,
).
( ) p
,
(augmented) -.
xtj, t = 2,, p 1, , ,
p 1
SM: xt xt 1 t j xt j
j 1
t p 1,, T .
t t H0 : = 0
tcrit, () . DS , t < tcrit.
, - ,
xt - .
[Said, Dickey (1984)], x1,, xT
121
ARIMA(p, 1, q) c q > 0,
ARI(p*, 1) = ARIMA(p*, 1, 0) p*< T 1/3 .
x1,, xT
AR(p) p, p
,
.
p=pmax ,
, p0 ,
, * ,
, .
, ,
( 10%
) (GS- )
()
pmax (SIC). [Hall (1994)] [Ng,
Perron (1995)] , pmax p0, ( ) SIC
, GS 0;
-.
,
,
,
-. ,
(GDP) 1870 1994 .
[Murray, Nelson (2000)], pmax = 8, GS-
= 6, SIC = 1.
LM- (. [Holden,
Perman (1994)]). , , [Taylor (2000)]
, Ng Perron:
-
. ,
, GS- SC-. , ,
-.
1.2. -
, [Phillips, Perron (1988)],
xt DS H0 : = 0
SM: xt xt 1 t ut , t 2,, T ,
, -,
. , -, ut
(
),
() (
, E ut C > 2). ,
-, .
122
- t-
H0 : = 0 ,
Zt,
ut. Zt
(long-run) ut,
2 lim T 1 E u1 ... uT 2 .
T
u ( )
xt xt 1 t ut , t 2,, T ,
[Newey, West (1987)]
l
2 0 2 1
j,
l 1
j 1
T 1 utut j
t j 1
j- ut. l T , ,
l / T 0 ,
2 (. [Phillips (1987)])
Zt
t -.
,
l Newey-West ( l
window size). , ..
(
).
. ,
-
.
( , ,
[Phillips, Perron (1988)], [Schwert (1989)]) -
l. [Andrews (1991)],
2 T 1 ,
l
1 z z
j
j k
l 1
, k ( z )
l 1
,
0
1/ 4
3
j
.
k
, k ( z )
6 z / 52
l 1
l.
[Schwert
(1989)], l = [K(T/100)1/4], [a] a, K
4 12 .
l
, ,
EVIEWS (Econometric Views), l =
[4(T/100)2/9] ([Newey, West (1994)]).
, l
.
123
Zt [Fuller (1976)]
[acKinnon (1991)].
, xt IMA(1, q),
q l Newey-West.
q = 1, xt t b1 t 1 , b1 > 0 -
, -,
. , b1 < 0
-
, b1 < 0
(
DS).
1.3.
[Leybourne (1995)]
- DF xt ,
, DFmax
. DFmax
T = 25, 50, 100, 200, 400
() .
().
,
-.
-.
1.4. -.
[Schmidt, Phillips (1992)]
DS ( )
xt t wt ,
wt wt 1 t , t 2,..., T .
, ( = 1 1)
, .
(DS) (TS)
, .
, -
l T1/2.
.
1.5. DF-GLS.
, , -,
[Elliott, Rothenberg, Stock (1996)]. DF-GLS
(. [Maddala, Kim (1998)]) a0=0
ydt= a0 ydt-1+a1ydt-1++ apydt-p+error,
d
y t - ( . ).
1.6. --- (KPSS)
, [Kwiatkowski, Phillips, Schmidt, Shin
(1992)], TS.
124
= + +
.
,
, ,
, .
, ,
DS . LM
.
-, ,
-.
l Newey-West,
l.
,
(. [Schwert (1989)]).
1.7.
1.7.1.
[Perron (1989a)]
DS - ,
TB ,
, .
, DS-
,
, , .. DS (., , [Engle, Granger (1991)]).
,
,
,
, .
,
, .
A. "crash" model
xt c DMUt t DTSt xt 1 t
B. "changing growth" model:
xt c DMUt t DTSt xt 1 t
C. model which allows "both effects" take place:
xt c DMU t t DTt dDTB xt 1 t
c ,
1 t TB 1
DTBt
;
0
A
1 t TB
DMU t
;
0 t TB
B
125
T TB t TB
;
DTSt
t TB
0
C
DMU t DTt 0
t TB ,
DMU t 1 , DTt 0 t TB .
t-
TB /T.
:
A.
0, d 0
B.
0, 0
C.
0, d 0, 0
A.
0 , 0 , 0 , d 0
B.
0 , 0 , 0 , 0
C.
0 , 0 , 0 , 0 , d 0.
.
t-
, =T/TB ,
(AO),
, (IO),
.
[Perron (1989a)]
.
, [Perron, Vogelsang (1993)].
1.7.2.
.
, [Perron (1997)],
TB , ..
, -
. IO1
, IO2
, , AO
, .
:
UR t- = 1;
STUDABS t-
,
( IO1) ( IO2);
126
STUD t-
, (
IO1) ( IO2);
,
.
1.8. ( )
, [Cochraine (1998)],
(VR ) k
2
k
2
1
2k T Var xt xt k .
xt , (VR ) k 1 , xt ,
( ),
(VR) k 0 k .
, T / (T k + 1)
(VR) k .
(VR) k k = 1,, K
TS DS,
.
(VR) k :
k
j
(VR ) k 1 2 1
rj ,
k 1
j 1
rj xt xt xt 1 .
1.9.
,
. , ,
,
. , (
) . ,
,
,
DS (.,
, [Ghysels, Perron (1993)]), .
- ([Davidson, MacKinnon (1993)]).
(dummy)
D1,, D12 ( ) D1,, D4 ( ).
,
127
.
- [Dickey, Bell, Miller (1986)],
, t
.
1.10. -
,
, [Dickey, Pantula (1987)]
,
. ,
; 1
..
1.11. .
, ,
, , ,
. ,
, ,
, .
, , [Shiller, Perron (1985)] [Perron (1989b)].
2.
2.1.
, t
xt, , ,
.
2.1. xt (
m
), m xti i 1
, m xti
i 1
, , t1,, tm.
,
. , m = 1
xt ,
xt t, , t
, : Ext =
Dxt = 2.
, ,
xt,
.
xt t,
x1,, xT. :
1 T
1 T
xt , 2 xt ~ 2 .
T t 1
T t 1
(2.1)
().
128
1 T
xt xt ,
T t 1
= 1, T 1, (2.1).
, = 0 ,
, , ,
1 T
0 2 xt 2 .
T t 1
(2.2)
r().
, ,
, , ,
.
.
,
,
. r()
r().
.
( ) , ..
. ,
, 1 +1. , ,
r() = r(),
.
1 T
xt xt
t 1
r
, 1,..., T 1.
T
1
0
2
xt
T t 1
(2.3)
,
. ,
. : ,
xt xt+,
, ,
r(). r0,
.
r().
,
xt xt+,
. 1-
:
r 2 r 2 1
r 2 r xt , xt 2 xt 1
,
1 r 2 1
(2.4)
.
129
R = ||rij||,
rij = = r(xi, xj) = r(|i j|), i, j = 1,, T r(0) = 1. , ,
2- :
r 1 r 2r 1
r 3 r xt , xt 3 xt 1 xt 2
.
1 r 2 2 1 r 2 1
(2.5)
()
(2.4), (2.5)
r() r .
r(1),r (2),
, .
r() r()
.
p().
r e ,
i 1 . r() = r(),
p 1 2 r cos .
1
, p() 2.
, , = .
p() 0 .
.
.
, , [, (1971, 1972)]
[, (1990)].
, ..
,
(
).
,
, xt
2/.
:
(1.1.1).
,
/2, /3 .. ,
.
[Granger (1963)]
18751958 .
,
.
130
2.2. (
), , t.
2.2.
,
(1.1.1)
, :
/ ( t)
(1.1.1); ,
H0: Ext = = const
(2.6)
(
)
H: Ext const;
()
f(t) = 1f(t) + 2(t) +3(t), ..
( t) xt.
2.2.1.
, .
, ..
:
x(1), x(2),, x(T).
xT 1 ,
,
T
xmed 1
xT2 xT2 1 , .
2
,
(2.6).
,
T
T
: xt +, xt xmed
, , xt xmed
(
T
, xmed
,
).
() ().
. ,
(..
(2.6)), +
, ..
+ , , ,
.
((); ()).
0, (2.6):
131
1
T 2 1,96 T 1 , T 1,43 ln T 1 ,
2
(2.6) , , 0,05 < < 0,0975 ,
,
(1.1.1).
.
, , , .
, ,
,
. i-
+, xi+1 xi > 0, , xi+1 xi < 0 (
,
). + ( )
,
( ) . ,
: ,
,
.
0,05 < < 0,0975 :
2T 1
16T 29
T
1,96
,
3
90
T 0 T ,
(2.7)
0() :
0()
26
0 = 5
26 < 153
0 = 6
(2.7) ,
(2.6) .
( ).
, x(t)
,
,
.
(2.6)
q 2 T
1 T 1
1 T
2
2
T 2
, q 2 T
xt x 2 ,
x
x
;
s
i 1
i
s T
2T 1 i 1
T 1 i 1
T
1
x x T xi . T min T , (2.6) .
T i 1
u
, u
min T T > 60 min T 1
T 0,51 u2
- . min T T
60
. 4.9 [, (1965)].
132
2.2.2. (
)
,
, .
() ,
(1.1.1)
f(t) = 1f(t) + 2(t) +3(t).
(2.8)
, ,
f(t) = 0 + 1t, 0 1
, (
)
0 1 .
()
, (2.8)
. , .
f t f(t) t
(2.8).
()
. ,
xt,
t. ,
xt = f(t, ) + t, t = 1,, T,
f(t, ) , =
~
T
(0, 1,, m). t, x t t 1 .
f(t, )
t.
( ).
:
xt () a 2,
N (x1 + x2 ++ xT) / N
a ,
, 2 / N. ()
.
N = 2m + 1,
. f t
xt xtm, xtm+1,, xt, xt+1,, xt+m
f t
w x
k m
k t k
, t m 1, m 2,..., T m,
(2.9)
wk (k = m, m + 1,, m) ,
, .. wk > 0
k m
1 . , t m + 1 T m,
133
, , (2.9),
().
, m wk.
wk .
f(x)
p. 2m + 1 x1,, x2m+1,
x1 t p,
,
f t f(t) (.. (m
+ 1)-) , .. f m 1 x m 1 .
1
x2 t
p x2,, xm+2
, .. f m 2 x2 m 2 , ..
f t
t, t = 1,, m t = T, T m + 1.
( )
(2.9),
,
.
(
[Brown (1963)]). f t
t
t 1
Q f k xt k f min ,
2
k 0
(2.10)
0 < < 1. , k Q(f) ()
xtk .
(2.10) :
1 t 1 k
f t
xt k .
1 t k 0
(2.11)
, ,
. (2.11)
, .
2.2.3.
p .
.
,
: xt
f(t) = 0 + 1t + ptp
134
p, p + 1,
, ,
t.
p ,
f(t) xt.
, , ,
(E = 0),
T
i2
, I, i = 1, 2,, T
T
. E 0,
i 1
i2
T
i , T
i 1 T
i 1 T
D.
kxt, k = 1, 2,, p + 1, , k < p + 1
,
t, 0, 1,, p t. k p + 1
, :
E(kxt) = 0 2 D k xt C2pp11 .
p,
.
k = 1, 2, kxt (t = 1,, T k),
T k
2 k
1
T k
t `
C2kk
(2.12)
2 k k. 2 k
k , k
p + 1. (2.12)
, ( p)
. k = k0, 2 k ,
,
.. p = k0 1.
,
. 2 k
, (
) . ,
, ,
, 2 k ,
, ,
.
, p,
.
135
2.3.
2.2 ,
,
(1.1.1).
.
, ,
t,
xt (2.8). ,
, ,
,
.
. ,
t, , t
, .. Et, 0. ,
, t.
, ,
,
, :
t k t k ,
k 0
(2.13)
0 = 1
k 0
2
k
, ,
.
t (2.13) ,
,
:
t k t k t .
k 1
(2.14)
1, 2, ,
t. (2.14) (2.13)
(2.14)
t1, t2, , (2.14)
t 1, t 2 ..
,
,
:
p
k 1
j 1
t k t k t j t j .
, p q , ,
( ) .
2.3.1. p (AR(p)-)
.
136
1- AR(1) ( ).
(2.14), . ,
t = t1 + t,
(2.15)
,
(|| < 1), t ,
. t t ,
. , (2.15) t t1
. , t ().
, (2.15),
. ,
Et 0,
(2.16)
r(t, tk) = k,
(2.17)
Dt =
02
,
1 2
(2.18)
cov(t, tk) = kDt.
(2.19)
(2.19) , ||
, t . ,
t ,
t t.
1- .
(2.15)
:
|| < 1,
, , z0 1 z = 0
.
(2.17):
r() = r(t, t) = .
(2.20)
, , :
= r(t, t1),
..
t.
(2.20) ,
(2.15)
.
r() = r(t, t+ | t+1 = t+2 == t+1 = 0)
(2.4)(2.5).
:
r() = 2, 3,.
:
r = 2, 3,,
137
1-
.
p~ (2.15)
(2.20):
2 02
p~
,
2 2 2 cos2~
1
~
0 ~
.
2
2
1, t
,
, ,
t.
1, (
),
.
, .. 02
xt ( ,
), (2.16)(2.19)
.
f t ,
t xt f t .
(2.21)
0
1 N
0 t 2 ,
N t 1
, () (2.21).
N
(2.18),
,
..
N 1
1
N 1
t 1
t 1
, 02 02 (2.19),
Dt , , 0 : 02 1 2 0.
2- AR(2) ( ). ,
AR(1), ,
j (2.14) , .
,
t = 1t1 + 2t2 + t,
(2.22)
1, 2, .
138
(2.22)
1 2,
2 1 1 .
,
.
2- : 1 1z 2 z 2 0.
. r(1) r(2)
r 1
1
,
1 2
r 2 2
12
,
1 2
r(), = 3, 4,
r() = 1r( 1) + 2r( 2).
,
2- , :
r() = 0 = 3, 4,
p~
:
2 02
1
~
p
,0 ~ .
2
2
~
~
1 1 2 21 1 2 cos2 2 2 cos4
2
2- ,
1, 2 02
t.
t 0, r0 r0 , ,
Dt r(1) r(2).
(2.2) (2.3):
1 T
0 t 2 ,
T t 1
T k
1
T k
t 1
t k
, k 1,2
0
1 2
r11 r2
r2 r 2 1
1
,
.
2
1 r 2 1
1 r 2 1
, 02
1 2
1 2 2 12 .
02 0
1 2
p- AR(p) (p 3). ,
,
. (2.14)
139
j, p , ,
AR(p)-:
p
t j t j t ,
j 1
(2.23)
1, 2, .
, (2.23),
1 1z 2z2 pzp = 0.
,
, ..
.
(2.23)
p r(1),, r(p).
:
r () = 1r( 1) + 2r( 2) ++ pr( p), = p + 1, p + 2,...
(2.24)
(2.23)
p; r(p) > p (.,
, [, (1974)]).
AR(p)- , ,
. , ,
, k,
,
p = k 1.
p-
:
2 02
~ 1.
p~
,
0
2
~
~
~
2
1 ei 2 ei 4 ... e i 2 p
1
p- ,
.
(2.24) = 1, 2,, p.
1, 2,, p:
r 1 1 2 r 1 ... p r p 1,
r 2 1r 1 2 ... p r p 2,
.......................................................
r p r p 1 r p 2 ... .
1
2
p
(2.25)
[Yule (1927)], [Walker (1931)]. k
k , r(k)
rk .
02
02 01 1r 1 2r 2 ... p r p .
.
140
2.3.2. q ((q)-)
(2.13),
q j .
t = t 1t1 2t2 qtq,
(2.26)
1,, q ,
(2.13). (2.26)
q ((q)).
AR- -
-. (2.13) (2.14) ,
AR- ,
- .
(2.26)
t =t + 1t1 + 2t2 ++ qtq.
t = t 1t1 2t2 ,
(2.27)
j (j = 1, 2,)
1,, q. (2.27)
(.. )
t j t j t .
j 1
(., , [, , (1974)]),
(q)- (..
j 1
(2.26) :
1 1z 2 z 2 ... q z q 0
, .. |zj| > 1 j = 1, 2,, q.
(q).
:
02 1 12 22 ... q2 ,
0;
2
0 1 1 2 2 ... q q , 1 q;
0
q.
(2.28)
(q)
(2.28):
1 1 2 2 ... q q
, 1,..., q;
r
1 12 22 ... q2
0,
q.
(2.29)
, r() (q)
, q.
(q)- .
(q)
:
141
~
~
~ 2
p~ 2 02 1 1ei 2 2ei 4 ... q ei 2q ,0 ~ 1 2.
(q) (2.29),
: 1) t xt f t
r
1
T
, 1,2,..., q,
1 T
2
t
T t 1
r1,..., rq ; 2) (2.29)
= 1,, q r()
r ; 3) q
1,, q;
1 ,...,q ; 4)
t 1
02 (2.28)
(0), 1,, q .
, (2.25),
(q)- .
(., ,
[, (1974)]).
AR(q) (q).
.
1. p t
, t
. ,
q t
t
.
2. ,
,
AR, .
() .
, AR ,
,
.
3.
- , .
,
.
4.
.
2.3.3.
(ARMA(p, q)-)
. AR
.
142
, , ,
.
t = 1t1 ++ ptp + t 1t1 qtq
(2.30)
(p,
q)(ARMA(p, q)).
ARMA(p, q)-.
(2.30)
p
t j t j qt ,
j 1
(2.31)
qt t 1 t 1 ... q t q , (2.31)
, AR(p)-. qt
, .
(2.30) ,
AR(p)- .
p
, pt t j t j (2.30)
j 1
pt t 1 t 1 ... q t q ,
,
(q): ARMA(p, q)- ,
(q)-
.
,
AR- -, .
1) () = 1( 1) ++ p( p) + () 1( 1)
q(
q), ( (k) = E(tkt)
t t) = 0, 1,, q , (0), (1),, (q)
, , r(1),, r(q)
q 1,, q p
1,, p. (), ( 1),, (
q) ,
1,, p,1,, q
: k > 0; (k) = E(tkt); tkt
(k + 1)-
(2.30) t1,
,
E , (
E(t1t) = 0).
2) r() q + 1
r() = 1r( 1) + 2r( 2) ++ pr( p) q + 1,
(2.24)
AR(p). , , = q + 1,
ARMA(p, q) ,
AR(p), ..
() ,
1,, p r(1),, r(p).
143
ARMA(p, q)
(q)-. ,
()
( q
).
ARMA(p, q)
:
~
~ 2
1 1e i 2 2e i 4 ... q e i 2 q
1
2
~
p 2 0
,0 ~ .
i 2~
i 4~
i 2 p~ 2
2
1 1e
2e
... p e
ARMA(p, q) ( AR- )
. k (k = 1, 2,, p), j (j = 1, 2,, q) 02
. 1- k, 2-
j 02 .
1- . (2.30)
:
r q 1 1r q 2 r q 1 ... p r q p 1 0,
r q 2 1r q 1 2 r q ... p r q p 2 0,
....................................................................................
r q p r q p 1 r q p 2 ... r q 0.
1
2
p
(2.32)
(2.32) r(k)
j (j = 1,, p), 1 ,..., p .
2- . 1 ,..., p (2.30) q
+ 1 :
p
k 1
j 1
t k t k t j t j ,
p
k 1
j 1
k 1
j 1
t 1 k t 1 k t 1 j t 1 j ,
t q k t q k t q j t q j .
,
02 , 1,, q 1-
.
ARMA AR- . ,
.
, , [Greene (1997)].
144
2.3.4.
(., [Engle (1982)], [Engle
(1983)], [Gragg (1983)])
:
.
, .. Dt =
= (0) = const
. ARMA
.
. [Engle (1982)] ,
t = t[0 + 12t1],
(2.33)
t, t = 1, 2,,
, 0 1 ,
t (
0 > 0, |1| < 1).
(2.33)
(ARCH-). (., , [Greene (1997)]
, - ( , ).
(2.33) (. [Engle, Kraft (1983)]):
t = t[0 + 12t1 ++ qtq],
(2.34)
0, 1,, q ,
t.
(2.34) ARCH ( ARCH(q)).
(2.33) ARCH(1)- (2.34)
q = 1. q > 1 (2.34) ,
t
t1, t2, . ARCH(q)- (2.34)
(q)-,
.
[Bollerslev (1986)]
t
(GARGH-).
2.4.
2.4.1. -
(ARIMA(p, k, q)-)
. . [, (1974)].
xt,
:
1. f(t),
( t)
k > 1;
, ;
145
xtk , t 1,..., T k , xt k-
,
ARMA(p, q).
, ARIMA(p, k, p)- xt,
xtk 1xtk1 2 xtk 2 ... p xtk p 1 t 1 ... q t q ,
2.
xt,
2xt,.
xt , 2,
. , l < k lxt
,
.
, k
, xtk k xt .
k xt, k- .
ARMA(p, q),
2.4.3.
.
. xt
k1,
k1, yt k2 >
k1, k2,
t = yt xt
k2. k1 = k2 = k, , t
( 0) .
, xt
yt , (1, )
. xt yt
()
.
, , : 1) yt =
xt + t ; 2) t yt xt
k
146
yt c0 k xt k t , t N 1, N 2,...,
k 0
(2.35)
147
t, t = 1, 2,, N
( xt, xt1,, xtN) ,
c0, 0, 1,, N 02 Dt .
,
(2.35), :
k (k = 0, 1, 2,),
1,, m (m << N),
k; j.
(2.35)
.
.
.
( )
P{ = k} = wk, k = 0, 1,, N
(2.36)
N .
wk
. wk
.
.
0, 1,, ..
.
.
[Almon (1965)].
.
0, 1,, N.
k k,
m (m 3) k, ..
k = 0 + 1k + 2k2 ++ mkm, k = 0, 1, 2,, N,
(2.37)
0, 1,, m ,
(2.35). (2.37)
(2.35) :
yt N c0 0 ~
xt1 1~
xt2 ... m ~
xtm t N , t 1,2,..., T N .
N + 2 c0,
0, 1,, N
m + 1 (m 3) .
[Koyck (1954)].
,
.
k .
k 0
148
, xt yt+k
k, , .. y
x .
. , ,
wk
, , k
j 0
.
(2.35), ..
0, 1, 2,
: :
yt = (1 )c0 + (1 )xt + yt1 +(t t1).
(2.38)
(2.38)
,
t t, , , [ (1980)].
( )
[Nerlove (1956)], [Nerlove (1958)]. , yt*
~ ~
~
yt* 0 1 xt t ,
(2.39)
~
, xt ,
~
, .
.
()
,
yt yt 1 yt* yt 1 t ,0 1,
(2.40)
t . (2.40) ,
yt yt*
,
. (2.40)
yt yt* 1 yt 1 t ,
(2.41)
,
( t)
( ) .
(2.39) (2.41),
~
~
~
yt 0 1xt 1 yt 1 t t .
, .
.
149
,
yt*
xt . ,
.
.
.
. ,
, , ,
.
yt,
xt* ,
t + 1
~ ~
yt 0 1 xt*1 t ,
t
xt.
xt*1 xt 1 xt* ,0 1.
, , t
+ 1, t
.
.
, ,
. ,
.
, .
[Cagan (1956)]
[Friedman (1957)]
.
, .
,
, .
[Solow (1960)]
, .. wk, k = 0, 1, 2,
(2.36)
M
wk 1 p CMk k 1 p k , k 0,1,2,...,
(2.42)
p (0 < p < 1) M ( ) ,
( k )
k 0
. :
150
wk M > 1 (
pM 1
pM 1
), ( k
);
k
1 p
1 p
(E) (D)
pM
pM
E =
; D =
.
1 p
1 p 2
M, p.
,
,
.
N k
wk CNk p k 1 p , k 0,1,..., N .
(2.45)
( p 0 1).
, (2.45) (
(2.42)) , E = pN D = p(1 p)N.
,
(2.35) ,
k ( , wk) ,
k0.
2.5.
, , 2.3 2.4,
.
,
, , , ,
.
,
.
:
() ;
() ;
()
- .
, .
2.5.1. ARIMA-
ARIMA- ,
.
, ARIMA-.
ARIMA-, , AR-,
MA- ARMA-. , ,
,
. ,
.
151
xt+l, l 1 , xt
,
. xtl .
, xtl xtl11
xt+l, -, .. .
x, ARIMA(p, k, q)-, (
> k)
1 L ... L 1 C x
k
j 0
j
k j
1 1 ... q q ,
(2.46)
L .
(2.46) x = t q,, t 1, t, t +
1,, t + + l.
p
q
p
i
x j Lj x 1 j Lj 1 Cki x i 1 j Lj .
j 1
j 1
j 1
i 0
(2.46)
p +
k ( )
x, q
. ,
, , ..
.
(2.46)
l
.
, (
) t
l xt+l,
, x t.
(. [Wold (1932)],
[Kolmogoroff (1939)], [Wiener (1949)]).
E(xt+l | x1,, xt)
(2.46) = t + l
:
E(xtj | x1,, xt) = xtj
j = 0, 1, 2,, t 1;
(2.47)
E(xt+j | x1,, xt) = xtj
j = 1, 2,;
(2.48)
E(xt+j | x1,, xt) = 0
j = 1, 2,;
(2.49)
E(xtj | x1,, xt) = xt j xt1 j 1
j = 0, 1, 2,, t 1.
(2.50)
,
:
1) (2.46) xt1q 1 , xt1 q ,, xt11
;
152
: xt arg min j xt j a .
a
j 0
,
.
(2.52)
153
xt 1 j xt j .
j 0
(2.53)
xt1 xt+1
t xt
xt1 xt ,
(2.54)
xt (2.52) (2.53),
.
(2.54) , , , (t +
1)- xt+1 xt11 xt 1
xt 1 xt 1 xt 1.
, ..
, (2.51)
xt+ = a0 + a1 ++ akk + ,
(2.55)
k 1. (2.55)
t, . ,
xt1 xt+1
(2.55) = 1 (2.54):
xt1 xt 1 a0k t , a1k t , ... akk t , ,
a j t , , j 0,1,..., k
j 0
t j
a0 a1 j ... ak j k
min .
a 0 , a1 ,...,a k
(2.56)
(2.56) .
.
1)
(1 jLj) k = 1 Lk,
,
.
2) ,
,
() .
ARIMA(0, 1, 1)-.
3)
. , ,
.
,
.
. [Holt (1957)] ,
, 1
154
t 1 N
xt 1
1 2 t 1 N ,
a0 t 1
a1 t 1 3 a0 t 1 a0 t 1 3 a1 t .
,
, 1, 2 3,
a0 0, a1 0 0.
.
.
,
,
.
. ( ,
):
x a0 ,
t 1 2
a0 a0 1 a1 ,
a0() , a1()
, t , t
.
, t l ,
xtl a0 t la1 t t N l ,
a0 , a1
:
155
;
.
a0 a0 1 a1 1 1 x x1 1 ;
1 x
a1 a1 1 12 x x 1
t N
x1 1
, , N ,
, 1, 2 3 .
1
3.
3.1.
1991:01 2000:08 (%). Inflation.
1991
6,2
4,8
6,3
63,5
3,0
1,2
0,6
0,5
1,1
3,5
8,9
12,1
1992
245,0
38,3
29,9
21,7
12,0
18,6
11,0
8,6
11,5
22,9
26,1
25,4
1993
25,8
24,7
20,1
18,8
18,1
19,9
22,4
25,8
23,1
19,5
16,4
12,5
1994
17,9
10,8
7,4
8,5
6,9
6,0
5,3
4,6
7,7
15,0
15,0
16,4
1995
17,8
11,0
8,9
8,5
7,9
6,7
5,4
4,6
4,5
4,7
4,5
3,2
1996
4,1
2,8
2,8
2,2
1,6
1,2
0,7
-0,2
0,3
1,2
1,9
1,4
1997
2,3
1,5
1,4
1,0
0,9
1,1
0,9
-0,1
-0,3
0,2
0,6
1,0
1998
1,4
0,9
0,6
0,4
0,5
0,1
0,2
3,7
38,4
4,5
5,7
11,6
1999
8,4
4,1
2,8
3,0
2,2
1,9
2,8
1,2
1,5
1,4
1,2
1,3
2000
2,3
1,0
0,6
0,9
1,8
2,6
1,8
1,0
3.2.
3.2.1. M0
1990:12 2000:07. M0.
1990 1991
73
76
82
85
89
100
112
123
133
142
153
79
191
1992
199
216
255
321
369
458
645
830
998
1196
1449
1716
1993
1903
2278
2559
3309
4020
5111
6259
7305
8408
9826
10952
13278
1994
12967
14573
15939
19411
20669
23811
27048
27918
30016
30522
31982
36482
1995
31802
34381
35240
41639
45459
52520
57970
61658
65495
66285
70700
80815
1996
75371
80371
86735
93112
93652
104368
102850
101117
96218
94398
95801
103824
1997
96372
102079
105213
115227
120369
136851
140397
141621
134873
135795
128817
130540
1998
116672
120255
119147
128606
129856
129806
129326
133377
154212
166451
167269
187843
1999
178014
180781
174132
195246
205285
216388
218163
216181
212804
221959
219325
266544
2000
232852
242046
251531
279064
289272
321766
334037
3.2.2.
1992:05 2000:08 (. .).
Denbaza.
1992
466
578
806
1993
2598
3078
3554
4445
5425
6687
7970
1994
17010
18741
20432
24292
26469
30200
34678
1995
44000
47600
49900
57300
64000
73700
81600
1996
100800
106700
113700
120900
118800
129400
131100
156
1997
123900
130200
136300
145700
148200
167000
171400
1998
151400
152800
152900
161600
163200
163200
161300
1999
202500
205200
205900
224500
241400
258400
260300
2000
297800
309200
318900
349600
365000
397200
417300
1032
1259
1552
1878
2235
9446
10770
12472
14080
16691
36625
39862
41280
43354
48000
86100
89300
90700
95400
103800
129000
125600
124000
125000
130900
174700
169800
170600
163800
164500
161700
175200
187200
191300
207300
264100
259000
269100
272000
307500
427600
3.2.3.
1995:06 2000:07 (. .).
Shirdenmas.
1995
99008
101439
107649
109326
112460
118136
129714
1996
127266
132277
140603
146374
144017
158101
162469
157863
157084
155153
157008
165844
1997
157139
164709
172516
180860
187033
206634
208875
201976
199332
201894
199939
210450
1998
187777
185321
189340
191787
193931
193796
194226
186381
208782
227932
238725
263675
1999
261471
270831
289178
310699
353137
362744
364857
369919
364133
384562
393805
439743
2000
430685
449397
490950
513775
558448
602794
654723
3.2.4. 1
1995:06 2000:07 (. .). M1.
1995
106311
112990
119494
121301
123054
130920
151267
1996
140347
146202
155905
163174
166538
180106
181138
181808
176079
175546
177482
192402
1997
186311
192515
197754
208172
217770
242496
249777
251167
252764
260660
252213
298289
1998
272669
270401
266022
269489
271839
270256
261569
252356
274112
289197
302828
342817
1999
329986
340333
344782
371892
403982
418070
429382
432913
430987
454337
471573
526772
2000
508059
529876
546439
576378
611197
662680
692388
3.2.5. 2
1990:12 2000:07 (. .). M2.
1990 1991
455,5
462,4
482,9
516,1
550,9
589,0
689,0
728,4
763,6
818,6
866,3
424 958,0
1992
1054
1204
1369
1506
1641
2093
2668
3422
4515
5722
6038
6400
1993
7187
7782
8913
11063
13460
15765
18482
21121
21771
24554
26788
32601
1994
33980
36439
39550
46401
52253
59414
64363
70970
77063
80359
84348
97800
1995
93800
101900
107300
123200
138200
156600
165000
173800
179700
184200
195200
220800
157
1996
216700
229200
241800
251000
254200
266900
271900
275300
276000
278800
282300
288300
1997
289900
299500
305800
317800
328400
352000
363000
364600
363000
368800
357400
374100
1998
361200
362900
360400
368000
370000
368600
360000
343600
365800
377600
396900
448300
1999
444200
463900
473800
509600
542400
567700
583200
590800
597400
625100
646500
704700
2000
695000
726600
751400
787900
831600
892200
931200
3.2.6.
1992:01 2000:07 (. .).
Shirdengi.
1992
1215
1359
1568
1870
2091
2685
3799
4988
7049
9822
10787
10943
1993
13414
14321
16584
20416
24938
27818
28961
32133
33192
36110
38751
44687
1994
48153
52257
55429
59856
66652
75083
84924
92752
103477
113573
115391
136839
1995
135701
148003
159957
181461
197955
214050
222762
232052
235357
241097
249198
275781
1996
278360
288396
294793
302201
309702
329769
333404
338977
334399
337624
343497
357324
1997
361041
371110
377963
391919
398915
423255
430137
432469
434695
445505
435863
457244
1998
429436
436363
436169
444138
448972
447902
437810
434292
520049
521748
552918
628641
1999
637434
658003
675333
717649
755470
786070
791983
812712
823509
866513
909816
984875
3.3.
3.3.1.
1994:01 2000:04. Export.
1994
4,09
4,46
4,76
4,74
5,83
6,34
5,77
6,11
6,55
6,01
6,31
6,59
1995
5,64
6,15
6,76
6,75
6,86
7,02
6,31
6,34
6,73
7,10
7,73
7,80
1996
5,80
6,80
7,80
7,00
7,50
6,90
7,30
7,00
7,10
8,60
8,10
8,70
1997
7,00
6,70
7,40
6,80
6,70
6,90
7,50
7,00
7,10
7,90
8,30
8,90
1998
6,00
5,90
6,80
6,20
6,10
6,60
6,30
5,80
6,00
6,10
5,90
7,30
1999
4,60
5,00
5,90
6,50
5,10
5,30
6,30
6,10
6,30
6,80
7,40
9,40
2000
6,80
7,90
8,70
8,20
3.3.2.
1994:01 2000:04. Import.
1994
3,55
3,85
4,14
3,64
4,06
4,35
3,76
4,09
4,46
4,33
4,77
5,48
1995
3,70
4,41
4,86
4,28
4,72
5,22
5,21
5,00
5,07
5,46
6,30
6,60
1996
4,80
5,80
6,00
6,10
5,70
5,50
6,10
5,80
5,30
5,70
5,60
6,40
158
1997
4,80
5,10
5,70
6,20
5,50
5,80
6,50
6,10
6,20
6,90
6,50
8,40
1998
5,90
6,10
6,60
6,30
5,90
5,90
5,60
5,20
3,10
3,10
3,10
3,60
1999
2,80
3,10
3,60
3,40
3,00
3,40
3,40
3,20
3,30
3,50
3,60
4,10
2000
2,60
3,40
3,70
3,50
2000
1000609
1064973
1090399
1123209
1170283
1242847
1301733
3.4.
1994:1 2000:2 (. .).
GDP.
I
II
III
IV
1994
88 000
130 000
168 000
225 000
1995
253 000
353 000
443 000
491 000
1996
456 000
509 000
570 000
611 000
1997
539 000
594 000
679 000
667 000
1998
1999
2000
551 000
837 000 1 389 100
626 000 1 042 000 1 557 300
694 000 1 276 000
825 000 1 391 000
3.5.
3.5.1.
1992:01 2000:05 (. .).
Dokhfedbud.
1992
40
74
88
153
112
98
193
199
290
612
444
666
1993
756
779
1006
1310
1001
1531
1626
1753
2145
2066
3020
4635
1994
2378
2285
5402
3735
10604
5174
4758
5903
7108
8944
9253
13308
1995
9327
10953
13450
15855
15491
15037
19422
25616
23767
24424
32810
20725
1996
13091
14244
22778
14644
22533
27781
22510
19928
20858
22265
26409
54909
1997
14660
19021
22112
26927
26583
16821
21979
34725
22175
26005
30472
61352
1998
18902
19034
22832
22237
23331
21698
22248
21525
20248
23690
27591
59052
1999
27758
26925
34403
44830
39746
52921
55544
52214
53011
58280
69257
96820
2000
64913
73387
83524
92223
101450
3.5.2.
1992:01 2000:05 (. .).
Dokhnalog.
1992
32
69
76
150
101
100
176
183
287
631
405
648
1993
729
729
914
1382
946
1135
1438
1320
1407
1977
2174
2599
1994
2316
2099
3421
3824
8580
4017
5192
5373
6232
8245
8655
12376
1995
7798
7698
10062
13581
14009
13254
16216
15710
16936
21579
18289
15333
1996
11252
10360
16172
14118
13037
17473
18214
17241
17617
18189
22756
42294
1997
11460
14667
19487
24375
23683
13522
16505
15935
17409
20352
20811
45341
1998
15793
15412
18745
18882
19049
17423
18379
15520
15421
19285
23928
38147
1999
24579
24060
31444
39246
33585
42333
47658
42869
40239
49602
57409
72001
2000
56841
65851
73470
80890
88130
3.6.
1990:12 2000:07.
Intprom.
1990
1991
94,42
93,03
91,35
89,58
88,24
1992
80,53
79,78
79,10
78,02
76,27
1993
69,57
69,78
69,42
68,64
67,50
1994
50,42
48,95
48,06
47,32
46,60
159
1995
47,26
46,61
45,89
45,46
45,48
1996
42,48
42,27
42,08
41,85
41,61
1997
40,34
40,55
40,77
40,97
41,24
1998
41,90
41,49
41,17
40,80
40,18
1999
40,96
41,41
41,96
42,71
43,59
2000
46,26
46,48
46,48
46,49
46,66
95,44
87,59
87,50
87,40
86,74
85,36
83,52
81,77
74,03
71,92
70,34
69,31
68,71
68,61
69,00
65,92
64,01
62,06
60,20
58,12
55,54
52,75
46,13
45,97
46,05
46,31
46,75
47,23
47,48
45,79
45,97
45,73
45,05
44,16
43,35
42,80
41,42
41,29
41,21
41,08
40,83
40,51
40,30
41,67
42,19
42,62
42,82
42,82
42,67
42,35
39,32
38,48
38,00
38,10
38,73
39,60
40,38
44,34
44,81
44,94
44,87
44,85
45,16
45,73
47,06
47,68
3.7. -1
( ) 01/09/1995 31/10/2000.
RTS1.
05.01
06.01
08.01
09.01
10.01
11.01
12.01
13.01
14.01
15.01
16.01
17.01
18.01
19.01
20.01
21.01
22.01
23.01
24.01
25.01
26.01
27.01
28.01
29.01
30.01
31.01
01.02
02.02
03.02
04.02
05.02
06.02
07.02
08.02
09.02
10.02
11.02
12.02
13.02
14.02
15.02
16.02
17.02
18.02
19.02
1996
87,35
90,78
91,19
89,99
90,73
87,57
81,65
83,59
85,04
85,27
82,83
81,74
77,97
80,2
80,36
80,95
80,71
81,19
83,56
83,56
83,56
80,81
80,88
80,42
78,79
77,69
77,84
77,86
77,34
76,15
1997
213,38
219,86
227,73
231,48
247,69
250,55
243,03
243,46
243,31
251,07
262,34
279,11
278,62
288,49
291,98
277,4
268,37
276,7
275,49
274,68
276,79
279,55
280,33
286,47
292,67
304,9
312,6
306,79
310,63
313,5
1998 1999
411,61
59,7
410,04 61,27
382,06
372,46
62,93
61,35
319,02 60,17
341,76 55,64
338,42 56,94
329,89
55,4
334,54
339,47
338,32
325,34
308,8
294,71
280,59
284,39
276,88
265,93
284,35
300,61
291,31
284,8
299,58
304,04
307,71
302,68
311,6
302,53
302,24
303,5
320,34 309,65
329,83 303,02
347,11 305,24
55,71
56,1
56,99
57,59
55,68
55,6
55,55
55,03
54,49
55,12
55,09
55,14
55,3
55,96
55,69
56,6
58,94
62,98
67,53
65,16
64,01
65,6
65,79
66,52
70,22
2000
179,01 06.07
185,52 07.07
08.07
09.07
192,25 10.07
182,33 11.07
189,2 12.07
195,86 13.07
202,71 14.07
15.07
16.07
197,91 17.07
194,58 18.07
183,63 19.07
192,16 20.07
202,14 21.07
22.07
23.07
194,51 24.07
183,76 25.07
182,3 26.07
188,47 27.07
181,84 28.07
29.07
30.07
172,31 31.07
171,29 01.08
168,92 02.08
173,23 03.08
178,39 04.08
05.08
06.08
178,13 07.08
186,25 08.08
193,24 09.08
189,33 10.08
187,61 11.08
12.08
13.08
187,29 14.08
179,18 15.08
180,26 16.08
182,26 17.08
179,82 18.08
19.08
160
1995
1996
190,15
181,57
168,79
156,08
159,9
174,59
173,92
164,04
161,38
163,15
159,51
155,57
146,42
147,94
147,82
153,89
152,24
152,15
158,05
164,57
172,02
166,11
166,11
168,51
170,68
172,59
177,11
182,77
189,39
187,67
183,34
1997
504,55
489,92
503,97
502,48
493,34
475,54
469,7
452,85
462,37
473,12
468,66
472,19
492,6
497,82
509,47
516,63
517,54
508,12
506,45
510,2
518,31
526,2
533,86
559,86
569,23
1998
145,01
138,47
134,81
136,19
144,02
157,2
183,65
190,56
181,32
193,35
193,02
183,95
171,73
159,86
157,74
143,46
147,28
147,96
150,17
149,65
145,64
147,21
141,68
135,88
132,86
120,91
554,2 109,9
557,99 108,19
552,62 101,17
555,23
115
563,14
109,43
544,69 99,58
536,31 90,19
1999 2000
146,61 182,66
144,27 184,96
147,37
144
185,06
180,48
141,92 185,52
137,26 187,7
141,31 188,32
139,13
137,83
189,28
187,67
133,65 187,63
130,67 189,34
127,13 189,52
128,85
127,34
189,63
188,26
126,64 187,47
125,18 187,63
123,66 191,3
114,54
116,49
194,09
200,3
115,77 202,69
114,47 202,99
105,46 210,64
101,34
103,15
211,89
212,99
101,72 217,38
102,42 216,26
102,78 222,89
104,87
103,11
228,89
232,05
103,96 228,47
104,59 224,57
104,87 223,81
105,83
20.02
21.02
22.02
23.02
24.02
25.02
26.02
27.02
28.02
29.02
01.03
02.03
03.03
04.03
05.03
06.03
07.03
09.03
10.03
11.03
12.03
13.03
14.03
15.03
16.03
17.03
18.03
19.03
20.03
21.03
22.03
23.03
24.03
25.03
26.03
27.03
28.03
29.03
30.03
31.03
01.04
02.04
03.04
04.04
05.04
06.04
07.04
08.04
09.04
10.04
11.04
12.04
13.04
14.04
15.04
16.04
17.04
1996
74,53
72,23
70,84
74,4
73,7
72,79
72,47
71,31
70,23
69,22
70,15
70,1
69,94
69,93
69,57
67,7
68,46
67,92
66,69
67,28
68,91
71,95
74,73
76,23
77,93
75,91
75,16
75,63
77,56
80,58
84,67
83,95
81,5
83,02
84,25
83,9
85,73
86,57
87,43
93,19
95,08
322,31
320,33
311,1
314,07
316,89
323,91
321,44
334,18
328,12
339,66
354,56
327,37 357,09
331,64 350,31
334,48 350,2
329,37
330,38
330,01
320,23
313,35
309,41
310,44
303,33
303,71
298,68
297,46
301,3
298,52
297,83
295,24
286,03
282,23
288,63
303,34
298,24
294,94
286,07
291,41
298,81
295,08
349,35
332,15
325,06
331,61
335,78
342,85
344,75
341,89
335,03
341,48
331,28
325,5
321,91
323,13
313,48
316,42
316,33
312,52
306,39
308,96
310,07
308,85
313,12
319,83
312,69
73,5
76,07
73,33
70,93
72,61
73,71
76,52
82,24
82,98
83,84
86,63
90,02
84,53
85,7
81,98
80,96
76,82
80,65
79,94
79,85
81,18
80,36
78,7
79,31
79,24
75,51
72,98
70,9
66,88
68,59
69,15
73,57
75,68
79,59
1995 1996
20.08
182,02
176,63 21.08
175,88
178,37 22.08
180,87
181,13 23.08
182,07
182,88 24.08
174,21 25.08
26.08
181,95
27.08
183,39
164,32 28.08
180,38
170,93 29.08
180,96
180,47 30.08
182,64
184,8 31.08
189,93 01.09
100
02.09
185,52
03.09
183,9
190,87 04.09
99,8
185
197,33 05.09 100,42 182,83
211,25 06.09 99,74 175,23
224,82 07.09 101,3
08.09 101,3
09.09
175,97
209,67 10.09
171,58
223,07 11.09 100,84 166,73
222,4 12.09 100,24 166,06
222,48 13.09 99,16 171,72
218,88 14.09
98,8
15.09
99,3
16.09
173,53
215,85 17.09
174,28
212,57 18.09 99,84 174,32
222,4 19.09 99,54 174,26
231,65 20.09 99,19 173,08
243,92 21.09 96,27
22.09 94,03
23.09
167,48
239,86 24.09
157,16
229,88 25.09 91,16 159,7
232,45 26.09 87,98 164,24
223,92 27.09 88,17 162,52
231,88 28.09 89,07
29.09 86,09
30.09
165,93
226,22 01.10
165,57
228,17 02.10
83 163,9
214,59 03.10 78,39 163,45
222,43 04.10 72,06 161,38
221,27 05.10 75,03
06.10 74,16
07.10
163,51
229,14 08.10
169,9
222,32 09.10 77,27 181,64
224,92 10.10 76,42 184,67
222,04 11.10
75,8 181,75
220,67 12.10 76,48
13.10 77,48
14.10
186,37
203,38 15.10
186,14
2000
161
2000
222,59
227,69
227,97
238,06
240,66
239,33
245,49
240,01
239,99
237,15
236,74
237,77
237,85
232,97
227,62
220,44
220,71
213,07
215,59
210,54
198,61
200,19
193,19
194,37
179,98
194,18
192,99
199,88
197,40
199,08
203,83
212,91
204,50
197,97
197,20
193,61
192,99
187,22
187,33
184,24
18.04
19.04
20.04
21.04
22.04
23.04
24.04
25.04
26.04
27.04
28.04
29.04
30.04
03.05
04.05
05.05
06.05
07.05
08.05
10.05
11.05
12.05
13.05
14.05
15.05
16.05
17.05
18.05
19.05
20.05
21.05
22.05
23.05
24.05
25.05
26.05
27.05
28.05
29.05
30.05
31.05
01.06
02.06
03.06
04.06
05.06
06.06
07.06
08.06
09.06
10.06
11.06
13.06
14.06
15.06
16.06
17.06
1996
92,3
89,65
91,41
94,08
98,7
108,63
105,15
1997 1998
299,06
295,61
291,32
290,22
290,66
297,6
301,53
305,53
321,19
312,84
314,26
317,48
322,1
326,16
309,63
304,13
306,21
312,37
104,28
103,98
1999
81,1
76,58
76,91
80,33
82,83
83,92
83,72
81,47
87,16
91,83
103,52
105,81
109,42
111,03
334,59
339,04
338,7
337,53
315,21 102,69
310,61 104,67
304,74 100,97
302,82
110,66
116,84
112,82
109,23
109,97
109,34
360,72
353,99
349,75
357
362,52
290,72
279,19
263,66
258,1
110,88
113,67
116,18
121,18
131,67
144,76
164,49
149,55
141,04
146,91
149,15
144,69
136,86
138,12
140,73
150,4
151,63
148,56
146,86
170,13
366,22
359,37
365,96
359,04
356,27
356,52
355,3
351,4
353,41
355,64
355,46
355,35
359,76
360,54
360,94
227,61
236,58
233,15
230,23
225,41
97,11
81,39
83,58
82,58
92,13
99,15
98,23
98,49
98,16
101,6
213,44 98,62
209,33
99,9
187,23 100,32
198,74
99,1
191,29
97,64
171,71 96,76
192,75 94,18
209,07
99,7
208,61 100,27
207,65
102,72
205,31 106,4
365,64 196,45 107,47
365,26 184,26 110,66
363,96 178,13 113,86
364,78
165,11 112,77
369 169,02 117,72
369,17 181,99 117,57
2000
202,95 16.10
204,63 17.10
208,73 18.10
213,29 19.10
20.10
21.10
206,19 22.10
213,05 23.10
221,17 24.10
218 25.10
226,87 26.10
27.10
28.10
227,46 29.10
225,38 30.10
225,38 31.10
228,97 01.11
02.11
03.11
227,15 04.11
222,93 05.11
219,52 06.11
08.11
09.11
215,27 10.11
220,01 11.11
209,8 12.11
204,62 13.11
190,5 14.11
15.11
16.11
184,78 17.11
171,82 18.11
167,05 19.11
177,59 20.11
185,53 21.11
22.11
23.11
184,11 24.11
188,58 25.11
190,21 26.11
194,75 27.11
202,25 28.11
29.11
30.11
200,95 01.12
194,8 02.12
193,92 03.12
199,64 04.12
200,21 05.12
06.12
07.12
195,31 08.12
191,25 09.12
193,17 10.12
194,63 11.12
13.12
162
1995
78,1
78,66
79
79,26
79,35
1996
182,36
177,81
180,41
184,02
183,72
79,16 187,56
79,08 185,28
79,14 179,49
78,11
75,86
176,52
175,7
74,88 178,78
73,56 177,99
72,7 178,64
68,09
69,98
70,53 180,54
183,95
184,35
71,27
71,76
71,54 186,07
188,74
190,2
72,18 190,74
71,87 187,75
71,52 188,28
70,98
71,28
190,65
190,88
72,59 192,03
72,19 192,82
73,75 191,23
73,69
72,56
191,94
190,49
72,35 187,14
72,42 188,42
71,12 187,9
70,47
70,95
189,73
190,51
71,9 190,79
73,91 190,16
74,86 185,25
76,14
76,45
76,37 185,14
184,92
186,02
78,04
1997 1998
537,07 55,32
532,9
526,61
538,01
550,44
528,5
518,29
485,16
392,86
454,34
427,2
422,26
440,82
441,61
440,97
438,34
402,1
385,69
350,01
344,8
342,07
339,39
360,31
352,1
360,73
382,59
368,47
347,04
356,81
340,03
328,49
322,91
320,38
340,22
361,79
382,42
388,13
387,34
369,16
339,25
55,91
56,68
61,94
60,96
60,42
59,54
56,89
53,54
55,39
57,54
58,38
59,36
61,07
60,38
61,13
60,67
60,76
60,53
59,32
59,55
60,02
59,76
60,04
63,36
70,13
70,85
69,15
72
71,57
71,46
67,74
68,07
65,38
64
63,32
60,44
58,71
60,95
58,67
1999
2000
194,88
196,10
94,19 183,98
96,46 193,33
98,39 198,88
95,85
98,2
196,85
196,52
97,11 191,11
97,93 188,86
97,02 190,75
97,63
97,8
187,98
189,00
97,25
97,82
95,5
96,48
99,83
106,01
110,98
113,03
111,56
112,87
115,32
116,08
113,9
118,26
120,92
124,91
119,5
120,06
119,75
116,64
112,36
113,41
114,75
118,17
118,15
113,14
110,45
110,36
107,57
18.06
19.06
20.06
21.06
22.06
23.06
24.06
25.06
26.06
27.06
28.06
29.06
30.06
01.07
02.07
03.07
04.07
05.07
1996
179
171,28
171,7
180,66
195,64
205,03
213,82
227,7
204,13
198,63
209,36
227,79
216,39
14.12
190,58 15.12
184,13 16.12
179,3 17.12
180,9 18.12
182,86 19.12
20.12
21.12
180,08 22.12
172,68 23.12
170,17 24.12
163,02 25.12
171,4 26.12
27.12
28.12
176,38 29.12
178,66 30.12
175,98 31.12
2000
1995 1996
82,04 186,56
82,04 186,03
186,24
184,99
81,04 184,35
83,2 185,27
83,84 185,14
81,01
80,37
186,95
189,08
81,49 189,85
81,85 189,41
82,45 193,64
82,92
197,94
200,5
1997
1998
361,24
373,91
383,6
379,86
354,41
58,79
60,95
60,42
59,24
355,91
371,85
370,41
378,92
380,11
60,25
60,16
60,44
60,11
59,94
59,95
389,02 59,68
396,41 59,39
396,86 58,93
1999 2000
109,03
118,03
118,46
120,21
132,17
142,67
146,06
147,29
150,71
156,61
151,73
147,28
150,01
177,71
3.8.
01/07/1992 01/11/2000 (. .).
Rubkurs.
01.01
05.01
06.01
07.01
09.01
10.01
11.01
12.01
13.01
14.01
15.01
16.01
17.01
18.01
19.01
20.01
21.01
22.01
23.01
24.01
25.01
26.01
27.01
28.01
29.01
30.01
31.01
01.02
02.02
03.02
04.02
05.02
06.02
07.02
08.02
09.02
10.02
11.02
12.02
13.02
14.02
15.02
16.02
17.02
18.02
19.02
20.02
1993
1994
1995
1996
4661,00
417,00
3623,00
423,00
1356,00
442,00
1504,00
474,50
1553,00
493,00
1544,00
568,00
1542,00
572,00
1560,00
572,00
1560,00
572,00
1569,00
561,00
1568,00
560,00
1567,00
559,00
1567,00
559,00
2000 1992
27,00 01.07 125,26
02.07
20,65 26,90 03.07 134,80
21,91 27,23 04.07
05.07
06.07
22,40 27,73 07.07
23,06 28,44 08.07 130,50
22,58 28,85 09.07
21,80 28,65 10.07 130,30
21,45 28,57 11.07
21,88
12.07
13.07
28,57 14.07
22,37 28,57 15.07 130,20
22,98 28,52 16.07
22,39 28,51 17.07 135,40
22,73 28,44 18.07
22,75
19.07
20.07
28,44 21.07
22,95 28,49 22.07 151,10
22,82 28,55 23.07
22,67 28,55 24.07 155,70
22,77 28,55 25.07
22,60
26.07
27.07
28,55 28.07
22,77 28,55 29.07 161,10
22,92 28,64 30.07
23,12 28,77 31.07 161,20
23,14 28,77 01.08
23,12
02.08
03.08
28,76 04.08
23,05 28,72 05.08 161,40
22,90 28,69 06.08
22,76 28,66 07.08 161,50
22,79 28,77 08.08
22,89
09.08
10.08
28,77 11.08
22,84 28,72 12.08 161,70
23,11 28,71 13.08
22,87 28,79 14.08 162,50
22,92 28,74 15.08
22,84
16.08
5570,00
5573,00
5580,00
4668,00 5585,00
3705,00
5590,00
4670,00
3757,00
5593,00
5596,00
5599,00
4677,00 5602,00
3861,00
5605,00
4683,00
3916,00
5607,00
5610,00
5613,00
4700,00 5615,00
3988,00
5618,00
4718,00
4004,00
5621,00
5624,00
5627,00
4732,00 5629,00
4048,00
5632,00
4736,00
4079,00
5634,00
5637,00
5640,00
4738,00 5640,00
4133,00
5642,00
4738,00
4170,00
5644,50
5646,00
5650,00
4751,00 5652,50
4231,00
5654,50
4760,00
4293,00
5658,00
5660,00
5662,00
5,96
5,97
5,97
5,97
5,98
5,98
5,99
6,00
6,00
6,00
6,00
6,01
6,02
6,02
6,02
6,02
6,02
6,03
6,03
6,03
6,03
6,03
6,04
6,04
6,04
6,04
6,05
6,05
6,05
6,05
6,05
6,06
6,06
163
1993
1994
1989,00
1059,00
1998,00
1058,00
2011,00
1050,00
2020,00
1036,00
2022,00
1025,00
2028,00
1010,00
2034,00
1008,00
994,00 2052,00
2052,00
989,50
2060,00
987,00
2081,00
986,00
2087,00
984,50
2108,00
984,50
1995
1996
1997
5782,00
5119,00 5782,00
5124,00 5782,00
5782,00
4553,00 5125,00 5782,00
5125,00
4576,00
5783,00
5129,00 5784,00
5131,00 5784,00
5133,00 5784,00
4530,00 5131,00 5784,00
5131,00
4565,00
5784,00
5135,00 5784,00
5136,00 5785,00
5140,00 5787,00
4546,00 5150,00 5788,00
5156,00
4530,00
5789,00
5165,00 5791,00
5169,00 5792,00
5175,00 5794,00
4465,00 5180,00 5795,00
5182,00
4415,00
5796,00
5188,00 5797,00
5191,00 5798,00
5197,00 5800,00
4405,00 5209,00 5801,00
5224,00
4415,00
5801,00
5230,00 5802,00
5235,00 5803,00
5247,00 5804,50
4405,00 5254,00 5806,00
5261,00
4405,00
5808,00
5271,00 5808,00
5276,00 5809,00
5280,00 5809,00
4406,00 5285,00 5811,00
1998
6,20
6,20
6,20
6,21
6,21
6,21
6,21
6,21
6,21
6,21
6,21
6,21
6,22
6,22
6,22
6,22
6,22
6,22
6,23
6,23
6,23
6,24
6,24
6,24
6,24
6,25
6,25
6,26
6,26
6,26
6,27
6,27
6,27
6,29
1999
24,21
24,21
24,29
24,29
24,48
24,46
24,44
24,42
24,40
24,38
24,36
24,34
24,32
24,30
24,28
24,26
24,24
24,23
24,22
24,22
24,22
24,21
24,19
24,19
24,22
24,30
24,40
24,55
25,29
25,01
24,96
24,90
24,88
2000
28,05
28,03
28,03
28,03
28,01
27,99
27,97
27,92
27,90
27,87
27,85
27,83
27,81
27,75
27,66
27,64
27,64
27,64
27,64
27,70
27,80
27,82
27,85
27,83
27,80
27,77
27,73
27,73
27,70
27,70
27,69
27,69
27,74
21.02
22.02
23.02
24.02
25.02
26.02
27.02
28.02
29.02
01.03
02.03
03.03
04.03
05.03
06.03
07.03
08.03
10.03
11.03
12.03
13.03
14.03
15.03
16.03
17.03
18.03
19.03
20.03
21.03
22.03
23.03
24.03
25.03
26.03
27.03
28.03
29.03
30.03
31.03
01.04
02.04
03.04
04.04
05.04
06.04
07.04
08.04
09.04
10.04
11.04
12.04
13.04
14.04
15.04
16.04
17.04
18.04
19.04
20.04
21.04
22.04
23.04
24.04
25.04
26.04
27.04
28.04
29.04
30.04
01.05
04.05
05.05
06.05
07.05
08.05
09.05
11.05
12.05
13.05
14.05
1993
1994
1995
1996
1997 1998 1999
4770,00 5665,00 6,06
4357,00
5667,00
1585,00
4783,00
22,84
576,00
4407,00
6,06 22,80
1657,00
5670,00 6,07 22,82
593,00
5672,00 6,07 22,84
5674,00 6,07 22,86
4815,00 5676,00 6,07
4473,00 4818,00 5679,00
1668,00
649,00
4531,00
1693,00
648,00
650,00
1706,00
653,00
5683,00
5686,00
4823,00 5689,00
5691,50
4603,00 4825,00 5695,00
4639,00
6,07
6,08
6,08
6,08
6,08
6,08
5697,00 6,08
4828,00 5699,00 6,09
5700,00 6,09
4723,00 4834,00 5703,00
1716,00
662,00
4767,00
1724,00
667,00
5705,50
5708,00
4838,00 5710,00
5712,00
4824,00 4844,00 5714,00
6,09
6,09
6,09
6,09
6,10
1736,00
684,00
4856,00
1742,00
684,00
5717,00
5719,00
4850,00 5721,00
5723,50
4897,00 4854,00 5726,00
6,10
6,10
6,10
6,10
6,10
1753,00
684,00
4897,00
1753,00
692,00
6,11
5729,00
5731,00 6,11
4863,00 5732,00 6,11
5735,00 6,11
4920,00 4873,00 5737,00
1772,00
712,00
4957,00
1772,00
740,00
5739,00
5741,00
4894,00 5743,00
5744,00
4991,00 4901,00 5746,00
6,12
6,12
6,12
6,12
6,12
1785,00
766,00
5029,00
1787,00
779,00
5748,00
5750,00
4909,00 5752,00
5753,00
5064,00 4915,00 5753,00
6,12
6,13
6,13
6,13
6,13
1792,00
786,00
5051,00
1810,00
795,00
5755,00
5756,00
4925,00 5757,00
5758,00
5081,00 4932,00 5759,00
6,13
6,13
6,13
6,13
6,13
1820,00
812,00
5100,00
1820,00
823,00
6,13
5760,00 6,13
5762,00 6,13
4940,00 5764,00 6,13
22,89
22,89
22,93
23,01
23,09
23,03
22,98
23,04
23,12
23,26
23,35
23,41
23,65
23,68
23,92
24,29
24,22
24,18
24,19
24,20
24,18
24,16
24,29
24,83
25,11
25,10
25,12
25,09
25,03
24,96
24,90
24,85
24,80
24,77
24,78
24,77
24,72
24,67
24,62
24,53
24,40
24,31
24,23
24,16
5130,00
1854,00
5764,00
4960,00 5766,00
5768,00
5769,00
829,00
6,14
6,14
6,14
6,14
24,09
24,07
24,04
1859,00
859,00
5106,00
1869,00
5771,00 6,14
5771,00 6,14
24,00
23,99
24,69
2000
17.08
28,74 18.08
28,87 19.08
28,83 20.08
28,80 21.08
28,70 22.08
23.08
24.08
28,66 25.08
28,65 26.08
28,64 27.08
28,60 28.08
28,59 29.08
30.08
31.08
28,58 01.09
28,55 02.09
28,53 03.09
28,51 04.09
05.09
06.09
28,50 07.09
28,49 08.09
28,46 09.09
28,43 10.09
28,41 11.09
12.09
13.09
28,39 14.09
28,38 15.09
28,36 16.09
28,34 17.09
28,33 18.09
19.09
20.09
28,31 21.09
28,29 22.09
28,27 23.09
28,46 24.09
28,60 25.09
26.09
27.09
28,78 28.09
28,76 29.09
28,72 30.09
28,68 01.10
28,66 02.10
03.10
04.10
28,63 05.10
28,59 06.10
28,56 07.10
28,53 08.10
28,50 09.10
10.10
11.10
28,60 12.10
28,78 13.10
28,62 14.10
28,59 15.10
28,55 16.10
17.10
18.10
28,53 19.10
28,53 20.10
28,46 21.10
28,43 22.10
28,40 23.10
24.10
25.10
28,38 26.10
28,36 27.10
28,36 28.10
28,36 29.10
30.10
31.10
28,34 01.11
28,32 02.11
28,30 03.11
04.11
164
1992
1993
1994
2117,00
984,50
162,50
168,10
205,00
210,50
210,50
207,90
203,00
204,00
205,50
241,00
248,00
254,00
309,00
342,00
334,00
334,00
338,00
368,00
368,00
393,00
398,00
396,00
1996
5290,00
1997
4408,00
2141,00
987,00
162,60
1995
5302,00
5305,00
5305,00
5311,00
2161,00 4428,00 5318,00
986,00
4428,00
2156,00
985,00
5327,00
5332,00
5348,00
4435,00 5348,00
2153,00
5345,00
992,50
4447,00
2204,00
990,00
5345,00
5348,00
5351,00
4448,00 5353,00
2222,00
5356,00
995,00
4479,00
2253,00
998,00
5359,00
5361,00
5364,00
4469,00 5367,00
2271,00
5370,00
1006,00
4467,00
2301,00
1010,00
5373,00
5376,00
5379,00
4468,00 5382,00
2335,00
5384,00
1036,00
4467,00
2460,00
1299,00
5389,00
5391,00
5392,00
4491,00 5394,00
2476,00
5396,00
1201,00
4508,00
2596,00
1169,00
5402,00
5412,00
5415,00
4490,00 5417,00
2668,00
5419,00
1173,00
4493,00
2833,00
1189,00
5421,00
5424,00
5425,00
4498,00 5426,00
3926,00
5429,00
1194,00
4509,00
2994,00
5431,00
5434,00
5434,00
4506,00 5434,00
2996,00
5435,00
1193,00
4506,00
3015,00
1193,00
5438,00
5440,00
5442,00
4504,00 5444,00
3036,00
5445,00
1189,00
4504,00
3055,00
1186,00
5447,00
5453,00
5455,00
4504,00 5456,00
3085,00
5458,00
1179,00
4514,00
3099,00
5813,00
5814,00
5815,00
5817,00
5819,00
5820,00
5821,00
5824,00
5826,00
5830,00
5832,00
5833,50
5835,00
5837,00
5838,00
5839,50
5840,50
5841,50
5843,00
5846,00
5847,00
5848,00
5849,50
5851,50
5853,50
5855,00
5856,50
5858,50
5860,00
5861,00
5860,00
5861,00
5862,50
5864,50
5866,00
5868,00
5869,00
5870,50
5872,00
5872,00
5874,00
5876,00
5877,00
5878,50
5878,00
5878,00
5878,00
5879,00
5880,00
5881,00
5882,00
5883,00
5885,00
5887,00
5887,00
5887,00
1998
6,43
6,89
6,99
7,00
7,01
7,14
7,86
7,86
7,86
7,91
1999
24,86
24,76
24,62
24,60
24,82
24,80
24,76
24,75
24,75
24,75
24,75
9,33
10,88
12,82
13,46
16,99
18,90
20,83
15,77
12,87
11,43
8,67
9,61
12,45
14,60
16,38
16,38
16,22
15,84
15,61
15,88
15,99
16,06
15,91
15,99
15,97
15,79
15,80
15,81
15,82
15,84
15,79
15,05
13,00
13,56
15,51
17,09
16,93
16,83
16,76
16,69
16,69
16,67
16,33
16,06
16,01
15,82
15,57
24,81
25,22
25,87
25,82
25,82
25,79
25,73
25,71
25,70
25,54
25,53
25,48
25,40
25,41
25,40
25,34
25,31
25,29
25,28
25,27
25,22
25,08
25,05
25,20
25,49
25,90
25,78
25,72
25,76
25,76
25,74
25,70
25,67
25,80
25,88
25,83
25,83
25,79
25,76
25,71
25,68
25,80
26,09
26,05
2000
27,73
27,73
27,73
27,71
27,71
27,71
27,70
27,70
27,70
27,75
27,75
27,75
27,75
27,75
27,84
27,88
27,84
27,86
27,84
27,82
27,82
27,78
27,73
27,73
27,77
27,82
27,82
27,79
27,85
27,82
27,81
27,75
27,75
27,76
27,76
27,81
27,86
27,88
27,88
27,94
27,86
27,91
27,90
27,83
27,80
27,87
27,93
27,93
27,93
27,91
27,87
27,92
27,89
27,83
27,82
26,07
26,37
26,26
15.05
16.05
17.05
18.05
19.05
20.05
21.05
22.05
23.05
24.05
25.05
26.05
27.05
28.05
29.05
30.05
31.05
01.06
02.06
03.06
04.06
05.06
06.06
07.06
08.06
09.06
10.06
11.06
12.06
14.06
15.06
16.06
17.06
18.06
19.06
20.06
21.06
22.06
23.06
24.06
25.06
26.06
27.06
28.06
29.06
30.06
1993
886,00
934,00
940,00
960,00
994,00
1050,00
1072,00
1104,00
1116,00
1090,00
1079,00
1066,00
1060,00
1994
1995
1996
1997 1998 1999
4971,00 5771,00 6,14 24,92
5771,00 6,15
5026,00 4970,00 5771,00
1877,00
4982,00
24,86
5043,00
6,15 24,79
1881,00
5771,00 6,16 24,75
4988,00 5771,00 6,16 24,70
4991,00 5771,00 6,16 24,65
4994,00 5771,00 6,16
5039,00 4998,00 5772,00
1895,00
5001,00
24,60
5038,00
6,16 24,55
1901,00
5773,50 6,16 24,50
5006,00 5773,50 6,16 24,46
5008,00 5774,00 6,17 24,44
5011,00 5773,00 6,16
4995,00 5014,00 5773,00
1916,00
5018,00
24,44
4958,00
6,17 24,43
1918,00
5774,00 6,17 24,40
5024,00 5775,00 6,17 24,38
5027,00 5776,00 6,17 24,36
5031,00 5776,00 6,17
4900,00 5037,00 5777,00
1940,00
5046,00
24,34
4911,00
6,17 24,33
1952,00
5778,00 6,17 24,31
5051,00 5779,50 6,17 24,29
5051,00 5781,00 6,17 24,27
4836,00 5053,00 5782,00
1952,00
4726,00 5053,00
6,18 24,25
1959,00
5782,00 6,18 24,23
5057,00 5782,00 6,18 24,23
5059,00 5782,00 6,19 24,23
5058,00 5782,00 6,19
4546,00 5061,00 5783,00
1971,00
5063,00
24,23
4590,00
6,19 24,23
1977,00
5783,00 6,19 24,23
5068,00 5782,00 6,19 24,22
5072,00 5782,00 6,19 24,22
5083,00 5782,00 6,20
4516,00 5097,00 5782,00
1985,00
5108,00
24,22
4538,00
6,20 24,22
2000
05.11
28,28 06.11
28,27 07.11
28,27 09.11
28,33 10.11
28,31 11.11
12.11
13.11
28,30 14.11
28,29 15.11
28,28 16.11
28,28 17.11
28,27 18.11
19.11
20.11
28,27 21.11
28,25 22.11
28,23 23.11
28,25 24.11
28,34 25.11
26.11
27.11
28,34 28.11
28,32 29.11
28,30 30.11
28,27 01.12
28,25 02.12
03.12
04.12
28,43 05.12
28,33 06.12
28,29 07.12
28,26 08.12
09.12
10.12
28,24 11.12
28,23 12.12
28,22 14.12
28,19 15.12
28,17 16.12
17.12
18.12
28,13 19.12
28,11 20.12
28,09 21.12
28,07 22.12
23.12
24.12
25.12
26.12
27.12
28.12
29.12
30.12
31.12
1992
1993
1177,00
1994
1995
399,00
1996
1997
5460,00 5889,00
5461,00 5890,00
5470,00 5892,00
1998
15,54
15,24
15,01
1999
26,24
26,23
2000
3102,00
1175,00
403,00
1176,00
419,00
1194,00
448,00
1203,00
448,00
1208,00
450,00
1214,00
447,00
1231,00
417,00
1230,00
398,00
1229,00
419,00
1229,00
419,00
1237,00
418,00
1247,00
416,00
1250,00
415,00
1250,00
414,50
1247,00
414,50
4522,00
3102,00
5474,00
5475,00
5476,00
5478,00
4532,00 5481,00
3131,00
5484,00
4537,00
3157,00
5486,00
5487,00
5491,00
4559,00 5492,00
3187,00
5494,00
4566,00
3201,00
5497,00
5500,00
5503,00
4578,00 5508,00
3232,00
5511,00
4580,00
3249,00
5513,00
5515,00
5517,00
4583,00 5519,00
3275,00
5521,00
4597,00
3306,00
5523,00
5525,00
5530,00
3338,00
4628,00 5532,00
3383,00
5535,00
5537,00
5540,00
5543,00
4639,00 5546,00
3427,00
5550,00
4643,00
3454,00
5550,00
5553,00
5555,00
4648,00 5555,00
3512,00
5555,00
4640,00
3550,00
5560,00
5898,00
5899,00
5900,50
5900,50
5901,50
5903,00
5905,00
5906,50
5908,50
5910,50
5912,00
5914,00
5916,00
5917,00
5919,00
5921,00
5925,00
5927,00
5930,00
5933,00
5936,00
5935,00
5935,00
5936,00
5939,00
5941,00
5943,00
5943,00
5945,00
5947,00
5950,00
5955,00
5955,00
5958,00
5960,00
15,56
15,58
15,93
16,41
16,80
16,99
16,98
17,20
16,96
17,17
17,45
17,47
17,45
17,88
17,88
18,25
18,56
18,83
19,57
20,40
20,43
20,08
19,76
20,10
20,26
20,62
20,70
20,75
20,90
20,64
20,51
19,87
19,48
20,99
20,62
20,65
26,19
26,11
26,11
26,31
26,24
26,24
26,32
26,41
26,39
26,49
26,47
26,43
26,43
26,43
26,42
26,53
26,75
26,68
26,74
26,84
26,82
26,87
26,87
26,83
26,82
26,80
26,77
26,77
26,72
26,71
26,74
26,72
26,76
26,95
27,00
27,00
3.9.
01/1994 08/2000. UNJOB.
.94
.94
.94
.94
.94
.94
.94
.94
(
), .
4,7
5,0
5,3
5,5
5,5
5,5
5,6
5,7
( (
), %
), %
), .
115,6
6,4
893
116,2
6,8
989
119,4
7,1
1083
123,5
7,4
1180
125,1
7,4
1219
130,3
7,4
1260
133,4
7,6
1324
136,2
7,7
1392
165
708
794
889
976
1009
1044
1103
1163
.94
.94
.94
.94
.95
.95
.95
.95
.95
.95
.95
.95
.95
.95
.95
.95
.96
.96
.96
.96
.96
.96
.96
.96
.96
.96
.96
.96
.97
.97
.97
.97
.97
.97
.97
.97
.97
.97
.97
.97
.98
.98
.98
.98
.98
.98
.98
.98
.98
.98
(
), .
5,7
5,7
5,7
5,7
5,7
5,9
5,8
6,0
6,0
6,1
6,2
6,4
6,5
6,6
6,7
6,5
6,7
6,8
6,7
6,9
7,0
7,0
7,1
7,1
7,1
7,2
7,2
7,3
7,3
7,5
7,6
7,8
7,9
7,9
7,9
7,9
8,0
8,1
8,1
8,1
8,3
8,4
8,5
8,5
8,3
8,1
8,1
8,3
8,6
8,9
( (
), %
), %
), .
136,0
7,7
1426
132,5
7,7
1475
128,1
7,8
1550
126,1
7,8
1637
120,5
7,9
1710
116,1
8,1
1839
109,1
8,0
1921
107,5
8,2
1986
109,2
8,3
1993
110,7
8,4
2004
111,4
8,5
2048
112,5
8,8
2098
114,0
8,9
2104
116,4
9,1
2142
115,6
9,1
2228
114,9
9,0
2327
115,8
9,1
2418
115,2
9,3
2568
115,3
9,2
2676
115,5
9,5
2771
115,9
9,6
2694
115,1
9,6
2605
113,0
9,7
2558
110,7
9,7
2525
110,3
9,8
2470
108,1
9,8
2451
109,0
9,9
2460
111,3
10,0
2506
109,6
10,1
2516
109,8
10,3
2554
113,2
10,5
2550
112,1
10,7
2524
113,0
10,9
2412
112,5
10,9
2300
111,8
10,9
2218
111,5
10,9
2150
112,1
11,0
2063
112,2
11,1
2012
112,5
11,2
1996
111,7
11,2
1999
113,3
11,4
1970
113,0
11,6
1984
111,1
11,7
1960
108,8
11,7
1939
104,6
11,5
1866
102,4
11,3
1792
103,2
11,3
1769
104,8
11,6
1754
107,5
11,9
1754
110,2
12,3
1809
166
1199
1236
1301
1395
1457
1577
1654
1709
1721
1727
1764
1812
1821
1854
1932
2026
2099
2230
2337
2427
2392
2356
2329
2302
2250
2224
2226
2265
2261
2289
2275
2250
2130
2031
1958
1896
1821
1777
1764
1771
1746
1761
1742
1709
1666
1603
1586
1572
1580
1634
.98
.98
.99
.99
.99
.99
.99
.99
.99
.99
.99
.99
.99
.99
.00
.00
.00
.00
.00
.00
.00
.00
(
), .
9,4
9,7
10,1
10,4
10,0
9,6
9,1
8,8
8,7
8,7
8,8
8,9
9,1
8,9
8,7
8,6
8,2
7,8
7,4
7,3
7,2
7,1
( (
), %
), %
), .
115,4
12,9
1870
119,6
13,3
1929
122,3
13,8
1938
123,2
14,1
1956
118,7
13,7
1920
113,2
13,1
1848
110,0
12,4
1730
109,2
12,1
1595
107,0
11,9
1500
104,9
11,8
1423
102,3
11,9
1339
100,5
12,1
1283
96,8
12,3
1262
91,5
12,2
1263
86,4
12,0
1235
82,5
11,9
1229
81,3
11,3
1202
81,0
10,8
1151
81,2
10,2
1069
82,5
10,1
1009
82,6
10,0
990
81,9
9,8
986
167
1696
1756
1760
1774
1746
1694
1571
1432
1317
1250
1165
1111
1088
1090
1066
1058
1033
979
904
849
836
841
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