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..

2005

330.45:519.862.6

656
84
.. ( ).
.: , 2005. . 379.
CIP


()
, , ,
.
, .
.

Nosko V.P. Econometrics for Beginners (Additional Chapters)


The monograph deals with methods of statistical analysis of regression
models with a limited (censored) depended variable, systems of simultaneous
equations, panel data, as well as structural forms of vector autoregressions and
error correction models. The monograph is designated for students who have
mastered an introductory econometrics, as well as for experts in the area of
economics and finance.

JEL Classification: 50, 51, 52, 53


, ,
.
ISBN 5-93255-173-9

, 2005


............................................................................ 7
1.
.
...................................................................... 10
1.1 ,
................... 10
1.2.

............................................................. 18
1.3.
,
, .............. 24
1.4. ................................ 35
1.5.
.................................................................. 38
1.6. ,

.......................................................... 47
1.6.1. - ................................. 47
1.6.2. .................................. 55
1.7.
(-)................................................................... 67
1.8. -II ......................................................... 86
2. .
............................... 99
2.1.

..................................................................... 99

2.2. ,

........................................................................ 111
2.2.1.
.......................................... 111
2.2.2. .................. 113
2.3. ................. 116
2.4.

............................................. 125
2.5.

......................................................................... 133
2.6.
............................................. 158
2.6.1.
....................................................................... 158
2.6.2.
....................................................................... 159
2.6.3. GLS-
.
..................................... 167
2.6.4.

................................... 170
2.6.5.

...................................................................... 175
2.6.6.

...................................................................... 177
2.6.7.
. ......................................... 183

2.6.8.
........................... 207
3. ............................................. 213
3.1.
,
............................................................................. 213
3.2. ........................................ 242
3.3. ................................................ 248
3.4. ,
........................... 258
3.5.

........................................................................ 264
3.6. ............................... 272
3.7.
() ............................................ 276
3.7.1. .................................. 276
3.7.2. ........................................... 279
3.7.3.
................................................. 281
3.8. .................................. 284
3.9. ................ 285
3.10. ..................................... 291
3.10.1. RE- FE-..................... 291
3.10.2. ............................. 294
3.11. ........................................ 297
3.12. ................................. 313
3.12.1. -
..................................................................... 319

3.12.2. -
..................................................................... 323
3.12.3. ............................................................... 325
3.13. - ......................................................... 334
4.

............................................................. 347
.......................................................................... 372
..................................................... 374


:
,

,
(2000), :

(2004).
,
, ,

.
1
,
.

.

(, , )

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

( II).
2
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,
.
,

. ,
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,
.

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, ,

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,
, .
3
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, 2,

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,
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,
1 (, , ),
.

, 4 , 11
12 :
,

,
.

.
,


. ,

( [ (2000)]
[ (2004)]). ,

,
. ,
,
.
,
.

- ..,
.


1.


1.1 ,




( ),
( ),
( ) ..
n , .. n
, i -
1 ( )
0 ( ).
(, ) y ,
i - yi . y i = 1
i - y i = 0
i - .

(,
) ( ) , ,
,

yi = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 , K , xip p i -
,

1 ,K , p , 1 , K , n

,
i - -
.

11

(OLS
ordinary least squares) .
E ( i xi ) = 0 , i = 1, K , n ,

E ( y i xi ) = 1 xi1 + L + p xip = xiT ,

= 1 , K , p

)T

- () ,

( T
), xiT = xi1 , K, xip - ()

i - .
, yi ,
0 1,
( xi )

E ( y i xi ) = 1 P{y i = 1 xi } + 0 P{y i = 0 xi } = P{y i = 1 xi } .


,
1 xi1 + L + p xip = P{yi = 1 xi },

.. 1 xi1 +L + p xip ,

0 1 xi1 + L + p xip 1 .
,
.
, y i = 1 i = 1 xiT , y i = 0
i = xiT , ( xi ) i

i - , ()

P i = 1 xiT x i = P{y i = 1 x i } = xiT ,

{
P{

= xiT xi = P{y i = 0 xi } = 1 xiT .

12

, i

E ( i xi ) = 1 xiT P i = 1 xiT xi + xiT P i = xiT xi =

(
) {
} ( ) {
= (1 x ) x x (1 x ) = 0
T
i

T
i

T
i

T
i

( )
= (1 x ) x + ( x ) (1 x ) =
= x (1 x ) [x + (1 x )] = x (1 x ) .

D( i xi ) = E i2 xi (E ( i xi ) ) = E i2 xi =
T
i

T
i

T
i

T
i

T
i

T
i

T
i

T
i

T
i

T
i

, ,
i () .
, y i
i - , xi
, (
). ,
xi .

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

E ( yi xi ) = P{yi = 1 xi } = + xi ,
xi ,
,
( + (xi + 1)) ( + xi ) = ,
,
xi .

. ,
,

13


.

,
, , .

, ..
,
, ,
.
,

.
x(1) = min{x1 ,K, xn }, x( n ) = max{x1 , K, xn },
x(1) x x( n )
.
m l = x( n ) x(1) / m .

,
.
j - ( j = 1,K, m )
n j , n j ,1
. ( , xi,
, ,

.)

,
j - ,

h j = n j ,1 / n j .
,
n ,
m,
xi .

14

) (

x(1) ,0 x(n ) ,1 ,

.
- Gn (x) . P{yi = 1 xi = x} = G ( x) ,
Gn (x) - G (x) .
, G (x)
() x,
Gn (x) .

Gn (x)
G (x) ,
Gn (x)
.

(
)
,
1000
100 2100 , 510
.
( Gn (x) )
:

15

G_n

0.8
0.6
0.4
0.2
0
100

600

1100

1600

2100

, G (x)
, S- .
, , ,

: = 0 .237628 , = 0.000680,
P{yi = 1 xi }
P {y i = 1 x i } = 0 .237628 + 0 .000680 x i .

xi 349 ,
xi 1821 , ,
.
, , S-
0 1,
,
, ,
.

16


N , 2 , 2 ,

x
2
1
( z )
G ( x) =

exp

dz .
2 2
2

(z ) / = t

G ( x) =

( z ) =

1
2
1
2

( x ) /

e t

/2

x
dt =
,

t 2 / 2

e dt

N (0,1) ,

, .
x
G ( x) =


G ( x) = ( + x ) ,

= / , = 1 / .
, G (x)
,
yi = ( + xi ) + i , i = 1, K , n .
,
,
G (x) :
= / , = 1 / .
,
.

17

, G ( x) = ( + x )
,
. ,

n

Q( , ) = ( y i ( + x i )) .
2

i =1

,
, ,


.
,
:

D ( i xi ) = ( + xi ) (1 ( + xi )) .
,
i

, ..
n

Q( , ) = wi ( y i ( + x i )) ,
2

i =1

wi
wi = 1 / D ( i xi ) = [( + xi ) (1 ( + xi ))] 1 .
, xi,
,
.

w i0 , i = 1, K , n , G i0
Gi = G ( xi ) = ( + xi ) ,

1
w 0 = G 0 1 G 0
.
i

[ (
i

)]

18

yi = 0 yi = 1 ,
G 0 = 1 , y = 1 , G 0 = 0 , y = 0 .
i

w i0 (
).

,
,
,
.
,
,
,

yi = G 1 xi1 + L + p xip + i , i = 1, K , n ,

1.2.


,

y i = G ( 1 xi1 + L + p xip ) + i , i = 1, K , n ,

G ( z ) S- ,
g ( z ) = G ( z ) .

1 xi1 + L + p xip = xiT ,

( )

G ( 1 x i1 + L + p x ip ) = G x .
T
i

n
,

19

1 , K, n

xi ,

( )

E ( i xi ) = 0 , P{y i = 1 xi } = E ( y i xi ) = G x iT .

xi
G ( 1 xi1 + L + p xip ) + i ,
i = 1, K , n , ..
y1 ,K, yn . (
xi , i = 1, K , n )
y1 ,K, yn (
)
y
1 y
(P{yi = 1 xi }) (P{yi = 0 xi }) = (G (x )) (1 G (x ))
n

T
i

yi

T
i

1 yi

i =1

i =1

xi ,
i = 1, K , n , ,

( ( )) (1 G (x ))

L( ) = L( x1 , K , x n ) = G xiT
n

i =1

yi

T
i

1 yi

1 ,K , p . , 1 ,K , p
L( ) , .. xi , i = 1, K , n ,
y1 ,K, yn
, .

= ,
,

()

()

L = max L = max

(G(x )) (1 G (x ))
n

T
i

i =1

yi

T
i

1 yi


ln(z ) , ,
ln L( ) .

20

( )

( ))

ln L( ) = y i ln G xiT + (1 y i ) ln 1 G xiT .
i =1

i =1

, ,


.
,
(.. X = xij p

( )

n p ,
), L( )
,
,
.

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

Econometric Views
(EVIEWS) G ( z )
( z ) =

1
2

t 2 / 2

e dt

N (0,1) (-),

ez

1+ ez
(-),

( z ) =

21

G ( z ) = 1 exp e z
() I- (
, -).
,
(
),

.
.
0.4

0.3

0.2

0.1

0
-6

-4

-2


(1000 )
EVIEWS :1


,
. ,
t -, z . P-, ,
.

22

-:
Variable

Coefficient Std. Error

z-Statistic

Prob.

C
X

-3.503812
0.003254

0.200637
0.000178

-17.46343
18.25529

0.0000
0.0000

Variable

Coefficient Std. Error

z-Statistic

Prob.

C
X

-6.357013
0.005892

0.411837
0.000368

-15.43576
16.01461

0.0000
0.0000

Variable

Coefficient Std. Error

z-Statistic

Prob.

C
X

-3.022612
0.003344

-18.63764
19.93322

0.0000
0.0000

-:

-:
0.162178
0.000168


( = 3.503812 , = 0.003254 )
= 1076.77 = 307.31
,

Gn (x ) , . ,

G (x )
= 1100 = 300 .

- Gn (x ) ,

G (x ) ,

2
N(1100, 300 ),
G ( x ) ,
N(1076.77, 307.312).

23

1.0

0.8

0.6
G_N
THEOR
ESTIM

0.4

0.2

0.0
500

1000

1500

2000


G ( x ) - -
1.0

0.8

0.6

0.4

0.2

0.0

G_N

THEOR

PROBIT

LOGIT

GOMPIT

, - -,
, .
, -,

24

. ,


. .

1.3.
,
,
.


y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 1 ( ),
y .

R 2 ,
n

R 2 = 1

RSS
= 1
TSS

(y

i =1
n

(y
i =1

2
y i )

,
i

y)

y i = 1 xi1 + L + p xip , y = ( y1 + L + yn ) n . ( TSS ,


RSS .)
,
xi1 1 , ..
yi = 1 + i , i = 1, K , n ,
= y , y = = y , RSS = TSS R 2 = 0 .
1


R 2 ,

25

,

, .
R 2 = 1
, i = 1, K , n

yi = 1 xi1 + L + p xip .

yi = G 1 xi1 + L + p xip + i , i = 1, K , n ,


R 2 , -
.

,
,
( ).
yi = 1 ,
G x T > 1 / 2 .

( )
i

xiT > 0 ,
1, xiT > 0,
y i =
0, x iT 0.

n wrong ,1 =

y i y i =

i =1

(y
i =1

2
y i )


1 n
( y i y i )2 .
wrong ,1 =
n i =1

26

, ,
yi = 1 i = 1, K , n , 1 > 1 / 2 ,
.. y > 1 / 2 ( yi = 1 ,

).
,

yi = 0
i = 1, K , n , 1 / 2 , ..
1

y 1 / 2 ( yi = 1 ,
).

1 y , y > 1 / 2,
wrong ,0 =
y 1 / 2.
y,

wrong ,1

(y

2
y i )

.
= 1 i =1
wrong ,0
wrong ,0
, , ,
, , wrong ,1 > wrong ,0 ,
R 2predict = 1

R 2predict < 0 . ,

wrong ,0 0.5 ,

. ,
yi 1 90% , wrong , 0 = 0.1 ,
2
R predict
> 0 , ,

90% . ,
1 wrong ,1
.
.

27


R 2 .

,
(
)
.
L1
, L0
. , L0 L1 1 , ln L0 ln L1 0 .
c

1
[Aldrich, Nelson (1984)],
pseudoR 2 = 1
1 + 2(ln L1 ln L0 ) / n
ln L1
.
ln L0
LRI
(likelihood ratio index).
0 1.
2 = L = p = 0 , L0 = L1
McFaddenR 2 = 1

. ,
ln L1 = 0 , .. L1 = 1 . ,
y i = y i i = 1, K , n .
(, )

-
xiT . ,
xiT

28

( )

0 < G xiT < 1 ,


1.

,
R 2
.

.

wrong ,1

lnL1

0.125
0.124
0.121

wrong , 0

-275.7686
-275.4592
-292.6808
lnL0

0.490

-692.9472

(, ,
, 510,
. 1000
yi = 1 , 49% .)
, R 2
:
-
wrong ,1
0.125
R 2predict = 1
= 1
= 0.745 ,
0.490
wrong ,0

pseudoR 2 = 1

1
=
1 + 2(ln L1 ln L0 ) / n

=1

1
= 0.4548 ,
1 + 2(275.7686 + 692.9472) / 1000

McFaddenR 2 = 1

ln L1
275.7686
=1
= 0.6020 .
ln L0
692.9472

-
R 2predict = 1

wrong ,1
0.124
= 1
= 0.7470 ,
0.490
wrong ,0

pseudoR 2 = 1

1
=
1 + 2(ln L1 ln L0 ) / n

=1

1
= 0.4550 ,
1 + 2(275.4592 + 692.9472) / 1000

McFaddenR 2 = 1

ln L1
275.4592
=1
= 0.6025 .
ln L0
692.9472

-
R 2predict = 1

wrong ,1
0.121
= 1
= 0.7531 ,
0.490
wrong ,0

pseudoR 2 = 1

1
=
1 + 2(ln L1 ln L0 ) / n

=1

1
= 0.4446 ,
1 + 2(292.6808 + 692.9472) / 1000

29

30

McFaddenR 2 = 1

ln L1
275.4592
=1
= 0.5776 .
ln L0
692.9472

R 2predict

0.7450
0.7470
0.7531

pseudoR 2
0.4548
0.4550
0.4446

McFaddenR 2
0.6020
0.6025
0.5776

R 2 -. -
, -
pseudoR 2 McFaddenR 2 .
,
y i
:
y i = 0 xi 1100 , y i = 1 xi > 1100 .
100%
0, xi 1100
P{y i = 1} =
.
1, xi > 1100
, -, - -
, ..

.

,
, ,

31

,
(AIC) (SC):
AIC = 2 ln Lk / n + 2 p / n ,
SC = 2 ln Lk / n + p ln n / n ,

HQ = 2 ln Lk / n + 2 p ln(ln n) / n .
Lk k -
, p
.

, . ,
,

.

(

),


,
.
:

AIC
0.555537
0.554918
0.589362

SC
0.565353
0.564734
0.599177

HQ
0.559268
0.558649
0.593092

-.

. ,
- - .

32


;
2.
, ,
,
ECONOMETRIC VIEWS. ,

yi = 1
,
.

.
P-,
(
-
) 10 .

P-

0.1509

0.5511

0.0000

P-, -
.

.

66 :

,
X1 =

., , [Hosmer, Lemeshow
(1989)]

33


,


,
X3 =


,
X4 =


.
X5 =


. 1 66 ,
33 .
yi ,
X2 =

0 i = 1,K,33,
yi =
1 i = 34,K 66
.. yi = 1 , .

yi = ( + 1 xi1 + L + 5 xi 5 ) + i , i = 1, K,66 .

,
.


.
,
4 5 ,
.

( ) ( X 1 , X 2 , X 4 , X 5 )
( X 1 , X 3 , X 4 , X 5 ), .

34

P-,
0.10,
.
, 3 ,
McFaddenR 2 ( LRI )


(1, X 2 , X 4 , X 5 ),
P-, 0.184.
, ,

( 5% ), 6 ,

(1, X 1 , X 4 ), (1, X 3 , X 4 ),
(1, X 1 ), (1, X 2 ), (1, X 3 ), (1, X 4 ).
,
. ,
.

X1, X4
X3, X4
X1
X2
X3
X4

LRI

AIC

SC

HQ

0.645
0.785
0.441
0.829
0.668
0.460

0.582
0.389
0.835
0.298
0.520
0.809

0.682
0.488
0.902
0.364
0.587
0.875

0.621
0.427
0.861
0.324
0.547
0.835

-
.
.
6
3
12
3
7
10

(5 )
P-
0.4955
0.6499
0.4820
0.6916
0.0525
0.0004


.
4

35

, X 2 .
:
P {y i = 1 xi } = ( 0.6625 + 0.0987 x i 2 ) .
31
33 32 33 .
95.45% ,
50%
.
, ,


.

1.4.
,
,
,
.

y i = G ( 1 x i 1 + L + p x ip ) + i = G x iT , i = 1, K , n ;


P{yi = 1 xi } = E ( yi xi ) = G xiT .
k -
. (marginal effect)

P{y i = 1 xi } G xiT
,
=
xik
xik
, ,
T
i - xi = (xi1 ,K, xip ) .

( )

( )

xik k -
( )

36

P{yi = 1 xi } ,

P{yi = 1 xi }
G xiT
P{y i = 1 xi }
xik =
xik .
xik
xik
, ,


.
,
0 1 (- dummy variable),
(1) (0)
, ,
, .

P yi = 1 xi , d = 1 P yi = 1 xi , d = 0 ,

( )

} {

d -, xi
.

( )

- P{yi = 1 xi } = xiT = (1 xi1 + K + p xip ) .


xik k -
(
) P{yi = 1 xi } ,

(1 xi1 + L + p xip )
P{y i = 1 xi }
xik = xiT k xik ,
xik
1 t 2 / 2
e


( z ) =
2
N (0,1) ,
, .

( )

37

( )

k - xiT k ( k
).

-
P{y i = 1 x i } = x iT = ( 1 x i1 + K + p x ip )

( )

xik k - (
)
P{y i = 1 x i } ,

P{yi = 1 xi }
xiT
P{yi = 1 xi }
xik .
xik =
xik
xik
(z ) , :

( )

{ ( )(

( )) }

P{yi = 1 xi } xiT 1 xiT k xik .


, ,
k - .
. p = P ( A)
p

A , 0 < p < 1 .
1 p
(dds) . , p = 2 / 3 ,
p
2/3
=
= 2 , , A ,
1 p 1/ 3
, , 2:1 ( ,
p

2 ).
1 p

p
. logit ( p ) = 0 , p = 1 p = 0.5 , ..
(logit), logit( p ) = ln
1 p
A 50 50. logit ( p ) > 0 ,
, A . logit ( p ) < 0 ,
, A .

38

( )
( )

p = P{yi = 1 xi } .

exp x
1
, 1 p =
, logit( p ) = xiT ,
T
1 + exp xi
1 + exp xiT
.. - . ,
k -
xik (

( )

p = xiT =

T
i

( )

p
k xik ,
) ln
1 p
xik
p
100 k xik . ,
1 p
, yi = 1 , , yi = 0 ,
100 k x ik .

1.5.


,
,
.
, , -,

() 1000 .

39

1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
500

1000

1500

2000

,

.
,
:
i i -
. ,
,

.

,
,

,
. ,
, .. ,
,
.


. ,

40

pseudoR 2 = 1

1
1 + 2(ln L1 ln L0 ) / n

ln L1
.
ln L0

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


,
,
, -.
McFaddenR 2 = 1

, yi
i -
,
y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 , K , xip p i -
, 1 , K , n ,
i - -
.
i -
, yi > i ,

41

i , y i
( y i = 1 ) ( y i = 0 )
i - .
P{yi = 1 xi } = P yi > i xi = P 1 xi1 + L + p xip + i > i xi =

} {

= P i > i 1 xi1 L p xip xi ,

xi1 1 ,

P{y i = 1 x i } = P{ i > ( i 1 ) ( 2 xi 2 + L + p xip ) xi }.

, 1 , K, n
( xij , j = 1, K , p )
,
i ~ N 0, 2 ,

( 1 ) 2 xi 2 + L + p xip
=
P{yi = 1 xi } = 1 i

x
+
L
+
x
( i + 1 )
2 i2
p ip
.
=
+

1 ( x) = ( x) .)

( i + 1 ) , = j ,
1 =
j

:
P{y i = 1 xi } = ( 1 xi1 + L + p xip ) = x iT .

( )

-.
y i , xi1 , K , xip ,
y i .
y i () .

42

,
- 1 , K , p ,
1 ,K, p ,

1 , K , n . , , 1 , K , n , 1 , K , p
,
j
i + 1
, j =
1 =
,

1 , K , p k , k1 , K , k n ,

k1 , K , k p , k , < k < .

,
1 ,K, p -
.
, = 1 1 = L = n = 0 ,
= , K , = ,
1

.
,
1 ,K, p

1 , K, n : i ~ N (0, 1) .
, ..
H 0 : 1 , K, n ~ i.i.d., i ~ N (0, 1) .
( 1)
2, ,
P{ i t} = t + 1t 2 + 2t 3 ,

2
3
P{yi = 1 xi } = xiT + 1 xiT + 2 xiT .

( )

( )

43

1 2 (
1 = 2 = 0 ), 1 2 ,
2 H 0
H0 : 1 = 2 = 0 .

P{ i t} = t + 1t 2 + 2t 3
()
.
( t ) (

) t + 0.5t 2 + 0.5t 3 ( ).

1. 0

0. 8

0. 6

0. 4

0. 2

0. 0
-6

-4

-2

L j j ,
j = 1, 2 ,

LR = 2 (ln L2 ln L1 ) .

H 0 ,
LR

LRcrit ,

LRcrit

:
,

44

n LR , H 0 .
. ,
, H 0 ,
LR > 12 (2 ) ,

12 (2 ) 1 -
.

1000 .
- ( 1) ,
:

-3.503812
0.003254

Std. Error
0.200637
0.000178

z-Statistic
-17.46343
18.25529

Prob.
0.0000
0.0000

ln L1

-275.7686

Akaike info criterion

0.555537

Schwarz criterion
Hannan-Quinn criter.

0.565353
0.559268

2 :

1
2

ln L2

-3.851178
0.003540

Std. Error
0.324895
0.000292

z-Statistic
-11.85359
12.11708

Prob.
0.0000
0.0000

0.022954

0.025086

0.915039

0.3602

-0.017232

0.010178

-1.693097

0.0904

-274.6286

Akaike info criterion

0.557257

Schwarz criterion
Hannan-Quinn criter.

0.576888
0.564718

45

,
LR = 2 (ln L2 ln L1 ) = 2 (275.7686 274.6286) = 2.28 .

02.95 (2) = 5.99 ,

H 0
0.05. , LR = 2.28
( 2 (2) ) P
0.6802. ,
H 0
.


i .
,
.

,
.
-
,
-.
,

xi , ,
D( i xi ) = exp(k xi ) , k > 0 ,
( 3)
+x
i
.
P{y i = 1 xi } =
exp(k x )
i

3,
, 1 (

46

-) . 3

H0 : k = 0 .
3
:
Coefficient

Std. Error

z-Statistic

Prob.

-3.141966
0.002883

0.317695
0.000316

-9.889867
9.132687

0.0000
0.0000

-0.000236

0.000186

-1.269192

0.2044

ln L3

-275.2619

Akaike info criterion

0.556524

Schwarz criterion
Hannan-Quinn criter.

0.571247
0.562120

1 :
LR = 2 (ln L3 ln L1 ) = 2 (275.2619 274.6286) = 1.27 .

3.84,
0.05
0.95 -
. , H 0 : k = 0
.
, ,

,

:
1
()
2
3
()

AIC
0.555537

SC
0.565353

HQ
0.559268

0.557257
0.556524

0.576888
0.571247

0.564718
0.562120

47

1.6. ,

1.6.1. -

yi = 1 ,
i- , ,
,
, , .
,
,
, ,

, ( )
.
,
, ()
y i , xi1 , K , xip
i -
:
y i = 1 xi1 + L + p xip + i , i = 1, K , n .

i , y i
.
xi1 , K , xip y i ,
K
:

48

1, y i ,1 ,
i

yi = k , i , k 1 < y i i , k ,

K
K , y >
i , K 1 ,
i

i ,1 < L < i , k < L < i , K 1 , ,


.
,
(

1 , K , n


xij , j = 1,K, p )

,
i ~ N 0, 2 , -.
, K = 3
, i ,1 1 ,

i ,2 2
1,

yi = 2,

3,

P{yi = 1 xi } = P

y i 1 ,

1 < y i 2 ,
y i > 2 .

{y
{

} {

1 xi = P 1 xi1 + L + p xip + i 1 xi =

) }

= P i ( 1 1 ) 2 xi 2 + L + p xip xi =

( ) 2 xi 2 + L + p xip
= 1 1

) .

49

P{yi = 2 xi } = P 1 < yi 2 xi =

= P 1 < 1 xi1 + L + p xip + i 2 xi =

( 1 ) 2 xi 2 + L + p xip

= 2

( ) 2 xi 2 + L + p xip
,
1 1

} {

P{yi = 3 xi } = P yi > 2 xi = P 1 xi1 + L + p xip + i > 2 xi =

(
) }
( 1 ) ( 2 xi 2 + L + p xip )
.
= 1 2

= P i > ( 2 1 ) 2 xi 2 + L + p xip xi =

y i ,

xi1 , K , xip ,

i = 1, K , n . , ,
- ,
1 ,K, p ,

, 1 2 .
1 ,K, p -
. , = 1
1 = 0 , .
2 = ,
:
P {y i = 1 x i } = P y i 0 x i = x iT ,

} (
)
P{y = 2 x } = P{0 < y x }= ( x ) ( x ) ,
P{y = 3 x } = P{y > x }= 1 ( x ) .
i

T
i

T
i

T
i

j .
y i ,

50

y i

j- .

yi = 1 , yi = 2 yi = 3 ,

P{yi = 3 xi } P{yi = 1 xi }.

P{yi = 2 xi },
, ,
.

. y i
k , P {y = k x } = max P {y = k x }.
0

k =1,K, K

, 1000
100 2100
(..), 499
, 369 , 132
. ;

y i = xi + i , i = 1,K,1000 ,
i ( xi )

2
i ~ N 0,300 , .. = 300 . K = 3
1 2 , , 1 = 1100
1 = 1850 , -

1, y 1 ,
i

yi = 2, 1 < y i 2 ,

3, y i > 2 ,

51

y1 = 1 , i - , y1 = 2 , i -
, y1 = 3 , i -
( ) .
y i xi

3000
2500
2000
1500

Y*

1000

LEVEL1

500

LEVEL2

0
-500
-1000
x


LEVEL1=1100 LEVEL2=1850.
y i 1100
200 1600 .. 1100 < y i 1850
548 2094 ..
y i > 1850 1318 ..
. , ,

. ,
.

52

2500
2000
1500
1000
500
0
x


. , 1100 ..,
yi = 1 . , 1100 ..,
1850 .., yi = 2 . ,
1850 .., yi = 3 .
,
, .. (xi , yi ) , i = 1,K,1000 .
-
= 1 , = 0 (
EVIEWS), :
Coefficient

Std. Error

z-Statistic

Prob.

0.003361

0.000158

21.31648

0.0000

1
2

3.693723

0.185109

19.95431

0.0000

6.306692

0.279737

22.54510

0.0000

Limit Points

53

y i = 0.003361xi + ui ,

ui ~ N (0,1) ,

1, y 3.693723,
i

yi = 2, 3.693723 < y i 6.306692 ,

3, y i > 6.306692 .
,
, = 300

y i = 300 0.003361 xi + 300 u i = 1.0083 xi + i ,

i ~ N 0,3002 ,
1 = 300 3.693723 = 1108.1169 ,
2 = 300 6.306692 = 1892.0076 .
,
.
.
yi

- y i
.

- y i y i
.

1
2
3

499
369
132

500
387
113

1
2
3

-1
-18
19

54

y=k
600
500
400

300
200
100
0
1

k

, y i i-
:
yi

- y i
.

- y i y i
.

1
2
3

499
369
132

1000
0
0

1
2
3

-501
369
132


yi = 1, 2 ,3 .

yi =1
yi =2
yi =3

y i =1

y i =2

y i =3

438

61

62

265

42

61

71

55

, 1000 774,
.. 77.4%. yi = 1
438 499, .. 87.8% ; yi = 2
71.8% ; yi = 3
53.8% .
1.6.2.

,

,
.
K (
1,K, K ) i -
k - uik ,

uik = 1 xi1, k + L + p xip , k + ik = xikT + ik , i = 1, K , n ,

xik = xi1, k , K , xip , k

)T , ik

( i = 1, K , n , k = 1,K, K )

( xik ) ,
.
, i - k ,
.
yi = k . (

xik , k = 1,K, K ) , i -
k ,

56

P{yi = k } = P uik = max uij = P xikT + ik > max xijT + ij .


j =1,K, K , j k
j
=
1
,
K
,
K

.
,
ik
() I-
G ( z ) = exp e z , < z < ,
( ),
P{yi = k }
, :
exp xikT
P{yi = k } =
.
T
exp xiT1 + exp xiT2 + L + exp xiK

, ,
exp xiT1 ,

( )
( )

( )

xikT

xiT1

( )

exp

.
T
T
1 + exp
xi1 + L + exp xiK
xiT1
,
xiT1 , P{yi = k }
P{yi = k } =

(x

T
i2

) (

xiT2

T
xiT1 ,K, xiK
xiT1 .
,
xiT1 = 0, i = 1, K , n ,

exp xikT
P{yi = k } =
.
T
1 + exp xiT2 + L + exp xiK

-. ,
[Verbeek (2000)] [Amemiya (1985)]
- (multinomial logit model).
[Green (1993)] [Davidson, MacKinnon (1993)]

( )

( )

57

- (conditional logit model),


-
exp xiT k
P{yi = k } =
,
exp xiT 1 + exp xiT 2 + L + exp xiT K

(
),

. , k = 1, k ,K, p , k

k - :
uik = 1, k xi1 + L + p , k xip + ik = xiT k + ik , i = 1, K , n .

)T

EVIEWS.
xi ,
,
exp xiT k 1
P{yi = k } =
,
1 + exp xiT 2 1 + L + exp xiT K 1

( (
))

( (

))
( (

))

2 1 ,

K , K 1 , 1
.
exp xiT k
P{yi = k } =
.
1 + exp xiT 2 + L + exp xiT K

xij , j = 1,K, p ,

i = 1, K , n )
y1 ,K, yn ( 1, K, K )

58

(P{yi = k})

d ik

i =1 k =1

exp xiT k
=
T 2
T K
i =1 k =1 1 + exp xi + L + exp xi
n

d ik

1, yi = k ,
d ik =
0, yi k .
xi ,
i = 1, K , n , ,

= ( 1 ,K, K ) T :

ik

exp xiT k
,

L( ) = L( x1 , K, xn ) =
T 2
T K
1
+
exp
x

+
L
+
exp
x

i =1 k =1
i
i

T
, k = 1,K, K .
k = , K ,
n

1, k

p,k

, ,
,
.
xi1 1 , xi 2
i - ( 1 7), xi 3
i - ( 50 250 ..).
1000
,
,
.
, 3 .
:

59

( ,
, ),
(, , ) (,
, ).
1, 2, 3 .
.
k
1
2
3

k-

, i - k -
uik ,
uik = k1 xi1 + k 2 xi 2 + k 3 xi 3 + ik , i = 1,K,1000 ,
ik ( i = 1,K,1000 , k = 1, 2, 3 ) (
xij ) ,

G ( z ) = exp e z , < z < .

11 = 0, 12 = 0, 13 = 0 .
:
21 = 0.8, 22 = 1.0, 23 = 0.0032 ,
31 = 0.4, 32 = 0.3, 33 = 0.0032 ,

ui1 = i1 ,
ui 2 = 0.8 + xi 2 0.0032 xi 3 + i 2 ,
ui 3 = 0.4 xi1 + 0.3 xi 2 + 0.0032 xi 3 + i 3 .

60

.
12

U1
U2
U3

0
0

1000

-4

-8

, i -
k , k
. yi = k .
:

21
22
23
31
32
33

Coefficient

Std. Error

z-Statistic

Prob.

-1.655130

0.358914

-4.611496

0.0000

1.270612

0.097636

13.01381

0.0000

-0.001778

0.002134

-0.833304

0.4047

-1.031242

0.327444

-3.149372

0.0016

0.439590

0.087563

5.020273

0.0000

0.006283

0.001957

3.211368

0.0013

,
.

23 ,

61

21
22
23
31
32
33

-0.8

-1.655130

1.0

1.270612

-0.0032

-0.001778

-0.4

-1.031242

0.3

0.439590

0.0032

0.006283


. ,
,
:
21 < 31 21 < 31 ,
>
> .
22

32

22

32

P{yi = k }

k = 1, 2, 3 ,
exp x iT k
P {y i = k } =
,
1 + exp x iT 2 + exp x iT 3
, ,
,

. ,
,

i -

k ,
P {y i = k } > P {y i = l }, l k .

62

,
.
1
2
3
( k )

146

603

251

101

664

235

k (

1000
),

k .
.

700
600
500
400

300
200

100
0
1

:

2 1.

,

63


yi = 1, 2 ,3 .
y i =1
y i =2
y i =3
yi =1
yi =2
yi =3

48

26

72

11

550

42

42

88

121

, 1000 719, ..
71.9%. yi = 1 48
146, .. 32.9% ,
yi = 2 91.2% ;
yi = 3 48.2% .

, ,
,
.
storesk k - ( )
, distik i - k -
.
1000 ,
.
,
3 .
1, 2, 3 .
stores k
, distik
.
, i - k -
uik ,
uik = 1stores k + 2 distik + ik , i = 1,K,1000 ,

64

ik ( i = 1,K,1000 , k = 1, 2, 3 ) (
stores k distik ) ,

z
G ( z ) = exp e , < z < .
:
1 = 0.6, 2 = 1.0 ,

ui1 = 0.6stores1 disti1 + i1 ,
ui 2 = 0.6stores 2 disti 2 + i 2 ,
ui 3 = 0.6stores3 disti 3 + i 3 .
, i -
k , k
. yi = k .
:

1
2

Coefficient

Std. Error

z-Statistic

Prob.

0.932414

0.061646

15.12519

0.0000

-1.521518

0.101902

-14.93120

0.0000

i -
k ,
P {y i = k } > P {y i = l }, l k .
,
.
( k )

k

k

674

275

51

681

272

47

65


800
700
600
500

400

300
200
100
0
1

1
,
-,

,
exp xiT k 1
P{yi = k } =
.
1 + exp xiT 2 1 + L + exp xiT K 1
,
P{yi = k } exp xiT k 1
=
= exp xiT k m ,
P{yi = m } exp xiT m 1
.. k m

( (

( (
( (

( (
))

))
))

))
( (

( (

))

))

66

i -
K 2
.
2
- (
K ),

, , ,
exp xikT
P{y i = k } =
,
T
exp xiT1 + L + exp xiK


P{yi = k } exp xikT
T
=
= exp xikT xim
,
T
P{yi = m } exp xim
.. k m

i -
, k -
m -
. i -

K 2 .
.

( )

(
(

)
)

((

))

3
( K
) ,
(.. i -
). , ,
xikT = vikT , wiT ,

67

vikT i - ,
, wiT - i -
,
; :
T = T , T .

exp vikT + wiT


P{yi = k } =
=
T
exp viT1 + wiT + L + exp viK
+ wiT

(
)
(
)
(
exp(v )
=
,
exp(v ) + L + exp(v )

T
ik

T
i1

T
iK

,
.
(
)
P{yi = k } , .

(DUMMY
k
1, yi = k , 0
) ,
.
.

1.7. (
)

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

68

(xi , price _ observed i ) , xi


i- ,
i - ,
s,
price _ observedi = i
i - .
0,
, 1000
100 1600 ..

xi , x1 x 2 L x1000 .

:

14000

price_observed

12000
10000
8000
6000
4000
2000
0
0

600

1200

1800

,
. 418, ,
418 1000
. , ,
2002 ..,
, ,
, 2000 ..

69

?
, , 1000


price _ observed i = + xi + i .

Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X

-2427.821
6.915595

-20.06205
54.47591

0.0000
0.0000

R-squared

0.748337

121.0156
0.126948

,
price _ observed i = 0
( 582).

Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X

-1037.189
6.119677

-3.778599
26.17353

0.0002
0.0000

R-squared

0.541521

274.4903
0.233812

Mean dependent var

5919.670

price _ observed i ,
, ( 1000
), ..
pricef _ 1000 i = + x i = -2427.821 + 6.915595 xi ,
, ( 582
), ..
pricef _ 582 i = + x i = -1037.189 + 6.119677 x i .

70

14000
12000
10000
8000
6000
4000
2000
0
-2000 0

600

1200

1800

-4000
PRICE_OBSERVED

PRICEF_1000

PRICEF_582

, ,
.
,
.
,
.
, 1000 ,

pricei = + xi + i , i = 1, K , n ,
pricei ,
() i- , , ,
i- ,
, .
, > 0 ,
xi pricei .

,
,

price = + x .

pricei

71

pricei

,

.
, i-
pricei ,
( ), ..
pricei > .

pricei

,
. ,
pricei . (
),

.
price i ,
price i > ,
price _ censored i =
price i .
,

xi , price _ censored i

72

14000

price_censored

12000
10000
8000
6000
4000
2000
0
0

600

1200

1800

, pricei

yi = pricei .
,
. yi = 0 ,
price , price > ,
i
i
yi =

0
,

price
.

i
xi , yi

73

12000
10000

8000
6000
4000
2000
0
0

600

1200

1800


.

i .
(,

. , EVIEWS


.)
,
yi ,
yi > 0 (
pricei 2000 ).
p
(, i- ), ..
y i = 1 xi1 + L + p xip + i , i = 1, K , n ,

74

1 , K, n (
xij , j = 1,K, p ) ,

i ~ N 0, 2 .
xij , j = 1, K , p , i = 1, K , n , y i ,
y , y > 0,
i
yi = i

0
,

y
0.

i

- (tobit model).
-
xij , j = 1,K, p ,

y i ~ N 1 xi1 + L + p xip , 2 ,

E y i xij , j = 1,K, p = 1 xi1 + L + p xip ,

..

E y i xi = xiT ,

, ,

xi = ( xi1 , K, xip )T , = (1 ,K, p )T .

j
()
xi = ( xi1 , K, xip )T
j - .
j
yi > 0 ,
yi = 1 xi1 + L + p xip + i , i = 1,K, n1 ,
n1 , ( n
). ,

75


. w > 0
P 0 < y i w

P{yi w} = P y i w y i > 0 =
,
P y i > 0

n1

} {{

xT y xiT w xT
i
P 0 < y i w = P i < i

w xiT
=

x i

y xiT w xT
T
xiT
i
= xi .
P y i > 0 = 1 P i

= 1


dP{yi w} dw ,
yi
( xi ):

xT
1 w xiT
i .


yi :
p yi ( w) =

xT
E ( yi xi ) = w p yi ( w)dw = xiT + i

0
( z ) = (z ) ( z ) .

, E ( yi xi ) xi ,

E ( yi xi ) > xiT .

76



y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
,
.

x T + i , xiT + i > 0
.
yi = i
xiT + i 0
0,

xT
xT
P{y i = 0 xi } = P i xiT = i = 1 i ,


w > 0
y xiT w xiT
w xiT
.

P{yi w xi } = P i



yi :

xT w xiT
T
dw xi
E ( yi xi ) = 0 1 i + w

x T xT
= xiT + i i .

E ( yi xi )
xT
i , .. ,

. ,
xT
xT xT
E ( yi xi ) = xiT i + i i =

77

xT
xT
= x iT i + i .


xij
xT
E ( yi xi )
= j i
xij

.. j :

,
yi > 0 .
~
, E ( yi xi )
yi ,

~
E ( y i x i )
= j 1 z ( z ) 2 ( z ) ,
x ij

xT
( z ) = ( z ) ( z ) , z = i .

,
1000 , 582 .
.
, yi = pricei 2000
y i = + xi + i , i = 1,K,1000 , pricei

pricei = ( + 2000) + xi + i .


y i = + xi + i ,
.


(xi , yi ) .

78

:
C
X

Coefficient Std. Error

z-Statistic

Prob.

-5710.678
8.103471

-11.89357
21.54728

0.0000
0.0000

66.21537

27.52040

0.0000

Coefficient Std. Error

z-Statistic

Prob.

-6041.883
8.363125

-25.87195
39.96215

0.0000
0.0000

33.79933

0.0000

480.1485
0.376079

Error Distribution

1822.273

:
C
X

233.5302
0.209276

Error Distribution

1823.565

53.95272


pricei :
pricei = 3710.678 + 8.103471 xi ( ),
pricei = 4041.883 + 8.363125 xi ( ).

, ,
1822.273 1823.565. , ,
,
pricei = 3600 + 8 xi + 1800 ui ,
u1 ,K, u1000 ,
N (0,1) .

pricei ,
( price _ starf _ trun )
( price _ starf _ cens ).

79

14000
12000
10000
8000
6000
4000
2000
0
-2000 0

1800

-4000
-6000
-8000
PRIE_STAR

PRICE_STARF_CENS

PRICE_STARF_TRUN

, ,
, .
yi
yi ,
.

80

12000
10000
8000
6000
4000
2000
0
0

600
Y

YF_TRUNC

1200

1800

YF_CENSORED

, xi 1330 yi ,
,
yi , ;
. , xi < 1330
yi , ,
yi ,
,
xi .
, yi ,
,
1000 ,
,
,
yi = + xi + i 1000
:

Variable
C
X

81

Coefficient Std. Error

t-Statistic

Prob.

-2075.806
5.130473

-19.81338
46.68158

0.0000
0.0000

104.7679
0.109904

xi 470
.

582 :
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X

-3037.189
6.119677

274.4903
0.233812

-11.06483
26.17353

0.0000
0.0000


xi 498 .
:

14000
12000
10000
8000
6000
4000
2000
0
-2000 0
-4000

600

1200

1800

X
Y

YF_OLS_1000

YF_OLS_582


zi , i = 1,K, n ,
(MAPE mean squared absolute error),

82

. z i
zi ,
MAPE =

1
n

100
i =1

z i z i
.
zi

C yi
.

MAPE %

OLS_582
118.46

OLS_1000
99.86

Truncated
126.69

Censored
71.96

, ,
.
.
,

xT xT ~
xT
E ( y i x i ) = x iT + i i = E ( y i x i ) i ,

~
E ( yi xi ) yi
. :
xiT

~

E ( y i x i )
x iT E ( y i xi )
~

=
+ E ( y i xi )
.

x ij
xij
x ij


xT
y i > 0 , i = P{yi > 0},

P{yi > 0} , ,
~
E ( yi xi ) . ,

xT
i
T
P{yi > 0}
= 1 xi
=
xij
xij

83

j .

~
E ( yi xi ) (
5
):
9000
8000
7000
6000
5000
4000
3000
2000
1000
0
0

600

1200
E_Y

E_Y>0

P{yi > 0}
:
xij

1800

84

0.0012
0.001
0.0008
0.0006
0.0004
0.0002
0
0

600

1200

1800

D_PROB

E ( yi xi )
xij

9
8
7
6
5
4
3
2
1
0
0

600

1200
TERM1

1800

85

3
2.5
2
1.5
1
0.5
0
0

600

1200

1800

TERM2

xT
E ( yi xi )
= j i
xij

9
8
7
6
5
4
3
2
1
0
0

600

1200
D_EXPECTED_Y

1800

86


y i
(D_EXPECTED_Y) y i > 0 (D_E_Y>0).
9
8
7
6
5
4
3
2
1
0
0

600
D_EXPECTED_Y

1200

1800

D_E_Y>0

1.8. -II

pricei = + xi + i , i = 1, K , n ,
pricei ,
() i- , , ,
i- ,
, .

87

, i-
pricei , pricei > . ,

,
.
,

.
yi ,
i . yi ,
hi > 0 , hi
. ,
y i = x1Ti1 + 1i , i = 1, K , n ,

hi = x2Ti 2 + 2i , i = 1, K , n ,

x1i = x11,i , K, x1 p1 ,i

)T

p1

y i ,

1 = (11 , K, 1 p1 )T ,

x2i = x21, i , K, x2 p 2 , i

)T

p2

hi ,

2 = ( 21 ,K, 2 p 2 )T

.
1i

2i

, Cov(1i , 2i ) 0 .
, ,

88

(1i , 2i )T , i = 1, K , n ,
N 2 (0, )

2 12
,
= 1
2
12 2
..
2 12
1i
.
~ i.i.d. N 2 0, 1
2

2
i

2
12

2 =1.

x1 j ,i , x2 j ,i , j = 1,K, p ,

i = 1, K , n ;
hi ,

1, h > 0,
i
hi =

0, h i 0;
y i ,
y , hi = 1,
yi = i
0, hi = 0.


-II . ,
,
-I .

89

yi hi
, .

hi ( )
, yi .

yi hi .
, x1Ti1 = x2Ti 2 1i = 2i ,
-,
( -I).
,
, , , pricei

pricei = + xi + i , i = 1, K , n ,

hi > 0 ,

hi = + xi + ui ,
, ,
hi = + xi + d man + ui ,
d man = 1 , , d man = 0 ,
.
, ( x1i ,
x2i )

E {yi hi = 1} = x1Ti1 + E {1i hi = 1} = x1Ti1 + E 1i 2i > x2Ti 2 =

90

= x1Ti1 +

12
E 1i 2i > x2Ti 2 = x1Ti1 + 12 x2Ti 2 ,
2
2

, ,
( z ) = ( z ) ( z ) .
12 = 0 ,

E {yi hi = 1} = x1Ti1 .

, 1i 2i , ,
hi ,

yi = x1Ti1 + 1i
hi = 1 .
x1Ti1 .
12 0 ,
x1Ti1 ,
.

x2Ti 2 ,


-II ,
,


1 , 2 , 1 , 12 .
, .

.


E {yi hi = 1} = x1Ti1 + 12 x2Ti 2

91

yi = x1Ti1 + 12i + i ,
i ,

) (

) (

i = x2Ti 2 = x2Ti 2 x2Ti 2 .


1i x1i x2i , i x1i
i ,
. , , , i
, 2
.
2 -
.
i = x 2Ti2 ( ).
i .
y = x T + +

1i 1

12

; (
) 1 12 . ,
yi x1i , x2i
hi = 1
E {y x , x , h = 1} = x T + x T .
i

1i

2i

1i 1

12

2i

yi
x1i , x2i hi = 1 ,
E {y x , x } = x T .
i

1i

2i

1i 1

yi

1i 2i ,
H 0 : 12 = 0

92

,
. ,

,
, i
.
i

, , -II

n

L(1 , 2 , 1 , 12 ) = (P{hi = 0})1hi (P{hi = 1} f ( yi hi = 1)) i ,


h

i =1

f ( yi hi = 1)

yi hi = 1 .

P{hi = 0} = 1 x2Ti 2 ,

P{hi = 1} f ( yi hi = 1) = P{hi = 1 yi } f ( yi ) ,

)(

xT + 2 y xT
12
1
1i 1
i
,
P{hi = 1 yi } = 2i 2

2
1

12
1

2
y xT
1
exp i 12i 1 .
f ( yi ) =

2 1
1 2


,
.

93

1

wi > 2000 ,
wi = 3600 + 8 xi + 1800 2i , 21 , K, 2,1000 ~ i.i.d. N (0,1) .

hi = wi 2000 , hi > 0 ,
hi = 5600 + 8 xi + 1800 2i ,

,
1800:
hi = 3.111 + 0.00445 xi + 2i .
i-

pricei = 4000 + 6 xi + 1i , 11 , K, 1,1000 ~ i.i.d. N (0,1000 2 ) .

(11 , 21 ),K, (1,1000 , 2,1000 )

, Cov(1i , 2i ) = 707 ,
1i , 2i 12 = 0.707 .
-II
:
yi* = 11 x11,i + 12 x12,i + 1i , hi = 21 x21,i + 22 x22,i + 2i ,
x11,i = x21,i = 1 , x12,i = x22,i = xi , 11 = 4000 , 12 = 6 , 21 = 3.111 ,

22 = 0.00445 ; 1 = 1000, 2 = 1, 12 = 707.



,
hi = 3.450 + 0.00476 xi ,

pricei = 3936.2 + 5.995 xi .

94


,

hi = 3.483 + 0.00480 xi ,
pricei = 4159.3 + 5.828 xi .

1 = 1010.7, 12 = 0.598 .
,
, .
,
.

8
6
4
2
0
100
-2

1600

-4
-6
H_STAR

H_STAR_F

95

1.2
1
0.8
0.6
0.4
0.2
0
100

300

500

700

900
H

18000
16000
14000
12000
10000
8000
6000
4000
2000
0
100

300

500

700
Y_STAR

1100

1300

1500

1300

1500

H_F

900

1100

Y_STAR_F582

96

18000
16000
14000
12000
10000
8000
6000
4000
2000
0
100

300

500
Y_STAR

18000
16000
14000
12000
10000
8000
6000
4000
2000
0
100

300

500

700

900

Y_STAR_F

700

900
Y

Y_F

1100

1300

1500

Y_STAR_F582

1100

1300

1500

97

2
1
,
hi = 4 + 0.003 xi + 2(d man ) i + 2i ,
d man = 1 , , d man = 0 ,
.

,
hi = 4.280 + 0.00297 xi + 2.347(d man )i ,

pricei = 3879.97 + 6.124 xi .
1 = 984.2, 12 = 0.643 .
,
,
.
yi
(Y_EXPECTED_F).
20000
15000
10000
5000
0
100

600

1100
Y

Y_EXPECTED_F

1600

2100

98


yi . ,
, ,
.

2. .

2.1.


1 ,


. (

,
,

.)
,

.

,
.
,
,

.
-

y = X + ,

y = ( y1 , y 2 , K , y n )T -
n ,
X (np)- n
, n > p,
= ( 1, 2, , p)T - ,

100

= ( 1 , 2 K, n )T -
() n ,
n-

E() = (E(1), E(2), , E(n))T = (0, 0, ..., 0)T ( :
E() = 0)

Var() = (Cov(i , j)) = 2 In ,
In ( n n).

Cov(i , j) = E(i E(i))(j E(j))


i j .


:
,
, , ,
, :

, t ;

, t-
;

,
F- ;

,
.

101

n ,

xi1 ,K , xip ,

i = 1, K , n ; (
) i , i = 1, K , n ,
,
y1 , K , y n , .

,

,

.

. ,

.

,
.
, -
p
y = X +
.
X p , XTX
,
(XTX)1 ,

= (XTX) 1XTy.

102

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


= + E ((XTX) 1XT ).
X ,
E ((XTX) 1XT ) = (XTX) 1XT E ( ) = 0,
E( ) = , .. .
(,
) ,
E ((XTX) 1XT ) 0,
E( ) ,
. ,

.
,

, ,
( ).

A
i ()

x k 1 , K , x kp i k ;

1, 2, , n


2 > 0. ( ,

i ~ i.i.d. N (0, 2). i.i.d.
independent identically distributed.)
:
E ((XTX) 1XT ) = E ((XTX) 1XT) E( ) = 0
(, , E ((XTX) 1XT)
),
. (

103

) .

X ;
(
).
,
X X .

,
:
1
| X ~ N , 2 X T X .

1
N , 2 X T X X . ,

, .
j- :
1
j | X ~ N j , 2 X T X j j ,

X T X

1
jj

j- X T X

j j
( X T X ) j1j

X ~ N (0, 1) .

(n p)S2/2, S2 = RSS/(n p),


RSS , (n p) ,
(n p)S2/2 | X ~ 2(n p) .
, t- H0:
j = *j

104

t=

j *j
S ( X T X ) j1j

( )
=
j

*
j

( X T X ) j 1j

S2 2

, H0 ,
t- t-
(n p) ,
t | X ~ t(n p) .
X .
, X ,
t- H0 : j = *j
t(n p) .

F-
.

A .
A
| X ~ N(0, 2In) ,
( n n) .

In

C
, ,
, i X ~ i.i.d.
,

X n-
2
N(0, V) ;

V
nn.

105

V

, V 1.
(nn)- P,
V 1 = PTP. P,
*= P .

E(*) = 0
( X)
*
Cov(*| X ) = E (**T | X ) = E (P (P )T | X ) =
= P E ( T | X ) PT = P 2 V PT.
V = (V 1) 1 = (PTP) 1,
Cov(*| X ) = P 2 V PT = 2 P(PTP) 1PT = 2In .
P
y = X + ,
:
Py = PX +P ,

y* = X * +* ,

y* = Py , X * = PX , *= P .

* | X ~ N(0, 2In) ,
,
A. , ,
A, y*= X * +*.
,
* = (X *T X *) 1X *T y* = (XTPTPX) 1 XTPTPy = (XT V 1X) 1 XT V 1y
, .. E( *) = ,
( X)
Cov( * | X ) = 2(X *T X *) 1 = 2(XT V 1X) 1.

wik (y i 1 x i1 K p x i p )(y k
n

i =1 k =1

1 x k1 K p x k p ,

106

w ik = v ik( 1) V 1.

. *
(GLS generalized least squares).
y* = X * + *
, t- F-.
, A, A

E ( i X ) = 0 , i = 1, K , n ,

E i xkj = 0 j = 1,K, p i k .


E ( i ) = 0

Cov( i , xkj ) = E ( i E ( i ))(xkj E (xkj )) = E ( i )(xkj E (xkj )) =


= E ( i xkj ) = 0

(, ,
E (xkj ) ).
, i -
xkj , A,

A, C . , ,
i - -
.

,
. , ,

.

107


(DGP data generating process)
DGP: yi = + xi + i , i ~ i.i.d. N (0,1) , i = 1, K ,100 ,
= 10, = 2 ,
xi = i 0.9 i 1 , i = 2 , K ,100 ;
Corr ( xi , i ) = 0 .743 .
, yi , xi ,
i = 2 , K ,100 , .

yi = + xi + i .
:
Dependent Variable: Y_FIXED
Method: Least Squares
Sample(adjusted): 2 100
Coefficient
C(1)
C(2)

10.13984
2.553515

Std. Error

t-Statistic

Prob.

0.069148
0.054971

146.6398
46.45184

0.0000
0.0000

= 2.553 ,
.
x2 ,K, x100 ,

(k )
k = 2 , K ,500 ,
499
1( k ) , K, 100
,
,
,

(k )
y2( k ) ,K, y100
:

(k )
i

= + xi + i( k ) , i = 2 , K ,100 .

k = 2 , K ,500

yi( k ) , xi , i = 2 , K ,100 ,

yi( k ) = + xi + i( k )

108

( k ) , ( k ) .

, K ,

( 2) , K , (500) .

( 2) , K , (500) .
( 2)

( 500 )

80
Series: SLOPE
Sample 2 500
Observations 499

60

40

20

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

1.999663
1.994058
2.238951
1.740510
0.083992
0.161028
2.895625

Jarque-Bera
Probability

2.383013
0.303763

0
1 .8

1 .9

2 .0

2 .1

2 .2


;
.
.
(k )

2( k ) , K, 100
,

(k )
2

(k )
100

k = 2 , K ,500 , x ,K, x

(k )
y2( k ) ,K, y100
:

},

y = + x + , i = 2 , K ,100 .

(k )
k
x2( k ) ,K, x100
,
(k )
i

(k )
i

(k )
i

(k )
2

(k )
100

x ,K, x

k = 2 , K ,500

}.
{y ,K, y },

(k )
2

, K,
(k )
2

(k )
100

(k )
100

109

yi( k ) = + xi( k ) + i( k )

( k ) ( k )
, . , ,
(1) (1) , (1) = 10.13984, (1) = 2.553515,

(1) , K , (500 )
(1) , K , (500) .

(1) , K , (500) .
80
Series: SLOPE_RANDOM
Sample 2 500
Observations 499

60

40

20

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

2.552114
2.551333
2.588107
2.530200
0.007346
0.754039
4.608878

Jarque-Bera
Probability

101.1054
0.000000

0
2.53

2.54

2.55

2.56

2.57

2.58

2.59

( k ) ,
2.552114,
= 2 ,
,
= 2 .
, xi i
, xi ,
, ,
.
,
, ,
.

110

yi , xi , i = 2,K,100 ,
:
20
18
16
14
12

10

Y_THEOR
Linear (Y)

8
6
4
2
0
-4

-2

Linear(Y) ,
, .. y = 10.13984 + 2.553515 x ,
Y_THEOR y = 10 + 2 x .
,
,
xi yi
y = 10 + 2 x .

111

2.2. ,

2.2.1.


DGP: yi = + zi + ui , i = 1, K ,100 ,
z ,
:
E (ui ) = 0, D(ui ) = 2 , E (ui zi ) = 0,

E ( yi zt ) = + zi .
, zi ,
zi

xi = zi + vi ,

vi .
, , , yi i , zi .
:
E (vi ) = 0, D(vi ) = v2 ;
ui vi :
vi zi .
( ,
- .)
zi xi xi vi zi
. :
y i = + xi + i ,
i = vi ui

112

Cov(xi , i ) = Cov(zi + vi , vi ui ) = u2 .
> 0, xi i ;
< 0, xi i .
,

n, , ..

.
:
n

(y

i =1

y )(x i x )
;

(x

x)

i =1

yi . :
n

( x
i =1

x + i )( x i x )
n

(x

x)

= +
2

i =1

i =1

)( xi x )

(x

x)

,
2

i =1

2
Cov(xi , i )
= + 2 u2 .
p lim = +
D (x i )
z +u
n
,

, = 0 , .. zi
2
u

. u2 z2 ,
;

. > 0,
.

113

2.2.2.

Ct = + Yt + t ,
Ct , Yt
,
( ).

,
.
,

Yt = Ct + I t ,
I t ,

Ct = + Yt + t
,

Yt = Ct + I t

.
Ct Yt I t ,
:
1

Ct = 1 + 1 I t + 1 t ,

Y = + 1 I + 1 .
t 1 1 t 1 t
, t ~ i.i.d., E ( t ) = 0, D( t ) = 2 > 0
t I t t .
:

114

2
1
Cov( t , t ) =
0,
1
1
Ct Yt
.
,
, :
Cov(Y , t )
,
p lim = +
D (Yt )
n

Cov(Yt , t ) =

D(Yt ) =

(1 )

(D(I ) + ) ,
2

p lim = + (1 )
n

D(I t ) + 2

2 > 0 0 < < 1 ,


.
, ,
,
.
.
:
~
Ct = ~ + I t + ~t ,
~

~ = (1 ) ,
= (1 ) ,
~ = (1 ) ,
E (~ ) = 0,
t

2
D(~t ) = ~2 = 2 (1 ) .
~
, ~

~2 ,
,
~
~
~
~2
= 1 + , = ~ 1 + , 2 = ~2 1 + .

115

,
.
. ,
.
, :
~
Yt = ~ + I t + ~t ,
~
~
~ = = (1 ) , = 1 (1 ) .
, ~
~
~2 ,
,
~
~
~
~
= 1 , = ~ , 2 = ~2 2 .
,
,
.
, 2
, ,
~
~ ~
~ ~
~
~
~2
~ = ~ 1 + , 1 = 1 + , ~2 2 = ~2 1 + ,
,
,
. ,

. ,
.

,
,

.
,
,
. ,

)(

116

2.3.
,
, ,

y i = + xi + i , i ~ i.i.d., E ( i ) = 0, D( i ) = 2 , i = 1, K , n.


n

( y i xi ) = 0 ,

i =1

(y

xi ) x i = 0,

i =1

e = (e1 ,K, en ) ,
e = y x
i - ,
T

1 = (1,K,1)
x = (x1 ,K, xn ) . ,

1 n
1 n
e
1
=
0
,
i
ei xi = 0 ,
n i=1
n i=1

Cov( i ,1) = 0 , Cov( i , xi ) = 0 .
E ( i ) = 0 ,
,
:
E ( i xi ) = 0 .
T

Cov( i , xi ) 0 ,

p lim
n

1 n
ei xi 0
n i=1

1 n
ei xi = 0
n i=1

117

. -

zi ,
Cov( i , zi ) = E ( i zi ) = 0 ,
, ..

( yi xi ) zi = 0.

i 1
=

,
,
.

( yi xi ) = 0 , ( yi xi ) zi = 0 ,

i =1
i =1

:
n

(y

i =1
n

y )(zi z )

(x x )(z
i

i =1

z)

( x x +
i

i =1

(x

i =1

)( zi z )

x )( zi z )

1 n
( i )(zi z )
n i=1
.
=+ n
1
(xi x )(zi z )
n i=1

p lim
n

p lim
n

1 n
( i )(zi z ) = Cov( i , zi ) = 0 ,
n i=1
1 n
(xi x )(zi z ) = Cov(xi , zi ) ,
n i=1

118

, p lim = 0 ,
n

: Cov( xi , zi ) 0.
zi
Cov( i , zi ) = 0, Cov( xi , zi ) 0,
,
.

xi , xi i .
, ,

y i = + xi + i , xi

() , xi
i . ,
,
, (
) IV: IV , IV ( IV , IV ). IV
Instrumental Variables (
).
.
,
, ..
C t = + Yt + t ,

Yt = C t + I t .

2
0 , Yt
1
. Cov(I t , t ) = 0 (
:

Cov(Yt , t ) =

119

), I t
. ,


1
1
1
: Cov(Yt , I t ) = Cov
It +
D (I t ) 0 ,
t , I t =
+
1
1
1
1

I t
.

n

IV =

(C C )(I
t

t =1
n

(Y Y )(I
t

t =1

I)
I)

IV-
.
Ct = + Yt + t
I t . :
Cov(Ct , I t ) = Cov( , I t ) + Cov(Yt , I t ) + Cov( t , I t ) .

Cov(Ct , I t ) = Cov(Yt , I t ) ,
:

Cov(Ct , I t )
.
Cov(Yt , I t )

n ,

:

120

IV

1
n

(C

1
n

(Yt Y )(I t I ) (Yt Y )(I t I )

t =1
n

C (I t I )
=

t =1

(C
t =1
n

C (I t I )
.

t =1

[Gujarati (1995),
p.651]:
Cons = ,
Y = ,
I = .
. 1987 .

1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988

CONS
1813.5
1873.7
1978.4
2066.7
2053.8
2097.5
2207.3
2296.6
2391.8
2448.4
2447.1
2476.9
2503.7
2619.4
2746.1
2865.8
2969.1
3052.2
3162.4

Y
2873.9
2955.9
3107.1
3268.6
3248.1
3221.7
3380.8
3533.3
3703.5
3796.8
3776.3
3843.1
3760.3
3906.6
4148.5
4279.8
4404.5
4539.9
4718.6

I
429.7
475.7
532.2
591.7
543.0
437.6
520.6
600.4
664.6
669.7
594.4
631.1
540.5
599.5
757.5
745.9
735.1
749.3
773.4

1989
1990
1991

3223.3
3260.4
3240.8

121

4838.0
4877.5
4821.0

784.0
739.1
661.1


Const = + Yt + t
:
Dependent Variable: CONS
Method: Least Squares
Sample: 1970 1991
Included observations: 22
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
Y

-301.1158
0.734314

38.52693
0.009844

-7.815722
74.59484

0.0000
0.0000

, :
Cons t = 216.8 + 3.704 I t + t ,
Yt = 667.4 + 5.104 I t + t ,

~
~
~ = 216.8 , = 3.704 , ~ = 667.4 , = 216.8 .

:
~
~
~
= 1 + = 0.787 , = ~ 1 + = 46.1 .

,
:
~
~
~
= 1 = 0.995 , = ~ = 3.1 .
.

I t , :

122

2
n

IV

(C
t =1
n

C (I t I )

(Yt Y )(It I )

= 0.725604 .

t =1

, ,
,

Yt ,

Yt .

Yt I t (
).
,
Yt = + I t ,

Yt
t . ,
Yt :

Yt = Yt + Yt Yt ,

Cons t = + Yt + t ,

Yt
.

123


Const = + Yt + t

, 2SLS (two-stage least squares).


2 SLS 2 SLS , ,

(Cons

2 SLS 2 SLS Yi ) = 0 ,

(Cons

2 SLS 2 SLS Yt ) I t = 0 ,

t =1
n
t =1

.. IV-.

2SLS :
Dependent Variable: CONS
Method: Least Squares
Sample: 1970 1991
Included observations: 22
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
Y_CLEANED

-267.4634
0.725604

352.8290
0.090399

-0.758054
8.026691

0.4573
0.0000

,
:

, ,
,

;

124


,
;
.
, ,
,
,

. , IV-
, OLS-.

. - ,
, ,
.
, ,

(weak instruments), ..
, IV-
, OLS- (.,
, [Staiger, Stock (1997)]).

125

2.4.


,
,

.
. .
:
Q d = a 0 + a1 P,
s
Q = b0 + b1 P,
s
d
Q = Q ,
Q s , Q d , P
; a1 < 0 , b1 > 0 .
, .. a0 ,
a1 , b0 b1 ,
P Q .
P Q :
Q a1P = a0 ,

Q b1 P = b0 ,


a b ab
a b
Q= 0 1 1 0 , P= 0 0 .
b1 a1
b1 a1
a0 > b0 .

126

,
, a0 a0 + ut t -
, ,
t - b0 b0 + vt .
t Pt Qt ,

Qt = a0 + a1Pt + ut ,

Qt = b0 + b1Pt + vt .
Pt Qt ,
Pt Qt .
t - a0 , a1 ,
b0 , b1 () ut , vt .
:
ut vt ;
, Pt Qt
;
- Pt Qt .
Qt = + Pt + t ,
, :
. ,


1948 1961
([ (2004), . 110]):

-
77.484
-24.775

.
13.921
29.794

t-.
5.566
-0.832

P-.
0.0001
0.4219


, ,

127

,
,
.
Pt
Pt , :
a b a b b u a1vt
Qt = 0 1 1 0 + 1 t
= 1 + wt1 .
b1 a1
b1 a1
Qt
, :
a b0 u t vt
Pt = 0
+
= 2 + wt 2 .
b1 a1 b1 a1

Qt = 1 + wt1

Pt = 2 + wt 2
. - ,

t ,
:
b u a1vt ut vt
1
=
(b1D(ut ) + a1D(vt )).
Cov(wt1 , wt 2 ) = Cov 1 t
,
b1 a1 b1 a1 b1 a1


(,
),

.
t1 , t1 ,
a0b1 a1b0
a b

0 0 .
b1 a1
b1 a1

128

a0 , a1 , b0 , b1 ,


.
(,
) Yt ,
:
Qt = a0 + a1 Pt + a2Yt + ut ,

Qt = b0 + b1 Pt + vt .
, ,
:
a b ab
ab
bu a v
Qt = 0 1 1 0 + 2 1 Yt + 1 t 1 t = 11 + 21Yt + wt1 ,
b1 a1
b1 a1
b1 a1
a0 b0
u v
a2
+
Yt + t t = 12 + 22Yt + wt 2 .
b1 a1 b1 a1
b1 a1
4 ,
5 .

. -
.
,
Pt =

21
= b , 11 b1 12 = b0 ,
22 1

.

,
. ,

: .

129


,
-
,
Rt .
:
Qt = a0 + a1 Pt + a2Yt + ut ,

Qt = b0 + b1 Pt + b2 Rt + vt
6 .
Qt = 11 + 21Yt + 31Rt + wt1 ,

Pt = 12 + 22Yt + 32 Rt + wt 2 ,
,
. ,
:
Qt a1 Pt = a0 + a2Yt + ut , Qt b1Pt = b0 + b2 Rt + vt ,

a0 b0

1
= (1, Yt , Rt ) a2 0 + (ut , vt ) ,
b1
0 b
2

:
11 12

(Qt , Pt ) = (1, Yt , Rt ) 21 22 + (wt1 , wt 2 ) .

31 32
,
,
, :
1
(Qt , Pt )
a1

130

a0

(Qt , Pt ) = (1, Yt , Rt ) a2
0

a0

= (1, Yt , Rt ) a2
0

b0
1

1
1
=
0 + (ut , vt )
a1 b1

b2

b0
1
0
a
b2 1

1
1
+ (ut , vt )
b1
a1

1
=
b1

1
1
,
= (1, Yt , Rt ) + (ut , vt )
a1 b1
,
11 12 a0 b0
1
1

1
.
= 21 22 = a 2 0
a1 b1

31 32 0 b2

1
1
1
1 b1 a1

,
1
a1 b1 1
a1 b1

bu a v
ab
a b ab
ab
Qt = 0 1 1 0 + 2 1 Yt 1 2 Rt + 1 t 1 t ,
b1 a1
b1 a1
b1 a1
b1 a1
u v
b
a0 b0
a2
+
Yt 2 Rt + t t .
b1 a1
b1 a1
b1 a1 b1 a1

11 12 a0 b0
1
1

1
,
= 21 22 = a2 0
a1 b1

31 32 0 b2

Pt =

131

11 12
a0 b0
1

1
= a2 0 ,
21 22
a1 b1 0 b

2
31 32

6 6
:
11 12 a1 = a0 , 11 12b1 = b0 ,

21 22 a1 = a 2 , 21 22b1 = 0,
31 32 a1 = 0, 31 32b1 = b2 .
:
a1 = 31 / 32 , b1 = 21 / 22 ,
a2 = 22 ( 31 / 32 21 / 22 ), b2 = 32 ( 31 / 32 21 / 22 ),
a0 = 11 12 31 / 32 , b0 = 11 12 21 / 22 .
,
.
,
,
St , ,
- ,
.
:
Qt a1 Pt = a0 + ut , Qt b1Pt = b0 + b2 Rt + b3 St + vt ,

a0 b0

1
= (1, Rt , S t ) 0 b2 + (ut , vt ) .
b1
0 b
3


Qt = 11 + 21Rt + 31St + wt1 , Pt = 12 + 22 Rt + 32 St + wt 2

1
(Qt , Pt )
a1

132

11 12 a0 b0
1

1

1
,
= 21 22 = 0 b2
a1 b1

31 32 0 b3

11 12
a0 b0
1

1
= 0 b2 ,
21 22
a1 b1 0 b

3
31 32

6 6
:
11 12 a1 = a0 , 11 12b1 = b0 ,

21 22 a1 = 0, 21 22b1 = b2 ,
31 32 a1 = 0, 31 32b1 = b3 .

.
:
a0 = 11 12 a1 , a1 = 21 22 , a1 = 31 32 ,
a1
.
11 12 a0 b0
1

1

1
=
= 21 22 = 0 b2
a1 b1

31 32 0 b3
a0 b0
a0b1 + b0 a0 a1 + b0
b1 a1

1
1
=
b2
b2 ,
=
0 b2

a1 b1
1 a1 b1
1
b3
b3
0 b3

21 22 = 31 32 , a1
,
.
,

133

,
,
21 22 31 32 = 0, 21 , 22 , 31 , 32
, , 21 22
31 32 ,
a1 , ,
a0 .

.
(
) :
11 12b1 = b0 , 21 22b1 = b2 , 31 32b1 = b3 .

b0 , b1 , b2 , b3 ,

b0 , b1 , b2 , b3 .
, :
;
.
,

,
.

2.5.

134

1, , ,
, :
;
;
.

; , i -
, .


.
,
.
, ,
. t
, i - ,
,
t , t + 1 , K ,
Qt = a1Pt + a2Qt 1 + ut ,

Pt = b1Qt 1 + vt
Qt Pt , Qt 1
.
,
g ,
;
g ;
K
;
1

135

g ,
,
, 1.
( g = 2 , K = 1 , .)

,

.

,
:

11 yt1 + K + g1 ytg = 11 xt1 + K + K 1 xtK + ut1 ,

y + K + y = x + K + x + u ,
tg
1g t1
Kg tK
tg
gg
1 g t1
t = 1, K , n, yt1 ,K , ytg ,

xt1 , K , xtK

, ut1 ,K , utg .
, ji j -

ji j -
i - . (,
.) ,

i - ,

yt1 11 + K + ytg g1 = xt111 + K + xtK K 1 + ut1 ,

y +K+ y = x +K+ x + u ,
tg gg
t1 1 g
tK Kg
tg
t1 1 g

136

:
11 K 1g
11 K 1 g

= M O M , = M O M ,

g1 K
K1 K
gg
Kg

yt = ( yt1 ,K , ytg ) , xt = ( xt1 , K , xtK ) , ut = (ut1 , K , utg ) .


( .) :
yt = xt + ut , t = 1, K , n .
,
,
1 ; :
yt = xt 1 + ut 1 = xt + wt .

11 K 1g

1
= = M O M , wt = ut 1 = (wt1 , K, wtg ) ,

K 1 K Kg
wti i -
t .

Qt = a0 + a1 Pt + a2Yt + ut ,

Qt = b0 + b1 Pt + b2 Rt + vt

Qt a1 Pt = a0 + ut ,

Qt b1 Pt = b0 + b2 Rt + b3 S t + vt .
, ut = (ut1 , K , utg ) ,

i = 1,K, n , g -

= 2 I g , I g ,

137

wt = (wt1 , K , wtg )
.

:

.

11 K 1g

= = M O M ,

K 1 K Kg
= ,
.


, .. ,

= 1 . ,
g 2 + Kg ,
Kg . ,



, ,
2.
1

(. 5)






.

138

i - ,



i i - ,
, i -
;
i i - ,

,
i - .

i i
:
,
i -
1.

(g + K ) g , ,
:

= .

g K
i - i -
i .
,
i -
,
( g ) ( K )
.

139

,
i

i i = 0 ,
i Ri ( g + K ) , Ri
. i -
= 1
,

:
rank ( i ) = g 1 .
( i Ri g .)
i ,
i - i , = [ i : A i ] .
rank ( i ) = rank ( i [ i : i ]) = rank ( i i : i i ) ,
i i = 0 ,
rank ( i ) = rank (0 : i i ) = rank ( i i ) .
i i Ri (g 1) ,
g 1 , ,

i -
:
Ri g 1.
, ,
i ( )
(..
i )
i - g i K i

140

g i + K i ,
i - :
g i + K i g 1,

K i g g i 1.
, ,
i - ,
, i -
, . i -

, g g i 1
, .

,
i - :
1. rank ( i ) < g 1 i -
();
i -
2. rank ( i ) = g 1 Ri = g 1
;
i -
3. rank ( i ) = g 1 Ri > g 1
().
1
. 2 3 i -

.
,

i -

, ,

,

141


= 1 .
, ,
2
i -
,

3
, .
,

.


.

Qt = a0 + a1 Pt + ut ,

Q t = b0 + b1 Pt + vt .

: (Qt , Pt ) ,
,
1,
: (Qt , Pt , 1) . g = 2, K = 1 , ,
:
1
1
, = (a0 ,b0 ) ,
=
a1 b1
1
1


= = a1 b1 .
B a
b0
0

, g1 = g 2 = 0 , K1 = K 2 = 0 ,

g i + K i g 1 . .

142

:
Qt = a0 + a1 Pt + a 2Yt + ut ,

Q t = b0 + b1 Pt + vt ,
..
Qt a1 Pt = a0 + a 2Yt + u t ,

Q t b1 Pt = b0 + vt .

: (Qt , Pt ) .
: ( 1, Yt ) .
: (Qt , Pt , 1, Yt ) .
g = 2, K = 2 , , :
1
=
a1

1
,
b1

a
= 0
a2

b0
,
0

1
11 12
1

21 22 a1 b1
A = ( 1 2 ) =
.
= =
31 32 B a 0
b0

a
0
41 42
2

11 = 1.
.

42 = 0 ,
g 2 = 0 , K 2 = 1 ,
g 2 + K 2 = g 1 = 1, ..
.
, 42 = 0

2 2 = 0 , 2 = (0 0 0 1) .

143

2 2 = (0 0 0 1)(1,a1 , a0 , a 2 ) = (a 2 ) ,
rank ( 2 ) = rank ( 2 2 ) = rank (a 2 ) = 1 ,

rank ( 2 ) = g 1
. , g 2 + K 2 = g 1 ,
T

.
:
Qt = a0 + a1 Pt + a2Yt + u t ,

Q t = b0 + b1 Pt + b2 Rt + vt ,
..
Qt a1 Pt = a0 + a 2Yt + u t ,

Q t b1 Pt = b0 + b2 Rt + vt .

: (Qt , Pt ) .
: ( 1, Yt , Rt ) . :
(Qt , Pt , 1, Yt , Rt ) . g = 2, K = 3 , ,
:
a0 b0

1
1
, = a 2 0 ,
=
a1 b1
0 b
2

1
1

a1 b1

= = a 0
b0 .

B

0
a2

b2
0
,

144

g1 = g 2 = 0 ,

K1 = K 2 = 1 , g i + K i = g 1 , .
41 = 0
11 = 0 , 1 = (0 0 0 0 1) .

11 = (0 0 0 0 1)(1, b1 , b0 , 0, b2 ) = (b2 ) ,
rank (1 ) = rank (11 ) = rank (b2 ) = 1 ,
rank (1 ) = g 1
. ,
g1 + K1 = g 1, .
32 = 0
2 2 = 0 , 2 = (0 0 0 1 0 ) .
T

2 2 = (0 0 0 1 0 )(1, a1 , a0 , a2 , 0 ) = (a2 ) ,
rank ( 2 ) = rank ( 2 2 ) = rank (a2 ) = 1 ,
rank ( 2 ) = g 1
. ,
g 2 + K 2 = g 1, .

, .
T

,
Qt = a0 + a1Pt + ut ,

Qt = b0 + b1Pt + b2 Rt + b3 St + vt ,
..
Qt a1Pt = a0 + ut ,

Qt b1Pt = b0 + b2 Rt + b3 S t + vt ,

,
: ( 1, Rt , St ) . :

(Qt , Pt ,1, Rt , St ) .

145

g = 2, K = 3 , ,

1
=
a1

a0

1
, = 0
b1
0

b0

b2 ,
b3

1
1

a1 b1

= = a 0
b0 .


b2
0

b3
0

.

.
:
41 = 0 , 51 = 0 . g1 = 0 , K1 = 2 , g1 + K1 = 2 > g 1,
.
11 = 0 ,

0 0 0 1 0
.
1 =
0 0 0 0 1

0 0 0 1
1 =
0 0 0 0
0 0 0 1
11 =
0 0 0 0

1
1

a1 b1
0
0 b2
,
a 0
b0 =

0 b3
1

b2
0

b3
0
0
b
(1, b1 , b0 , b2 , b3 )T = 2 ,
1
b3

146

b2
rank (1 ) = rank(11 ) = rank = 1 ,
b3
rank (1 ) = g 1

. g1 + K1 > g 1,
.
,
(
-):
Ct = a0 + a1Yt + a2Ct 1 + ut1 ,

I t = b0 + b1 (Yt Yt 1 ) + ut 2 ,

Yt = Ct + I t ,
Ct , I t , Yt .
Yt ,
:
Ct a1Yt = a0 + a2Ct 1 + ut1 ,

Ct + (1 b1 )Yt = b0 b1Yt 1 + ut 2 .

: (Ct , Yt ) .
: ( 1, Ct 1 , Yt 1 ) . : ( Ct , Yt ,1, Ct 1 , Yt 1 ) .
:
1
1

a1 1 b1
= a0
b0 .

0
a2

b1
0
51 = 0 , ..
11 = 0 , 1 = (0 0 0 0 1) .

147

rank (1 ) = rank (11 ) = rank ( b1 ) = 1 = g 1 ,


.
g1 + K1 = 1 = g 1,
.
42 = 0
12 + 22 = 52 .
2 2 = 0 ,
0 0 0 1 0
.
2 =
1 1 0 0 1

1
1

a1 1 b1
0
a2
0 0 0 1 0
,
a0
2 =
b0 =
1 a1 0
1 1 0 0 1 a
0
2

b1
0
rank ( 2 ) = 1 ,
rank ( 2 ) = g 1
. R2 = 2 > g 1,
.

1

, .
.
,
Qt = a0 + a1Pt + ut ,

Qt = b0 + b1Pt + vt

148

.
:
Qt = a0 + a1Pt + ut ,

Qt = b1Pt + vt .


;
: (Qt , Pt , 1) . g = 2, K = 1 , ,
:
1
1
, = (a0 , 0 ) ,
=
a1 b1
1

= = a1
B a
0

b1 .
0


, g1 = 0 , K1 = 0 ,

g i + K i g 1 .

.
32 = 0 , .. 2 2 = 0 ,
2 = (0 0 1) .

rank ( 2 ) = rank (a0 0 ) = rank ( 2 1 ) = (a0 ) = 1 = g 1 ,
.
g 2 + K 2 = 1 = g 1,
.

149

i -
( )
,
, .
.

Q d = a0 + a1 P + ut ,
s
Q = b0 + b1 P + vt ,
s
d
Q = Q
, ( ) ,
,

. , ,

Qtd = a0 + a1Pt + a2Yt + ut ,
s
Qt = b0 + b1Pt + vt ,
d
s
Qt = Qt ,

, :
Qt = a0 + a1 Pt + a2Yt + ut ,

Qt = b0 + b1 Pt + vt ,
, ,
.

,
g = 3 .
, :

(Q

d
t

, Qts , Pt ,

150

(1, Yt )

5 : Qtd , Qts , Pt ,1, Yt .


:
Qtd a1 Pt = a0 + a2Yt + ut ,
s
Qt b1Pt = b0 + vt ,
d
s
Qt Qt = 0,
:
0
1
1

1 1
0
= a1 b1 0 .

b0
0
a0

0
0
a2

21 = 0 , .. 11 = 0 , 1 = (0 1 0 0 0 ) .

rank (1 ) = rank (0 1 1) = 1 < g 1 = 2 ,


.
K 2 = 2 :
12 = 0 52 = 0 , .. 2 2 = 0 ,
1 0 0 0 0
.
2 =
0 0 0 0 1

1 0 1
= 2 = g 1 ,
rank ( 2 ) = rank
a2 0 0

,
, g 2 + K 2 = 2 = g 1.

151


.


.
i -

,
.
(
)
,
,
.

,
.
:
yt = xt + ut , t = 1, K, n ,

11 K 1g
11 K 1g

= M O M , = M O M ,

g1 K
K1 K
gg
Kg

yt = ( yt1 ,K, ytg ) , xt = ( xt1 , K, xtK ) , ut = (ut1 , K , utg )

.
:
yt = xt 1 + ut 1 = xt + wt ,

152

11 K 1g

= M O M , wt = ut 1 = (wt1 , K, wtg ) .

K 1 K Kg

)
Cov(u u ) = (Cov (u , u )) = 0

E (ut ) = 0 , Cov utT ut = (Cov(uti , utj )) = = ( ij ) ,


T
t

ti

sj

t s ,

,

. E (wt ) = 0

= (ij ) = Cov wtT wt = (Cov (wti , wtj ))

wt :

) ( ) ( )

= Cov(wt ) = Cov ut 1 = 1 1 ,
T


= T .

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

. ,

153

, .

12 K 1g
11 K 1g
11


= M O M = [ 1 : 1 ] , 1 = M 1 = M O M .


g2 K
g1 K
gg
gg
g1


11 = 1T 1 ,

. ,
i - ,

ii = iT i , i i - ,
ii i -
.

Qt = a0 + a1 Pt + a2Yt + ut ,

Qt = b0 + b1 Pt + vt .
,
,
.
1
1
1
, 2 =
,
=
a1 b1
b1
( )
12 1

= 11 2b112 + b1222 .
D(vt ) = 22 = (1 b1 ) 11
b

22
1
21

,
b1 ,
D(vt ) .

154

3
,
,
, i -
.
,
,
, i -
i - ( ,
). ,
Qt = a 0 + a1 Pt + a 2Yt + u t ,

Q t = b0 + b1 Pt + b2 Rt + v t
:
Yt

Rt

a1

1
a0

a2

b0

b0

b2

Qt

Pt

i -
, ,
, i - , ,
i -.
1-
b2 , 2-
a2 . 1,
g 1 = 1 , .

155


Qt = a0 + a1 Pt + ut ,

Qt = b0 + b1 Pt + b2 Rt + b3 St + vt
3
Qt
Pt
Rt
St
1
i
a1
a0
1
1
0
0
b0
b0
b2
b3
1
2
,
,
.

.
: (b2 b3 ) . 1, g 1 = 1
.
4
, ,
, .
.
, ,

a11 yt1 + a12 yt 2 + a13 yt 3 = a14 xt1 + a15 xt 2 + ut1 ,

a21 yt1 + a22 yt 2 + a23 yt 3 = a24 xt1 + a25 xt 2 + ut 2 ,


a y + a y + a y = a x + a x + u ,
33 t 3
34 t1
35 t 2
t3
31 t1 32 t 2


a14 = 0 , a12 = a13 .
1a1 = 0 ,
0 0 0 1 0
,
1 =
0 1 1 0 0

156

a24
a34 0
a24
a34
a14
=
.
1 A =
a12 a13 a22 a23 a32 a33 0 a22 a23 a32 a33
,
.

;
xt1 ;
yt 2 yt 3 .

5

.

,
.

Qt = a1Pt + a2Qt 1 + ut1 ,

Pt = b1Qt 1 + ut 2 .
Pt Qt ,
Qt 1 .
1 1
, = (a2 b1 ) , = ( 11 12 ) ,
=
a1 0
= :
1 1
= (a2 b1 ) ,
( 11 12 )
a1 0

( 11 a1 12 11 ) = (a2 b1 ) , .. a2 = 11 a1 12 , b1 = 11 .
,
,

, .

157

,
:
= T .
:
11 12 1 a1 11 12 1 1

21 22 1 0 21 22 a1 0
2a112 + a1222 11 a121
.
= 11

11
1 12
11

, 12 = 21 = 0 , ..
,
:
11 a121 = 0 ,
a1
:
a1 = 11 21 .
a2
:
a2 = 11 a1 12 .

6
5
Qt = a1Pt + a2Qt 1 + ut1 ,

Pt = b1Qt 1 + ut 2
12 = 21 = 0
.


,
t .

158

Cov(Qt 1 , ut 2 ) = 0 , . .
Qt 1 t .
Cov(Qt 1 , ut1 ) = 0
Cov(Pt , ut1 ) = Cov(b1Qt 1 + ut 2 ) = b1Cov(Qt 1 , ut1 ) + Cov(ut 2 , ut1 ) = 0 ,
12 = 21 = 0 Pt
. 12 0 , Pt
, .

2.6.

.

() ,
,

.
2.6.1.
i -
,
( )

.


( )
,

=
= T ,



.

159

(ILS indirect least


squares). i -

.

- ,
. ,

.


.
2.6.2.

2.3
Ct = + Yt + t ,

Yt = Ct + I t .
Yt
Y = + I ,
t

Yt = + I t + t .
C = + Y +
t

, Yt
t .
g
yt = xt + ut , t = 1, K, n ,

160

11 K 1g
11 K 1g

= M O M , = M O M ,

g1 K
K1 K
gg
Kg

yt = ( yt1 ,K, ytg )

t - ,
xt = ( xt1 , K, xtK )

t - ,
ut = (ut1 , K , utg ) t -

,
.
. ( ,
.)
,
yt1 , ,
:
yt1 = 11 yt1 + K + g ,1 ytg + 11 xt1 + K + K1 ,1 xtK1 + ut1 ,
1

yt1 = Yt11 + X t11 + ut1 ,

Yt1 = yt1 , K , ytg

g1

, ,
X t1 = xt1 ,K, xtK
K1

, , 1
1
, .

yt1 ,K, ytg .
1

( :
, 2SLS two-step least squares, two-stage least squares).

161

1.
,
.
yt1 ,K, ytg
1

y t1 , K , y tg

.)
yt1 ,K, ytg
2.
1

y t1 , K , y tg .
1

.

(OLS)

, 2SLS
. ,
i -

yti , :
yi = ( y1i ,K, yni ) - i -
n ,

y11
K y1g
i

Yi = M O M n g i

yn1 K yngi
, i -
,
T

162

x11
K x1K

i
Xi = M O
M n K i

xn1 K xn K
i

, i -
,
T
ui = (u1i ,K, uni ) - i -
n ,
x11 K x1K

X = M O M n
x

n1 K xnK
K , ,
11 K 1g

= M O M

K 1 K Kg
,
w11 K w1g

W = M O M n

wn1 K wng
g . (,

, yi = ( y1i ,K, yni ) ui = (u1i ,K, uni )


-,
i -

t = 1, K, n .

-
yt = ( yt1 ,K, ytg )

ut = (ut1 , K , utg ) ,

g ,
t .)

163

2SLS i -


Yi = X i + Wi ,
i
, ,
, i -
, Wi W ,
W ,
.

,
i
i

. Y
Y Y = X
i

,
i - ,
.
i i
, i -
, :
yi = Yi i + X i i + ui = Z i i + ui ,


i = i , Z i = [Yi X i ] .
i
:
y i = Yi i + X i i + u i = Yi i + X i i + Yi Yi i + u i ,

y i = Z i i + i ,

Z i = Yi X i .

((

164

2SLS
i .
:
1
2 SLS = Z T Z T Z T y .

, , , Z iT Z iT
. , rank Z iT ZiT = rank Z iT rank X .
Z T Z T , g + K , rank X = K ,

, K g i + K i , .. K K i g i = g g i 1 ,
,
. i2 SLS ,

1

p lim ZiT Z iT = Qi
n n

,
i .
i - (c.
[Schmidt (1976), p. 150-151]).
OLS,
t -
( OLS)
.
. , ,

y t1 = 11 y t1 + K + g ,1 y tg + 11 x t1 + K + K1 ,1 x tK1 + u~t1 ,
1

y t1 , K ,

y tg
1

.
OLS
:

(y
n

~
S2 =

t1

t =1

11 y t1 K g

tg
,1 y
1

165

11 x t1 K K1 ,1 x tK1

n g1 K1
:

(y
n

S2 =

t =1

t1

11 y t1 K g

,1 y tg 1

11 x t1 K K1 ,1 x tK1

n g1 K1

y t1 , K , y tg
1

y t1 , K , y tg .
1

2SLS;

, 2SLS (, 11 112 SLS ).

.
1
2SLS
t -,
,
, t -.
, , , t .

.
2

Qt = a0 + a1Pt + ut ,

Qt = b0 + b1Pt + b2 Rt + b3 St + vt ,

166

,
Pt ,
Rt St . 2SLS
Pt
.
,
( ,
,
). 2SLS
.
3 ( )

i -
i2 SLS , y i2 SLS = Z i i2 SLS
yi u i2 SLS = y i y i2 SLS . (,
,
2SLS y i Z i i2 SLS .) ,
,
:
(,
);

(



);
(, );

().

167



, ,
.
3a

.
,

. , , Stata.
2.6.3. GLS- .

g
,
( ),

OLS-

,K,
, ,

1
g

yi = Yi i + X i i + ui = Z i i + ui , i = 1, K, g .
2SLS-
Y = X
i

i2 SLS i , OLS y i = Z i i + i .
2 SLS , i = 1, K, g ,
i

2 SLS

12 SLS

= M
2 SLS

168

OLS-
Z
K

y1 1
Z 2 K 1 1
M =
M + M ,
M O M
M
y g K Z g g
g


y = Z + ,

Z1 K

y1
1
1
K


2
y = M , Z =
, = M , = M .
M O M



M
yg
g
g
K Z g

, 2 SLS :
T
2 SLS = Z T Z Z T y .


t1 , K, tg (
ut1 ,K, utg ) Z1 , K , Z g .

,
OLS , (GLS),
.
,
, ,

.
,
:

11

M
11I g
n1 21I g
Cov( ) = Cov M =
M
1g I
M g1 g

ng

12 I g
22 I g
M

g 2 I g

169

K 1g I g

K 2 g I g
,
O
M

K gg I g

Cov( ) = I g ,

I g g ,

ij = Cov ( ti , tj ) ,

= (ij ) ( t1 , K, tg ) ,
I g ,

I g .
, GLS
ij . ,
ij

1 2 SLS T 2 SLS
u i
u j .
n
Cov( ) ij

ij =

ij ,
Cov( ) I g .
(FGLS feasible
generalized least squares)
1
3SLS = Z T 1 I g Z Z T 1 I g y ,

( (

))

170


, 3SLS- (three-stage least squares).
2.6.4.

g n
:
Y = X +U ,

y11 K y1g

Y = M O M n g

yn1 L yng
, ,
x11 K x1K

X = M O M n
x

n1 K xnK
K , ,
u11 K u1g

U = M O M n

u n1 L ung
g ,
11 K 1g
11 K 1g

= M O M ,
= M O M

g1 K gg
K 1 K Kg
.

ut = (ut1 , K , utg ) g t - :

171

u1 ,K, un g -
N g (0, )


;
u1 ,K, un .

u1 ,K, un :
n
pU (u1 , K , un ) =
t =1

1
g

exp ut 1u Tt .
2

det

ut = yt xt , u1 ,K, un
y1 , K, yn ,
y1 , K, yn :

g
pY ( y1 , K , yn ) = J 2
det

1
T
exp ( yt xt ) 1 ( yt xt ) ,
2

J u1 ,K, un

y1 , K, yn , J = det .

, det 0 .
,
, , , Y , X ,

g
n
L(, , Y , X ) = det 2
det

1 n

T
exp ( yt xt ) 1 ( yt xt ) ,
2 t =1

172


n
ng
ln L(, , Y , X ) = n ln det ln (det )
ln(2 )
2
2
1 n
T
( yt xt ) 1 ( yt xt ) .
2 t =1

1 ,
:
T
= n 1 (Y X ) (Y X ) .

ln L(, , Y , X ) ,


n
T
ln L (, ) = n ln det ln n 1 (Y X ) (Y X ) .
2
ln L
,
. ,
,
.
T
(Y X ) (Y X )

.
n g + K .

.
, ln L ,

T Y X

= n 1 Y X

)(

,
.

173


(FIML full information maximum likelihood).

,

,
X ,
1

p lim X T X = Q
n n

.
FIML- .
u1 ,K, un
. (., , [Amemiya (1985), 7].)
4
FIML ,
, ,
,

T
n
ln L (, ) = ln n 1 Y X 1 Y X 1 ,
2
.., = 1 ,

~
T
Q(, ) = Q ( ) = (Y X ) (Y X )
,

.

~
Q( ) ,

.

)(

174

,


, Q(, ) .
5
FIML
.
FIML-

.
. ,
.
6
FIML
.
7

FIML OLS
.

y1 = Y11 + X 11 + u1
,
.
,
,
n , X
:
Y = X + W .
,
y1; :

175

Y1 = X1 + W1 .

:
y1 = Y11 + X 11 + u1 ,

Y1 = X1 + W1.


u

1
= X 1 X 1 1 1 + 1
[ y1 Y1 ]

W
0
1 I g 1
1

FIML.
1 , 1 , ,
(LIML limited
information maximum likelihood).


1 ,1 , 1 .
1
Y1 = X1 + W1 .
1 1 ,
.
2.6.5.


(single equation) . :
(),
ILS;
, 2SLS,
LIML, 3SLS, FIML.

176

3SLS FIML

. 2SLS LIML
(
) ,
. 2SLS LIML

; 3SLS FIML
.
,
. :
i - ,
2SLS, LIML ILS ;
, 2SLS LIML
,
LIML
;
i - , 2SLS

d
2 SLS

n i
i N (0, C 2 ) ;
, 3SLS

d
3 SLS

n i
i N (0, C 3 ) , C2 C3
( ),
3SLS ;
= I g

, i3 SLS = i2 SLS ;
FIML 3SLS
; n FIML.

177

8
i - Y = X + U

2SLS
GLS, 3SLS. , , i -
,
uti = u t 1,i + t , < 1 .
i -
().
,
(OLS)
u tiIV = u tIV1,i + t ,
u tiIV , i -
.

2SLS xt = ( xt1 ,K, xtK )
yt 1 = ( yt 1,1 ,K, yt 1, g ) xt 1 = (xt 1,1 ,K, xt 1, K ) .
2.6.6.

( 3 . 2.6.2)
i - ,
u i2 SLS = y i Z i i2 SLS ,

,
, ,
.

178

i -
yi = Yi i + X i i + ui = Z i i + ui
,
, .
, i -
,
. -
, .
, ,
[Hausman (1978)].
( p 1) -
~
~
, H
0

H A ,
H 0 ,
H A .
~
q = . H 0
, ..
, q .
, H 0 ,
q ,
H 0 .

([Hausman
(1978)])
~
,
.

179

, 3SLS ;
, 3SLS
.
, [Spencer, Berk (1981)],

,
-
.
i -
(
LIML ).

H = n q T [asCov(q )]1 q ,

asCov(q )

~
asCov (q ) q = ,
H 0
-.
,
~
q = ,
asCov (q )
. ,
H ,
.
,
,
.

.
, [Davidson, MacKinnon
(1993)]
(DurbinWuHausman test), .

180

yi = Yi i + X i i + ui = Z i i + ui , X
, Yi
i - ,

. H 0 : i -
, ..
Yi ui . ,

() ,
Yi . ,
i -
(OLS).
.
OLS
,
Yi ,
:
Yi = X i + Wi
Y .
i


i - ,

y i = Z i i + Yi + i ,
OLS
H 0 : = 0 .
F -, , ,
.
Yi
W = Y Y , ..
i

y i = Z i i + W i + i

181

H 0 : = 0 .
H 0
, OLS
i - .

.
W i = Yi Yi , ,

u i , i -
(OLS).
R 2 , OLS
u i = Z i i + W i + i .
nR 2 ( n )
2 ( g i ) , g i
Yi . nR 2 > 12 (g i ) ,
.



i - . ,
,


. ,

, , , ,
J-, [Godfrey, Hutton (1994)].
,
i -
yi = Yi i + X i i + ui = Z i i + ui

182

Yi = X i + Wi ,
X .
i -
, 2SLS-
u i2 SLS = y i Z i i2 SLS .

u i2 SLS

, X . R
. J -
J = nR 2 ( n )
- ,
X
.


J -,

, -
(.. J -, P ).
, IV

,

.
J -,
,
( )
i - /.
[Godfrey, Hutton (1994)] , ,
,
,
1 (1 J )(1 H ) = J + H J H ,
J
J -, H
, .

183

8

,
.

. ,

. ,
,
OLS .
IV OLS-.
2.6.7.
.
1
- :
P = 1Q + 11 + 12 DPI + u1 ,

Q = 2 P + 21 + 22Weather + 23 Invest + u2 ,

P ,
,
Q ,
DPI ,
(CPI),
Weather ,
-
,
Invest CPI
,
.

184

,
.
30 ;
.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

Price (P)
108.9
100.6
109.7
111.6
109.8
104.4
89.6
117.2
109.3
114.9
112.0
112.9
121.0
112.8
102.9
86.0
95.7
104.9
114.0
121.9
127.2
128.3
125.0
117.1
122.7
111.6
114.1
110.4
109.2
108.9

Quantity (Q)
127.4
105.1
76.7
93.8
88.3
78.4
89.6
75.3
109.1
121.3
106.3
129.1
118.6
94.3
81.0
104.9
94.6
102.9
110.6
111.7
117.6
125.1
87.4
84.6
107.8
120.7
102.8
99.2
107.1
127.4

DPI
97.6
98.2
99.8
100.5
96.6
88.9
84.6
96.4
104.4
110.7
99.1
105.6
116.8
105.3
85.6
84.8
89.8
93.2
105.9
110.8
115.3
120.6
105.7
103.5
110.6
109.3
99.5
105.9
102.7
97.6

Weather
99.1
98.9
110.8
108.2
108.7
100.6
70.9
110.5
92.5
89.3
90.3
95.2
98.6
105.7
107.8
80.4
90.7
88.9
96.9
101.9
104.9
103.6
106.2
100.8
110.5
86.7
93.8
99.9
104
99.1

Invest
142.9
123.8
111.9
121.4
92.9
97.6
64.3
78.6
109.5
128.6
95.8
130.9
125.7
109.8
88.4
96.9
90.8
101.7
110.8
117.9
134.8
140.2
78.3
94.7
135.9
126.8
90.5
134.8
123.8
142.9

,
,
:

185

yt1 = 11 yt 2 + 11 xt1 + 21 xt 2 + ut1 ,

yt 2 = 12 yt1 + 12 xt1 + 22 xt 3 + 32 xt 4 + ut 2 ,

yt1 = Pt , yt 2 = Qt , xt1 1 , xt 2 = (DPI )t , xt 3 = (Weather )t ,


xt 4 = (Invest )t . : ( yt1 , yt 2 ) .
: (1, xt 2 , xt 3 , xt 4 ) . ,
: ( yt1 , yt 2 ,1, xt 2 , xt 3 , xt 4 ) . , g = 2 ,
K =4,
12
1

1
11 12
11

12
12
11
1
21 0
.
, B =

=
=
=
,

22
21

11

0
22
32

0
0
32

A
51 = 0, 61 = 0,

g1 = 0 , K1 = 2 , g 1 + K 1 > g 1, ..
.

42 = 0 ,
g 2 = 0 , K 2 = 1 ,
g 2 + K 2 = g 1, ..
.

3 . 2.5.
:

yt 1

yt 2

xt 2

xt 3

xt 4

11

11

21

12

12

22

32

186


: ( 22 32 ) .
1, g 1 = 1 ,
.
: ( 21 ) .
1,
. ,
g1 + K 1 > g 1, g 2 + K 2 = g 1, ..
, .
,
,
.
,


yt1 = 11 + 21 xt 2 + 31 xt 3 + 41 xt 4 + wt1 ,
yt 2 = 12 + 22 xt 2 + 32 xt 3 + 42 xt 4 + wt 2 .

( EVIEWS):
Dependent Variable: Y1
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X2
X3
X4

-12.40954
1.030854
0.361564
-0.152442

8.192675
0.090988
0.066508
0.040203

-1.514712
11.32951
5.436388
-3.791820

0.1419
0.0000
0.0000
0.0008

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

0.902361
0.891094
3.259777
276.2797
-75.87140
2.016289

Mean dependent var


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

111.1445
9.877858
5.324760
5.511587
80.09524
0.000000

187

Dependent Variable: Y2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X2
X3
X4

81.78495
0.581396
-0.924096
0.475229

17.56752
0.195106
0.142613
0.086207

4.655463
2.979896
-6.479734
5.512656

0.0001
0.0062
0.0000
0.0000

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

0.824120
0.803826
6.989927
1270.336
-98.75575
2.084533

Mean dependent var


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

101.8111
15.78165
6.850383
7.037209
40.60943
0.000000

= ,

11 12
11 12

12 21 0
21 22 1

32 11
1 0 22
31

0
32
41 42

:
11 1211 = 11 , 12 1112 = 12 ,
21 2211 = 21 , 22 2112 = 0 ,
31 3211 = 0 , 32 3112 = 22 ,
41 4211 = 0 , 42 4112 = 32 .

,

12 , 12 , 22 32 . ,

, . ,
:
12 = 22 21 ,

188

12 = 11 12 ( 22 21 ),
22 = 31 32 ( 22 21 ),
32 = 41 42 ( 22 21 ) .

ki ,

.
,
12 = 22 21 = 0.581396 1.030854 = 0.5639945 .

:
12 = 88.78386, 22 = -1.128017, 32 = 0.561206.



n .

.

, 2SLS
,
ILS 2SLS
. , , , (., , [Sawa
(1969)]) 2SLS
. ,
,
,
.
,

189

.
:
System: FRU
Estimation Method: Two-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

-0.361831
18.16639
1.279190
0.563994
88.78386
-1.128017
0.561206

Determinant residual covariance

0.081657
9.760145
0.126018
0.175307
15.06578
0.158217
0.065442

t-Statistic

Prob.

-4.431122
1.861283
10.15089
3.217171
5.893080
-7.129565
8.575557

0.0000
0.0683
0.0000
0.0022
0.0000
0.0000
0.0000

479.5253

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.781184 Mean dependent var
Adjusted R-squared
0.764975 S.D. dependent var
S.E. of regression
4.788722 Sum squared resid
Durbin-Watson stat
2.036078
Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
0.849107 Mean dependent var
Adjusted R-squared
0.831696 S.D. dependent var
S.E. of regression
6.474401 Sum squared resid
Durbin-Watson stat
2.152230

111.1445
9.877858
619.1603

101.8111
15.78165
1089.865


.
yt 2
,
.
yt1 ,
.

190


xt 2 , xt 3 xt 4 ( ,

).
,
,
u i2 SLS = y i Z i i2 SLS
:
20.638675 16.439387

.
16.439387 36.328821

1
0.600370

,
1
0.600370


. ,
,


.
3SLS :
System: FRU
Estimation Method: Iterative Three-Stage Least Squares
Convergence achieved after: 2 weight matricies, 3 total coef iterations
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

Coefficient

Std. Error

t-Statistic

Prob.

-0.361831
18.16639
1.279190
0.592909
89.91484
-1.159822
0.550297

0.077466
9.259287
0.119551
0.150576
13.79846
0.130071
0.056107

-4.670812
1.961964
10.69998
3.937596
6.516294
-8.916811
9.808057

0.0000
0.0550
0.0000
0.0002
0.0000
0.0000
0.0000

Determinant residual covariance

486.0481

191

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.781184 Mean dependent var
Adjusted R-squared
0.764975 S.D. dependent var
S.E. of regression
4.788722 Sum squared resid
Durbin-Watson stat
2.036078
Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
0.849356 Mean dependent var
Adjusted R-squared
0.831974 S.D. dependent var
S.E. of regression
6.469047 Sum squared resid
Durbin-Watson stat
2.139746

111.1445
9.877858
619.1603

101.8111
15.78165
1088.063


, :

C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

Coefficients
2SLS
3SLS
-0.361831
-0.361831
18.16639
18.16639
1.279190
1.279190
0.563994
0.592909
88.78386
89.91484
-1.128017
-1.159822
0.561206
0.550297

Std. Errors
2SLS
3SLS
0.081657
0.077466
9.760145
9.259287
0.126018
0.119551
0.175307
0.150576
15.06578
13.79846
0.158217
0.130071
0.065442
0.056107

.

.

192

FIML:

C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

Coefficient

Std. Error

t-Statistic

Prob.

-0.363540
18.18156
1.280771
0.593625
89.82550
-1.159165
0.549823

0.097355
13.65099
0.167147
0.221715
19.84547
0.151139
0.065905

-3.734157
1.331886
7.662534
2.677418
4.526248
-7.669539
8.342675

0.0005
0.1886
0.0000
0.0099
0.0000
0.0000
0.0000

Log Likelihood
Determinant residual covariance

-172.0962
486.9397

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.780336 Mean dependent var
Adjusted R-squared
0.764065 S.D. dependent var
S.E. of regression
4.797990 Sum squared resid
Durbin-Watson stat
2.030828
Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
0.849367 Mean dependent var
Adjusted R-squared
0.831986 S.D. dependent var
S.E. of regression
6.468814 Sum squared resid
Durbin-Watson stat
2.137757

111.1445
9.877858
621.5590

101.8111
15.78165
1087.984


.

.
,

. :

System: SYS_FULL_OLS
Estimation Method: Least Squares
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

-0.213716
18.15974
1.130662
0.614038
86.61460
-1.154140
0.553841

Determinant residual covariance

193

Std. Error

t-Statistic

Prob.

0.063693
8.908678
0.108276
0.159561
14.71164
0.153404
0.064458

-3.355431
2.038432
10.44241
3.848293
5.887487
-7.523517
8.592225

0.0015
0.0465
0.0000
0.0003
0.0000
0.0000
0.0000

517.6508

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.817697 Mean dependent var
Adjusted R-squared
0.804193 S.D. dependent var
S.E. of regression
4.370958 Sum squared resid
Durbin-Watson stat
2.442191
Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
0.849675 Mean dependent var
Adjusted R-squared
0.832330 S.D. dependent var
S.E. of regression
6.462188 Sum squared resid
Durbin-Watson stat
2.138293

111.1445
9.877858
515.8424

101.8111
15.78165
1085.757

,
FIML OLS:
Coefficient
FIML
-0.363540
18.18156
1.280771
0.593625
89.82550
-1.159165
0.549823

OLS
-0.213716
18.15974
1.130662
0.614038
86.61460
-1.154140
0.553841

194

yt 2
,
, ,
. ,

.
0.902361 0.824120
.
, ,
xt 3 , xt 4 . (
.)
3SLS. xt 4
. :
System: SYS_EXACT_2_3
Estimation Method: Iterative Three-Stage Least Squares
Convergence achieved after: 1 weight matrix, 2 total coef iterations
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)

Coefficient

Std. Error

t-Statistic

Prob.

-0.393021
18.16779
1.310468
1.603271
68.85896
-1.469719

0.106679
9.612186
0.142630
0.324620
29.34434
0.308619

-3.684137
1.890079
9.187882
4.938909
2.346584
-4.762247

0.0005
0.0641
0.0000
0.0000
0.0226
0.0000

Determinant residual covariance

3322.482

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.764186 Mean dependent var
Adjusted R-squared
0.746719 S.D. dependent var
S.E. of regression
4.971235 Sum squared resid
Durbin-Watson stat
1.946538

111.1445
9.877858
667.2557

195

Equation: Y2=C(4)*Y1+C(5)+C(6)*X3
Observations: 30
R-squared
0.360021 Mean dependent var
Adjusted R-squared
0.312615 S.D. dependent var
S.E. of regression
13.08436 Sum squared resid
Durbin-Watson stat
1.199501

101.8111
15.78165
4622.411

, xt 4
, , 3SLS
:

C(1)
C(2)
C(3)
C(4)
C(5)
C(6)

X4 excluded

X4 included

-0.393021
18.16779
1.310468
1.603271
68.85896
-1.469719

-0.361831
18.16639
1.279190
0.592909
89.91484
-1.159822


yt1 .
,
,
.


13.08436 4.971235, , , ,

.
xt 4
xt 3 ,
:

196

System: SYS_EXACT_2_4
Estimation Method: Three-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(7)

-0.318323
18.16444
1.235561
0.274776
16.26065
0.499415

Determinant residual covariance

0.116740
8.863637
0.145848
0.265732
26.12243
0.113699

t-Statistic

Prob.

-2.726758
2.049321
8.471570
1.034037
0.622478
4.392423

0.0086
0.0453
0.0000
0.3057
0.5362
0.0001

2157.560

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.799484 Mean dependent var
Adjusted R-squared
0.784631 S.D. dependent var
S.E. of regression
4.584099 Sum squared resid
Durbin-Watson stat
2.166955
Equation: Y2=C(4)*Y1+C(5)+C(7)*X4
Observations: 30
R-squared
0.490954 Mean dependent var
Adjusted R-squared
0.453247 S.D. dependent var
S.E. of regression
11.66938 Sum squared resid
Durbin-Watson stat
1.624247

111.1445
9.877858
567.3771

101.8111
15.78165
3676.710

, xt 3
, 3SLS
:
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

X3 excluded

X3 included

-0.318323
18.16444
1.235561
0.274776
16.26065

-0.361831
18.16639
1.279190
0.592909
89.91484
-1.159822
0.550297

0.499415

197


yt1 .

11.66938
4.584099 ,
. ,

xt 3 , xt 4
:
4.788722,
6.469047;
: 2.036078 2.139746
.
2

,
30 ,
:
yt1 = 0.5 yt 2 + 80 + 0.7 xt 2 + ut1 ,

yt 2 = 0.75 yt1 + 10 1.5 xt 3 + 1.5 xt 4 + ut 2 ,



xt 2 , xt 3 xt 4 , ,
ut1 ut 2 ,

D(ut1 ) = D(ut 2 ) = 36 Corr (ut1 , ut 2 ) = 0.7 .


:
Y1
88.1
87.1
101.1
98.6
109.4

Y2
152.4
114.6
74.1
99.2
74.0

X2
97.6
98.2
99.8
100.5
96.6

X3
99.1
98.9
110.8
108.2
108.7

X4
142.9
123.8
111.9
121.4
92.9

198
105.2
100.6
121.7
96.0
90.3
105.7
91.3
95.5
101.0
110.2
87.1
97.4
99.8
99.9
102.8
99.8
95.8
123.4
110.4
98.7
88.2
110.0
88.3
93.6
103.5

2
72.4
69.2
51.3
109.7
135.5
100.2
144.5
126.1
90.6
66.7
104.0
85.3
102.6
110.8
114.8
131.2
141.2
62.6
73.2
121.1
134.5
91.8
115.1
114.5
76.9

88.9
84.6
96.4
104.4
110.7
99.1
105.6
116.8
105.3
85.6
84.8
89.8
93.2
105.9
110.8
115.3
120.6
105.7
103.5
110.6
109.3
99.5
105.9
102.7
96.8

100.6
70.9
110.5
92.5
89.3
90.3
95.2
98.6
105.7
107.8
80.4
90.7
88.9
96.9
101.9
104.9
103.6
106.2
100.8
110.5
86.7
93.8
99.9
104
108.4

97.6
64.3
78.6
109.5
128.6
95.8
130.9
125.7
109.8
88.4
96.9
90.8
101.7
110.8
117.9
134.8
140.2
78.3
94.7
135.9
126.8
90.5
134.8
123.8
104.5


,
.
:
System: SYS_FULL_OLS
Estimation Method: Least Squares
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)

-0.363218
88.69833
0.476608
1.019773
-11.07961

Std. Error

t-Statistic

Prob.

0.041816
10.49401
0.122697
0.297976
28.30156

-8.686139
8.452281
3.884420
3.422330
-0.391484

0.0000
0.0000
0.0003
0.0012
0.6970

C(6)
C(7)

-1.752307
1.672787

Determinant residual covariance

199

0.214654
0.127403

-8.163409
13.12991

576.6877

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.743523 Mean dependent var
Adjusted R-squared
0.724524 S.D. dependent var
S.E. of regression
4.899311 Sum squared resid
Durbin-Watson stat
2.154319
Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
0.950061 Mean dependent var
Adjusted R-squared
0.944299 S.D. dependent var
S.E. of regression
6.428860 Sum squared resid
Durbin-Watson stat
2.151388

System: SYS_FULL_OLS
Estimation Method: Two-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

-0.424633
83.95884
0.585040
0.901844
-1.113488
-1.684157
1.628247

Determinant residual covariance

0.0000
0.0000

0.045795
10.96205
0.130033
0.420366
37.81363
0.274838
0.169687

100.0167
9.334551
648.0877

102.0033
27.23976
1074.586

t-Statistic

Prob.

-9.272577
7.659048
4.499177
2.145379
-0.029447
-6.127827
9.595614

0.0000
0.0000
0.0000
0.0365
0.9766
0.0000
0.0000

522.6707

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.723032 Mean dependent var
Adjusted R-squared
0.702516 S.D. dependent var
S.E. of regression
5.091263 Sum squared resid
Durbin-Watson stat
1.952744

100.0167
9.334551
699.8659

200

Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
0.949761 Mean dependent var
Adjusted R-squared
0.943964 S.D. dependent var
S.E. of regression
6.448196 Sum squared resid
Durbin-Watson stat
2.162986

102.0033
27.23976
1081.060

3SLS :

C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

Coefficient

Std. Error

t-Statistic

Prob.

-0.424633
83.95884
0.585040
0.889189
-0.653169
-1.671481
1.624186

0.043445
10.39951
0.123360
0.369342
34.88671
0.220626
0.152419

-9.774155
8.073345
4.742549
2.407495
-0.018723
-7.576096
10.65606

0.0000
0.0000
0.0000
0.0196
0.9851
0.0000
0.0000

Determinant residual covariance

518.5160

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.723032 Mean dependent var
Adjusted R-squared
0.702516 S.D. dependent var
S.E. of regression
5.091263 Sum squared resid
Durbin-Watson stat
1.952744
Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
0.949688 Mean dependent var
Adjusted R-squared
0.943883 S.D. dependent var
S.E. of regression
6.452837 Sum squared resid
Durbin-Watson stat
2.161325

100.0167
9.334551
699.8659

102.0033
27.23976
1082.617

201

:
Coefficient
OLS
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

2SLS


-0.363218
-0.424633
88.69833
83.95884
0.476608
0.585040

1.019773
0.901844
-11.07961
-1.113488
-1.752307
-1.684157
1.672787
1.628247

3SLS

True

-0.424633
83.95884
0.585040

-0.5
80.0
0.7

0.889189
-0.653169
-1.671481
1.624186

0.75
10.0
-1.5
1.5

GodfreyHutton
:
yt1 = 11 yt 2 + 11 xt1 + 21 xt 2 + ut1 ,

yt 2 = 12 yt1 + 12 xt1 + 22 xt 3 + 32 xt 4 + u t 2 ,
, 2.
x1 = 1, x2 , x3 , x4 .

.
2SLS- , ,
u t21SLS , u t22SLS .
u t21SLS x1 = 1, x2 , x3 , x4 .
0.000319 ,
J = nR 2 = 0.00957 . 4 3 = 1 .

P- 0.922 ,
. (
u t22SLS x1 = 1, x2 , x3 , x4 , J = 0 ,
4 4 = 0 , J -
.)

202

,

--.

yt 2 = 12 + 22 xt 2 + 32 xt 3 + 42 xt 4 + wt 2
w t 2 = y t 2 y t 2 .

y t1 = 11 y t 2 + 11 xt1 + 21 x t 2 + w t 2 + t1
H 0 : = 0 .
, t . :
Dependent Variable: Y1
Method: Least Squares
Variable

Coefficient

Std. Error

t-Statistic

Prob.

Y2
C
X2
W2

-0.424633
83.95884
0.585040
0.616608

0.023668
5.665468
0.067204
0.074993

-17.94140
14.81940
8.705405
8.222165

0.0000
0.0000
0.0000
0.0000

R-squared
Durbin-Watson stat

0.928759
2.089751

Mean dependent var


Prob(F-statistic)

100.0167
0.000000

= 0.617
,
.
,

y t 2 = 12 y t1 + 12 x t1 + 22 x t 3 + 32 x t 4 + w t1 + t 2

203

:
Dependent Variable: Y2
Method: Least Squares
Variable

Coefficient

Std. Error

t-Statistic

Prob.

Y1
C
X3
X4
W1

0.901844
-1.113488
-1.684157
1.628247
0.238481

0.426087
38.32829
0.278578
0.171996
0.605917

2.116571
-0.029051
-6.045545
9.466768
0.393586

0.0444
0.9771
0.0000
0.0000
0.6972

R-squared
Durbin-Watson stat

0.950369
2.187028

Mean dependent var


Prob(F-statistic)

102.0033
0.000000


,
. , OLS

,

.
, 2SLS
yt 1 , ~
yt 2 yt 1 , yt 2
3SLS ~

xt 2 , xt 3 xt 4 , ,
.
~yt 1 xt 2 ,
~y , x x .
t2

t3

t4


,
, :
~yt 1 xt 2 , xt 3
xt 4 ,
Corr (x3 , x2 ) = 0.308, Corr ( x4 , x2 ) = 0.680,

xt 2 :

204

~yt 2 xt 3 xt 4 ,

xt 2 , xt 3 xt 4 .
,
.
,
yt1 = 0.5 yt 2 + 50 + 1.1xt 2 + ut1 ,

yt 2 = 0.5 yt1 45 + 1.1xt 4 + ut 2 ,

xt 2 , xt 4 ut1 , ut 2 ,
.
, 3SLS :

System: SYS_EXACT_2_4
Estimation Method: Three-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(7)

-0.412458
53.69121
0.955053
0.545426
-56.93625
1.167493

Determinant residual covariance

0.062834
10.66377
0.151915
0.213593
25.48195
0.064218

t-Statistic

Prob.

-6.564206
5.034918
6.286768
2.553572
-2.234375
18.18025

0.0000
0.0000
0.0000
0.0135
0.0296
0.0000

506.2606

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.489024 Mean dependent var
Adjusted R-squared
0.451174 S.D. dependent var
S.E. of regression
5.120537 Sum squared resid
Durbin-Watson stat
1.741253

98.82331
6.911911
707.9373

205

Equation: Y2=C(4)*Y1+C(5)+C(7)*X4
Observations: 30
R-squared
0.929722 Mean dependent var
Adjusted R-squared
0.924517 S.D. dependent var
S.E. of regression
6.436470 Sum squared resid
Durbin-Watson stat
2.049311

125.5639
23.42729
1118.560


.
xt 4
xt 5 ,
xt 5 = xt 2 + 2t , t ~ i.i.d. N (0,1) , t = 1, K,30,

:
y t1 = 0.5 y t 2 + 50 + 1.1x t 2 + u t 1 ,

y t 2 = 0.5 y t1 45 + 1.1x t 5 + u t 2 .


: ,
. , ,
.
System: SYS_2_5
Estimation Method: Three-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(8)

-2.109257
9.837905
3.365924
0.940376
-82.48076
1.023874

Determinant residual covariance

3.560708
90.42874
4.983926
0.427263
30.85206
0.193137
3003.720

t-Statistic

Prob.

-0.592370
0.108792
0.675356
2.200928
-2.673428
5.301291

0.5561
0.9138
0.5020
0.0320
0.0099
0.0000

206

Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
-7.828599 Mean dependent var
Adjusted R-squared
-8.482569 S.D. dependent var
S.E. of regression
16.21186 Sum squared resid
Durbin-Watson stat
1.700910

102.6282
5.264654
7096.260

Equation: Y2=C(4)*Y1+C(5)+C(8)*X5
Observations: 30
R-squared
0.825653 Mean dependent var
Adjusted R-squared
0.812738 S.D. dependent var
S.E. of regression
6.323932 Sum squared resid
Durbin-Watson stat
2.085919

117.9538
14.61378
1079.787


, ,

;
, :
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)
C(7)
C(8)

Std. Error

Equation 1

Equation 2

Equation 1

Equation 2

-0.412458
53.69121
0.955053
0.545426
-56.93625
1.167493

-2.109257
9.837905
3.365924
0.940376
-82.48076

0.062834
10.66377
0.151915
0.213593
25.48195
0.064218

3.560708
90.42874
4.983926
0.427263
30.85206

1.023874

0.193137

,
xt 5 xt 2 :
Corr xt 5 , xt 2 = 0.969 .

,
,

207


,
:
~yt 1 xt 2

xt 5 , xt 2 ,
~yt 2 xt 5
xt 2 , xt 5 .

2.6.8.


yt +1,1 ,K, yt +1, g
()
xt +1,1 , K, xt +1, K ,
:

(y

t +1,1 , K ,

) (

.
y t +1, g = xt +1,1 , K , x t +1, K

2

( y30+t ,1 , y30+t , 2 ) , t = 1, K,30 ,

(x30+t ,2 , x30+t ,3 , x30+t ,4 ) , t = 1,K,30 ,

(xt , 2 , xt ,3 , xt , 4 ) ,
t = 1, K,30 .

:
Dependent Variable: Y1

208

Method: Least Squares


Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X2
X3
X4

61.35073
0.428163
0.511247
-0.502120

7.478051
0.083052
0.060707
0.036696

8.204107
5.155376
8.421559
-13.68320

0.0000
0.0000
0.0000
0.0000

Dependent Variable: Y2
Method: Least Squares
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X2
X3
X4

54.21529
0.386136
-1.223092
1.175413

18.22556
0.202414
0.147955
0.089436

2.974685
1.907652
-8.266637
13.14250

0.0063
0.0675
0.0000
0.0000

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

0.936459
0.929127
7.251752
1367.286
-99.85894
2.066287

Mean dependent var


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

102.0033
27.23976
6.923929
7.110755
127.7280
0.000000

, yt ,1 , yt , 2 , t = 31, K,60,
:
y t ,1 = 61.351 + 0.428 xt 2 + 0.511x t 3 0.502 x t 4 ,
y t , 2 = 54.215 + 0.386 xt 2 1.223xt 3 + 1.175 xt 4 .
t = 31,K,60
yt ,1 _ true, yt , 2 _ true , :
yt1 = 0.5 yt 2 + 80 + 0.7 xt 2 ,

yt 2 = 0.75 yt1 + 10 1.5 xt 3 + 1.5 xt 4 .



():

Y1_PREDICT
116.3
92.1
95.6
77.9
87.4
98.3
102.0
97.0
122.0
108.9
98.6
92.6
88.2
91.8
107.1
115.2
98.8
100.1
92.8
99.4
86.5
110.2
106.2
83.8
93.0
89.7
88.3
116.3
92.1.
95.6

Y1_TRUE
119.2
98.4
94.6
117.9
91.1
94.6
75.9
85.8
98.6
103.0
96.6
124.2
109.4
99.1
92.1
87.4
91.2
108.3
116.5
98.0
100.1
91.8
99.1
85.4
111.4
106.0
82.6
92.3
89.9
87.8

Y2_PEDICT
49.4
101.2
106.7
70.3
107.2
91.5
145.6
114.1
121.6
116.0
105.2
64.4
73.2
117.3
119.4
132.9
124.1
93.1
68.0
79.7
100.6
107.2
94.1
133.1
89.0
61.9
140.6
117.7
155.3
141.7

209

Y2_TRUE
53.3
101.2
106.4
73.0
106.6
91.9
141.9
113.1
120.8
114.3
105.2
67.7
75.6
115.7
117.9
130.3
122.9
92.7
70.9
80.5
100.9
106.8
94.5
130.4
90.5
64.5
137.4
116.9
151.4
138.5

,
.
(MAPE Mean
Absolute Percent Error),

210

MAPE(i) =

y _ predict yt ,i _ true
1 30
100 t ,i
,

30 t =1
yt ,i _ true

:
MAPE(1) = 0.881% , MAPE(2) = 1.797%.
:

.
, 3SLS:
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)

-0.424633
83.95884
0.585040
0.889189
-0.653169
-1.671481
1.624186

yt1 = 0.425 yt 2 + 83.959 + 0.585 xt 2 ,

yt 2 = 0.889 yt1 0.653 1.671xt 3 + 1.624 xt 4 .


(Y1F, Y2F):
Y1F
117.9539
98.62752
95.21508
116.2262
92.14986
95.65463
77.93844
87.49209
98.28987
101.7954
97.07454

Y1_PREDICT
116.3
92.1
95.6
77.9
87.4
98.3
102.0
97.0
122.0
108.9
98.6

Y2F
49.43060
101.2295
106.7986
70.28356
107.2833
91.58455
145.6529
114.3175
121.6912
115.6271
105.3218

Y2_PREDICT
49.4
101.2
106.7
70.3
107.2
91.5
145.6
114.1
121.6
116.0
105.2

121.9508
108.9582
98.49096
92.60201
88.14985
91.87218
106.9471
115.1834
98.80164
100.0887
92.81281
99.37046
86.43539
110.1443
106.2692
83.80259
93.01326
89.61098
88.19077

92.6
88.2
91.8
107.1
115.2
98.8
100.1
92.8
99.4
86.5
110.2
106.2
83.8
93.0
89.7
88.3
116.3
92.1.
95.6

64.30229
73.29769
117.0801
119.3591
132.8158
124.2472
92.66480
68.00794
79.70102
100.6958
107.3434
94.12591
133.1007
89.02851
62.01926
140.5781
117.8567
155.1329
141.5809

211

64.4
73.2
117.3
119.4
132.9
124.1
93.1
68.0
79.7
100.6
107.2
94.1
133.1
89.0
61.9
140.6
117.7
155.3
141.7


,
.
, ,
:
MAPE(1) = 0.906% , MAPE(2) = 1.773% ,

MAPE(1) = 0.881% , MAPE(2) = 1.797% ,

. ,
.

:

212

130
120
110
100
90
80
70
5

10

15

Y1_PREDICT

20

25

30

Y1_TRUE

160
140
120
100
80
60
40
5

10

15

Y2_PREDICT

20

25

Y2_TRUE

30

3.
3.1. ,

{y it , xit ; i = 1, K , N , t = 1, K , T }
y x N (, ,
, . .) T ()
( ,
)
y x , y , x
. x
p ,

yit = xitT it + uit , i = 1,K, N , t = 1,K, T ,
it xit () t
i . ,
, -
it .
(pool)
it :
yit = xitT + uit ,
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ,

x .
NT ,

214

.

(OLS) .
(BLUE
best linear unbiased estimate) .
,
N / T ,
.


(invest),
(mvalue) (kstock) 10
1935 1954 ..

STATA8 ,
.
, .
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels:
homoskedastic
Correlation: no autocorrelation
Estimated covariances =
1
Number of obs =
200
Estimated autocorrelations = 0
Number of groups = 10
Estimated coefficients =
3
Time periods
= 20
Wald chi2(2)= 866.14, Prob > chi2 =0.0000
Log likelihood = -1191.802
invest
Coef.
Std. Err.
z
P>z
mvalue
.1155622
.0057918
19.95
0.00
kstock
.2306785
.025284
9.12
0.00
cons
-42.71437
9.440069
-4.52
0.00
,
,

215

.
(..
mvalue kstock)
,
Wald = qF , F F -
, q -
( q = 2 ).
- q
.
(P-),
866.14, Prob >
chi2 =0.0000,
mvalue kstock .
,
.
t-
,
P-,

( Z t
). P-
.
, ,
,
. , , ,
, yit = xitT + uit uit ,
,
: D(uit ) = ui2 . OLS ,
,

216


(, ).

:
(WLS weighted least squares) ,
,
.
()
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels:
heteroskedastic
Correlation: no autocorrelation
Wald chi2(2) = 669.69, Prob > chi2 = 0.0000
Log likelihood = -1037.152
invest
mvalue
kstock
cons

Coef.
Std. Err.
.1116328
.0049823
.1537718
.0125707
-21.44348
3.901219

z
22.41
12.23
-5.50

P>z
0.00
0.00
0.00


(Panels: heteroscedastic).
,
kstock

.
95% :
(0.129, 0.178), (0.181, 0.280)
, ,

,
(OLS),

217

.
Stata8
.
()
. xtpcse invest mvalue kstock, hetonly casewise
Linear regression, heteroskedastic panels corrected standard errors
Estimated covariances = 10,
R-squared = 0.8124
Wald chi2(2) = 567.87, Prob > chi2 = 0.000
Het-corrected
invest
Coef.
Std. Err.
z
P>z
mvalue
.1155622
.0070863
16.31
0.00
kstock
.2306785
.029747
7.75
0.00
cons
-42.71437
7.131515
-5.99
0.00



(cross-sectional correlation):
t s
0
Cov(uit , u js ) =
,
ij ( 0 ) t = s
= ( ij ) .


(GLS generalized least squares),
.
,
, ,
.
()
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels:
heteroskedastic with cross-sectional correlation

218

Correlation: no autocorrelation
Estimated covariances = 55
Number of obs = 200
Estimated autocorrelations = 0
Number of groups =10
Estimated coefficients = 3
Time periods = 20
Wald chi2(2) =3738.07, Prob > chi2 = 0.0000
Log likelihood = -879.4274
invest
Coef.
Std. Err.
z
P>z
mvalue
.1127515
.0022364
50.42
0.00
kstock
.2231176
.0057363
38.90
0.00
cons
-39.84382
1.717563
-23.20
0.00
,
10
10 , 45
ij , i j .

= ( ij ) ,

( )
20
.
OLS- ,
(correlated panels
corrected standard errors). :
.xtpcse invest mvalue kstock, casewise
Linear regression, correlated panels corrected
standard errors
(PCSEs)
Estimated covariances = 55, R-squared = 0.8124
Wald chi2(2) = 637.41, Prob > chi2 = 0.0000
Panel-corrected
invest
Coef.
Std. Err.
z
P>z
mvalue
.1155622
.0072124
16.02
0.00
kstock
.2306785
.0278862
8.27
0.00
cons
-42.71437
6.780965
-6.30
0.00

219



, , ,
i -
AR(1) .
yit = xitT + uit ,
uit = i ui ,t 1 + it ,
i < 1 , i1 , i 2 ,K, iT
,
N 0, 2i , , it
ui ,t k , k 1 . i
. , , (

) yit = xitT + uit
,
u i1 , u i 2 , K , u iT ,

di =

(u

u i ,t 1 )

it

t =2

2
it

t =1

, i 1 di 2 ,
i , DW 1 d i 2 .
:
u i1 , u i 2 , K , u iT , ,

u it = i u i ,t 1 + it .
:

220

3
T

i =

u
t =2

i ,t 1
it u

.
u it2

t =1

[ Stata8 tscorr .]
i , i = 1,K, N ,

. ,
OLS-
.
, AR-,
.. 1 = 2 = L = N = ,
= ( 1 + 2 + L + N ) N ,
.
()
,
.


AR(1)- ( ),
.
. xtpcse invest mvalue kstock, correlation(ar1) hetonly rhotype(dw)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
Prais-Winsten regression, heteroskedastic panels corrected standard
errors
Autocorrelation: common AR(1)
Estimated covariances = 10
R-square = 0.5468
Estimated autocorrelations = 1
Estimated coefficients = 3

Wald chi2(2) = 91.72, Prob > chi2 = 0.0000


Het-corrected
invest
Coef.
Std. Err.
mvalue
.0972395
.0126259
kstock
.306441
.0561245
cons
-42.07116
21.02442
rho
.8678619
,
.

221

z
7.70
5.46
-2.00

P>z
0.00
0.00
0.045


, , .
. xtpcse invest mvalue kstock, correlation(ar1) hetonly rhotype(tscorr)
casewise
Prais-Winsten regression, heteroskedastic panels corrected standard
errors
Autocorrelation: common AR(1)
Estimated covariances = 10
R-squared = 0.6904
Estimated autocorrelations = 1
Estimated coefficients = 3
Wald chi2(2) = 192.41, Prob > chi2 = 0.0000
Het-corrected
invest
Coef.
Std. Err.
z
P>z
mvalue
.1032102
.0112252
9.19
0.000
kstock
.2947986
.0459298
6.42
0.000
cons
-45.78767
13.97367
-3.28
0.001
rho .7563511
.


AR(1)- ( ),
( DW-) .

222

. xtpcse invest mvalue kstock, correlation(ar1) rhotype(dw)


(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
Prais-Winsten regression, heteroskedastic panels corrected standard
errors
Panels: heteroskedastic (balanced)
Estimated covariances = 55,
R-squared = 0.5468
Estimated autocorrelations = 1
Estimated coefficients = 3
Wald chi2(2) = 120.05, Prob > chi2 = 0.0000
Panel-corrected
Coef.
Std. Err.
z
P>z
mvalue
.0972395
.0124362
7.82
0.000
kstock
.306441
.054533
5.62
0.000
cons
-42.07116
24.09387
-1.75
0.081
rho .8678619

:.
xtpcse invest mvalue kstock, correlation(ar1) rhotype(tscorr) casewise
Prais-Winsten regression, correlated panels corrected standard
errors (PCSEs)
Panels: correlated (balanced
Estimated covariances = 55,
R-squared = 0.6904
Estimated autocorrelations = 1
Estimated coefficients = 3
Wald chi2(2)= 215.52, Prob > chi2 = 0.0000
Panel-corrected
Coef.
Std. Err.
z
P>z
mvalue
.1032102
.0108656
9.50
0.000
kstock
.2947986
.0432809
6.81
0.000
cons
-45.78767
15.24513
-3.00
0.003
rho .7563511

223

,
,
AR(1) ( i ). ( DW) :
. xtpcse invest mvalue kstock, correlation(psar1) rhotype(dw) casewise
Prais-Winsten regression, correlated panels corrected standard
errors (PCSEs)
Panels: correlated (balanced)
Autocorrelation: panel-specific AR(1)
Estimated covariances = 55, R-squared = 0.7570
Estimated autocorrelations = 10,
Estimated coefficients = 3,
Wald chi2(2) = 211.38, Prob > chi2 = 0.0000
Panel-corrected
Coef.
Std. Err.
z
P>z
mvalue
.1013946
.0108632
9.33
0.000
kstock
.3449446
.0478113
7.21
0.000
cons
-41.18685
19.33078
-2.13
0.033
rhos = .7427231 .8831453 .9741851 .7277056 .9564705 ...
.9343119

.xtpcse invest mvalue kstock, correlation(psar1) rhotype(tscorr) casewise
Prais-Winsten regression, correlated panels corrected standard
errors (PCSEs)
Panels: correlated (balanced)
Autocorrelation: panel-specific AR(1)
Estimated covariances = 55,
R-squared = 0.8670
Estimated autocorrelations =10
Estimated coefficients = 3
Wald chi2(2) = 444.53, Prob > chi2 = 0.0000
Panel-corrected

224

Coef.
Std. Err.
z
P>z
mvalue
.1052613
.0086018
12.24
0.000
kstock
.3386743
.0367568
9.21
0.000
cons
-58.18714
12.63687
-4.60
0.000
rhos = .5135627 .87017 .9023497 .63368 .8571502 ... .8752707
,
, ,
20 , .

, 95%
.
invest
Coef.
Std.Err.
z
P>z
95% Conf. Int.

mvalue
.116
.0058
19.95 0.00
.104 .127
kstock
.231
.0253
9.12 0.00
.181 .280
WLS
mvalue
.112
.0050
22.41 0.00
.102 .122
kstock
.154
.0126
12.23 0.00
.129 .178
SUR GLS
mvalue
.113
.0022
50.42 0.00
.108 .117
kstock
.223
.0057
38.90 0.00
.212 .234
AR(1) common rho (Durbin Watson) : est rho = .8678619
mvalue
.097
.0126
7.70
0.00
.072 .122
kstock
.306
.0561
5.46
0.00
.196 .416
AR(1) common rho (OLS) : est rho = .7563511
mvalue
.103
.0112
9.19
0.00
.081 .125
kstock
.295
.0460
6.42
0.00
.205 .385
SUR&AR(1) common rho (DW) : est rho = .8678619
mvalue
.097
.0124
7.82
0.00
.073 .122
kstock
.306
.0545
5.62
0.00
.200 .413
SUR&AR(1) common rho (OLS) : est rho = .7563511
mvalue
.103
.0109
9.50
0.00
.082 .125

225

kstock
.295
.0433
6.81
0.00
.210 .388
SUR&AR(1) different rho (DW)
mvalue
.101
.0109
9.33
0.00
kstock
.345
.0478
7.21
0.00
rhos = .7427231 .8831453 .9741851 .7277056 ... .9343119
SUR&AR(1) different rho (TSCORR)
mvalue
.105
.0086
12.24 0.00
kstock
.339
.0368
9.21 0.00
rhos = .5135627 .87017 .9023497 .63368 ... .8752707
SUR&AR(1)


AR(1)- .

M0 : yit = i + i xit + uit , i = 1,K , N , t = 1,K , T ;
i i , uit . (
x
.)
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ,

x , N

,

. i i
,
i i :

226

3
T

i =

(x

it

t =1

x i )( y it y i )

(x

it

t =1

xi )

i = y i i x i ,

i = 1,K, N ,

1 T
1 T
y
,
x
=
xit .
it i T
T t =1
t =1
yit xit

(BLUE).
uit
,
,
uit ~ i.i.d. N 0, ui2 , i = 1,K , N , t = 1,K , T ,

, i -
wi = 1 ui . ui2
,
, wi = 1 ui
yi =

wi = 1 ui , ui2 .
, ,
ui2 :

ui2 = RSS (i ) / ( N p ) .
RSS (i ) ,

i - , p
(
p = 2 ).

227

,

.
1 (SUR, SURE seemingly unrelated regressions).

, .
i - -

y (i ) = X (i ) (i ) + u (i ) ,

yi1
1 xi1
ui1

(i )
(i )
(i )
(i )
y = M , X = M M , = , u = M ,

y
1 x
u
iT
iT
iT
SUR :
X (1)
0 L
0 (1)
u (1)
y (1)
(2 )

0
X
0
L
M
M
+

M =

M
O
M ( N ) ( N )
( N ) M
u
y 0
0 L X ( N )

( )
y = X + u .

NT 1 - u
11 12 L 1N

12 22 L 2 N
= Cov(u ) =
,
M
M
O
M

1N 2 N L NN

228

(T T ) - ij
ij

0
ij =
M

ij
0
, ij = Cov (uit , u jt ) .
M O M

0 L ij
(GLS-)

1

=
= X T 1 X X T 1 y .
SUR

GLS

L
L

,
NT NT .
:
( 1)
( 1)
11
12
L 1( N1)

(1)
( 1)
( 1)

22
2N
1 = 12
,
M
O
M
M
( 1) ( 1) L ( 1)
NN
2N
1N

ij( 1)
L
0
0

( 1)
L
ij
0
0
( 1)
ij =
,
M
O
M
M
0
0
L ij( 1)

ij(1) 1 ,
11 L 1N

M .
= M O

1N L NN

N N .

229



(i ) ,
.
. , ij = 2
i j , SUR-
1 , T . , = 0 , SUR-
OLS- . ,
SUR- - ,
ij . (feasible) SUR-


FGLS ,
ij ij .
e (i ) = y (i ) X (i ) (i ) ,
OLS- i - .
ij

ij

(e )
=

(i ) T

e( j)

j = i RSS (i ) T , , ,
i - ,
RSS (i ) (T p ) ,
p
. (, T > p .)
X ,
, GLS FGLS
T .

230

[Greene (1993), .
481] y x
( N = 3 ) ( T = 10 ).
t
1
2
3
4
5
6
7
8
9
10

Y1
13.32
26.30
2.62
14.94
15.80
12.20
14.93
29.82
20.32
4.77

X1
12.85
25.69
5.48
13.79
15.41
12.59
16.64
26.45
19.64
5.43

Y2
20.30
17.47
9.31
18.01
7.63
19.84
13.76
10.00
19.51
18.32

X2
22.93
17.96
9.160
18.73
11.31
21.15
16.13
11.61
19.55
17.06

Y3
8.85
19.60
3.87
24.19
3.99
5.73
26.68
11.49
18.49
20.84

X3
8.65
16.55
1.47
24.91
5.01
8.34
22.70
8.36
15.44
17.87

Yi, Xi i - ,
i = 1, 2, 3 .
.
35
30
25
20

Y1

15

X1

10
5
0
1

10

231

25
20
15

Y2
X2

10
5
0
1

10

30
25
20
Y3

15

X3

10
5
0
1

10

232

( Eviews)
.
:
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X1

-2.468913
1.167170

0.980426
0.058250

-2.518205
20.03737

0.0359
0.0000

Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X2

-1.384797
1.014542

1.972680
0.115314

-0.701988
8.798102

0.5026
0.0000

Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X3

0.455479
1.076374

0.305362
10.72516

0.7679
0.0000

R-squared

0.9805

R-squared

0.9063

R-squared

1.491604
0.100360

0.9350

= ( ij )
1.2549 0.0099 0.9101

1.0351 ;
= 0.0099 1.9628
0.9101 1.0351
4.3279


1
0.0063 0.3905

1
0.3552 .
0.0063
0.3905 0.3552

GLS

233

:
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X1

-2.857213
1.192389

-3.52
25.11

0.002
0.000

R-squared

0.812548
0047494

0.9800

:
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X2

-2.11701
1.05876

-1.28
10.96

0.214
0.000

R-squared

1.66034
0.09663

0.9046

:
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X3

0.721196
1.055824

0.60
13.61

0.553
0.000

R-squared

1.199687
0.077589

0.9346

, ,
.

H 0 : ij = 0 i j .


.
.
N i 1

= T rij2 ,
i =2 j =1

rij =

ij
ii jj

i -

j - . H 0

234

-
N ( N 1) 2
(,

H 0 , ij = ji ).
3 ,
2.787 . P, 2 (3) ,
0.4256 , P-,
.
,
x1 , x2 , x3

,
:
H 0 : 1 = 2 = 3 .
SUR
: F P-,
F -, qF ( q
) P-,
2 (q ) .
:
Wald Test:
F-statistic 1.342317 Probability 0.278120
Chi-square 2.684634 Probability 0.261240
P-
: H 0 : 1 = 2 = 3
.


,

H 0 : 1 = 2 = 3 .
, SUR

235

y11 1 x11 0 0 0 0
u11

M M M M M M M
M
y 1 x 0 0 0 0 1 u
1T 1T
1 1T
y21 0 0 1 x21 0 0 u21

2
M = M M M M M M + M
y2T 0 0 1 x2T 0 0 2 u2T

3
y31 0 0 0 0 1 x31 u31
M M M M M M M 3 M

y3T 0 0 0 0 1 x3T
u3T
,
y , y11 , y12 ,K, y1T ,
y21 , y22 ,K, y2T , y31 , y32 ,K, y3T , 6 :
- (dummy variables)
d1 1,K,1, 0,K,0, 0,K,0 ;

123 123 123


T

d 2 01
,2
,0, 11
,2
,1, 01
,2
,0 ;
K3
K3
K3
T

d 3 01
,2
,0, 01
,2
,0, 11
,2
,1 ;
K3
K3
K3
T

d1 x , d 2 x d 3 x ,
- x ,
x11 , x12 ,K, x1T , x21 , x22 , K, x2T , x31 , x32 ,K, x3T ,
d1 x , d 2 x d 3 x
d1 x : x11 , x12 , K , x1T , 0,0, K , 0, 01
,0, K3
,0
424
3 424
144244
3 1
T

d 2 x : 01
,02
,K
,0, x 21 , x 22 , K , x 2T , 01
,0, K3
,0
4
4
3
1442443 424
T

d 3 x : 01
,02
,K
,0, 01
,02
,K
,0, x 31 , x 32 , K , x3T .
4
4
3
4
4
3
1442443
T

236


,
,

OLS-,

H 0 : 1 = 2 = 3
F-. :
Variable

Coefficient Std. Error t-Statistic Prob.

D1
D2
D3
D1*X
D2*X
D3*X

-2.468913
-1.384797
0.455479
1.167170
1.014542
1.076374

1.388033
2.233064
1.137109
0.082467
0.130535
0.076508

-1.778714
-0.620133
0.400559
14.15324
7.772208
14.06874

0.0880
0.5410
0.6923
0.0000
0.0000
0.0000

R-squared
0.950532
Wald Test:
F-statistic 0.592788
Probability 0.560676

, H 0 : 1 = 2 = 3
.

M0 : yit = i + i xit + uit , i = 1,K, N , t = 1,K, T ,
.
(RSS) S0 ,

(y
N

S0 =

it

i i x it

i =1 t =1

:
H 1 : i i,
H 2 : i i i .
H 1 : i

i.

237

M1 : yit = i + xit + uit , i = 1,K, N , t = 1,K, T .


(RSS) 1
S1 ,

(y
N

S1 =

it

i x it

i =1 t =1

M1
N

yit = i d ij + xit + uit ,


j =1

d ij = 1 ,

j = i , d ij = 0 ,

N -. :
T
y = ( y11 , y12 , K , y1T , y 21 , y 22 , K , y 2T , K , y N 1 , y N 2 , K , y NT ) ,
x = ( x11 , x12 , K , x1T , x 21 , x 22 , K , x 2T , K , x N 1 , x N 2 , K , x NT ) ,
T

u = (u11 , u12 , K , u1T , u 21 , u 22 , K , u 2T , K , u N 1 , u N 2 , K , u NT ) ,


T

d1 = 1,1, K ,1, 0, 0, K , 0 ,
424
3 1
424
3
1
NT T

T
T

d 2 = 0, 0, K , 0, 1,1, K ,1, 0, 0, K , 0 ,
424
3 1
424
3 1
424
3
1
T
T
NT 2T

d N = 0, 0, K , 0,1,1, K ,1 ,
424
3 1
424
3
1
T

NT T
X = [d1 d 2 K d N x ] NT ( N + 1) ,
d1 , d 2 , K , d N , x .
M1
y = X + u ,

238

= (1 , 2 , K , N , )T .

,
= 1 , 2 , K , N ,

= X T X

XT y.
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ,

x .
X
(N + 1) - ,
E = ,

()

.. ,

1
Cov = 2 X T X .

()

,
1 , 2 , K , N , .
,
1 T
1 T
1 T
yi = yit , xi = xit , ui = uit
T t =1
T t =1
T t =1
y, x i -
.
yit = i + xit + uit ,

yi = i + xi + ui , i = 1,K, N .
:
yit yi = ( xit xi ) + (uit ui ) , i = 1, K , N , t = 1, K , T

239

(, ).

1 , 2 , K , N .
,
.

N

(x
i =1 t =1
N

it

x i )( y it y i )

(x
i =1 t =1

it

xi )

(within-group
estimate), ,


,
. , ,
,
,

, i ,
. ,

within-. ,
-.
,
1 , 2 , K , N
:
i = y i x i , i = 1,K, N .
, , K , ,
1

240

3
N

yit = i d ij + xit + uit .

j =1

,
, i ,
,
.
H 2 : i i i.

M2 : yit = + xit + uit , i = 1,K, N , t = 1,K, T ( pool).




N

(x

it

i =1 t =1
N T

x )( y it y )

(x
i =1 t =1

,
it

x)

= y x ,

1 N T
1 N T
yit , x =

xit .
NT i=1 t =1
NT i =1 t =1
2 S 2 ,
y=

(y
N

S2 =

i =1 t =1

it

x it

H 1 H 2
M0 .

241

H 2 . F-
(S S0 ) 2(N 1) ;
F2 = 2
S 0 ( NT 2 N )
H 2 , F2 ~ F2 ( N 1), NT 2 N .
F2 ,
. F2
, .
H1 . F-
(S S 0 ) (N 1) ;
F1 = 1
S 0 (NT 2 N )
H1 , F1 ~ FN 1, NT 2 N .
F1 ,
. F1 ,
H1 ( i ) .
i ,
,
H 3 : 1 = K = N
1 = K = N , ..
M1 : yit = i + xit + uit .

(S S ) (N 1) ,
F3 = 2 1
S1 ( NT N 1)
H 3 FN 1, NT N 1 .

242

H 1 : i
i M0 .
M0 H 2 : i i
i :
Wald Test:
F-statistic
3.595209
Probability
0.019644
. H 3 :
1 = K = N M1 : yit = i + xit + uit :
Wald Test:
F-statistic
6.810977
Probability
0.004183
.

M1
i , i .

3.2.
,
,
{y it , xit ; i = 1, K , N , t = 1, K , T } ,
N , T
. T

y1t , y2t ,K, y Nt


N T (,

).
, T ,
.

,
H 1
x :

..

243

yit = i + xit + uit , i = 1,K, N , t = 1,K, T ,


N

y it = i d ij + x it + u it ,
j =1

d ij = 1 , i = j

d ij = 0 ,

N -. i

( , fixed effects). ,
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ,

x .
:
1. OLS (LSDV least squares dummy
variables);
2. (FE fixed effects
model);
3. (CV covariance
analysis).
,
, :
N

CV

(x
i =1 t =1
N

it

(x
i =1 t =1

x i )( y it y i )
it

xi )

244

( )

D CV =

u2
N

(x

it

i =1 t =1

.
xi )


1. (-, withinestimator),
2. ,
3. .
W (
W within) . ,
FE


:

N

yit = i d ij + xit + uit -


j =1

yit yi = ( xit xi ) + (uit ui ) ,


i = 1, K , N , t = 1, K , T .
N ,
( N +1),
.
:
i = y i x i , i = 1,K, N .

CV

(BLUE) ,
p lim CV = , p lim CV = , p lim i = i ,
T

p lim i i , E ( i ) = i .
N

, CV
N T , i ,

245

T . ,
i T ,

T N
i ,
i .
,
CV , (.. BLUE),
x (.. ,
E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ).
E ( xit uis ) = 0
t , s = 1, K , T i = 1, K , N (.. x
).


i .
,
,
, .. .
i -
,
,
.
,

.
,
.
,

i .

.

246


(xit , yit ) ,
yit = i + xit + uit , i = 1, 2, t = 1,K,100 ,

1 = 150 , 2 = 250 , = 0.6 , uit ~ i.i.d. N 0,10 2 .


xit (); i = 1 x1t 150,
i = 2 x2t 150.
450
2

Y
350
y = 250 + 0.6 x

y = 150 + 0.6 x

250
1
y = 8.00 + 1.88 x

150

50
0

50

100

150

200

250

: 1
, i = 1 , 2 ,
i = 2 .
() y = 150 + 0.6 x (

247

), ()
y = 250 + 0.6 x .

100


yit = + xit + uit , i = 1, 2, t = 1,K,100 ,
(),
,
y it = 8.00 + 1.88 x it ,

, .
, xit , yit
xit xi yit yi ,

(
)
:
450

300

150

y = 0.52 x
0
-50

0
150

50

100

150

200

250

248

:
y it = 0.517 x it ,

= 0.6 , .
-
y it = 1 d i1 + 2 d i 2 + x it + u it ,
d ij = 1 , j = i , d ij = 0 ,
:
Dependent Variable: Y
Variable
Coefficient
D1
D2
X

161.4615
264.8593
0.517319

Std. Error

t-Statistic

Prob.

7.260153
10.46430
0.058229

22.23940
25.31074
8.884227

0.0000
0.0000
0.0000

1 = 161.46, 2 = 264.86, = 0.517


, .

3.3.

yit = i + xit + uit , i = 1,K, N , t = 1,K, T ,
H 1 , :
yit = + i + xit + uit ,

i = 0

i =1

). N ,
,

(), ,
, ,

249

. , ,
i ,

y it = + i + x it + u it
(random effects).
i
.

i .
it = i + uit , :
yit = + xit + ( i + uit ) = + xit + it .
it i
uit . ,
i
,
,
.
,
,


.
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,
E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ,

:
E ( i ) = 0 ( E ( it ) = 0 ),
2 , i = j ,
E ( i j ) =
0, i j

250

1 , K , N

N 0, u2 ),
E (xit j ) = 0 , i, j = 1, K , N , t = 1, K , T ,

( E (xit js ) = 0 , it

x ).
,
E (uit i ) = 0 ,
xit
yit
D( yit xit ) = D( it xit ) = D( it ) = D( i + uit ) = 2 + u2 .

,
yit


;
,
1. ;
2. ;
3. (RE
random effects model).

yi = [e xi ] + i ,

xi1
i1
yi1
1



xi 2
i 2
yi 2
1
yi = , e = , xi = , = , i = .
M
M
M
M





1
x

y

iT
iT
iT
,
2 + 2 , t = s,
E ( it is ) = E ( i + uit , i + uis ) = 2 u
, t s,

251

it is

uit ,
i

V = E i iT = u2 I T + 2 eeT .
, T = 3
u2 + 2
2
2

u2 + 2
2 .
V = 2
2
2
u2 + 2


Corr ( it , is ) =

2
=
2 + u2

t s

(
).

RE-
N

CV

(x
i =1 t =1
N

it

x i )( y it y i )

(x
i =1 t =1

it

xi )

.
(BLUE),
,
it i .
,
(GLS-), ,

. , GLS-

252

GLS

N
=
i =1

N
e T 1
V
[
e
x
]
T
i
xi
i =1

e T 1
T V y i
xi


V 1 =

eeT
eeT
1
I

+
,
u2 T T
T

u2
u2 + T 2

. GLS-

, GLS-
RE . ,
1 2
V 1 1
u ,
T

1
.

T u2

.
RE

t
yit = + xit + it ,

yi = + xi + i .
= 1 ,
yit = yit yi , xit = xit xi , it = it i , = (1 ) .

yit = + xit + it
xit ,
it :

( )

Cov it = u2 I T .
OLS BLUE

(x
N

GLS

253

i =1 t =1
N

*
it

)(

x y it* y

(
T

x it

)
,

i =1 t =1

1
NT

y =

y it ,

i =1 t =1

x =

1
NT

x it .

i =1 t =1


GLS = w b + (1 w) CV ,

b =

(x

x )( y i y )

i =1

(-

(x

x)

i =1

, between-group estimate),
yi xi , ..
yi = + xi + i
(

),

,
N

w=

(xi x )

i =1

(x

it

i =1 t =1

xi ) + ( xi x )
2

i =1

GLS RE-
.
b ( )

254

CV
(

), w ,
.
b CV , GLS .
T , 0 , w 0
GLS CV ,
T ,
, .
2 0 , 1 V = E i iT = u2 I T + 2 ee T u2 I T .
, GLS- OLS-, ..

GLS

(x

it

i =1 t =1
N T

x )( y it y )

(x
i =1 t =1

it

x)

= OLS

( ).
,

u2

D GLS =

(x
i =1 t =1

xi ) +
2

it

(x
i =1

x)

( )

D CV =

u2
N

(x

it

i =1 t =1

xi )

> 0 , ,
D GLS < D CV ,
.. GLS- .

) ( )

CV

,
, .

255

GLS, .. GLS (FGLS feasible GLS, EGLS estimated GLS),


( ) u2

u2 + T 2 .
u2 ,

( y it

y i ) CV ( xit xi ) ,

[( y
N

u2 =

it

i =1 t =1

yi ) CV ( xit xi )

N (T 1) 1

NT
N + 1 ).
2 2 = D ( i ) ,
, yi = + xi + i ,

T

b =

(x

i =1

x )( y i y )

(x
i =1

x)

,
2

i -
D y i b b x i = u2 T + 2 .

u2 T + 2

256

(y
N

b b x i

i =1

.
N 2
2

(y
N

2 =

b b x i

i =1

N 2

(y
N

u2 + T 2 = T

u2 T ;

b b x i

i =1

N 2
u2 + T 2 .
.
.
, ,
N T ,
2 .

GLS-
STATA, xtreg ( fe re).
, GLS

= w + (1 w) ,
GLS

CV

GLS
. . , ,
OLS ,
( = 1 ), ,
.

257

.
RE- (
)
H 0 : 2 = 0 ( ).

2

N T
N
T

u
=
u
+

it it uisuit ,
i =1 t =1
i =1 t =1
i =1 s t

,
N

uit

i =1 t =1
1 =
N T
uit2
N

i =1 t =1

u u

is it

i =1 s t
N T

uit2

i =1 t =1

u it
.
, ,
uit
u it , OLS- .
H 0
2

2
N T

u it

i =1 t =1

1 .
N T

u it2

i =1 t =1

258

3
2

2
2
N
N T

2
2
u it

T
u

NT
NT i =1 t =1
i =1

1 =
BP =

1 N T

(
)

2(T 1) N T 2
2
1
T

u it2
u it

i =1 t =1

i =1 t =1

H 0 2 (1) .
, H 0 ,
BP ,
2 (1) .

3.4. ,


R 2 ,
,
,
.

.


, ,

.
N
T
N
1 N T
( y it y )2 = 1
( y it y i )2 + 1
( y i y )2 ,
NT i = 1 t = 1
NT i = 1 t = 1
N i =1

.

:

259

y it
NT ;
y it
;

NT .

,

yit = + xit + uit , i = 1,K, N , t = 1,K, T .
()
yit
y = +
x ,
it

OLS

it

OLS OLS- .
R 2 - ( R 2 overall),
2
Roverall
= corr 2 y it , + OLS x it = corr 2 y it , OLS x it .
,

yi = + xi + i , i = 1,K, N .
()
yit
y = + x ,

.
R - ( R 2 -


between),
2
Rbetween
= corr 2 + b x i , y i = corr 2 b x i , y i .
,

260

yit yi = (xit xi ) + (uit ui ) , i = 1,K, N , t = 1,K, T .


.
OLS- zi = wi + vi

z i = wi zi .
zi wi , z = w = 0 ,
.
yit yi

xit xi ,
,
()
~yit = yit yi
~y = ( x x ) , i = 1,K, N , t = 1,K, T ,
it

CV

CV

it

- .


within),
2
R within
= corr 2 CV (x it x i ) , y it y i .

R 2 - ( R 2 -

R 2

.


R 2 , ,
CV ,
, .
GLS

OLS

,
2
2
2
, Rbetween
, Roverall

Rwithin
R2
= corr 2 y y , (x x ) ,

within
it
2
Rbetween
= corr 2 y i ,
2
Roverall
= corr 2 y it ,

(
(

)
x ),
x i ,
it

it

261

, .
p - , , ,
T
R2
= corr 2 y y , (x x ) ,

within
it
2
2
Rbetween = corr y i ,
2
Roverall
= corr 2 y it ,

(
(

i
x iT
x itT

it

)
) .

2

Rwithin
, = within ;
2

Rbetween
2
, = between ; Roverall

, = .

OLS

()
Stata8

. ,
,

:
u i ,
eit . ,
.
Fixed-effects (within) regression
R-sq:
within = 0.9478
between = 0.8567
overall = 0.9209
:
F(1,26) = 472.26, Prob > F = 0.0000

262

corr(_i, X) = -0.2311
VARIABLE Coef.
x
1.102192
cons
-1.394325
sigma_lfa
sigma_u
rho

Std. Err.
.0507186
.8230266

t
21.73
-1.69

P>t
0.000
0.102

1.480319
1.745136
.4184474 (fraction of variance due to _i)

F test that all alfa_i=0:


F(2, 26) = 6.81, Prob > F = 0.0042

:

,
.
Random-effects GLS regression
R-sq:
within=0.9478
between=0.8567
overall= 0.9209
Random effects:
u_i ~ Gaussian
corr(_i, X) = 0 ()
:
Wald chi2(1) = 325.94, Prob>chi2 = 0.0000
sigma_alfa
0
sigma_u
1.7451362
rho
0 (fraction of variance due to _i)
2 ;
.
:

263

y
Coef.
Std. Err.
z
P>z
x
1.058959
.0586557
18.05
0.000
cons
-.7474755
.955953
-0.78
0.434
,

H 0 : 2 = 0 ,
, ..
8.47.

- 1 P-
0.0036. H 0 .

- .
Stata8
, GLS-,
.
:
Random-effects ML regression
Random effects: _i ~ Gaussian
Log likelihood = -61.09837
:
LR chi2(1) = 121.60, Prob > chi2 = 0.0000
y
Coef.
Std. Err.
x
1.092893
.0501518
cons
-1.255205
1.019264
sigma_
1.064836
.5552752
sigma_u
1.713621
.2334960
rho
.2785682
.2205921

z
21.79
-1.23
1.92
7.34

Likelihood-ratio test of sigma_alfa=0:


chibar2(01) = 4.70, Prob>=chibar2 = 0.015
H 0 : 2 = 0 .

P>z
0.000
0.218
0.055
0.000

264

Between regression (regression on group means)


R-sq:
within = 0.9478
between = 0.8567
overall = 0.9209
:
F(1,1) = 5.98, Prob > F = 0.2471
y
Coef.
Std. Err.
t
P>t
x
.3137715
.1283133
2.45
0.247
cons
10.40202
1.929616
5.39
0.117
,
2

1 Rbetween
: 3
.

3.5.
.

.
FE:
i ;
,

().
,
, , ..
.
RE:
i .

265

, ,
.
,
FE-
E ( yit xit ) = E ( i + xit + uit xit ) = i + xit .

RE- E ( yit xit ) = E ( + i + xit + uit xit ) = + xit

, , RE , ,
E ( i xit ) = 0 .

, ,
i = a xi + i , i ~ N 0, 2 , E ( i xit ) = 0 .
:
yit = + xit + a xi + i + uit ,
.
,
xi ,
. ,
i , . ,
E ( i xit ) = E ((a xi + i )xit ) = aE ( xi xit ) =

a T
a
2

(
)
E
x
x
E
x
E ( xis xit ) ,
=
+

is it
it

T s =1
T
s =1, s t

( )

a 0 , E ( i xit ) = 0
i = 1, K , N .
GLS BLUE a ,
:

GLS
= CV , a GLS
= b CV ,

266

GLS
= y x b .
, BLUE

() ,

E a GLS
= E b E CV E CV = , :
E = a + .

) ( ) (

( )

( )

E a GLS
=a,

, RE- (
E ( i xit ) = 0 )
= w + (1 w) .
RE

CV

,
:
E RE = wE b + (1 w)E CV = w( + a ) + (1 w) = + wa ,
a 0 , .

( )

( )

( )

RE


, i
xi i (

E ( i xi ) = 0
E ( i xi ) = 0 ). , CV (FE).
,
(RE).

GLS

1
,
H 0 : a = 0 H1 : a 0 .

2 c (Hausman)
: H 0 : E ( i xi ) = 0 , :

H1 : E ( i xi ) 0 .
:

267

H 0 GLS , RE, , FE-,

CV

.
H1 GLS , CV
.
, H 0 , GLS
,
CV


CV GLS (
).
q = CV GLS ;
,
D(q ) = D CV GLS =
= D
+ D
2Cov ,
.

( ) (

CV

GLS

CV

GLS

RE-,
, GLS , CV
. ,
,
H 0 ,
Cov ,

= D
Cov ,
= 0,

(
Cov (

GLS

GLS

) (
) = D( ),

GLS

, CV

( ) (

CV

i =1 t =1

GLS

GLS

D (q ) = D CV D GLS .
,
u2
D GLS = N T
(xit xi )2 +

GLS

(x x )

i =1

CV

268

( )

D CV =

u2
N

(x
i =1 t =1

it

.
xi )

D(q ) D(q ) .

q 2
m=
D (q )
H 0 (N )
2 (1) .

K H 0
m = q T [Cov(q )] 1 q

2 (K ) .
H 0

yit = xit + ( xit xi ) + it ,

yit = yit yi , xit = xit xi ,

= 1 = 1

u2

.
u2 + T 2
, = 0 .

H 0
,
OLS = b , OLS = CV b .
H 0 ,
:

269

q1 = GLS CV ,
q 2 = GLS b ,
q = ,
3

CV

q 4 = GLS OLS .

GLS = w b + (1 w) CV .


H 0 ;
H 0 .
( )
.
Coefficients
(b) fix
(B)
(b-B)
S.E.
x
1.102192
1.058959
.0432328
b = CV , B = GLS , (b-B) = q = CV GLS .
C
chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B) =-2.15,
V_b V_B CV
, .
GLS

,
.
( )
( National Longitudinal Survey, Youth
Sample, ) 545
, 1980 .

270

19801987 . 1980 .
17 23
,
3 .
,
, -,
, ,
( ), (
) .
:

Between
FE
OLS
RE

Const
0.490
_
-0.034
-0.104
(0.221)
(0.065) (0.111)
scooling
0.095
_
0.099
0.101
(0.011)
(0.005) (0.009)
experience
-0.050
0.116
0.089
0.112
(0.050)
(0.008)
(0.010) (0.008)
experience2
0.005
-0.0043
-0.0028 -0.0041
(0.003) (0.0006) (0.0007) (0.0006)
Unin member
0.274
0.081
0.180
0.106
(0.047)
(0.019)
(0.017) (0.018)
married
0.145
0.045
0.108
0.063
0.041
(0.018)
(0.016) (0.017)
black
-0.139
_
-0.144
-0.144
(0.049)
(0.024) (0.048)
hispanic
0.005
_
0.016
0.020
(0.043)
(0.021) (0.043)
Public sector
-0.056
0.035
0.004
0.030
(0.109)
(0.039)
(0.037) (0.036)
Within R2
0.0470
0.1782
0.1679
0.1776
Between R2
0.2196
0.0006
0.2027
0.1835
0.1371
0.0642
0.1866
0.1808
Overall R2

271

RE=EGLS (FGLS) = 0.64


FE=CV
= 1
OLS
= 0
RE OLS Between FE.

, . , ,
i
, FE. H 0 ,
RE-.
(FE) (FE) RE
( ).
, , .

EXPER
EXPER2
MAR
PUB
UNION

Coefficients
(b)
(B)
fix
.116457
.1117851
-.0042886
.0040575
.0451061
.0625465
.0349267
.0301555
.081203
.1064134

(b-B)
.0046718
-.0002311
-.0174403
.0047713
-.0252104

sqrt(diag(V_b-V_B))
S.E.
.0016345
.0001269
.0073395
.0126785
.0073402

chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 31.75


Prob>chi2 = 0.0000

31.75
FE- RE- 5
: experience, experience2, Union member, married, Public
sector. 2 (5) 31.75 P 6.6 106 , (RE-)
. ?

272

i
,
,
,
.
FE-,
4.5%, between-
14.5%. ,
,
.

.
, , ,

uit , FE-
.

, within-R2
FE-, ..
. OLS-

overall-R2. RE-
. , OLS-
- , ..
.

EGLS-, .

3.6.
,
u it

, N 0, u2 .
, , i -
ui1 , ui 2 ,K, uiT , , ,

273


.
,
yit = + i + xit + uit , i = 1,K, N , t = 1,K, T ,

uit = ui ,t 1 + it ,
< 1 , i1 , i 2 ,K, iT
,
N 0, 2 , , it
ui ,t k , k 1 .
.

,
:
yit yi = ( xit xi ) + (uit ui ) ,
..
~y = ~
xit + u~it ,
it
-.
, , ( )
,
u~ i1 , u~ i 2 , K , u~ iT ,

(u~
N

it

d=

i =1 t = 2
N

u~ i ,t 1

u~

2
it

i =1 t =1

, 1 d 2 ,
DW 1 d 2 .

274

:
~
u , u~ , K , u~ , ,
i1
i2
iT

u~ = u~
+ .
i ,t 1

it

it

:
N

u~

it

i =1 t = 2
N T

u~i , t 1

.
u~it2

i =1 t =1

[ Stata8 tscorr .]

,
. ,

.


.
DW-:
. xtregar y x, fe rhotype(dw) lbi FE (within) regression with AR(1) disturbances
Number of obs = 27
R-sq:
within = 0.9569
between = 0.1111
overall = 0.9252
F(1,23) = 510.54, Prob > F = 0.0000
corr(_i, Xb) = -0.1625

y
x
cons
rho_ar
sigma_
sigma_u
rho_fov

275

Coef.
1.105796
-1.317209

Std. Err.
.0489398
.6964634

.170171
1.423608
1.773845
.3917622
( ,
_i)

t
22.60
-1.89

P>t
0.000
0.071

F test that all alfa_i=0:


F(2,23)= 3.82, Prob > F = 0.0370
modified Bhargava et al. Durbin-Watson = 1.664958
Baltagi-Wu LBI = 1.8196862
1.102192,

, .

.
tscorr-:
. xtregar y x, fe rhotype(tscorr)
FE (within) regression with AR(1) disturbances
Number of obs = 27
R-sq: within = 0.9540
between = 0.1111
overall = 0.9252

F(1,23)= 476.47, Prob > F = 0.0000


corr(_i, Xb) = -0.1626
y
Coef.
Std. Err.
x
1.109267
.050818
cons
-1.392025
.7698403

t
21.83
-1.81

P>t
0.000
0.084

276

rho_ar
sigma_
sigma_u
rho_fov

.09213053
1.4281087
1.7701594
.39426073 ( ,
_i))

F test that all alfa_i=0:


F(2,23) = 4.66, Prob > F = 0.0199

.
.

3.7. ()
3.7.1.
,
i
t :
yit = + i + t + xit + uit , i = 1,K, N , t = 1,K, T ,

i = 0 ,
i =1

= 0 , i t

t =1

. i t
.

1 N
yt = yit .. ( ),
N i =1
yi =

1 T
yit
T t =1

.. ( ),

277

1 N T
yit ( ),
NT i =1 t =1
:
( yit yi yt + y ) = (xit xi xt + x ) + (uit ui ut + u ) .

( )
y=

CV =

( y

it

i =1 t =1

y i y t + y )( x it x i x t + x )

(x
i =1 t =1

it

xi xt + x )

=
2

W xy
W xx


( yi y ) = i + (xi x ) + (ui u ) ,
( yt y ) = t + (xt x ) + (ut u )
i t :
= ( y y ) ( x x ) ,
i

CV

t = ( y t y ) CV ( x t x ) .


Stata xtreg, fe
- .

( , )
Fixed-effects (within) regression
R-sq:
within = 0.1808
between = 0.0005
overall = 0.0638
F(11,3804) = 76.30, Prob > F = 0.0000

278

corr(_i, Xb) = -0.1203


WAGE_LN
Coef.
Std. Err.
t
P>t
BLACK (dropped)
EXPER
.1317361
.0098356
13.39
0.000
EXPER2
-.0051704
.0007047
-7.34
0.000
HISP (dropped)
MAR
.0464781
.0183123
2.54
0.011
PUB
.0347278
.0385989
0.90
0.368
SCHOOL
(dropped)
UNION
.0791253
.0193354
4.09
0.000
Y80
(dropped)
Y81
.0193045
.0203652
0.95
0.343
Y82
-.0112773
.0202281
-0.56
0.577
Y83
-.0419533
.0203211
-2.06
0.039
Y84
-.0383904
.0203151
-1.89
0.059
Y85
-.0428743
.0202506
-2.12
0.034
Y86
-.0275581
.0203878
-1.35
0.177
cons
1.028383
.0299620
34.32
0.000
,


.
sigma_ .40078197
sigma_u .3509988
rho .56593121 (fraction of variance due to _i)
F test that all _i=0:
F(544, 3804) = 7.97
Prob > F = 0.0000
. test Y81=Y82=Y83=Y84=Y85=Y86=0

279

( Y81 -, 1 1981 . 0
; Y82,,Y86.)
F(6, 3804) = 1.96
Prob > F = 0.0680

.
3.7.2.

yit = + i + t + xit + uit , i = 1,K, N , t = 1,K, T
, i t
E ( i ) = E (t ) = E (uit ) = 0 ,

E ( ) =
i

i = j ,

0, i j ,
2 , t = s,
(
)
E t s =
0, t s,
u2 , i = j t = s,
(
)
E uit u js =
0, ,
E ( i t ) = 0 , E ( iuit ) = 0 , E (t uit ) = 0 ,
E ( i xit ) = E (t xit ) = E (uit xit ) = 0 .
it = i + t + uit .

D( it ) = D ( yit xit ) = 2 + 2 + u2 ,
.
2 , i = j , t s,
Cov( it , js ) = 2
, t = s, i j ,

280

2
, i = j , t s,

D(2it )

, t = s, i j ,
Corr ( it , js ) =
(
)
D

it

1,
t = s, i = j ,

t s, i j.
0,

N

bi =

(x

i =1

x )( y i y )

(x

i =1

x)

=
2

B xy
B xx

bt =

(x

t =1

x )( y t y )

(x
t =1

x)

=
2

C xy
C xx

GLS-
GLS = 1 CV + 2 bi + 3 bt ,

Wxx
W
1 =
= xx ,
2
2
Wxx + 2 Bxx3 C xx Txx

2 =
22 =

22 Bxx
Txx

, 3 =

u2
+ T
2
u

32C xx
Txx

, 32 =

u2
+ N 2
2
u

281

Txx = Wxx + 22 Bxx + 32C xx .


, GLS-
-, ,
.

2 = 2 = 0 ( i t ),
B
C
22 = 32 = 1 , 2 = xx , 3 = xx , Txx = Wxx + Bxx + C xx ,
Txx
Txx

GLS =

W xx W xy B xx B xy C xx C xy W xy + B xy + C xy

=
=
T xx W xx T xx B xx T xx C xx W xx + B xx + C xx
N

(x
=

it

i =1 t =1
N

(x
i =1 t =1

x )( y it y )

it

x)

= OLS ( ).
2

T N 22 0 32 0 ,
=

(
GLS

CV

).


xtreg, re dummy-
.
3.7.3.

282

H 0 : 2 = 2 = 0 ( ).
OLS-
OLS- u it .
BP = LM 1 + LM 2 ,
2

2 N 2
u i

T
NT i =1
LM 1 =
1 ,
N T

2(T 1)

u it2

i =1 t =1

2 T 2
u t

N
NT
t =1
LM 2 =
1 .
2(T 1) N T 2

u it

i =1 t =1
H 0 BP

(2) . H : = 0
2

a
0

LM 1 ~ 2 (1) ;

H 0b : 2 = 0 LM 2 ~ 2 (1) .

F, .
H 0 : 2 = 0 ( t = 0 )

(S S ) (N 1) ,
F3 = 2 1
S1 ( NT N 1)
S 2 RSS OLS (), S1 RSS
(
CV-).

H 0 : 1 = 2 = L = N 1 = 0, 1 = 2 = L = T 1 = 0

283


(S S 2 w ) (N + T 2) ,
F2way = 3
S 2 w (N 1)(T 1) 1
S 2 w RSS .

H 0 : 1 = 2 = L = N 1 = 0 t 0

(S 4 S 2 w ) (N 1) ,
F4 =
S 2 w ((N 1)(T 1) 1)
S 4 RSS
( yit yt ) = (xit xt ) + (uit ut )

H 0 : 1 = 2 = L = T 1 = 0 i 0

(S1 S 2 w ) (T 1) .
F5 =
S 2 w (( N 1)(T 1) 1)
i , t
: STATA xtreg, re dummies
.
:


:
F test that all ALFA_i=0:
F(544, 3804) = 7.97
Prob > F = 0.0000
F-
.

:

284

test
Y81=Y82=Y83=Y84=Y85=Y86=0
F(6, 3804) = 1.96
Prob > F = 0.0680

F- 5% .

3.8.
.

.
,
i = 1,K, N , t = 1,K, T ,
T
N , .
.
yit = + xit + i + uit , i = 1,K, N , t = 1,K, Ti ,

=0,

i =1


.
.
.
1. OLS- , , BLUE,
2 = 0 .
2. (CV) ,
, yi xi
.
3. - ,
Ti i.

4.

285

GLS- - ,
yit = yit i yi , xit = xit i xi ,
yi =

1
Ti

Ti

y
t =1

it

, xi =

1
Ti

Ti

it

t =1

, i = 1

u2
u2 + Ti 2

. . i .

3.9.

, .
,
y2it = y1it + xit + i + uit , i = 1,K, N , t = 1,K, T ,

y1it - g1 ,
xit - k1 ,
- g1 k1 .

zit - k 2 , k 2 g1 ,

E ( zit uit ) = 0 .
:
1 T
1 T
1 T
y2i = y2it , y1i = y1it , xi = xit ,
T t =1
T t =1
T t =1
1 N T
1 N T
1 N T
y
,
y
=
y
,
x
=
2it 1 NT
xit .
1it
NT i =1 t =1
NT i =1 t =1
i =1 t =1
( IV)
-
( y2it y2i ) = ( y1it y1i ) + (xit xi ) + (uit ui ) ,

y2 =

286

IV-- IVW , IVW .


-
( y2i y2 ) = ( y1i y1 ) + (xi x ) + (ui u ) ,
IV-- IVB .
: k 2 = g1 = 1 , k1 = 0 , y2it = y1it + i + uit .

( y

2 it

i =1 t =1

IVW =

(y

y 2i )( z it z i )

1it

i =1 t =1

y1i )( z it z i )

2i z i

i =1

IVB =

1i z i

i =1

E (Y1it i ) = 0 ,
. ,


~y = y y , ~
y1it = y1it y1i ,
2 it
2 it
2i
u~ = u u , ~z = z ~z ,
it

it

it

it

u2

= 1

u2 + T 2
N

u2 =

(( y
i =1 t =1

2 it

y 2i ) ( y1it y1i ) IVW

NT N

)2
,

287
N

u2 + T 2 =

(y
i =1

2i

y1i IVB )

~y = ~y + u~ ,
IV
2it
1it
it
zit zi zi ~zit .
, = [ ] -
g1 + k1 . IV
(2SLS) :
1. IVW ;
2. ;
IVB

u2 u2 + T 2 ,
;
3. IV .
STATA,
xtivreg c re. E (Y1it i ) 0 ,
fe.


. (
National Longitudinal Survey, Youth Sample, ) N=4134
, 1968 . 14 26 .
1968 1988 .
:
1 12 ( 4.6
).

288

ln wit = 1 tenure + 2 age + 3 age2 + 4 notsmsa +


+ 5 union + 6 south + + i + u it ,
i = 1,K , N , t = 1,K , T , wit ,
tenure ()
,
age ,
notsmsa ,
union ,
south .
-
:
. xtreg ln_w tenure age age_2 not_smsa union south, fe i(idcode)
Fixed-effects (within) regression
Number of obs =19007
Group variable (i): idcode
Number of groups = 4134
R-sq: within = 0.1333
Obs per group: min = 1
between = 0.2375
avg = 4.6
overall = 0.2031
max = 12
F(6,14867) = 381.19
Prob > F = 0.0000
corr(_i, Xb) = 0.2074
ln_wage
Coef.
Std. Err.
z
P>z
tenure
.0176205
.0008099
21.76
0.000
age
.0311984
.0033902
9.20
0.000
age_2
-.0003457
.0000543
-6.37
0.000
not_smsa
-.0972535
.0125377
-7.76
0.000
union
.0975672
.0069844
13.97
0.000
south
-.0620932
.0133270
-4.66
0.000
cons
1.091612
.0523126
20.87
0.000
sigma_ | .3910683
sigma_u | .25545969
rho | .70091004 (fraction of variance due to _i)
F test that all _i=0:
F(4133, 14867) = 8.31 Prob > F = 0.0000

289


.
(70%) .
, , ,

( )

, tenureit

ln wit = 1 tenureit + 2 ageit + 3age2it + 4 notsmsait +


+ + i + uit
uit ,

tenureit
union south . ,

1 , 2 , 3, 4 , 5 : union , south , age , age2 ,
notsmsa .
:
. xtivreg ln_w age age_2 not_smsa (tenure=union south), fe i(idcode)
Fixed-effects (within) IV regression
Number of obs = 19007
Number of groups = 4134
Obs per group: min = 1 avg =4.6 max = 12
Wald chi2(4) = 147926.58 Prob > chi2 = 0.0000
corr(_i, Xb) = -0.6843

290

ln_wage
Coef.
Std. Err.
z
tenure
.2403531
.0373419
6.44
age
.0118437
.0090032
1.32
age_2
-.0012145
.0001968
-6.17
not_smsa
-.0167178
.0339236
-0.49
cons
1.678287
.1626657
10.32
sigma_ | .70661941
sigma_ u | .63029359
rho | .55690561 (fraction of variance due to _i)
--------------------------------------------------F test that all _i=0:
F(4133,14869) = 1.44
Prob > F = 0.0000
--------------------------------------------------Instrumented: tenure
Instruments: age age_2 not_smsa union south

P>z
0.000
0.188
0.000
0.622
0.000

.

age notsmsa .


.
,
GLS-,
.
:
. xtivreg ln_w age age2 not_smsa black (tenure = union birth_yr south
black) , re i(idcode)
G2SLS random-effects IV regression
Number of obs = 19007
Number of groups = 4134

291

R-sq: within = 0.0664


Obs per group: min = 1
between = 0.2098
avg = 4.6
overall = 0.1463
max = 12
Wald chi2(5) = 1446.37
Prob > chi2
= 0.0000
corr(_i, X) = 0 (assumed)
ln_wage
Coef.
Std. Err.
z P>z
tenure
.1391798
.0078756
17.67 0.000
age
.0279649
.0054182
5.16 0.000
age_2
-.0008357
.0000871
-9.60 0.000
not_smsa
-.2235103
.0111371
-20.07 0.000
black
-.2078613
.0125803
-16.52 0.000
cons
1.337684
.0844988
15.83 0.000
sigma_ | .36582493
sigma_u | .63031479
rho | .25197078 (fraction of variance due to _i)
-----------------------------------------------------------------------------Instrumented: tenure
Instruments: age age2 not_smsa black union birth_yr south

3.10.

3.10.1. RE- FE-


,
i .


,

292

. , ,
,
, ..

yit = + i + xit + zi + uit , i = 1, K , N , t = 1, K , T ,
z i , .
RE-,
xit z i ,
: BLUE
GLS- .
FE- i
E ( i z i ) = 0 , E ( i xit ) 0 , GLS-
(, RE-) ,
. t :
y i = + i + xi + z i + u i , i = 1,K, N .

yit yi = ( xit xi ) + (uit u ) , i = 1,K, N .




CV .
i , z i . i
E ( i xit ) 0 , E ( i z i ) = 0 ,
.
, y i xi = + z i + ( i + u i ) .
, ,

( )

(
i =1

+ ui ) , between-
2

293

(( y
=

i =1

y ) ( x i x ) )(z i z )

(z

z)

i =1

= y x z .
CV ,
~ ~ ;
plim ~ = ,
N

.. ~ .
[ STATA e predict residfe, ue xtreg, fe
xtreg, fe Zi , be ]

( ,
)

scooling, black, hispanic.

. , Stata8,
.
Between regression (regression on group means)
R-sq:
within = 0.0000
between = 0.2119
overall = 0.1264
F(3,541) = 48.47, Prob > F = 0.0000
Coef.
Std. Err.
t
P>t
SCHOOL
.1015825
.0089372
11.37
0.000
BLACK
-.1442396
.0484007
-2.98
0.003
HISP
.0210173
.0435069
0.48
0.629

294



( GLS-).
3.10.2.

yit = X it + Z i + i + uit , i = 1, K , N , t = 1, K , T ,
X it k ,
, Z i g
,
.
,

RE- ( ,
), ,
i

.

:
X it = [ X 1it X 2it ] , Z i = [Z 1i Z 2i ] ,
k1 , X 1it , g1 ,
Z1i , i
,
E ( X 1it i ) = E (Z1i i ) = 0 ,
k 2 , X 2it , g 2 ,
Z 2i , i
,
E ( X 2it i ) 0 , E (Z 2i i ) 0 .

yit = X 1it 1 + X 2it 2 + Z1i 1 + Z 2i 2 + i + uit ,

295

,
,
yit yi = (X 1it X 1i )1 + (X 2it X 2i ) 2 + uit ,
,
T

= T , T .
CV

, .
T
,
CV = 1T,CV , 2T,CV
-:
d it = ( y it y i ) (X 1it X 1i )1,CV (X 2it X 2i ) 2,CV

D(uit ) = u2 :
RSS CV
.
u2 =
NT (k1 + k 2 )
, , ,
yi X 1i 1 X 2i 2 = Z1i 1 + Z 2i 2 + ( i + uit ) .
E (Z 2i i ) 0 , OLS-
1 2 , (between-)
.

1 2
(2SLS), [ Z1i X 1it ] .
X 1it (k1 )
Z 2i (g 2 ) .
1 2 1, IV 2, IV .
,

eit = yit X 1it 1,CV X 2it 2,CV Z1i1,IV Z 2i2,IV

296

1 N T 2
eit ,
NT i =1 t =1
u2 + T 2 .

S2 =

2
S 2 u2
.
T
GLS , RE-:
yit = yit yi ..

,
= 1

2 =

u2

u2 + T 2

u2 2 u2 2 .

yit = X 1it 1 + X 2it 2 + Z1i 1 + Z 2i 2 + it .
IV (2SLS),
[X 1it X 1i , X 2it X 2i , X 1i , Z1i ],

= T , T

T
T
, HT
HT = HT

].

1.
.
2. X 1it :
.
3. k1 < g 2 , .
=
.
HT

CV

HT

297

k1 = g 2 , HT = CV
HT = IV = 1T, IV , 2T, IV .
( .)
5. k1 > g 2 , .

Cov
Cov

4.

( )
CV

( )
HT

,
-.

-
X 1 ,
i ( E ( X 1it i ) = 0 ).

3.11.
.
y it = y i ,t 1 + i + u it , i = 1,K , N , t = 1,K , T ,

< 1,
uit ~ i.i.d . N (0, u2 )
(
E (uit yi ,t k ) = 0 k > 0 ). , yit
t = 0,1,K, T . B- :

CV =

(y
i =1 t =1
N

it

y i )( y i ,t 1 y i , 1 )

(y
i =1 t =1

y i , 1 )

i ,t 1

1 T
1 T
yit , yi , 1 = yi , t 1 .

T t =1
T t =1
,
yi =

298

yi =

1 T
( yi ,t 1 + i + uit ) = yi ,1 + i + ui ,
T t =1


yit yi = ( yi ,t 1 yi , 1 )+ (uit ui )

CV = +

(u
i =1 t =1
N

it

u i ) ( y i ,t 1 y i , 1 ) NT

(y
i =1 t =1

y i , 1 ) NT

i ,t 1


:
1 N T
p lim
(uit ui )(yi,t 1 yi, 1 ) =
N NT i =1 t =1
= p lim
N

1
NT

u
i =1

t =1

it

T
T

yi ,t 1 ui yi ,t 1 yi , 1 uit + T ui yi , 1 =
t =1
t =1

1
ui yi , 1 .
N N i =1
,
yi1 = yi 0 + i + ui1 ,
= p lim

yi 2 = yi1 + i + ui 2 = 2 yi 0 + ( + 1) i + ui1 + ui 2 ,
...
y it = t y i 0 + 1 t i (1 ) + t 1 u i1 + L + u i ,t 1 + u it .
, , , T = 2

1 N
p lim
(( + 1) y i 0 + i + u i1 )(u i1 + u i 2 ) =
4 N i =1
N

p lim
N

1
4N

u i21 =
i =1

u2
4

0,

299

CV .
:
1 N T
p lim
(uit ui )(yi,t 1 yi, 1 ) =
N NT i =1 t =1
= p lim
N

T
1 N
2 T 1 T +

u
y
=

i i ,1
,
u
2
2
N i =1
T (1 )

u2 1
T 1 T + T
1

.
2
N
1 2 T
T 2 (1 )
i =1 t =1

, N , T ,
,
u2
p lim CV =
0,
N , T
1 2
p lim CV = . ,
p lim

1
NT

(y
N

i ,t 1 yi , 1 ) =
2

p lim CV , CV
N

, i
,
(uit ui )
(yi,t 1 yi,1 ) . , .
, > 0 . ,
(1 ) 2 .
, CV
c .

300

0.8

lim_gamma_estim

0.6
0.4
0.2
0
-0.2

10

-0.4
-0.6
T
GAM=0.1

GAM=0.3

GAM=0.5

GAM=0.7

GAM=0.9

- T

.

, i :

. :
yi ,t yi ,t 1 = ( yi ,t 1 yi ,t 2 ) + (u it ui ,t 1 ) ,

yi ,t = yi ,t 1 + uit ,

yi ,t = yi ,t yi ,t 1 , uit = uit ui ,t 1 .

Cov(yi ,t 1 , uit ) = Cov ( yi ,t 1 yi ,t 2 , uit ui ,t 1 ) =


= Cov ( yi ,t 1 , ui ,t 1 ) 0 .

301

OLS-

()

T .

(IV instrumental variables). ,
yi ,t 2 ,
Cov( yi ,t 2 , uit ) = Cov ( yi ,t 2 , uit ui ,t 1 ) = 0 ,

Cov( yi ,t 2 , yi ,t 1 ) = Cov ( yi ,t 2 , yi ,t 1 yi ,t 2 ) 0 ,
,
,
N

IV =

(y

i ,t

i =1 t =1
N T

(y
i =1 t = 2

i ,t 1

y i ,t 1 )y i ,t 2
y i , t 2 )y i , t 2

:
N T
1
p lim
(uit ui ,t 1 ) yi,t 2 = 0
N N (T 1) i =1 t = 2
T / N .
yi ,t 2 ,
, y i ,t 2 y i ,t 3 ,
N

IV =

(y

i ,t

i =1 t =1
N T

(y
i =1 t = 3

i ,t 1

y i ,t 1 )( y i ,t 2 y i ,t 3 )
y i ,t 2 )( y i ,t 2 y i ,t 3 )

,
N T
1
p lim
(uit ui,t 1 )(yi ,t 2 yi ,t 3 ) = 0 .
N N (T 2 ) i =1 t = 3

302


ui ,t .
,
N T
1
p lim
(uit ui,t 1 ) yi,t 2 = E [(uit ui,t 1 ) yi,t 2 ] = 0,
N N (T 1) i =1 t = 2
N T
1
p lim
(uit ui ,t 1 )(yi,t 2 yi ,t 3 ) =
N N (T 2 ) i =1 t = 3
= E [(uit ui ,t 1 )( yi ,t 2 yi ,t 3 )] = 0 .

(uit ui ,t 1 ) , yi ,t 2 (uit ui ,t 1 ) , ( yi , t 2 yi ,t 3 ) .

(
)
,


(
). ,
. , yi ,t 2 j , j = 0,1,K


E (uit ui ,t 1 ) yi ,t 2 j = 0,

[
E [( y

i ,t 1

yi ,t 2 ) yi ,t 2 j 0,

.
Arellano, Bond (1991)
, . , , =
4.
E [(ui 2 ui1 ) yi 0 ] = 0
t = 2 . t = 3
E [(ui 3 ui 2 ) yi1 ] = 0 ,

E [(ui 3 ui 2 ) yi 0 ] = 0 .
t = 4 :

303

E [(ui 4 ui 3 ) yi 0 ] = 0 ,
E [(ui 4 ui 3 ) yi1 ] = 0 ,
E [(ui 4 ui 3 ) yi 2 ] = 0 .

(GMM generalized method
of moments).
(T 1) 1 -

ui 2 ui1

ui =
M

u u
i ,T 1
i ,T
(T 1) (T (T 1) / 2 ) -

L
0
0
[ yi 0 ]

0
0 [ yi 0 , yi1 ] L

Zi =
;
M
O
M

[
]
L
0
y
,
K
,
y
i
0
i
,
T
2

Z i ,
. ,

T (T 1) / 2

:
E Z iT u i = 0 .

yi 2 yi1
yi1 yi 0

yi =
M
M
, yi , 1 =
,

y y
y
i ,T 1
i ,T
i ,T 1 yi ,T 2

:
E Z iT (yi yi , 1 ) = 0 .

304

,
. ,
,
.
-
.
, GMM


T

1 N

1 N

Q( ) = Z iT (y i y i , 1 ) W N Z iT (y i y i , 1 ) ,
N i =1

N i =1

WN
. ,
1

N
N
N
GMM = yiT,1 Z i WN Z iT yi,1 yiT,1Z i WN Z iT yi .

i =1
i =1
i=1
i =1
GMM- .
WN .
WN , ,
WN = I N , WN
, GMM-

.
:

( (

p lim W N = Cov Z iT u i
N

))

[(

= E Z iT u i (u i ) Z i
T

)]


i - ,
.
WN = I N GMM-

y i ,t = yi ,t 1 + u it

305

, (1)
.
u it = y i ,t (1) y i ,t 1

u i 2

u i = M .
u
i ,T

1 N T

Z i u i (u i )T Z i .
=
N i =1

uit ~ i.i.d . , .

0
2 1 0 K 0

0
1 2 1 K 0
0 1 2 K 0
0
T

E u i (u i ) = u2 G = u2
M
M
M O M
M

0
0 K 2 1
0
0
0
0 K 1 2

.

W Nopt

1 N
W = Z iT G Z i

N i =1
GMM- .
GMM- GMM

opt
N

306

1
p lim
N N


(
)

y
Z

u
Z

i
i
i , 1
.
i =1
i =1
i =1

uit ~ i.i.d . ,

W
2
u

opt
N

T
i , 1

1
Z i
N

1
=
N
2
u

T
i

Z i

T
i

Z G Z i .

i =1

T
i

yit = yi ,t 1 + xitT + i + uit , i = 1,K, N , t = 1,K, T .



yi ,t = yi ,t 1 + xitT + uit .
, p ,
xit , , ,
uis ,
E (xit uis ) = 0 t, s ,


() xi1 ,K, xiT .

:
[ y i0 , yi1 , K , y i,t 2 , xi1 , K , xiT ].
, p T .
xit :
E (xit uit ) = 0 t ,

xit
. t

307

y , y , K, y
i, t 2 , xi1, K, xit .
i 0 i1

, .
, xit
, , ,

E ( xit uis ) = 0 s > t .


xi1 ,K, xiT
t ,
xi1 ,K, xi ,t 1 , , ,
E (xi ,t j uit ) = 0

j = 1,K, t 1 .

, xit ,
,
.



.
.

.
:
,
,

;

;

WN .

308


y x ( N = 3 )
( T = 10 )

yit = + i + yi ,t 1 + 1 xit + 2 xi ,t 1 + uit , i = 1, 2, 3, t = 2,K,10 .
:
yit = yi ,t 1 + 1 xit + 2 xi ,t 1 + uit , i = 1, 2, 3, t = 3,K,10 .
xtabond Stata8,
:
t
3
4
5
6
7
8
9
10

yi1
yi1 , yi 2
yi1 , yi 2 , yi 3
yi1 , yi 2 , yi 3 , yi 4
yi1 , yi 2 , yi 3 , yi 4 , yi 5
yi1 , yi 2 , yi 3 , yi 4 , yi 5 , yi 6
yi1 , yi 2 , yi 3 , yi 4 , yi 5 , yi 6 , yi 7
yi1 , yi 2 , yi 3 , yi 4 , yi 5 , yi 6 , yi 7 , yi 8

-
1
2
3
4
5
6
7
8

36

xi 3 + L + xi ,10 xi 2 + L + xi 9 . 36 + 2 = 38
. 3
,
3 ,
38 3 = 35 .

309

,
.

.
, H 0 ,
(

)
.
(Sargan):

S = N Q GMM ,

GMM GMM- (
T
= ( , , ) ), Q
=
1

GMM

GMM

GMM .
H 0 ,
( N ) -
,
( 35).
xtabond

W

opt
N

1
=
N

Z G Z i

i =1

T
i

( ).
. xtabond y x l1(x), lags(1)
Arellano-Bond dynamic panel-data estimation
Number of obs =
24
Number of groups = 3
Obs per group: min = 8

310

One-step results
Coef.
.0830295

Std. Err.
.2100682

z
0.40

P>z
0.693

y1
x
1.132349
.0606134
18.68
0.000
-.0423772
.2375232
-0.18
0.858
x1
cons
.1032841
.1361505
0.76
0.448
Sargan test of over-identifying restrictions:
chi2(35) = 21.81 Prob > chi2 = 0.9600

.


,
.

xtabond
. .
ui1 ,K, uiT ,
uit , ui ,t 1 , ..
Corr (uit , ui ,t 1 ) = Corr (uit ui ,t 1 , ui ,t 1 ui ,t 2 ) = u2 ;


uit , ui ,t s , s = 2, 3, K ,
.
,

.
:
Arellano-Bond test that average autocovariance in residuals
of order 1 is 0: H0: no autocorrelation z = -2.56, Pr > z = 0.0106.
Arellano-Bond test that average autocovariance in residuals of
order 2 is 0: H0: no autocorrelation z = 0.77, Pr > z = 0.4427.

311

,
Konigs, Roodhooft [De Economist, 145 (1997)]
.
, 3000
1986 1994 .

ln Lit = 1 + 2 ln wit + 3 ln rit + 4 ln Yit + 5 ln w jt + uit ,
wit ,
rit ,
Yit ,
wit .
,
,
.
rit K it ,
Yit - .

ln Lit = 1 + 2 ln wit + 3 ln K it + 4 ln Yit + 5 ln w jt + ln Li ,t 1 + i + it .
i
,
.
, i ,
OLS -
ln Li ,t 1 i,t . ,
i,t ln wi ,t

, ln Li ,t 1

312

ln wi ,t .
ln wi ,t 2 , ln wi ,t 3 ..
,

-.


0.60


0.045

ln Yit
ln wi ,t

0.008

0.005

-0.66

0.19

ln w j ,t

0.054

0.033

ln K it

0.078

0.006

ln Li ,t 1

ln Li ,t 1

-0.66

,
0.60 (1 0.60 ) = 1.6
.
,
,
,
1.78 .

.
,
.

29

. ,

29

S = N Q GMM ,

GMM

. 51.66,

313

P-, 29 , 0.006. ,

.

3.12.
1,
, -
() (cross-section data ).
n ,

i - ()
y , i - yi .
y i = 1 i -
y i = 0
i -
.

(,
) ( ), ,
,

yi = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 , K , xip p i -

1 ,K , p , 1 , K , n
,
i - -
.

:
P{y i = 1 x i } = 1 xi1 + L + p xip ,
,

314

..
0 1 xi1 + L + p xip 1 .

,
.
, i

D ( i x i ) = xiT 1 xiT .

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

E ( yi xi ) = P{yi = 1 xi } = + xi ,

xi ,
i -
,
( + (xi + 1)) ( + xi ) = ,
, xi .

P{y i = 1 x i } = G ( 1 xi1 + L + p x ip ) ,

G (z ) S- ,
g ( z ) = G ( z ) ,
y i = G ( 1 xi1 + L + p xip ) + i , i = 1, K , n .
,
n ,
xi , 1 , K, n

315

. xi

G ( 1 xi1 + L + p xip ) + i ,
i = 1, K , n , .. y1 ,K, yn .
( xi , i = 1, K , n )
y1 ,K, yn
( )
n

y
1 y
(P{yi = 1 xi }) (P{yi = 0 xi })
i

i =1

(G (x )) (1 G (x ))
n

yi

T
i

T
i

1 yi

i =1

xi ,
i = 1, K , n , ,

( ( )) (1 G (x ))

L( ) = L( x1 , K , x n ) = G xiT
n

i =1

yi

T
i

1 yi

1 ,K , p . , 1 ,K , p
L( ) , .. xi , i = 1, K , n ,
y1 ,K, yn
, .

= ,
,

()

()

L = max L = max

(G(x )) (1 G (x ))
n

T
i

yi

T
i

1 yi

i =1

ln(z ) ,

( )

,
ln L( ) .

( ))

ln L( ) = y i ln G xiT + (1 y i ) ln 1 G xiT .
i =1

i =1

316


(.. X = xij p

( )

n p ,
), L( )
, ,

.

() yi ,
i -
, ,
1, y i > ,
yi =
0 .

y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
,
P{y i = 1 x i } = G xiT = ( 1 x i1 + L + p xip ) .

= 0 .

i

,
.
.

() y it
y it ,

317

1, yit > 0,
yit =
0 .
, y it , i -
t . ,
y it = xitT + i + it ,

xitT - i -
t .
, it

G
.
i ,
N -.
:
ln L( , 1 , K , N ) =

))

= y it ln G ( i + x itT ) + (1 y it ) ln 1 G i + xitT .
i ,t

i ,t

,
i
T ,
N .
OLS-
.
i ,
i
.

, P{y it = 1 x it }
.

318

, ,

y it = x itT +

it

. ,

, ,
y it y i,t 1 ,
y it y i ,t 1 .

(conditional FE).
,
ti ,
i . ,
i -
i . , f ( yi1 ,K, yiT i , )
i - ,

f ( yi1 ,K, yiT ti , i , ) = f ( yi1 ,K, yiT ti , ) .


, ,
,
f ( yi1 , K , yiT ti , ) .

it .

y.

FE- i . , ,
-,

y it = xitT + i + it ,

319

i .
, -
.
3.12.1. -

y it = x itT + i + it ,

it

e
.
1+ ez
exp x itT + i
,
P{y it = 1 xit , i , } =
1 + exp xitT + i

G ( z ) = ( z ) =

}
exp{x + }
1
.
=
P{y = 0 x , , } = 1
1 + exp{x + } 1 + exp{x + }
T
it

it

it

T
it

T
it

- = 2. ,
y i1 + y i 2
(
) i - ,
4 ( y i1 , y i 2 ) :
(0,0) , (0,1) , (1,0) , (1,1) . , y i1 + y i 2
3 : 0, 1, 2 ( i -
, ,
).

y i1 + y i 2 .
y i1 + y i 2 = 0 ,
(0,0) ,

320

P{(0,0) yi1 + yi 2 = 0, i , } = 1 ,

y i1 + y i 2 = 0 0.
yi1 + yi 2 = 2 , (1, 1) ,

P{(1,1) yi1 + yi 2 = 1, i , } = 1 ,

y i1 + y i 2 = 1 0.
y i1 + y i 2 = 1 , (0,1)
(1,0) , , 0 1,
(0,0) (1, 1)
0.
P{(0,1) x it , i , }
=
P{(0,1) y i1 + y i 2 = 1, x it , i , } =
P{y1 + y 2 = 1 x it , i , }
=

P{y i1 = 0 xit , i , }P{y i 2 = 1 xit , i , }

P{y i1 = 0 x it , i , }P{y i 2 = 1 x it , i , } + P{y i1 = 1 xit , i , }P{y i 2 = 0 x it , i , }

}
{
}
=
=
exp{x + }
exp{x + }
1
1

1 + exp{x + } 1 + exp{x + } 1 + exp{x + } 1 + exp{x + }


exp x iT2 + i
1

1 + exp x iT1 + i 1 + exp x iT2 + i

T
i2

T
i1

T
i2

T
i2

T
i1

T
i1

T
i2

{ } ,
exp{x + }+ exp{x + } exp{x }+ exp{x }
exp x iT2 + i

T
i1

exp x iT2

T
i1

T
i2

,
T
exp (x i 2 x i1 )
.
P{(0, 1) y i1 + y i 2 = 1, x it , i , } =
T
1 + exp (x i 2 x i1 )

321

,
P{(1,0) y i1 + y i 2 = 1, x it , i , } = 1 P{(0,1) y i1 + y i 2 = 1, x it , i , } =
=

.
T
1 + exp (xi 2 x i1 )
,
P{( y i1 , y i 2 ) = (r , s) y i1 + y i 2 = l , x it , i , } ,

r , s = 0,1, l = 0, 1, 2 , ,

i ,
.
, T = 2
- ,
,
xi 2 xi1 ,
,
yit (1
yit , 0 yit ). ,
:
L = P{(0, 0) }P{(0,1) }P{(1, 0) }P{(1, 1) } =
N

i =1

exp ( xi 2 xi1 )T
1
1S11 ,

= 1
T
T

(
)
(
)
1
exp
1
exp
x
x

x
x

i =1
i2
i1
i2
i1

S rs = 1 , y i1 = r , y i 2 = s , S rs = 0 .
, , yi1 = yi 2 = 0 yi1 = yi 2 = 1 ,

.
,
yit .
N

S 00

S10

S 01

322


within- .
, . T > 2
,
.
H 0
,
CML ,
ML ML , (
). MLE
H 0
. MLE
H 0 , ,
. ,
, (.
2, . 2.6.5.).
T
1
H =

Cov
Cov

CML

ML

)( (

CML

( )) (
ML

CML

ML

H 0 -
, .


,
()
yi1 ,K, yiT xit , i , .

.

323

3.12.2. -
i

,
, ,
-. ( -,
.)

1, yit > 0,
yit =
0 ,

y it = xitT + uit ,
uit = i + it ,

i , i ~ i.i.d. N (0, 2 ) ,
it , it ~ i.i.d. N (0, 2 ),

.
ui1 , K, uiT , E (uit ) = 0 , D(uit ) = 2 + 2 ,
Cov(u it , u is ) = Cov( i + it , i + is ) = 2 s t ,
2
Cov(uit , uis )
=
= 2 2
D (uit ) D (uis ) +
uit uis ()

s t . D (uit ) = 1 = 2 .
, 2 = 1 2 .
yi1 ,K, yiT
xi1 ,K, xiT

324

f ( yi1 ,K, yiT xi1 ,K, xiT , ) =

f (y

i1

,K, yiT xi1 ,K, xiT , i , )f ( i )d i =

f ( yit xit , i , ) f ( i )d i .

t =1

-
xT +
i
it
,
yit = 1,
2


f ( yit xit , i , ) =
T

xit + i , y = 0,

it

1 2

1 i2
.
exp
2
2 2
2

.

(, Stata).
f ( i ) =

H 0

= 2 = 0 ,

= 0 .

325

3.12.3.

(German Socio-Economic Panel) 5- 1985
1989 .,
(well-being).

0 10.
- - ,
. ,
0 4,
,
5
.

:
:
LOGINCOME () . .
-:
UNEMP (), NOPARTIC ( ),
SELFEMP (), PARTTIME ( )
(
-),
MALE ,
OKHEALTH ,
AGE AGESQUARED ,
VOCATIONAL D. ,
UNIVERSITY D. ,
MARRIED .


.
, , ,
, . ,

326

,

, ..
. ,
100%.
()
,
.

,
. ,
,
,
,
.


, , ,
.
UNEMP
UNEMP*AGE<29

UNEMP*AGE30-49.


.

.
,
UNEMPDUR ( ,
) ,
,
UNEMPDURSQ*10-2.

327

,
,
.

.
.
, ,
. , ,
,
,
.
,
.
UNEMPDUR
PREVDUR,

10 ,
.

CHANGEINC
.
,

.
,

, .. ,
. ,
UNEMP
,
, .


,
.

328



, .
. 1 2
-,
( ),
. -
,
Sit = xitT + it ,

0,
Sit < 0,

1, 0 < Sit < 1 ,


Sit =
M

10, S > .
it
9

B1 B2 FE RE - (1
5 , 0
5).
1 ( )
Pooled
coeff.

s.e.

Constant

1.661

(0.168)

MALE

-0.059

(0.015)

UNEMP

-0.265

(0.050)

329

UNEMP*AGE<29

-0.164

(0.078)

UNEMP*AGE30-49

-0.221

(0.065)

-0.011

(0.007)

0.013

(0.020)

PREVDUR

-0.009

(0.001)

NOPARTIC

-0.042

(0.018)

SELFEMP

-0.107

(0.033)

PARTTIME

-0.060

(0.028)

MARRIED

0.140

(0.017)

OKHEALTH

0.428

(0.014)

AGE

-0.050

(0.004)

AGESQ*10-2

0.062

(0.005)

VOCATIONAL D.

UNEMPDUR
-2

UNEMPDURSQ*10

0.083

(0.013)

UNIVERSITY D.

0.106

(0.033)

LOGINCOME

0.208

(0.017)

CHANGEINC

0.018

(0.022)

1986

-0.027

(0.020)

1987

-0.127

(0.020)

1988

-0.191

(0.020)

1989

-0.219

(0.021)

Observations

24055

330

2 ( )
Male

Female

coeff.

s.e.

coeff.

s.e.

Constant

2.273

(0.246)

1.259

(0.234)

UNEMP

-0.402

(0.063)

-0.118

(0.089)

UNEMP*AGE<29

-0.321

(0.105)

-0.064

(0.126)

UNEMP*AGE30-49

-0.245

(0.085)

-0.175

(0.109)

UNEMPDUR

-0.003

(0.010)

-0.010

(0.018)

UNEMPDURSQ*10-2

-0.013

(0.028)

0.042

(0.064)

PREVDUR

-0.010

(0.001)

-0.008

(0.001)

NOPARTIC

-0.273

(0.035)

0.056

(0.024)

SELFEMP

-0.087

(0.038)

-0.155

(0.069)

PARTTIME

-0.180

(0.129)

-0.001

(0.031)

MARRIED

0.133

(0.024)

0.110

(0.026)

OKHEALTH

0.409

(0.021)

0.426

(0.021)

AGE

-0.063

(0.006)

-0.049

(0.006)

-2

0.078

(0.007)

0.062

(0.007)

VOCATIONAL D.

0.066

(0.019)

0.093

(0.019)

UNIVERSITY D.

AGESQ*10

0.086

(0.040)

0.174

(0.059)

LOGINCOME

0.165

(0.024)

0.253

(0.025)

CHANGEINC

0.014

(0.030)

0.015

(0.031)

1986

-0.018

(0.028)

-0.037

(0.029)

1987

-0.104

(0.028)

-0.152

(0.030)

1988

-0.175

(0.028)

-0.206

(0.030)

1989
Observations

-0.178
12605

(0.029)

-0.258
11450

(0.030)

331

B1 ()

MALE
Random Effects
coef.
s.e.

Fixed Effects
coef.
s.e.

Constant

1.849

(0.682)

UNEMP

-0.849

(0.145)

-1.257

UNEMP*AGE<29

-0.089

(0.225)

0.115

(0.518)

UNEMP+AGE30-49

-0.013

(0.187)

0.368

(0.419)

UNEMPDUR

-0.026

(0.025)

-0.030

(0.047)

0.027

(0.072)

0.109

(0.145)

PREVDUR

-0.011

(0.004)

NOPARTIC

-0.511

(0.084)

-0.287

(0.243)

SELFEMP

-0.185

(0.107)

0.643

(0.418)

PARTTIME

-0.274

(0.274)

-0.162

(0.554)

MARRIED

0.294

(0.068)

0.575

(0.254)

OKHEALTH

0.448

(0.052)

0.409

(0.128)

AGE

-0.073

(0.019)

0.009

(0.114)

0.086

(0.023)

-0.112

(0.131)

VOCATIONAL D.

0.098

(0.060)

UNIVERSITY D.

0.057

(0.115)

LOGINCOME

0.135

(0.068)

0.676

(0.245)

CHANGEINC

0.158

(0.072)

0.086

(0.174)

0.382

(0.040)

-2

UNEMPDURSQ*10

AGESQ*10

-2

No. of individuals

2521

556

(0.358)

332

B2 ()
FEMALE
Random Effects
coef.
s.e.

Fixed Effects
coef.
s.e.

Constant

-0.160

(0.639)

UNEMP

0.003

(0.209)

-0.192

(0.484)

UNEMP*AGE<29

-0.255

(0.299)

-0.069

(0.641)

UNEMP*AGE30-49

-0.550

(0.240)

-0.821

(0.548)

UNEMPDUR

-0.017

(0.039)

0.014

(0.074)

0.047

(0.144)

-0.022

(0.270)

PREVDUR

-0.009

(0.003)

NOPARTIC

0.007

(0.069)

-0.180

(0.225)

SELFEMP

-0.057

(0.191)

-0.268

(0.497)

PARTTIME

0.022

(0.087)

-0.206

(0.241)

MARRIED

0.220

(0.074)

0.561

(0.261)

OKHEALTH

0.529

(0.053)

0.620

(0.126)

AGE

-0.035

(0.019)

-0.179

(0.108)

0.042

(0.023)

0.066

(0.125)

VOCATIONAL D.

0.149

(0.063)

UNIVERSITY D.

0.280

(0.185)

LOGINCOME

0.278

(0.068)

0.356

(0.233)

CHANGEINC

0.159

(0.073)

0.265

(0.160)

0.411

(0.039)

-2

UNEMPDURSQ*10

AGESQ*10

-2

No. of individuals

2290

538

333

, ,
. ,
. ,

2. ,
.

, :
(
0.059 0.015),
.
,
U-
:

.

, .

, .

,
,
, .
:
. ,

0.4020.245 = 0.65,

0.1180.175 = 0.29.
2

. 1, . 1.4.

334

12%
4% .
,
, .

, FE- ,
(Const, PREVDUR,
VOCATIONAL D., UNIVERSITY D.) , ,
, ,
,
5-
. FE- RE-
, .

3.13. -
- .
-
y it , yit > 0,
yit =
0 .
:

f ( yi1 , K , yiT xi1 , K , xiT , ) = f ( yit xit , i , ) f ( i )d i ,

t =1

1 i2
1
exp
f ( i ) =
,
2
2 2
2

335

1
1 y x T 2
it
it
i

exp
y it > 0,
,
2
2
2 2

f ( y it x it , i , ) =
x itT + i

, y it = 0.
1

( )

E ().
(bids)
(maturity),
,

.

, ,
.
,
,


, .


. ,
,
,
.
,
.
.

336

.
. ,
, ,
.

.
,

,
, ,
-.
275 ,
.
,
.
.
,
. 1995 . ,
33
.

, . , ,

. -,
(
). -
. 275 175
.
.
,
. , 1995 .

337

50 .
,
.

.
spread,

.
3,

.
term spread (
)
.
.


. ,
,
.
,
1995 .
,

-
underbidding, 1 ,
.
, ,
volatility, 4
EGARCH(1,1)
, t

3
4

., , [ (2004)].
., , [Verbeek (2000)].

338

t 1

+ t 1 .
t 1
t 1
.
,
. ,
, ,

.

reserve
fulfillment

.
(reserve holdings)

. ,
.
(
)
(maintenance period),
,
- end of period,
, .
maturing allotment ,

.
, .
large, medium, and small
, .


.


y it 1, i -
t - ,
ln t2 = + ln t21 +

339

, 0 . . 1
-
P{yit = 1 xit } = xitT ,

.

( )

1
Random Effects

term spread
underbidding
spread
volatility
reserve fulfillment
maturing
allotment
end of period
Size dummies
large
medium
small
Pseudo-R2
No. of
observations
No. of groups

Conditional FE
Coef. Estimate

Coef. Estimate

Marginal Effect

8.19 (5.16)
0.36 (1.20)
-11.57 (-6.82)
-0.19 (-2.08)
0.68 (0.55)

0.879
-1.242
-0.020
-

8.70 (5.48)
0.30 (0.97)
-12.14 (-7.14)
- 0.20 (-2.18)
1.11 (0.90)

0.13 (22.24)

0.014

0.11 (19.15)

0.74 (6.28)

0.060

0.76 (6.41)

2.51 (1.57)
-8.98 (-3.43)
-12.70 (-4.82)
0.1142

0.1048

8525
275

4495
145

t-.
. FE-
,
. -R2 ,
1, . 1.3.

. 1 RE- FE-.
RE- ,

340


.
(. . 1.4. 1), -
,
,
. , . 1

,

. , 0.060
end of period ,

, (
) ,
, , ,
6%.
,

. ,
,
,
term spread
.

underbidding ,

.
spread
.
,
, ,
, .
maturing allotment

341

, ,
.

end of period
,

.
,
, ,
, .

,
.
reserve fulfillment :
.
volatility, t -
5% .
,
,
,
.. ,
,
.

RE-
. 2.
P-

.

342

2
Coef.
Estimate

H0:

(p-)

term spread
large banks
20.36(0.98)
medium banks
0.74 (0.31)
0.0002
small banks
14.02 (6.45)
underbidding
large banks
0.19 (0.08)
medium banks
0.12 (0.26)
0.7285
small banks
0.60 (1.45)
spread
large banks -20.71 (-0.92)
medium banks
-4.65 (-1.84)
0.0018
small banks -16.81 (-7.17)
volatility
large banks
-1.24 (-1.06)
medium banks
-0.13 (-0.96)
0.5788
small banks
-0.24 (-1.92)
reserve fulfillment
large banks
1.60 (0.12)
medium banks
-1.23 (-0.67)
0.3998
small banks
2.17 (1.26)
maturing allotment
large banks
0.02 (0.40)
medium banks
0.12 (13.67)
0.0187
small banks
0.15 (17.27)
end of period
large banks
1.07 (0.71)
medium banks
0.66 (3.59)
0.8521
small banks
0.78 (5.00)
Size dummies
large
-6.23 (-0.40)
0.1123
medium
-1.75 (-0.79)
small
-8.12 (-3.89)
Pseudo-R2
0.1094
No. of observations
8525
No. of groups
275
t-.

H0:

(p-)
0.0000

0.5392

0.0000

0.1260

0.5626

0.0000

0.0000

0.0000

343


(term spread)
(spread).

. maturing allotment
,
.
,
.
. 2 P-
. ,
, - ,
,
(.1). ,

.

,
.

, (
)

. ,

-.
k -
E {y it x it }
xT
= it k .
x k ,it

. 3
.

344

. 3
GLS- RE-,
, .
3

term spread
underbidding
spread
volatility
reserve fulfillment
maturing
allotment
end of period
Size dummies
large
medium
small
constant
Pseudo-R2
No. of
observations
No. of groups

Tobit
Coef. Estimate

Tobit
Marginal
Effect

Random Effects GLS


Coef. Estimate

11.59 (4.23)
0.32 (0.61)
-16.55 (-7.82)
-0.24 (-1.50)
1.32 (0.61)

1.00
-1.43
-

1.43 (4.27)
0.05 (1.97)
-1.94 (-5.40)
-0.01 (0.38)
-0.67 (2.39)

0.23 (20.41)

0.02

0.01 (7.39)

0.93 (4.61)

0.08

-0.08 (-1.13)

3.95 (1.50)
-8.98 (-3.43)
-12.70 (-4.82)
0.161

-3.46 (-5.10)
-4.80 (-7.14)
21.01 (28.61)
0.062

8525
275

2625
275

t-.
. RE GLS- 5900
.


-
RE-.

volatility underbidding,
term spread, spread, maturing
allotment
- end of period.
underbidding ,

345



. , ,

.
. 4
-,
-, .
4
Coef.
Estimate
term spread
large banks
medium banks
small banks
underbidding
large banks
medium banks
small banks
spread
large banks
medium banks
small banks
volatility
large banks
medium banks
small banks
reserve fulfillment
large banks
medium banks
small banks
maturing allotment
large banks
medium banks
small banks
period end dummy
large banks

H0:

(p-)

H0:

(p-)

5.19 (0.74)
1.82 (0.89)
12.91 (6.63)

0.0004

0.0000

-0.70 (-0.55)
-0.01 (-0.04)
0.42 (1.06)

0.5847

0.7014

-5.64 (-0.75)
-6.15 (-2.82)
-15.30 (-7.37)

0.0076

0.0000

-0.23 (-0.57)
-0.36 (-0.30)
-0.31 (-2.78)

0.2357

0.0428

0.09 (0.02)
-0.57 (-0.36)
2.02 (1.29)

0.5056

0.6187

0.03 (1.48)
0.13 (17.90)
0.20 (23.57)

0.0000

0.0000

0.09 (0.18)

346

medium banks
0.59 (3.91)
0.5445
0.0000
small banks
0.67 (4.77)
Size dummies
large
4.78 (0.74)
0.0103
0.0001
medium
-1.99 (-1.04)
small
-8.34 (-4.40)
Pseudo-R2
0.228
No. of observations
8525
No. of groups
275
t-. 5900
.


(term spread),
(spread) maturing allotment.

4.


, ,

,
, , [ (2004)].
.
N y1t , K , y Nt ,1
1, ,
, y jt ~ I(1), j = 1,K, N .
= ( 1 , K , N ) , ,
1 y1t + K + N y Nt ~ I(0) ,
( )2;
.
c = E 1 y1t + K + N y N t ,
T



1 y1t + K + N y N t = c .

()
. ,
. 2, ,
.
2
.

348

,

z t = 1 y1t + K + N y N t c .
zt , ,
, ,
, ..
.
, , ,
I(1)
.

y1t , K , y Nt r , r
. , N
, r = 1,K , N 1 .
(, , r = 0 .
r = N ,
N .)
I(1)
r - ,

.
r

,
,
, .
I(1) y1t , K , y Nt
r


VAR( p + 1 ) p + 1 (VAR
vector autoregression). VAR
ECM ( )

349

y1 t = 1 + 11 z1, t 1 + K + 1r zr , t 1 +
+ ( 11, j y1, t j + K + 1N , j y N , t j ) + 1 t ,
p

j =1

..
y N t = N + N 1 z1, t 1 + K + N r z r , t 1 +
+ ( N 1, j y1, t j + K + NN , j y N , t j ) + N t ,
p

j =1

z1t ,K , zrt I(0) ,


(1) , K , ( r ) ,

(11 ,K, N 1 )T ,K, (1r ,K, Nr )T


( ).


yt = + T yt 1 + 1 yt 1 + K + p yt p + t
1 ,K, p N N ,

(N r ) -

r . (1) , K, ( r )

,
ij

z1,t 1 = (T1) yt 1 ,K, zr ,t 1 = (Tr ) yt 1
( t 1 r
y1t , K , y Nt )
y1t ,K, y Nt .
(UECM
unrestricted error correction model).

350

VAR
,
(1) , K, ( r )

. ,
.
(

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

, ,
.
,
VAR

y1t , K , y Nt . ECM,
VAR,
y1 t ,K, y N t .

(y1t ,K, y Nt )

,
.
, VAR
(SVAR structural vector autoregression)
ECM (SECM structural error correction
model).
y1t , y2t ,
yt = ( y1t , y2t ) ,
ECM:
T

351

y1 t = 12y2t + 11 y1,t 1 + 12 y2,t 1 +

+ a11 11y1,t 1 + 21y2,t 1 + a12 12y1,t 1 + 22y2,t 1 + 1t ,

y2 t = 21y1t + 21
y1,t 1 + 22
y2,t 1 +

+ a21 11y1,t 1 + 21y2,t 1 + a22 12y1,t 1 + 22y2,t 1 + 2t ,

= 11
21

12 11 12
a12
a
, a = 11
,
, 1 =

22
a21 a22
21 22

12

1
, t = 1t ,
=
1
21
2t
ECM :
yt = 1yt 1 + a T yt 1 + t .

1 ,
ECM:
yt = 1yt 1 + T yt 1 + t ,

1 = 11 , = 1a, t = 1 t .

1 12

,
(1 12 21 ) 21 1
, , = 1 12 21 , :

1 =

11 = ( 11 + 12 21
),

12 = ( 12 + 12 22 ) ,

21 = ( 21
+ 21 11 ) ,

22 = ( 22
+ 21 12 ) ,

352

1 1 12 a11 a12

,
21 1 a21 a22
11 = (a11 + 12 a21 ) , 12 = (a12 + 12 a22 ) ,
21 = (a21 + 21a11 ) , 22 = (a22 + 21a11 ) .
ECM
, :
1 ;
1 ;
a ;
.

. , y1t , y2t ~ I(1) ,

. (11 , 21 ) ,
12 = 22 = 0, 12 = 22 = 0,
.
ECM :
yt = 1yt 1 + K + pyt p + a T yt 1 + t ,
T


N N . 1 ,
ECM:
yt = 1yt 1 + K + p yt p + T yt 1 + t ,

j = 1j , = 1a, t = 1 t .

T yt 1 , ..

,
( ECM)
ECM: = 1a.
,
SECM ,

353


ECM. ,
SECM
ECM.

ECM
,
, ..
, 1 , K , p , a .
ECM ,
,
ECM.


.
, EVIEWS,
,
1 < r < N , N r
( )
(common trends), ,
r
N r + 1
. ,
r

354

0
11 0

0
0 22
M
M M

0 , 0 , K , rr .

r , r +1
1, r +1 2,r +1
M
M M

1k 2 k
r k
, ,
,
r + 1,K, N .
EVIEWS
, j -
jj ,

r :
0
1 0


0
0 1
M
M M

0 , 0 , K , 1 .


r , r +1
1, r +1 2, r +1
M
M M


1N 2 N
r, N
r -
r .
, , ,
(, ,
, ).

, :

355


,

..

, ..
.
,

.
, .
,
r
r r 1
.
.
, ,
,
r
, , , 1
2 ,K, r . ,
,
r .
,

.
i - ri
, :
.
:
Ri i = 0,
Ri ri N ri .
:

356

i = H ii ,

H i N (N ri ) N ri , i
(N ri ) 1.
Ri H i = 0,
.. Ri H i .
IS/LM,
:
mt = ln M t , M t ,
inct = GDPt , GDPt ,
pt = ln Pt , Pt GDP,
rt s ,
rtb .
1,
r = 3
t .

11
12
13

21
22
23



1 = 31 , 2 = 32 , 3 = 33 ,
41
42
43

51
52
53



61
62
63

z1t = 11mt + 21inct + 31 pt + 41rt s + 51rtb + 61t ,
z2t = 12 mt + 22inct + 32 pt + 42 rt s + 52 rtb + 62t ,
z3t = 13mt + 23inct + 33 pt + 43rt s + 53rtb + 63t.
,
, .

357


, , ..
mt pt = f1 inct , rt s , t ,

mt pt , inct , rt s , t

rtb ,

z1t = 11mt + 21inct 11 pt + 41rt + 61t.


s

1 : 31 = 11 , 51 = 0.
R11 = 0 ( ),
1 0 1 0 0 0
,
R1 =
0 0 0 0 1 0
1 = H11 ,

0
1
H1 =
0

0
0

0 0 0
11

1 0 0
11
21

0 0 0
, 1 = 21 , 1 = 11 .

31
0 1 0
31


0 0 0
41
0

0 0 1
41

, R1H 1 = 0.
rt s rtb
, ..
rt s rtb = f1 (mt , inct , pt ) ,

rt s rtb , mt , inct , p t
t ,
z2t = 12 mt + 22inct + 32 pt + 42 rt s 42 rtb .
2 : 52 = 42 , 62 = 0.
R2 2 = 0 ( ),

358

0 0 0 1 1 0
,
R2 =
0 0 0 0 0 1
2 = H 22 ,
1

0
0
H2 =
0

0
0

0
12

1 0 0
12
22

0 1 0
, 2 = 22 , 2 = 32 .

0 0 1
42
32

0 0 1
42
42
0
0 0 0

rtb
mt , pt t ,
0 0

rtb , mt , pt t
inct rt s ,
z3t = 13mt + 33 pt + 53rtb + 63t.
3 : 23 = 0, 43 = 0.
R3 3 = 0 ( ),
0 1 0 0 0 0
,
R3 =
0 0 0 1 0 0
3 = H 33 ,

0
0
=
0

0
0

0
1

0
0

0
13


0
13
0


0
, = 23 , = 23 .
3
0 3 33
0

0
43
33


1
43

359


1 < r < N

. r = 2, 3
(., , [Patterson (2000)]).
r = 2 1 , 2
, :
rank (R1 H 2 ) 1 , rank (R2 H1 ) 1 .
r = 3 1 , 2 , 3
, :
rank (Ri H j ) 1, i j , i, j = 1, 2,3, (6 )
rank (R1 [H 2 , H 3 ]) 2, rank (R2 [H 1 , H 3 ]) 2, rank (R3 [H1 , H 2 ]) 2.


, r = 3. :
1 0 1 0
1
, R1H 3 =
R1H 2 =
0 0 0 1
0
0 0 1 0
0
, R2 H 3 =
R2 H1 =
0 0 0 1
0
0 1 0 0
0
, R3 H 2 =
R3 H 1 =
0 0 1 0
0
6 2>1,
. ,

0 1 0
,
0 1 0
0 1 0
,
0 0 1
1 0 0
.
0 0 1

0
1 0 1 0 0 0 0

R1 [H 2 , H 3 ] =
0 0 0 0 1 0 0

0
0

360

0 0
1 0
0 1
0 0
0 0
0 0

1 0 0 0

0 0 0 0 0
0 0 1 0 0
=
1 0 0 0 0

1 0 0 1 0
0 0 0 0 1
0

1 0 1 0 1 1 0
=
0 0 0 1 0 0 1
1

0
0 0 0 1 1 0 1

R2 [H1 , H 3 ] =
0 0 0 0 0 1 0

0
0

0
0
1
0
0
0
1

=
0 0 0 1 0 0 0

0
,
0
0 0 0 1 0 0 0

1 0 0 0 0 0 0
0 0 0 0 1 0 0
=
0 1 0 0 0 0 0

0 0 0 0 0 1 0
0 0 1 0 0 0 1
0
,
1

0
0 1 0 0 0 0 1

R3 [H1 , H 2 ] =
0 0 0 1 0 0 0

0
0

0 1 0 0 0 1 0
=
0 0 1 0 0 0 0

0 0 0 1 0 0
1 0 0 0 1 0
0 0 0 0 0 1
0 1 0 0 0 0
0 0 0 0 0 0
0 0 1 0 0 0
0
.
1

0
0
=
1

1
0

361

2,
. , 1 , 2 , 3
.
r ,
r 1
. ,
r 1 ,
.
r 1 ,
.

,
1 , 2 ,K, r .
, ,
[Johansen, Juselius (1994)],
1 , 2 , 3 .
1 inct , mt pt
,
.

.

1 0 1 0 0 0

R1 = 0 0 0 1 0 0 .
0 0 0 0 1 0

2
rt s rtb ,
;

362

. :
. R2 :
1

0
R2 = 0

0 0 0 0 0

1 0 0 0 0
0 1 0 0 0 .

0 0 1 1 0

0 0 0 0 1

, 3 mt , inct
rt s ; rtb . :

. R3 :
1 0 0 0 0 0

R3 = 0 1 0 0 0 0 .
0 0 0 1 0 0

1
2
3

-
3

-
1

11

H 0

-,
[Johansen, Juselius (1994)].
H0


- q , q

363

. H 0
.
H 0 ,

, -
,
,
.

, :

,
;

ij .

3.5; ,
0.05, 02.95 (5) = 11.07 ,
5
.
,
,
ECM
yt = T yt 1 + 1 yt 1 + K + p yt p + t ,
, ,

1 , 2 , K , r .

ECM
yt = 1yt 1 + K + pyt p + a T yt 1 + t

364


1 , 2 ,K, r .

, 1 , K , p , a

;
y t

yt 1
,1 ,K, p ,a M = t ,

yt p

T
yt 1

AT Z t = t ,

AT = ,1 ,K,p ,a N ( N + pN + rN ) ,

y t

yt 1
Zt = M

(N + pN + rN ) 1 -

yt p

T
yt 1
.
AT , .. A ,
. ,
i - i -
Ai A N 1
Ri Ai = 0 ( )

Ai = H ii ( ), Ri H i = 0.
2, i -

365

;
(, FIML).
ECM (SECM) ECM
, SECM.
ECM
IS/LM,
. [Johansen, Juselius (1994)]

( , III . 1975 . I . 1991 .).
ECM 11
,
VAR
2,
i i :

mt

0.193

inct
pt

0.193

rt

rt
t

0.005

0.009

0.488

mt
inct

0.030

0.159

0.569

0.458

0.001

0.405

pt

0.325

0.039

0.054

rt

0.337

0.008

0.168

rt

0.109

0.023

0.213

366


,
- D84t , 1 I . 1984
. I . 1991 .,
,
. ECM
z1,t 1 , z2,t 1 , z3,t 1
ecm1t 1 , ecm2t 1 , ecm3t 1 ,

ecm1t = inct 0.193(mt pt ) 0.005t 0.027 D84t 8.43,

ecm2t = rt s rtb + 0.00967 D84t + 0.03,

ecm3t = rt 0.488( pt 0.019t ) 0.008 D84t 0.52 .


,
ECM -
, ECM.
ECM
mt , inct , pt , rt s rtb . ,
, .

:
b

mt

inct

pt

rt s

rtb

mt

0.29

0.20

0.10

0.10

inct
pt

0.29

0.35

0.18

0.00

0.12

0.10

0.20

0.35

0.10

0.18

0.12

0.65

rtb

0.10

0.00

0.10

0.65

rt

, Johansen Juselius
,
. , VAR

367

2, ECM
, ,
. , ECM
: mt ,
inct , pt , rt s , rtb , mt 1 , inct 1 , pt 1 , rt s1 , rtb1 , ecm1t 1 , ecm2t 1 ,
ecm3t 1 , 5 ( mt , inct , pt , rt s

rtb ) 12 ,
.
()
.

5 1 = 4 . ,
,

,
, , ..
,
.
Johansen

Juselius 4
,
:

mt

rt s

inct

rtb

inct 1

inct

rt s

pt

rtb

rtb1

pt

rtb

pt 1

rt s1

rtb1

rt s

rt s1

inct 1

pt 1

rtb1

rtb

inct

mt

pt

rtb1

368


( t-)
.
, Johansen Juselius
5 ,
mt , inct , rt s ,
pt rtb .
, , ..
,
,
.
:
mt
1

mt
inct
rts 0
pt 0
rbt 0
mt
inct
rts
pt
rbt

rts
0
0
1
0
0

inct
0
1
0
0
0

pt
0
1
0

rbt mt-1
0
0
0
0
1

inct-1
0
0
0
0
0

rst-1 pt-1 rbt-1


0
0
0
0
0
0

0
0

ecm1t-1 ecm2t-1 ecm3t-1


0
0
0
0


7+7+5=19 ( 19
).
( 3 1 = 2 ) .
, : 5
, 5 3
13 .

369

SECM
( t-
):
mt

mt
1

inct 0.25
(1.1)
rts

inct

rts

1
1

pt

ecm1t-1

pt
rbt

mt-1
0.31
(2.9)

1.10
(6.5)

0.21
(3.0)
0.08
(0.8)
0.08
(1.7)

mt

rts

rbt

rbt

inct

pt
0.35
(2.6)
0.31
(2.0)

0.44
(4.1)
0.19
(2.8)
0.20
(2.2)
0.12
(3.0)

ecm2t-1
0.20
(2.3)
0.28
(4.7)
0.12
(1.4)

rst-1 pt-1
0.41
(3.4)
0.17
(1.3)
0.34 0.24
(3.2) (2.8)
0.13
(1.0)

rbt-1

0.45
(2.1)

ecm3t-1
0.55
(3.6)
0.28
(1.3)
0.48
(3.4)
0.09
(1.3)

, SECM :
mt = 0.35pt + 0.31mt 1 + 0.41pt 1 + 0.20ecm2t 1 0.55ecm3t 1 ,
inc = 0.25mt + 0.31pt + 0.17rt s1 0.44ecm1t 1 + 0.28ecm3t 1 ,
rt s = 1.10rtb + 0.21mt 1 + 0.34rt s1 0.24pt 1 0.45rtb1 +
+ 0.19ecm1t 1 0.28ecm2 t 1 ,

370

p t = 0.08mt 1 0.13p t 1 + 0.20ecm1t 1 0.12ecm2 t 1 +


+ 0.48ecm3t 1
rtb1 = 0.08mt 1 + 0.12ecm1t 1 0.09ecm3t 1 .


.

,
.
4.82,
02.95 (13) = 22.36 ,
.
, SECM
a :

0 . 25
= 0

0 . 35

1
0
0

0
1
0

0 . 31
0
1

0
1 .1 ,

0 .2
0.55
0

0
0.28
0.44
a = 0.19 0.28
0 .

0.20 0.12 0.48

0
0.09
0.12

= 1a .
:

mt
inct
pt
rt

371

ECM

0.070
0.158
0.382

ECM
( )
0.030
0.159

0.360

0.002

0.333

0.458

0.001

0.405

0.322

0.280

0.100

0.325

0.039

0.054

0.200

0.120

0.480

0.337

0.008

0.168

0.569

0.120
0.000
0.090
0.109
0.023
0.213
rtb
SECM
ecm1t , ecm 2t , ecm3t ,
ij

.
[Johansen, Juselius (1994)]
,

,
.

1. .. (2000) . ., .
2. .. (2004) .
. ., .
3. .. (2004) . ., .
4. Aldrich J.H., F.D. Nelson (1984) Linear Probability, Logit, and
Probit Models. Beverly Hills: Sage.
5. Amemiya T. (1985) Advanced Econometrics. Blackwell, Oxford.
6. Arellano M., S. Bond (1991) "Some Tests of Specification for
Panel Data: Monte-Carlo Evidence and an Application to
Employment Equations", Review of Economic Studies, 58, 277294.
7. Davidson R., J.G. MacKinnon (1993) Estimation and Inference in
Econometrics. Oxford University Press, Oxford.
8. Godfrey L.G., J. Hutton (1994) Discriminating between errors-invariables/simultaneity and misspecification in linear regression
models, Economic Letters, 44, 359364.
9. Green W.H. (1993) Econometric Analysis. 2rd edition, Macmillan,
New York.
10. Hausman J. A. (1978) Specification tests in econometrics,
Econometrica, 46, 12511271.
11. Hosmer D.W., S. Lemeshow (1989) Applied Logistic Regression.
Wiley, New York.
12. Johansen S., K. Juselius (1994) Identification of the Long-run and
Short-run Structure. An Application to the IS/LM Model., J. of
Econometrics, 63, 736.
13. Patterson K. (2000) An Introduction to Applied Econometrics: A
Time Series Approach. New York: Sts Martin Press.

373

14. Sawa, T. (1969) The Exact Finite Sampling Distribution of


Ordinary Least Squares and Two-Stage Least Squares Estimators,
Journal of the American Statistical Association, 64, 923936.
15. Schmidt P. (1976) Econometrics. New York, Marcel Dekker.
16. Spencer D., K. Berk (1981) A Limited Information Specification
Test, Econometrica, 49, 10791085.
17. Staiger, D., J.H. Stock (1997) Instrumental Variables Regression
with Weak Instruments, Econometrica, 65, N3, 557586.

18. Verbeek M. (2000) Modern Econometrics. Wiley, Chichester.

, 18
-, 21
-, 32
, 41
-, 20
, 19, 315

LRI, 27
McFaddens R2, 27
, 25
-R2, 27
-, 20
, 42
, 45, 316
, 40
, 41
, 30
, 19, 315
, 316
- , 319
- , 323

, 281
, 257

, 233

, 17, 216, 226


, 226
-, 239

, 347
, 348
, 348
, 347
, 348

, 36
, 347
, 348

, 118

, 100
, 100
VAR, 348
(ECM), 348
, 349

, 350

, 260
, 259
, 259
, 43

, 37

-, 253
, 118, 301
, 302
, 19

375

376

, 19
, 19

OLS , 243
, 297
- , 292
, 227
, 225
, 250
, 265
, 225
, 213
, 243
, 294
, 250
, 285
-, 56, 57
, 58
, 61

, 303
, 304
, 106, 227
, 229, 255

, 102

, 123, 160
, 159
, 175
, 173
, 168
, 170

, 106

, 213
, 284
, 284

, 10
, 10
, 10
, 118
, 10, 313
, 118
, 118
-, 48
, 49
, 50
, 49

-, 37

c A, 102
c A, 104
c C, 104

n- , 100
, 20
, 20
(), 21
(), 56


, 113
, 113

II-

377

378

, 90
, 90
, 88
, 92
I-
, 88, 89
-
, 74
, 74
, 71
- , 334

-, 57, 66

, 71

, 37

, 276
, 248, 276
, 249
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