Вы находитесь на странице: 1из 181

103918, , , .

5
www.iet.ru

./ 229 6596,

2001 .

.-

.
.
.
.

ISBN 5-93255-056-2


..........................................1
.......................................................................................................5
1. .................... 6
1.1.

...........................................................6
1.1.1. .................................................................6
1.1.2. ............................................... 7
1.1.3. .........................10
1.2. ........................................................... 15
1.2.1. .....................................................................15
1.2.2.
...................................................................................................... 16
2. 21
2.1. ...............................................21
2.2. .................... 27
2.2.1. 1............................................................. 27
2.2.2. M0............................................................. 37
2.2.3. 2............................................................. 43
2.3. ..................... 48
2.3.1. .....................................................................................48
2.3.2. ......................................................................................52
2.4.
...................................................................57
2.4.1. .............................................57
2.4.2. ..........................61
2.5. ......... 65
2.6.
...................................................................................................72
2.7. . 77
2.8. ................... 78
2.9. -1...............................81
2.10. .................... 95
3. ..106
3.1. .................. 106
3.1.1. 1........................................................... 106
3.1.2. M0........................................................... 107
3.1.3. 2........................................................... 108
3.2. ................... 109
3.2.1. ...................................................................................109
3.2.2. ....................................................................................110
3.3. ......................... 112
3.3.1. ...........................................112
3.3.2. ........................113
3.4. .......................................................................... 114
3.5. ............116
3.6. ....................................................118
3.7. ...................................................................................118
3.8. -1............................................................. 120
3.9. .................................................................. 121

.............................................................................................. 123
............................................................................................. 126
1. , TS DS 126
1.1. ....................... 126
1.2. -.............................................. 129
1.3. ............................................................... 130
1.4. -. .............................................130
1.5. DF-GLS. ..............................................................131
1.6. --- (KPSS)131
1.7. ................................ 131
1.8. ( )....................133
1.9. ...........................................................134
1.10. -.................................................. 134
1.11. . .................... 134
2. .......................................... 135
2.1.
....................................................................................................................135
2.2.
..............................................................................................138
2.3.
....................................................................................................................143
2.4.
....................................................................................................................153
2.5.
......................................................................................159
3. .................................................. 164
3.1. ................................................................... 164
3.2. ............................................................... 165
3.3. .................................................................. 167
3.4. ...............................................167
3.5. ........................................... 167
3.6. .................. 168
3.7. -1.........................................................................168
3.8. ........................................................... 172
3.9. ............................................................................174
.............................................................................................. 177


US AID

, .

,
.

.
,
,
.

(, /
.) .
.
, ,

.

, ,
, .
, ,
.

.
,
.
.

.

.
,
TS DS
. ,
, .
: .. ( ), .. , .. , .. ,
.. .

1.

1.1.

1.1.1.

.

,
.

.
, (
, )
, ,

.

(,

/ .)
, .

.
,
.

, .

.
.
- . ,

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

, / .
, ,
6

.
,

.
, ,
. ,

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

. , ,
, .) ,
,
,
.
, AR(p),
MA(q), ARMA(p, q), ARIMA(p, k, q).
1.1.2.



.


,

,

.


() .
,

,
( ) TS (trend stationary)
, , (,
) (
)
k-1 DS (difference
stationary) .
1


, TS
,
DS
- .
TS DS
,

( , ,
). , DS- TS-
( )
(spurious) .

. ,
, DS-,
,
, ,
(., ,
[Dweyer, Wallace (1992)]; [Dutt, Ghosh (1999))];

([Ardeni, Lubian (1991)], [Dutt (1998)];

([Johansen, Juselius (1990)]; [Hafer, Jansen (1991)]; [Funke, Thornton
(1999))].
, DS-


,
, .
.
[Maddala, Kim (1998)], [Enders (1995)],
[Hamilton (1994)], [Hatanaka (1996)]. ( )
,
:
: [Hasan (1998)].
: [Metin (1995)], [Freeman (1998)]
: [Christiano, Eichenbaum (1990)]; [Murray,
Nelson (2000)].
: [Clark (1989)]; [Woodward, Pillarisetti (1999)].
: [Copeland (1991)], [Kim, Mo
(1995)], [Nadal-De Simone, Razzak (1999)].
: [Milas (1998)].
: [Molana (1994)] .
: [Cheung, Chinn (1996)], [den Haan (2000)].
: [Fama, French (1988)].
,
,

. , TS DS
.
TS ,
, , ,
-. DS
( )
, - DS

( ),
, -
,
.
TS-
, DS- ,
.


,


,
- .

,
(, ARMA) , , ..
.
([, (1974)]) ARIMA

()
. , ,

, .
[Chan, Hayya, Ord (1977)], [Nelson, Kang (1981)] ,
DS
() ,
( ),
.

TS

, ,

-;
(
). ,

(., , [Hamilton (1994), 4 5]).
, ,

,


, , ..
(TS DS).

.
,
, , [Maddala, Kim (1998)],

.
,
,
( ,
)

,
.

, , [Maddala,
Kim (1998)], [Enders (1995)], [Hamilton (1994)], [Hatanaka (1996)].
,
, 1. ,

TS- DS-.
,
14 (
62 111 ) [Nelson, Plosser (1982)]
([Perron (1989)]). 14
TS, , ,
11 . ,
TS
. TS- ,
, .
,
, (. [Zivot,
Andrews (1992)]).
, . [Bierens (1997)]. ,
[Nunes, Newbold, Kuan (1997)] :
[Zivot, Andrews
(1992)] 14 ,
[Nelson, Plosser (1982)].


, ,
(TS DS) .

.
1.1.3.

, , :

10

-,
;
-,
, P{xt < x} P{xt < x} t t.
,
. ,


.
, (
).
, .
, 4 .
, ( )
xt.
f(t)
( ), , .
.
,
. ()
( , ),
(
),

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

xt, , ,
x1,, xT ,
1,, .
(,
) t.
, ,

. ,
,
,
.
. ,
(
) :
xt = 1f(t) + 2(t) +3(t) + t.
(1.3.1)
i = 1, i- i
= 0 .

11

.
,
:
1. ,

(1.1.1), .. i;
2. ,
(1.1.1);
3. ,
t, .
,
,
, ,
- .
.
- ,

.
.
, , ,

, ,
.

.

,

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

:
, , ( ) .


.
,
,
.
,
, ,
, .
,

12

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

,
, , () (),
, , [.,
, Maddala, Kim (1998)], TS- (trend
stationary series ,
). ,

(),

. , ,
(),
( ).
( ) xt
, Ext, Dxt () = E[xt
Ext)(xt+ Ext+)] t, .
,
, ,
p (AR(p)-),
q (MA(q)-)
p q (ARMA(p, q)-).
xt ()
k, kxt k (
!) .
, , ,


p, k q (ARIMA(p, k, q)-)
.
(ARIMA(0, 1, 0)).

, (
).
.

13

k
, k ( !)
, .
.

(TS-),
.
,
, ,
. ,

, 4 .
{xt}, t = 1, 2,, T

,
x1, x2,, xT.
,
.
,

(..
) .

.
, {xt} {yt}, t = 1, 2,, T,
y x,
(x) (y)
() ,
.
, ,
,
, .

. ,
,
, .
- ,
, .

, ( ,
) .
-
,
() ARIMA(p, k, q),
, , AR-, MA- ARMA.
-
,


.
14

2 ,
,
, , [, (1998)], [,
(1990)].
1.2.
1.2.1.
,
Xt TS ( )
DS ( )
. .
, ,
, , ,
( ),
. ,
,

.
,
, .

TS DS ,
,
( )
.
TS DS
.
.
, DS TS
, () DS, TS-
. DS-
(unit root, UR-), ..
z = 1 ( ) a(z) = 0,
a(L) L
a(L)xt = t xt .
, ()
TS, DS-.
xt
z = 1 b(z) = 0,
b(L) L
xt = b(z)t xt = xt - xt-1
xt .
, ,
1.

, .
,
ADF DS- KPSS

15

TS- .
:
KPSS TS
KPSS TS
ADF DS 1
2
ADF DS
3
4

2, DS-.
3, TS-.
1,
.
4, ,
(DGP) DS TS , ,
, -
.
1.2.2.



.
(., , [ (1989)],
2: TS
DS, , . 2-1
(, 1
p >> 1 , . 2-1,
, ).
2-1.


1

TS


xt = + t + xt 1 +

DS

TS

DS

TS

DS

x t = + t +

p 1

j= 1

x t = + x t 1 +

x t = +

p 1

j= 1

x t = x t 1 +

p 1

j=1

xt j + t

x t j + t

p 1

j= 1

x t j + t

x t j + t

p 1

j= 1

x t j + t

p 1

x t = j x t j + t
j= 1

, ,
1. ,
( ),
( )
.

16

p 1

1. x t = + t + x t 1 + j xt j + t
j= 1

p 1

2. x t = + xt 1 + j x t j + t
j= 1

p 1

3. xt = xt 1 + j xt j + t
j= 1


:
1. 0: = 0
2. 0: = 0 = 0
3. 0: = 0 0
4. 0: = 0 = 0
5. 0: = 0 0
, ,
, :
1. 1 1,
2, 8;
2. 1 2,
4, 3;
3. 1 3,
9, 8;
4. 2 1,
5, 10;
5. 2 4,
7, 6;
6. 2 5,
11, 10;
7. 3 1,
13, 12;
8. . :
p 1

x t = + t + x t 1 + j x t j + t
j= 1

9.
.

:
p 1

x t = + t + j x t j + t
j= 1

10.
.

:
p 1

x t = + x t 1 + j x t j + t
j= 1

p 1

11. . : x t = + j x t j + t
j= 1

12.
.

:
p 1

x t = x t 1 + j x t j + t
j= 1

17

p 1

13. . : x t = j x t j + t
j= 1

. 2-1 .


.

.

18

2-1.
1
0: = 0

x t = + t + x t 1 +

p 1

j= 1

x t j + t

0: = 0 = 0
0

0: = 0

2
p 1

x t = + t + j x t j + t
j= 1

0: = 0

x t = + x t 1 +

p 1

j= 1

x t j + t

0: = 0 = 0
0

3
p 1

x t = + j x t j + t
j= 1

0: = 0

x t = x t 1 +

0: = 0

p 1

j= 1

x t j + t

19

p 1

x t = j x t j + t
j= 1

20

2.

2.1.


,
.
.

(
):
(Inflation), %
1991:01 2000:08;
M0 (M0), . . ( 1998 . . .)
1990:12 2000:07;
(Denbaza), . . ( 1998 . . .)
1992:05 2000:08;
(Shirdenmas), . . ( 1998 . . .)
1995:06 2000:07;
M1 (M1), . . ( 1998 . . .)
1995:06 2000:07;
M2 (M2), . . ( 1998 . . .)
1990:12 2000:07;
(Shirdengi), . . ( 1998 . . .)
1992:01 2000:07;
(Export), . . 1994:01
2000:04
(Import), . . 1994:01
2000:04;
(GDP), . . ( 1998 . .
.) 1994:1 2000:2;
(Dokhfedbud), . . ( 1998 . .
.) 1992:01 2000:05;
(Dokhnalog), . . ( 1998
. . .) 1992:01 2000:05;
(Intprom)
1990:12 2000:07;
-1 (RTS1) ( )
01/09/95 31/10/00;
./ (Rubkurs)
01/07/92 01/11/00.
( ), . (UNJOB)
01/1994 08/2000.

3.23.9.

21



(. . 2-1 2-9).
2-1.
245,00
235,00
225,00
215,00
205,00
195,00
185,00
175,00
165,00
155,00
145,00
135,00
125,00
115,00
105,00
95,00
85,00
75,00
65,00
55,00
45,00
35,00
25,00
15,00
5,00
-5,00

.91 .91 .92 .92 .93 .93 .94 .94 .95 .95 .96 .96 .97 .97 .98 .98 .99 .99 .00 .00
Inflation

22

2-2.
1300000
1200000
1100000
1000000
900000
800000
700000
600000
500000
400000
300000
200000
100000

Shirdenmas

Denbaza

Shirdengi

M2

.98

.99

.
00

.
99

.
99

.
98

.
98

.
97

.
97

.
96

.
96

.
95

.
95

.
94

.
94

.
93

.
93

.
92

.
92

.
91

.
91

.
90

2-3.
10,00

9,00

8,00

7,00

6,00

5,00

4,00

3,00

2,00
.94

.94

.95

.95

.96

.96

.97

.97

Export

Import

23

.98

.99

.00

2-4.
1 600 000
1 500 000
1 400 000
1 300 000
1 200 000
1 100 000
1 000 000
900 000
800 000
700 000
600 000
500 000
400 000
300 000
200 000
100 000

II

.
19
94
.
19
9
III
4
.1
IV 994

.1
9
I 94
.
19
9
II
5
.1
9
9
III
5
.1
IV 995

.1
9
I 95
.
19
9
II
6
.1
9
9
III
6
.1
IV 996

.1
9
I 96
.
19
9
II
7
.1
9
9
III
7
.1
IV 997

.1
9
I 97
.
19
9
II
8
.1
9
III
9
8
.1
IV 998

.1
9
I 98
.
19
9
II
9
.1
9
9
III
9
.1
IV 999

.1
9
I 99
.
20
0
II
0
.2
00
0

GDP

2-5.
100000

90000

80000

70000

60000

50000

40000

30000

20000

10000

0
.92 .92 .93 .93 .94 .94 .95 .95 .96 .96 .97 .97 .98 .98 .99 .99 .00
Dokhfedbud

24

Dokhnalog

2-6.
95,00
90,00
85,00
80,00
75,00
70,00
65,00
60,00
55,00
50,00
45,00
40,00

.
00

.9
9

.9
8

.
99

.9
7

.
98

.9
6

.
97

.9
5

.
96

.
95

.9
4

.
94

.9
3

.9
2

.
93

.9
1

.
92

.
91

.9
0

35,00

Intprom

2-7. 1
570,00
540,00
510,00
480,00
450,00
420,00
390,00
360,00
330,00
300,00
270,00
240,00
210,00
180,00
150,00
120,00
90,00
60,00
30,00
01.09.95

01.03.96

01.09.96

01.03.97

01.09.97

01.03.98
RTS1

25

01.09.98

01.03.99

01.09.99

01.03.00

01.09.00

2-8. ./.
30,00
28,00
26,00
24,00
22,00
20,00
18,00
16,00
14,00
12,00
10,00
8,00
6,00
4,00
2,00
0,00
01.07.92

01.03.93

01.11.93

01.07.94

01.03.95

01.11.95

01.07.96

01.03.97

01.11.97

01.07.98

01.03.99

01.11.99

01.07.00

Rubkurs

2-9. .
3000

16,0

14,0
2500
12,0
2000
10,0

1500

8,0

6,0
1000
4,0
500
2,0

.00

( ), .

( ), .
( ), %

,

. ,
,
,
,
. ,
,
.
,

(, 1998 .).
26

.00

.00

.00

.99

.99

.99

.99

.99

.99

.98

.98

.98

.98

.98

.98

.97

.97

.97

.97

.97

.97

.96

.96

.96

.96

.96

.96

.95

.95

.95

.95

.95

.95

.94

.94

.94

.94

.94

0,0
.94

,
, ,
( ARIMA),

(ARCH, GARCH , ., ,
[Bollerslev (1986)], [Engle (1983)], [Engle, Granger (1991))].

.
2.2.

,
. :
(M0) (Denbaza);
M2 (Shirdengi);
1 (Shirdenmas).

, , 0, 1 2.

M1,
, M0 M2.
2.2.1. 1
M1
(
), ..
,
.
:
M1, . . ( 1998 . . .) 1995:06
2000:07; .
Xt = M1 3:

.
27

700000
600000
500000
400000
300000
200000
100000
1996

1997

1998

1999

2000

M1

1998
1999 ., - 1998 ,
,
1 ,
.
1 DS
( )
- ( ). ,
1 ,
.([Dolado, Jenkinson, Sosvilla-Rivero (1990)]),

(SM) (DGP).
1 ,
,
:
SM: xt = xt 1 + + t + t , t = 2, , T ,
,

DGP: xt = + t , t = 2, , T .
DS
(UR Unit Root) .
H0 : =
0; HA : < 0.
12,
(
) 12 .
t- - 1.495
(UR)
(5% 10% t- ,
,
, ).
28

-

.

.


( 12
)
5
7
2
3
4
6
8*
11
1
10**

SC
22.492
22.413
22.333
22.255
22.281
22.105
22.050
22.030
22.037
22.007
21.976

P-val
LM-.
1 0.208
2 0.316

P-val
White
0.341

P-val
J-B
0.964

t-

1.495

1 0.595
2 0.851

0.116

0.699

2.085

1 0.689
2 0.410

0.119

0.484

0.850

,

. ,
10%
.

(SC), .
P- (P-values) LM-
-. , P,
.
P- (White)
.
P- - (Jarque-Bera)
.
t-
() -,
( ) .
( 10%
) 12
, 5, 7, 2, 3, 4, 6, 8
(). ,
, 1, 9, 10, 11 12 ;
, .
,
, 5% ,
, ,
. (
, 9 , SC
21.976).

29


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

SM: xt = xt 1 + + t + t , t = 2, , T ,
,
DGP: xt = + t t + t , t = 2, , T .
, GS, t , 0.480. ,
, t- 0.760. 5%
H0 : = 0
3.17. HA: > 0,
5% 2.80.
H0 : = 0 , 3
.
3 ,
1
() () .

SM: xt = xt 1 + + t , t = 2, , T ,
H0 : = 0
HA : < 0 ,
, DGP
DGP: xt = t , t = 2, , T .
SM ,
9 12 , t-
3.674. SM
, 12 ,
3.101. (5%) 3.503,
,
H0.
4 , UR
.
DGP H0 : = 0 HA : 0.
SM ,
9 12 , t- 1.966. SM
, 12
, 1.802. (5%)
() 2.89, H0
: = 0 .
5 H0 : = 0
HA: < 0
SM: xt = xt 1 + t , t = 2, , T ,

30

DGP: xt = t , t = 2, , T .
SM , 9
12 , t- 4.057. SM
, 12
, 3.444.
(5%) () -1.95, H0 :
= 0 .
,
M1 DS .
DS- ( )
DF-GLS [Elliott , Rothenberg, Stock (1996)] ,
13 ,
( 4
):
Test
DFGLS

Statistic
-1.274

1%
3.48

2.5%
-3.15

5%
-2.89

10%
-2.57


-1.274 5%
; DS- . ,
, [Cheung, Lay (1995)],
,
,
( 5%
2.62).
-

; t-
()
. -

t-,
.
l
, [Newey-West (1987)]
(long-run) (
).
;
. ,
[Schwert (1989)], ,
l = [k (T/100)1/4] ,
T , [a] a , k 4
12 . T = 62,
, l = 10. ,
[Newey, West (1994)],

l = [k (T / 100)2/9];
l = 12.
, ,
12, , ,
( [White, Domovitz (1984)] [Perron (1988)])
, l 13. 13

31

RATS,
- ( UNITROOT).
UNITROOT
.
, :
Newey-West
3
10
11
12
13

t-
2.13839
2.64709
2.99993
2.99009
3.12147

,
( ):
Newey-West
3
10
11
12
13

t-
4.31038
4.69271
5.03247
5.00240
5.11224

, ,
:
Newey-West
3
10
11
12
13

t-
6.87791
6.79343
7.04600
6.94513
6.96506


t- ,
(
) .
1 DS
-.
KPSS,
TS-.
ETA(tau).
DS-,
. KPSS
:
ETA(tau) Values:
Critical Level:
0.10
0.05
Critical Value:
0.119
0.146
For lag parameter l =
3
10
11
12
13

0.025
0.01
0.176
0.216
ETA(tau) =
0.33186
0.16585
0.15930
0.15406
0.14997

TS 5%
l ( ).
, ,
(DS TS), .

32

DS-
:
V K + /- 1 * S D
S e r ie s : M 1

5 .6

4 .8

4 .0

3 .2

2 .4

1 .6

0 .8
1

10

11

12

13

14

15

W IN D O W S IZ E

, 1,
,
- -
. ,
1998
1999 ., - 1998 .

700000
600000
500000
400000
300000
200000
100000
1996

1997

1998

1999

2000

M1

,
1998 . ,

, ([Perron (1989a)])
() (AO
).

33

, TB ,

xt = + t+DTSt+ ut ,
DTSt t TB t > TB 0
t .
et.
et-1 et-1,, etp:
et = et-1 + pj=1 cj et-j + t ;
t- H0: = 1
,
[Perron, Vogelsgang (1993), . 249]).


,
.
TB = 42, 1998:08.
12
, .. ( 11 ) P-
- ( AR(1) ), 0.0002
. ,
GS SC, ,

( 10% ) .
,
-.


( 12
)
8
11
10
9*
4
5
3
1 ( GS)
7
6
2 ( SC)

SC

P-val
P-val
LM-. White
22.236
1 0.983 0.701
2 0.967
22.157
22.089
22.018
21.986
1 0.590 0.372
2 0.844
3 0.954
21.974
0.040
21.935
0.035
21.898
0.016
21.837
0.006
21.834
0.002
21.793
21.782

P-val t-
J-B

0.281
-1.92

0.223

-2.27
-2.60
-2.90
-3.27

0.518
0.184
0.008
0.006

-2.78
-2.59
-2.22
-2.04
-1.37
-1.31
-0.92

,

, ,
, .


= TB/T, TB ,
, T . = 42/62 = 0.667.
5% 3.94
( = 0.6) 3.89 ( =0.7). (

34

)

.
, GS-
,
.
[Taylor (2000)], [Ng, Perron
(1995)]. .
, 1998:08

1998 . 1. ,

t- .
PERRON97
RATS, ,
[Perron (1997)]. ,
, ,
.
,
(IO).
PERRON97 :
break date TB = 1999:07; statistic t(alpha=1) = -3.34124
critical values at
1%
5%
for 70 obs.
-6.32
-5.59
number of lag retained : 12
explained variable : M1
coefficient
student
CONSTANT
124786.79561
3.33345
DU
-2506239.31872
-3.77751
D(Tb)
40455.79442
2.72347
TIME
9769.03708
3.44839
DT
23866.02686
3.78217
M1{1}
-0.91050
-1.59235

10%
-5.29

DUt =1 t>TB DUt = 0 t;


D(Tb)t =1 t=TB+1 D(Tb)t = 0 t;
DT= t t>TB DUt=0 t;
(M1{1})t =M1t-1.
(,


6 : CONST, DU, D(Tb), TIME, DT
M1{1}.)
PERRON97 1999:07,
t-
t=1, .
t=1 = 3.341, 5% 5.59,
. ,
, 12
GS 10% .

t- d DTt,

35

, 1998:04. t=1 = 0.547,


5% 5.33;
. ( 11).
,
DT, ,
1998:04 UR-.
,
(AO).
PERRON97 :
break date TB = 1999:02; statistic t(alpha=1) = -3.59417
critical values at
1%
5%
for 100 obs.
-5.45
-4.83
number of lag retained : 12
explained variable : M1
coefficient
student
CONSTANT
104939.65455
20.48279
TIME
4832.56930
26.7
3200
DT
14335.07564
21.
11189
M1 {1}
-0.75752
-1.54915

10%
-4.48

(,

.
CONST, TIME, DT;
et ..
et et-1 et-1,,
et-p ).
t=1
1 et-1 .
1999:02, t=1= 3.594 ( 12
), 5% 4.83, UR .
,
, (
kurtosis 1.626
4, 3). [Zivot, Andrews (1992)],
,
, UR-
.
1 1995:06 2000:07,

.
()

()
DS
TS

- ()
-
4

,
. ,
3, - ,
,
ECONOMETRIC VIEWS, .

36

DF-GLS
KPSS


( )

( )

DS

,
, : DS-
, TS- ;
DS-.
2.2.2. M0
M0 .
:
M0, . . ( 1998 . . .) 1990:12
2000:07; .
1, ,
M0, -
1995 . ,

M0 ( M2)
1995:06 2000:07, 1.

350000
300000
250000
200000
150000
100000
50000
1996

1997

1998

1999

2000

M0

1:
700000
600000
500000
400000
300000
200000
100000
1996

1997

1998
M1

37

1999

2000

,
0 , 1,
.
, 0.
1, 0
12;
13
.
-
:
ADF Test Statistic

1.368149

1% Critical Value*
-4.1584
5% Critical Value
-3.5045
10% Critical Value
-3.1816
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(Z)
Method: Least Squares
Sample(adjusted): 1996:08 2000:07
Included observations: 48 after adjusting endpoints
Variable
Coefficient Std. Error
t-Statistic
Z(-1)
0.204696
0.149616
1.368149
D(Z(-1))
-0.194405
0.228411
-0.851122
D(Z(-2))
-0.316411
0.228968
-1.381904
D(Z(-3))
-0.201863
0.216740
-0.931362
D(Z(-4))
-0.365408
0.205424
-1.778799
D(Z(-5))
-0.336200
0.174358
-1.928221
D(Z(-6))
-0.102447
0.181976
-0.562972
D(Z(-7))
-0.054527
0.214887
-0.253748
D(Z(-8))
-0.205422
0.221867
-0.925878
D(Z(-9))
-0.630249
0.212157
-2.970678
D(Z(-10))
-0.195244
0.234221
-0.833589
D(Z(-11))
-0.451913
0.232739
-1.941718
D(Z(-12))
0.632189
0.249860
2.530179
D(Z(-13))
-0.651846
0.266730
-2.443841
C
-9353.863
5632.908
-1.660575
@TREND(1995:06)
-232.7007
423.7413
-0.549158
R-squared
0.636001
Mean dependent var
Adjusted R-squared
0.465377
S.D. dependent var
S.E. of regression
9205.038
Akaike info criterion
Sum squared resid
2.71E+09
Schwarz criterion
Log likelihood
-496.4982
F-statistic
Durbin-Watson stat
1.979912
Prob(F-statistic)

Prob.
0.1808
0.4010
0.1766
0.3586
0.0848
0.0627
0.5774
0.8013
0.3614
0.0056
0.4107
0.0610
0.0165
0.0202
0.1066
0.5867
4816.396
12589.30
21.35409
21.97782
3.727491
0.000867

t- ,
.
-

.

.

SC
P-val
P-val P-val

LM-. White
J-B
( 13
21.978
1 0.746 0.249 0.227
)
2 0.781
7
21.899
6
21.826

38

t-

1.368

10
3
1
8
2
4
5 ( GS
SC)
11

21.761
21.699
21.619
21.557
21.502
21.471
21.411

1 0.717
2 0.778

0.162

0.775

0.416

21.415

SC
,
.

1.368 0.416. ,
0.
, , DS ( )
(
). ( 2 )
H0 : = 0
SM: xt = xt 1 + + t + t , t = 2, , T ,
,
DGP: xt = + t t + t , t = 2, , T .
, GS ,
t- , 0.700.
5% H0 : = 0
3.17.
H0 : > 0, 5% 2.80.
= 0 ,
3 .
,
, , , 1,
DS-.

- .

:

3
0.18896
4
0.14980
5
0.28467
6
0.21953
7
0.21763
8
0.17085
9
0.28009
10
0.34388
11
0.49913
12
0.49863
13
0.57393

:

3
2.11867

39

4
5
6
7
8
9
10
11
12
13

2.24850
2.45154
2.41942
2.47094
2.45836
2.64371
2.77427
3.05619
3.10151
3.10151


:

3
4.51174
4
4.48610
5
4.76835
6
4.71538
7
4.77881
8
4.75252
9
5.00488
10
5.17870
11
5.56153
12
5.61023
13
5.84205

( 4 13)
,
.
DS- ( )
DF-GLS ,
13
, :
Critical values (asymptotic)
Test
Statistic
DFGLS
-0.985

1%
-3.48

2.5%
-3.15

5%
-2.89

10%
-2.57


0.985
5%
; DS- . ,

, ,
(
5% 2.62).
()
0 KPSS:
DS-,
ETA(mu) .
0, 1995:062000:07,
.
For lag parameter l =
3
4
12
13

ETA(mu) =
1.51504
1.24933
0.59065
0.56191


DS-.

40


, ETA(tau),

Critical Level:
Critical Value:

0.10
0.119

0.05
0.146

0.025
0.176

0.01
0.216


DS-,
.
0, 1995:062000:07,
.
For lag parameter l =
3
4
12
13

ETA(tau) =
0.31134
0.26651
0.15545
0.15098

0
1995:062000:07
.
, ,
DS TS , .
DS-
:
V K + /- 1 * S D
S e r ie s : M 0

3 .5

3 .0

2 .5

2 .0

1 .5

1 .0

0 .5
2

10

12

14

16

18

20

W IN D O W S IZ E

,

.

(AO),

41

14 GS
10%. :
break date TB = 1999:01 ; statistic t(alpha=1) = -3.69570
Critical values at
1%
5%
for 100 obs.
-5.45
-4.83
Number of lag retained : 12
Explained variable : M0

t-
CONSTANT
59106.87212
14.93557
TIME
2357.19676
16.59750
DT
5505.22025
11.13153
M0 {1}
-0.36991
-0.99792

10%
-4.48

(,

.
CONST, TIME, DT;
et ..
et et-1 et-1,,
et-p .)
(
)
(., , [Leybourne, Mills, Newbold (1998)]),

(IO),
,
14
GS 10%. :
break date TB = 1999:01 ; statistic t(alpha=1) = -3.24111
Critical values at
1%
5%
for 70 obs.
-6.32
-5.59
Number of lag retained : 12
Explained variable : M0
coefficient
student
CONSTANT
93203.60949
3.16641
DU
-802428.37416
-3.41458
D(Tb)
8419.59298
0.75410
TIME
4236.75927
3.31729
DT
7988.20640
3.43175
M0{1}
-0.91391
-1.54766

10%
-5.29

(,


6 : CONST, DU, D(Tb), TIME, DT
M0{1}.)

DS-.
0 1995:06 2000:07:
()
- ()
-
DF-GLS
KPSS

()
DS
TS


DS

42


( )

( )

,
, : DS-
, TS- ;
DS-.
2.2.3. 2
M2 ( )
,
, ,
.
. 1 1998 .

.
:
M2, . . ( 1998 . . .) 1990:12
2000:07; .

1995:06 2000:07. Xt=M2

1000000
800000
600000
400000
200000
0
1996

1997

1998

1999

2000

M2

. ,
2 : 1997:081998:07 2 .
( )
13 . t-
0.751 5% 3.482,
.
:
ADF Test Statistic

0.751177

1% Critical Value*
5% Critical Value

43

-4.1109
-3.4824

10% Critical Value


-3.1689
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M2)
Method: Least Squares
Date: 02/21/01 Time: 12:22
Sample: 1995:06 2000:07
Included observations: 62
Variable
Coefficient Std. Error
t-Statistic
M2(-1)
0.051437
0.068475
0.751177
D(M2(-1))
0.153723
0.145734
1.054815
D(M2(-2))
0.282703
0.141848
1.993001
D(M2(-3))
0.152426
0.150454
1.013107
D(M2(-4))
-0.171566
0.151069
-1.135680
D(M2(-5))
-0.092493
0.132650
-0.697270
D(M2(-6))
0.266310
0.127068
2.095801
D(M2(-7))
0.192078
0.154991
1.239288
D(M2(-8))
-0.174375
0.156768
-1.112312
D(M2(-9))
-0.483386
0.154209
-3.134619
D(M2(-10))
0.014774
0.159316
0.092735
D(M2(-11))
0.034310
0.165689
0.207073
D(M2(-12))
0.575335
0.171785
3.349151
D(M2(-13))
-0.482094
0.193203
-2.495275
C
-5393.940
5339.081
-1.010275
@TREND(1995:06)
-204.8787
509.0531
-0.402470
R-squared
0.680388
Mean dependent var
Adjusted R-squared
0.576167
S.D. dependent var
S.E. of regression
10609.04
Akaike info criterion
Sum squared resid
5.18E+09
Schwarz criterion
Log likelihood
-653.4275
F-statistic
Durbin-Watson stat
2.096000
Prob(F-statistic)

Prob.
0.4564
0.2970
0.0522
0.3163
0.2620
0.4891
0.0416
0.2215
0.2718
0.0030
0.9265
0.8369
0.0016
0.0162
0.3176
0.6892
12790.32
16295.92
21.59444
22.14337
6.528315
0.000000


.

.


( 13
)
10
11
5
3
7
8
4
6*
1
2

SC

P-val
P-val
LM-. White
22.143
1 0.250
0.287
2 0.252
22.077
1 0.411
0.430
2 0.253
22.011
21.954
21.906
21.857
21.823
0.155
21.794
0.054
21.770
1 0.093
0.028
2 0.230
21.761
1 0.534
0.028
2 0.405
21.752
1 0.403
0.016
2 0.108

P-val t-
J-B

0.051
0.751
0.065
0.009
0.009
0.014
0.023
0.019

0.783

0.123

0.335
1.171
1.575
1.109
1.566

0.295

2.618

0.439

4.122

( 10%
) ,
,

44

. , 5%,
,
. .
, ,
, , .
, ,

, 10 .
( )
,
2.
( 2 ) H0 : = 0

SM: xt = xt 1 + + t + t , t = 2, , T ,
,
DGP: xt = + t t + t , t = 2, , T .
(
10 ), t- , 0.424.
5% H0 : = 0
3.17, ,
3 .
1 M0,
DS-. ( 13
).
t- 1.178;
t-
1.253.
-
:
,
.
, :

3
4
5
6
7
8
9
10
11
12
13


2.63324
2.59715
2.56834
2.43783
2.32673
2.26941
2.32449
2.39557
2.52389
2.55470
2.63931

( ):

3
4
5
6
7
8


4.37034
4.54957
4.46640
4.29340
4.14101
4.04731

45

9
10
11
12
13

4.06176
4.09185
4.17005
4.16109
4.19499

:

3
4
5
6
7
8
9
10
11
12
13


7.27233
7.03590
6.83753
6.55422
6.29882
6.11824
6.05329
6.00632
6.00280
5.91879
5.87156

.
DS- ( ) DFGLS , 13
:
Test
DFGLS

Statistic
-1.446

1%
-3.48

: Critical values (asymptotic)


2.5%
5%
-3.15
-2.89

10%
-2.57

1.446 5%
; DS- .

, ,
(
5% 2.62).
KPSS, TS.
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12
13

0.10
0.347
ETA(mu) =
1.45488
1.19809
0.57423
0.54802

0.05
0.463

0.025
0.574

0.01
0.739


.
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12
13

0.10
0.119
ETA(mu) =
0.32707
0.27270
0.14618
0.14212

0.05
0.146

46

0.025
0.176

0.01
0.216


10%
5% , 13.
,
(DS TS), . DS :
V K + /- 1 * S D
S e r ie s : M 2

1 2 .8

1 1 .2

9 .6

8 .0

6 .4

4 .8

3 .2

1 .6

0 .0
2

10

12

14

16

18

20

22

24

26

28

30

W IN D O W S IZ E

,
,
(
):
break date TB = 1999:10; statistic t(alpha=1) =
critical values at
1%
for 70 obs.
-6.32
number of lag retained : 12
explained variable : M2
coefficient
student
CONSTANT
73764.42647
DU
-1421216.11961
D(Tb)
-786.33813
TIME
4269.66737
DT
13273.55715
M2 {1}
0.34649

-2.78182
5%
-5.59

10%
-5.29

2.48260
-2.76082
-0.04148
2.99594
2.77995
1.47489

.
,
( ), :
break date TB = 1997:05; statistic t(alpha=1) =
critical values at
1%
for 100 obs.
-5.45
number of lag retained : 12
explained variable : M2
coefficient
student
CONSTANT
190978.79927
TIME
3283.15278
DT
9565.20521
M2 {1}
0.85569

-2.78944
5%
-4.83

10%
-4.48

8.21763
2.47380
5.15626
16.53993

47

2 1995:06 2000:07:
()
- ()
-
DF-GLS
KPSS


( )

( )

()
DS
TS


DS

,
, : DS-
, TS- ;
DS-.
2.3.
2.3.1.
,
.
,
,
.
, , .
:
( ), . . 1994:01 2000:04;
.
:

48

10
9
8
7
6
5
4
1994

1995

1996

1997

1998

1999

2000

EXPORT

, .
, ,

, 3.2.1.

Sample: 1994:01 2000:04
Included observations: 76
Autocorrelation
Partial Correlation
|*****
|*****
|***
|*
|***
|**
|**
|
|**
|
|*
*|
|*
|
|*
|
|
|
|
*|
|
|*
|**
|***
|
****|
*|
*|
*|
*|
*|
|*

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

AC
0.590
0.404
0.396
0.318
0.226
0.147
0.121
0.092
0.055
-0.037
0.012
0.229
-0.044
-0.165
-0.148
-0.106

PAC Q-Stat Prob


0.590 27.557 0.000
0.085 40.623 0.000
0.198 53.370 0.000
0.004 61.698 0.000
-0.022 65.950 0.000
-0.059 67.774 0.000
0.012 69.024 0.000
-0.005 69.769 0.000
-0.008 70.034 0.000
-0.118 70.155 0.000
0.101 70.169 0.000
0.337 75.013 0.000
-0.456 75.192 0.000
-0.095 77.799 0.000
-0.094 79.917 0.000
0.149 81.031 0.000

,
-, 12
. , , ,
-, ,
,

49

.
.
1% Critical Value*
-3.5362
-2.9077
5% Critical Value
10% Critical Value
-2.5911
*MacKinnon critical values for rejection of hypothesis of a unit root.

ADF Test Statistic

-2.172099

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(EXPORT)
Sample(adjusted): 1995:02 2000:04
Included observations: 63 after adjusting endpoints
Variable
Coefficient Std. Error
t-Statistic
EXPORT(-1)
-0.320298
0.147460
-2.172099
D(EXPORT(-1))
-0.021490
0.164733
-0.130454
D(EXPORT(-2))
-0.012906
0.157857
-0.081755
D(EXPORT(-3))
0.081849
0.153277
0.533990
D(EXPORT(-4))
0.143501
0.151594
0.946613
D(EXPORT(-5))
0.142530
0.153347
0.929464
D(EXPORT(-6))
0.060647
0.152810
0.396876
D(EXPORT(-7))
0.115841
0.154146
0.751501
D(EXPORT(-8))
0.119480
0.149454
0.799443
D(EXPORT(-9))
0.026379
0.140848
0.187288
D(EXPORT(-10))
-0.030960
0.136149
-0.227401
D(EXPORT(-11))
-0.163303
0.127508
-1.280726
D(EXPORT(-12))
0.640801
0.126129
5.080512
C
2.198274
0.996168
2.206731
R-squared
0.652897
Mean dependent var
Adjusted R-squared
0.560808
S.D. dependent var
S.E. of regression
0.625328
Akaike info criterion
Sum squared resid
19.16073
Schwarz criterion
Log likelihood
-51.89956
F-statistic
Durbin-Watson stat
2.125882
Prob(F-statistic)

Prob.
0.0347
0.8967
0.9352
0.5958
0.3485
0.3572
0.6932
0.4559
0.4279
0.8522
0.8211
0.2063
0.0000
0.0320
0.040635
0.943584
2.092050
2.568302
7.089867
0.000000

10% .

, ,
12 , .


.


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

SC
2.568
2.503
2.437
2.372
2.310
2.248
2.193
2.139
2.080
2.031
1.981
1.947

P-val
LM-.
1 0.293
2 0.285

1 0.251
2 0.175
3 0.142
4 0.244

50

P-val
White
0.377

P-val
J-B
0.663

t-

-2.172

0.711

0.840

-3.186

( 10%
) 12
, 2, 1, 10, 9, 6, 7, 3, 5, 4,
8, 11 (). ,
, 12 ;
.
.
, t - 5%
,
( ).
,
, ,
,
,
-. ,
, DS .

KPSS.
V K + /- 1 * S D

S e r ie s : E X P O R T

0 .9

0 .8

0 .7

0 .6

0 .5

0 .4

0 .3

0 .2

0 .1
1

10

11

12

13

14

15

W IN D O W S IZ E

TS-.
KPSS ( )
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
10

0.10
0.347

0.05
0.463

ETA(mu) =
0.31930
0.27642
0.18705

51

0.025
0.574

0.01
0.739

11
12
13
14

0.18204
0.17662
0.17245
0.16979

.
EXPORT:
()

()
DS
TS


TS

- ()
KPSS


: DS ,
TS ;
TS-.
2.3.2.
. ,
, , ,
,
.
:
( ), . . 1994:01 2000:04;
.

9
8
7
6
5
4
3
2
1994

1995

1996

1997

1998

1999

2000

IMPORT

, 1998
( ),
.
,

52

1994:01 1998:01.

9
8
7
6
5
4
3
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
IMPORT

,
. . 3.2.2
.
,
-, , 12
.
,
12
.
ADF Test Statistic

-1.614015

1% Critical Value
-4.2242
5% Critical Value
-3.5348
10% Critical Value
-3.1988
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMPORT)
Sample(adjusted): 1995:02 1998:02
Included observations: 37 after adjusting endpoints
Variable
Coefficient Std. Error
IMPORT(-1)
-0.687650
0.426050
D(IMPORT(-1))
0.020600
0.417224
D(IMPORT(-2))
0.079784
0.354080
D(IMPORT(-3))
0.159596
0.311822
D(IMPORT(-4))
0.319003
0.290247
D(IMPORT(-5))
0.508832
0.292103
D(IMPORT(-6))
0.388655
0.314875
D(IMPORT(-7))
0.281873
0.336228
D(IMPORT(-8))
0.287544
0.351195

t-Statistic
-1.614015
0.049375
0.225327
0.511818
1.099071
1.741961
1.234318
0.838341
0.818759

53

Prob.
0.1208
0.9611
0.8238
0.6139
0.2836
0.0955
0.2301
0.4109
0.4217

D(IMPORT(-9))
D(IMPORT(-10))
D(IMPORT(-11))
D(IMPORT(-12))
C
@TREND(1994:01)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.003979
-0.130758
-0.465013
0.361035
2.840222
0.032467
0.820057
0.705548
0.437277
4.206651
-12.27708
2.158910

0.350617
0.011350
0.325622
-0.401564
0.273920
-1.697620
0.229435
1.573584
1.558390
1.822536
0.024645
1.317368
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.9910
0.6919
0.1037
0.1299
0.0820
0.2013
0.064865
0.805842
1.474437
2.127512
7.161511
0.000027

t- - 10%
, .
,
,
10% .
,
. , P- -
,
( ) 2- , 0.000766,
12
.
24.

,

- , 12 .
,

. ,
[Dickey, Bell, Miller (1986)] -
, ,
, ..
(dummies) D1, D2,, D12, ,
, 1- (), 2- (),..., 12- () .
( D1 1 0
.
.)

54

-1

-2
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
X_DESEASONED

;

( ).
:
break date TB = 1996:07 ; statistic t(alpha=1) = -5.03902
critical values at
1%
for 70 obs.
-6.32
number of lag retained : 6
explained variable : IMP_DES
coefficient
student
CONSTANT
-2.36511
DU
0.10875
D(Tb)
0.60556
TIME
0.10353
DT
-0.01642
IMP_DES {1}
-0.21537

5%
-5.59

10%
-5.29

-4.38786
0.08382
1.65437
4.48843
-0.91853
-0.89294

DS- .
t-
DT,
. ,

( ).
:
break date TB = 1997:05; statistic t(alpha=1) = -4.25858
critical values at
1%
for 60 obs.
-5.92
number of lag retained : 6
explained variable : IMP_DES
coefficient
student
CONSTANT
-1.31878
DU
-0.28657

55

5%
-5.23

-3.56353
-1.51369

10%
-4.92

D(Tb)
TIME
IMP_DES {1}

-0.54686
0.04897
0.17386

-1.59774
3.75276
0.89624

; , DS .
KPSS ( ):
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
5
10
11
12
13

0.10
0.119

0.05
0.146

0.025
0.176

0.01
0.216

ETA(tau) =
0.11094
0.09783
0.08947
0.08556
0.08864
0.09220
0.09675



V K + /- 1 * S D

S e r ie s : IM P _ D E S

0 .8

0 .7

0 .6

0 .5

0 .4

0 .3

0 .2

0 .1

0 .0
1

10

11

12

13

14

15

W I N D O W S IZ E

TS-.
DS- DF-GLS
( ):
Lags = 13
Test
DFGLS

Statistic
-1.017

Critical values (asymptotic)


1%
2.5%
-3.48
-3.15

5%
-2.89

DS- TS-.
,
, ,
(
5% 2.68).
IMPORT 1994:01 1998:01:
()

()
DS
TS

56

10%
-2.57

DF-GLS
KPSS


( )



TS

,
, :
TS, DS. . 1.3.1,

,
.
2.4.

2.4.1.
,


.
,

,
.
.

,
.
,
;
,
; ,
, ,
; ,
-,
, , , ,
, ,
, ;
.
:
( ) , .
. ( 1998 . . .)
120000 1992:01 2000:05;
.

100000 Xt = Dokhfedbud :
80000
60000
40000
20000
0
92

93

94

57

95

96

97
X

98

99

00

,
1995 .,

.
1996:01-2000:05,

120000
100000
80000
60000
40000
20000
0
1996

1997

1998

1999

2000

58

DFB_DES,

60000
40000

20000

-20000

-40000
1996

1997

1998

1999

2000

DFB_DES

DFB_DES

(
)
.
,
:
break date TB = 1998:12 ; statistic t(alpha=1) = -5.38168
Critical values at
1%
for 100 obs.
-5.45
Explained variable : X_deseas
Coefficient
student
CONSTANT
-13754.29814
TIME
124.63087
DT
3598.89564
X_deseas(-1)
0.26764

5%
-4.83

10%
-4.48

-8.20735
1.71624
16.31043
1.96676

, DS-
5% TS-. , ,
, P- -
0.006
(4.98 3 ).
[Zivot, Andrews (1992)],
, ,
t- 5.382
5% . DS- .

( ),
:
break date TB = 1998:12 statistic t(alpha=1) = -5.20414
Critical values at
1%
for 70 obs.
-6.32
Number of lag retained : 0

59

5%
-5.59

10%
-5.29

Explained variable :

DFB_DES
Coefficient
-10006.79048
-278103.35966
7576.57283
93.92653
2850.55763
0.26757

CONSTANT
DU
D(Tb)
TIME
DT
DFB_DES {1}

student
-3.73394
-4.86542
1.33219
1.08695
4.97317
1.90121


DS TS.
DF-GLS (
):
:
Test
DFGLS

Statistic
-1.181

1%
-3.48

Critical values (asymptotic)


2.5%
5%
-3.15
-2.89

10%
-2.57

DS- .
,
,
(
5% 2.78).
KPSS (
):
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
10
11
12

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
0.30564
0.25663
0.15320
0.14758
0.14357

DS-
:

60

0.01
0.216

V K + /- 1 * S D
S e r ie s : D F B _ D E S

2 .5 0

2 .2 5

2 .0 0

1 .7 5

1 .5 0

1 .2 5

1 .0 0

0 .7 5

0 .5 0

0 .2 5
1

10

11

12

13

14

15

W IN D O W S IZ E


1996:01-2000:05 :
()

()
DS
TS

DS

DF-GLS
KPSS


( )

,
, : DS-
, TS- ;
DS-.
2.4.2.


, .
:
, . . ( 1998 . . .)
1992:01
100000 2000:05; .
Xt = Nalogdokh

80000
60000
40000
20000
0

92

93

94

95

61

96

97
X

98

99

00

Dokhfedbud (
).
1996:01:2000:05, :
100000
80000
60000
40000
20000
0
1996

1997

1998

1999

2000

NALOGDO

, ,
. NAL_DES,
.


(
) .
DFB_DES NAL_DES:

62

60000
40000

20000
0

-20000

-40000
1996

1997

1998

1999

2000

1999

2000

DFB_DES

60000

40000

20000

-20000

-40000
1996

1997

1998
NAL_DES

PERRON97 ,

, :
break date TB = 1999:02 ; statistic t(alpha=1) = -4.88088
critical values at
1%
for 100 obs.
-5.45
number of lag retained : 0
explained variable : NAL_DES
coefficient
student
CONSTANT
-13594.20391
TIME
214.85839
DT
3441.92040
NAL_DES {1}
0.35871

5%
-4.83

-9.05378
3.43942
15.39548
2.73011


1999:02 ( 1998:12,
).

5% DS- TS-.
(P- 0.134)
(-
0.425).

63

10%
-4.48


( ) PERRON97
1999:04. :
break date TB = 1999:04 ; statistic t(alpha=1) = -4.56691
critical values at
1%
for 70 obs.
-6.32
number of lag retained : 0
explained variable : NAL_DES
coefficient
student
CONSTANT
-8770.40256
DU
-151804.20882
D(Tb)
-12287.41898
TIME
163.54522
DT
1596.10854
NAL_DES {1}
0.38512

5%
-5.59

10%
-5.29

-3.69052
-2.66436
-2.36503
2.37784
2.88630
2.86039

DS- .
DF-GLS ( ):
Lags = 0
Test
DFGLS

Statistic
-1.090

Critical values (asymptotic)


1%
2.5%
-3.48
-3.15

5%
-2.89

10%
-2.57

DS- .

( 5%
2.62).
KPSS:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
10

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
0.30690
0.25870
0.15405

TS DS-.

64

0.01
0.216

V K + /- 1 * S D
S e r ie s : N A L _ D E S

2 .5 0

2 .2 5

2 .0 0

1 .7 5

1 .5 0

1 .2 5

1 .0 0

0 .7 5

0 .5 0

0 .2 5
1

10

11

12

13

14

15

W IN D O W S IZ E

DS-.

1996:01-2000:05:
()
DF-GLS
KPSS


( )

()
DS
TS

DS

,
, : DS-
, TS- ;
DS-.
2.5.

, % 1991:01 2000:08;
- .
()

. ,
,
, ,
, .

:

65

,
;

.
Xt = INFL,
1991:01 2000:08,
:
250
200
150
100
50
0
-50
91

92

93

94

95

96

97

98

99

00

INFL

1991 ., -
1992 . 1998 ., , ,
. ,
.

, , 1992:05-1998:07.

66

30
25
20
15
10
5
0
-5
1993

1994

1995

1996

1997

1998

INFL

Xt DS
-. ,
,
.

, :
- ,
:
Sample: 1992:05 1998:07
Included observations: 75
Autocorrelation
Partial Correlation
|*
|*
|*
|*
|
|
*|
*|
**|
**|
*|
|
|
|
|
|
|*
|
|
*|
*|
*|
|
|
**|
*|

1
2
3
4
5
6
7
8
9
10
11
12
13

AC
0.106
0.079
0.004
-0.077
-0.203
-0.094
-0.047
0.012
0.085
-0.019
-0.087
-0.037
-0.194

PAC Q-Stat Prob


0.106 0.8693 0.351
0.069 1.3646 0.505
-0.011 1.3662 0.713
-0.083 1.8483 0.764
-0.191 5.2570 0.385
-0.050 6.0022 0.423
-0.005 6.1929 0.517
0.027 6.2053 0.624
0.065 6.8398 0.654
-0.084 6.8709 0.738
-0.131 7.5465 0.753
-0.033 7.6697 0.810
-0.173 11.184 0.595

67

25

Series: Residuals
Sample 1992:05 1998:07
Observations 75

20

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

15

10

6.45E-16
-0.047377
10.14915
-8.988688
2.825929
0.244567
5.999021

5
Jarque-Bera
Probability

0
-8 -6 -4 -2 0
2
4
6
8 10
t-

-.


1995 .:

15
10
5

0
-5

-10
1993

1994

1995

1996

1997

1998

RESIDUALS
[
(1998, 3)] [ (1998,
IY)].


, P-
68

28.85431
0.000001

-
. , ,
.
SD

SD

SD/SD

94:12
4.136
0.989
1.123
0.000
3.683

95:01
4.097
0.990
1.006
0.000
4.073

02
4.134
0.995
0.733
0.317
5.640

03
4.084
0.981
0.715
0.347
5.712

04
4.026
0.963
0.725
0.330
5.533

05
3.971
0.932
0.734
0.311
5.410

06
3.923
0.886
0.730
0.329
5.374

07
3.879
0.829
0.714
0.362
5.433

08
3.834
0.694
0.706
0.377
5.431

SD/SD
1995:03. P-
1995:02, . -
-
1995:02-1998:07.
, 1992:05-1995:03 1995:041998:07 .
1992:05-1995:03

( )
.
t- -
-2.193
5%
3.547, DS- .
1995:03-1998:07

. t- 3.437 5% 3.522,
DS- .
, -,
. ,
, , 3,
t-, 3.285 5%
3.470. ,
t-
1.877 5%
2.900. ,
, t-
1.878 5% 1.945.
DS- . ,
, . ,
3 9
3.285 2.922
DS-.
DF-GLS
Lags = 0
Test
DFGLS

Statistic
-2.258

1%
-3.48

Critical values (asymptotic)


2.5%
5%
-3.15
-2.89

DS-.
[Cheung, Lay
(1995)] ( 5%
3.08).

69

10%
-2.57

,
PERRON97 .
(
), :
break date TB = 1996:09 ; statistic t(alpha=1) = -3.68319
critical values at
1%
For 100 obs.
-5.45
number of lag retained : 9
explained variable : INFL
coefficient
student
CONSTANT
22.27305
TIME
-0.39843
DT
0.36387
INFL{1}
0.50575

5%
-4.83

10%
-4.48

19.61729
-11.77569
3.11099
3.76886


( ), :
break date TB = 1996:02 ; statistic t(alpha==1) = -3.77937
critical values at
1%
for 70 obs.
-6.32
for 100 obs.
-6.21
number of lag retained : 9
explained variable : INFL
coefficient
student
CONSTANT
15.38542
DU
-15.71117
D(Tb)
1.57031
TIME
-0.27679
DT
0.23045
INFL{1}
0.39869

5%
-5.59
-5.55

10%
-5.29
-5.25

3.44129
-2.70978
0.71748
-3.32577
2.74869
2.50589

, DS .
TS-
KPSS. :
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4
12
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12

0.10
0.347

0.05
0.463

0.025
0.574

0.01
0.739

0.05
0.146

0.025
0.176

0.01
0.216

ETA(mu) =
5.74061
2.96682
2.03981
1.57389
1.29263
0.59361
0.10
0.119
ETA(tau) =
0.11674
0.10484
0.09731

TS- DS-
.
3 TS- ,
.
:

70

V K + /- 1 * S D
S e r ie s : I N F L

1 .4

1 .2

1 .0

0 .8

0 .6

0 .4

0 .2

0 .0
2

10

12

14

16

18

20

W IN D O W S IZ E

TS.
KPSS ,
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4

0.10
0.347

0.05
0.463

0.025
0.574

0.01
0.739

0.05
0.146

0.025
0.176

0.01
0.216

ETA(mu) =
2.75929
1.49846
1.06897
0.85409
0.72445
0.10
0.119
ETA(tau)
0.67046
0.37587
0.27557
0.22718
0.19878

TS- DS-.
INFL 1992:05-1998:07:
()
-
-
DF-GLS
KPSS

()
DS
TS


71




( )

DS

, DS
,


.
2.6.

1990:12 2000:07,

.
( )
:
100
90
80
70
60
50
40
30
91

92

93

94

95

96

97

98

99

00

INTPROM

DS
TS , .
, .
, ,
.
1998
. 1994:01-1998:
52
50
48
46
44
42
40
38
36
1994

72
1995

1996

1997
X

1998

DS- -

7 , , 7
, :
ADF Test Statistic

-2.017956

1% Critical Value*
-4.1540
5% Critical Value
-3.5025
10% Critical Value
-3.1804
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(X)
Method: Least Squares
Date: 02/22/01 Time: 09:46
Sample: 1994:01 1998:01
Included observations: 49
Variable
Coefficient Std. Error
t-Statistic
X(-1)
-0.012284
0.006087
-2.017956
D(X(-1))
2.593330
0.134552
19.27388
D(X(-2))
-3.204512
0.380911
-8.412763
D(X(-3))
1.923210
0.604972
3.179005
D(X(-4))
0.193033
0.677911
0.284747
D(X(-5))
-1.372521
0.563908
-2.433943
D(X(-6))
1.158955
0.329394
3.518443
D(X(-7))
-0.403933
0.104910
-3.850283
C
0.534607
0.296595
1.802481
@TREND(1994:01)
-0.000806
0.001404
-0.573960
R-squared
0.990786
Mean dependent var
Adjusted R-squared
0.988660
S.D. dependent var
S.E. of regression
0.055885
Akaike info criterion
Sum squared resid
0.121801
Schwarz criterion
Log likelihood
77.40310
F-statistic
Durbin-Watson stat
2.112515
Prob(F-statistic)

Prob.
0.0505
0.0000
0.0000
0.0029
0.7773
0.0196
0.0011
0.0004
0.0792
0.5693
-0.221429
0.524786
-2.751147
-2.365061
465.9683
0.000000


.
, 4 ,
.
Dependent Variable: D(X)
Method: Least Squares
Sample: 1994:01 1998:01
Included observations: 49
Variable
Coefficient
C
0.530484
@TREND(1993:12)
-0.000804
X(-1)
-0.012165
D(X(-1))
2.615517
D(X(-2))
-3.289578
D(X(-3))
2.085218
D(X(-5))
-1.221284
D(X(-6))
1.084367
D(X(-7))
-0.385655
R-squared
0.990767
Adjusted R-squared
0.988920
S.E. of regression
0.055239
Sum squared resid
0.122054

Std. Error
t-Statistic
0.293839
1.805355
0.001388
-0.579622
0.006003
-2.026557
0.108429
24.12187
0.233588
-14.08281
0.203252
10.25930
0.187269
-6.521545
0.197403
5.493155
0.082023
-4.701813
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion

73

Prob.
0.0785
0.5654
0.0494
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
-0.221429
0.524786
-2.789886
-2.442409

Log likelihood
Durbin-Watson stat

77.35222
2.154521

F-statistic
Prob(F-statistic)

536.5299
0.000000

(-
- 0.938, - 0.449, -
LM 0.405).
t- 2.027 5% 3.503.
DS- .

DS-
DGP. t-
: 0.580. 5%
( < 0) ( 50
) 2.81. , = 0 ,
-
( ).
,
, 7
.
4 .
:
Dependent Variable: D(X)
Method: Least Squares
Sample: 1994:01 1998:01
Included observations: 49
Variable
Coefficient
C
0.386789
X(-1)
-0.009415
D(X(-1))
2.627685
D(X(-2))
-3.313664
D(X(-3))
2.104959
D(X(-5))
-1.244470
D(X(-6))
1.109549
D(X(-7))
-0.398960
R-squared
0.990689
Adjusted R-squared
0.989100
S.E. of regression
0.054790
Sum squared resid
0.123079
Log likelihood
77.14730
Durbin-Watson stat
2.169413

Std. Error
t-Statistic
0.156455
2.472206
0.003647
-2.581691
0.105513
24.90400
0.227993
-14.53407
0.198748
10.59107
0.181459
-6.858130
0.190997
5.809249
0.078105
-5.107988
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0177
0.0135
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
-0.221429
0.524786
-2.822339
-2.513470
623.2228
0.000000

t- 2.582
5% , 2.922. DS-
.
DGP.

.
2.472, 5% 2.89.
DGP . DS-
.
4 ,

Dependent Variable: D(X)


Method: Least Squares
Sample: 1994:01 1998:01

74

Included observations: 49
Variable
Coefficient
X(-1)
-0.000416
D(X(-1))
2.673588
D(X(-2))
-3.359898
D(X(-3))
2.125533
D(X(-5))
-1.227803
D(X(-6))
1.082069
D(X(-7))
-0.376041
R-squared
0.989301
Adjusted R-squared
0.987773
S.E. of regression
0.058028
Sum squared resid
0.141427
Log likelihood
73.74299

Std. Error
t-Statistic
0.000237
-1.754543
0.110005
24.30418
0.240655
-13.96145
0.210311
10.10660
0.192052
-6.393074
0.201944
5.358274
0.082137
-4.578220
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

Prob.
0.0866
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
-0.221429
0.524786
-2.724203
-2.453943
1.991915

1.755 t- 5%
1.947; DS- .
, - DS-
.
DS-, DF-GLS.
:
Lags = 7
Test
DFGLS

Statistic
-0.976

Critical values (asymptotic)


1%
2.5%
-3.48
-3.15

5%
-2.89

10%
-2.57

DS-. ,

, ( 5%
2.88).
KPSS TS-
:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
7
8
12

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
0.23079
0.19541
0.14612
0.13798
0.12337

3 TS DS-.
,
, 7 ,
5% .
1990:121998:08
:

75

0.01
0.216

100
90
80
70
60
50
40
30
91

92

93

94

95

96

97

98

,
.
,
( t- DS-)
GS ( 10%)
PERRON97 RATS.
( ):
break date TB = 1994:10 ; statistic t(alpha=1) = -5.48413
critical values at
1%
for 100 obs.
-5.45
number of lag retained : 4
explained variable : INTPROM
coefficient
CONSTANT
96.10760
TIME
-1.09112
DT
0.98282
INTPROM(-1)
0.91884

5%
-4.83

student
176.67216
-64.60380
32.53140
62.08842

, INTPROM DS-,
( 1990:12 1998:08).
INTPROM:
()
1994:011998:08
- ()
-
DF-GLS
KPSS
1990:121998:08

( )

()
DS
TS


,

.
76

10%
-4.48

2.7.
()
,

,

, .
( ).
.
.
:
, . . ( 1998 . .)
1994:1 2000:2; .
:
1600000

1200000

800000

400000

0
94

95

96

97

98

99

00

GDP

.


DS-,
PERRON97 RATS.
(26 ),
.
Yt = Xt Xt-1
,
(
, 12 ):
Sample: 1994:2 2000:2
Included observations: 25
Autocorrelation
Partial Correlation
|*
|*
*|
*|
|
|*
|****
|***
**|
***|
***|
*|
**|
**|
|**
|**

1
2
3
4
5
6
7
8

AC
0.148
-0.133
0.045
0.477
-0.196
-0.344
-0.201
0.294

77

PAC Q-Stat Prob


0.148 0.6181 0.432
-0.159 1.1397 0.566
0.096 1.2022 0.752
0.456 8.5129 0.074
-0.436 9.8056 0.081
-0.162 13.998 0.030
-0.240 15.518 0.030
0.230 18.956 0.015

**|
***|
*|
|*

*|
*|
*|
***|

9 -0.231 -0.142
10 -0.351 -0.139
11 -0.164 -0.108
12 0.120 -0.362

21.203
26.741
28.040
28.784

0.012
0.003
0.003
0.004

13 , 25 13 = 12
, . ,
-.
DF-GLS.
- 2, Newey-West,
t- ( )
0.423, 5% 3.603.
:
0.698 ( , 5).
,
DS-, ().
, TS-,
KPSS.
:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
1
2
3
4

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
0.37987
0.21571
0.16020
0.13464
0.12210

3 4, TS- ,
2 () DS.
GDP:
()
- ()
-
DF-GLS
KPSS

()
DS
TS

.
2.8.

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

78

0.01
0.216

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

11
10
9
8
7
6
5
4
94

95

96

97

98

99

00

UNJOB

1998-1999
, 1994:01- 1998:04,
:

79

9
8
7
6
5
4
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
UNJOB

,
- , ,
, , ,
(P- -
0.429), (P- 0.619)
(P- LM- 0.283,
0.108, 0.089, 0.155 1, 2,
3, 4).
-
( t- 4.515 5%
3.499). ,
DS-.
KPSS, TS-,
:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
3
4
12

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
0.04899
0.04766
0.11558

TS ,
.
TS.

80

0.01
0.216

V K + /- 1 * S D
S e r ie s : U N J O B

1 .4

1 .2

1 .0

0 .8

0 .6

0 .4

0 .2

0 .0
1

10

11

12

13

14

15

W IN D O W S IZ E

UNJOB 1994:01-1998:04:
()
-
-
KPSS

()
DS
TS


TS

,
, : DS- ,
TS- ;
TS-.
2.9. -1
.
. 30
, 12:00 18:10.
18:00 . 18:10
. 12:00
.
.
.
. ( )
,
,
,
.
,

.
.
81


-1
01/09/95 31/10/00.

. Xt = RTS1 (

1294 )
600
500
400
300
200
100

.


0
400
600
800
1000
1200
200
,
,

Zt = lnXt lnXt-1,
DS
RTS1
TS Yt = lnXt,
6.5
6.0
5.5
5.0
4.5
4.0
3.5
200

400

600

800

1000

1200

X_LOG

DS- Yt ,
, , ,
,
, ,
: 36
.

82

200

Series: RESID
Sample 38 1294
Observations 1257

150

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

100

50

Jarque-Bera
Probability

0
-0.20 -0.15 -0.10 -0.05 0.00

0.05

0.10

-3.16E-18
-0.000104
0.185715
-0.190944
0.034402
-0.077948
6.361510
593.0974
0.000000

0.15

P- -
.
-
l = 7, t-
PP(7) = 1.290 5% 2.864.
13 PP(13) = 1.359 36
PP(36) = 1.507, DS- Yt .
KPSS
TS DS-
, :
ETA(mu) Values ( ):
Critical Level:
0.10
Critical Value:
0.347
For lag parameter l = ETA(mu) =
7
1.90482
8
1.69460
9
1.52644
10
1.38886
11
1.27424
12
1.17726
24
0.61951
36
0.42440
ETA(tau) Values ( ):
Critical Level:
0.10
Critical Value:
0.119
For lag parameter l = ETA(mu) =
7
1.85758
8
1.65259
9
1.48861
10
1.35446
11
1.24268
12
1.14812
24
0.60424
36
0.41399

0.05
0.463

0.025
0.574

0.01
0.739

0.05
0.146

0.025
0.176

0.01
0.216


Yt DS-:

83

V K + /- 1 * S D
S e r ie s : Y

1
25

50

75

100

125

150

175

200

225

250

W IN D O W S IZ E

, Yt
,
.
1 500 , 545 649 , 650 776
777 1294 .
c 1 500 ( 01/09/95 03/09/97)
-1. Yt = lnXt

6.5
6.0
5.5
5.0
4.5
4.0
50 100 150 200 250 300 350 400 450 500
X_LOG

-
13 ,

,
84

( 10%)
7 . t-
ADF(7) ( ADF , 7 ) 3.54,
5% 3.42,
Yt .
, :
100

Series: RESID
Sample 9 500
Observations 492

80

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

60
40

2.50E-17
-0.000953
0.150407
-0.121994
0.026987
0.280318
6.663588

20
Jarque-Bera
Probability

281.5919
0.000000

0
-0.10

-0.05

0.00

0.05

0.10

0.15

.
-,
.
l
t- - PP(l) (
, ):
l
4
5
6
7
8
9
10
11
12
13

PP(l)
-3.10827
-3.11748
-3.12576
-3.14034
-3.15161
-3.15984
-3.16800
-3.17752
-3.18431
-3.18722

5% 3.42,
DS Yt .
Yt
, DS-, ,
.
,
PERRON77 RATS,
.
.
(
):
break date TB = 8 ; statistic t(alpha=1) = -3.83291
critical values at
1%
for 200 obs.
-5.28
infinite sample
-4.91

85

5%
-4.65
-4.36

10%
-4.38
-4.07

number of lag retained : 7


explained variable : Y
coefficient
4.91560
-0.10263
0.10692
0.97071

CONSTANT
TIME
DT
Y{1}

student
42.52236
-6.97001
7.25719
127.00868

,
( ):
break date TB = 148 ; statistic t(alpha=1) = -3.90218
critical values at
1%
for 100 obs.
-6.21
infinite sample
-5.57
number of lag retained : 7
explained variable : Y
coefficient
CONSTANT
0.17089
DU
-0.00316
D(Tb)
-0.02381
TIME
3.23993e-005
DT
1.32791e-004
Y {1}
0.96007

5%
-5.55
-5.08

student
3.72886
-0.37357
-0.86267
0.55435
1.62462
93.81295

10%
, DS- .
KPSS, TS. l 5
10 0.229 0.241.
5%- 0.146. KPSS
TS- DS-.
,
:
V K + /- 1 * S D
S e r ie s : Y

5 .5

5 .0

4 .5

4 .0

3 .5

3 .0

2 .5

2 .0

1 .5

1 .0
25

50

75

100

125

150

175

200

W IN D O W S IZ E

DS-.
86

10%
-5.25
-4.82

, Yt
1 500 (DS) .
Yt 545 649
(05/11/97-08/04/98), -1:
6.1
6.0
5.9
5.8
5.7
5.6
5.5
550 560 570 580 590 600 610 620 630 640
X_LOG

-
13 :
Dependent Variable: D(Y)
Method: Least Squares
Sample: 545 649
Included observations: 105
Variable
Coefficient
C
1.001140
@TREND(544)
-0.000405
Y(-1)
-0.167945
D(Y(-1))
0.131702
D(Y(-2))
0.047363
D(Y(-3))
0.054178
D(Y(-4))
-0.031487
D(Y(-5))
0.025801
D(Y(-6))
0.039993
D(Y(-7))
-0.015957
D(Y(-8))
0.142763
D(Y(-9))
0.061410
D(Y(-10))
0.187308
D(Y(-11))
0.075771
D(Y(-12))
0.141246
D(Y(-13))
0.261173
R-squared
0.287618
Adjusted R-squared
0.167553
S.E. of regression
0.034484
Sum squared resid
0.105833
Log likelihood
213.2539
Durbin-Watson stat
1.943850

Std. Error
t-Statistic
0.276175
3.625016
0.000169
-2.398596
0.046235
-3.632429
0.097361
1.352724
0.098355
0.481549
0.098161
0.551934
0.096156
-0.327454
0.091657
0.281497
0.081728
0.489342
0.079705
-0.200199
0.079639
1.792618
0.079897
0.768617
0.078298
2.392236
0.080819
0.937537
0.080762
1.748919
0.080272
3.253602
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0005
0.0185
0.0005
0.1796
0.6313
0.5824
0.7441
0.7790
0.6258
0.8418
0.0764
0.4442
0.0188
0.3510
0.0838
0.0016
-0.003293
0.037795
-3.757217
-3.352804
2.395527
0.005872

, ,
, ,
87

, (P 0.327) LM (P 0.691 2). ,



-. t- 3.632 5%
3.453. DS-
Yt
DS- .
KPSS,
TS-:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
10
11
12
13
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
7
8
13
14

0.10
0.347

0.05
0.463

0.025
0.574

0.01
0.739

0.05
0.146

0.025
0.176

0.01
0.216

ETA(mu) =
0.86627
0.48031
0.45115
0.42656
0.40583
0.10
0.119
ETA(tau) =
0.20477
0.14726
0.13615
0.10383
0.10046

:
4 TS . ,
11 8
, 5% ,
TS .
:

88

V K + /- 1 * S D
S e r ie s : Y

1 .7 5

1 .5 0

1 .2 5

1 .0 0

0 .7 5

0 .5 0

0 .2 5

0 .0 0
5

10

15

20

25

30

35

40

W IN D O W S IZ E

TS-.
, -
.
, PERRON97
. (
):
break date TB = 586; statistic t(alpha=1) = -4.43466
critical values at
1%
for 100 obs.
-5.70
infinite sample
-5.41
number of lag retained : 13
explained variable : Y
coefficient
CONSTANT
1.68876
DU
-0.06361
D(Tb)
0.05179
TIME
3.66382e-004
Y{1}
0.71311

5%
-5.10
-4.80

student
4.43159
-3.47660
1.32380
1.34112
11.02328


.
. -,
TS.
650 776
(09/04/98-08/10/98) -1
:

89

10%
-4.82
-4.58

6.0

5.5
5.0

4.5

4.0
3.5
660

680

700

720

740

760

X_LOG

-
:
Dependent Variable: D(Y)
Method: Least Squares
Sample: 650 776
Included observations: 127
Variable
Coefficient
C
0.361578
@TREND(649)
-0.001093
Y(-1)
-0.061276
D(Y(-1))
0.202075
D(Y(-2))
-0.019964
D(Y(-3))
0.016297
D(Y(-4))
-0.040131
D(Y(-5))
-0.000205
D(Y(-6))
0.074409
D(Y(-7))
0.035719
D(Y(-8))
-0.106997
D(Y(-9))
-0.054292
D(Y(-10))
0.180209
D(Y(-11))
-0.051534
D(Y(-12))
0.151243
D(Y(-13))
-0.017490
R-squared
0.139304
Adjusted R-squared
0.022994
S.E. of regression
0.051610
Sum squared resid
0.295664
Log likelihood
204.7775
Durbin-Watson stat
1.994755

Std. Error
t-Statistic
0.197475
1.831010
0.000518
-2.109901
0.032801
-1.868122
0.094638
2.135228
0.097305
-0.205165
0.097470
0.167195
0.097273
-0.412567
0.096241
-0.002131
0.094653
0.786125
0.094876
0.376477
0.095171
-1.124268
0.095118
-0.570793
0.094765
1.901636
0.097217
-0.530097
0.096972
1.559657
0.098229
-0.178050
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

13

Prob.
0.0698
0.0371
0.0644
0.0349
0.8378
0.8675
0.6807
0.9983
0.4335
0.7073
0.2633
0.5693
0.0598
0.5971
0.1217
0.8590
-0.015926
0.052214
-2.972874
-2.614552
1.197698
0.284126

(P-
- 0.0004), P-,
.
, , ,

90

, 12 .
, -.
4 14 t - 2.061 2.005,
5% , 3.445, DS.
TS-, KPSS
:
ETA(mu) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
13
14
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
13
14

0.10
0.347

0.05
0.463

0.025
0.574

0.01
0.739

0.05
0.146

0.025
0.176

0.01
0.216

ETA(mu) =
2.44102
0.95431
0.90011
0.10
0.119
ETA(tau) =
0.39585
0.17636
0.16857

TS- 5%
.
.
, , DS-:
V K + /- 1 * S D
S e r ie s : Y

2 .0

1 .8

1 .6

1 .4

1 .2

1 .0

0 .8

0 .6

0 .4
2

10

12

14

16

18

20

22

24

26

28

30

W IN D O W S IZ E


/ . ,
, 700 720
.
PERRON97,
( ).
:
91

break date TB = 711; statistic t(alpha=1) = -5.44184


critical values at
1%
for 100 obs.
-6.21
infinite sample
-5.57
number of lag retained : 12
explained variable : Y
coefficient
CONSTANT
2.11919
DU
2.59915
D(Tb)
-0.07749
TIME
-0.00592
DT
-0.00344
Y{1}
0.64395

5%
-5.55
-5.08

10%
-5.25
-4.82

student
5.38448
4.34286
-1.36832
-4.93560
-4.20653
9.84216

127 ,
100 . -,
5.4418 5%
127 .
, , 777 1294
(09/10/98-31/10/00) -1:
6.0

5.5

5.0

4.5

4.0

3.5
800 850 900 950 1000 1050 1100 1150 1200 1250
X_LOG


- ,
-. 4 24
t- 1.05
1.41, , DS- Yt .
KPSS
5 :
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
12
13

0.10
0.119

0.05
0.146

ETA(tau) =
0.52225
0.21694
0.20337

92

0.025
0.176

0.01
0.216

TS- DS-.
:
V K + /- 1 * S D
S e rie s : Y

2 .0 0

1 .7 5

1 .5 0

1 .2 5

1 .0 0

0 .7 5

0 .5 0
10

20

30

40

50

60

70

80

90

100

W IN D O W S IZ E

DS-.

, , ,
1000 1100 ( 01/09/99
26/01/00). PERRON97 ( )
:
break date TB = 1070 statistic t(alpha=1) = -4.16208
critical values at
1%
for 100 obs.
-6.21
infinite sample
-5.57
number of lag retained : 13
explained variable : Y
coefficient
CONSTANT
0.17712
DU
0.14512
D(Tb)
-0.05340
TIME
1.02229e-004
DT
-1.14638e-004
Y{1}
0.95704

5%
-5.55
-5.08

student
4.24500
2.85596
-1.60238
2.76409
-2.55189
92.72848

DS .
1 c 01/09/95 31/10/00
.
01/09/95-31/10/00:
()
- ()
-
DF-GLS
KPSS

()
DS
TS

DS

93

10%
-5.25
-4.82

,
, : DS- ,
TS- ;
DS-.
c 1 500 ( 01/09/95 03/09/97)
()
- ()
-
DF-GLS
KPSS


( )

()
DS
TS

DS

,
, : DS-
, TS- ;
DS-.
545 649 (05/11/97-08/04/98):
()
- ()
KPSS


( )

()
DS
TS


TS

,
, TS-:
KPSS ,
TS-.
650 776 (09/04/98-08/10/98):
()
- ()
-
DF-GLS
KPSS


( )

()
DS
TS

DS
t

5%

,
, DS-.
, 777 1294 (09/10/98-31/10/00):
()
- ()
-
DF-GLS
KPSS

()
DS
TS

DS

94

( )

,
, : DS-
, TS- ;
DS-.
:

01/09/95-31/10/00 ()
01/09/95-03/09/97
05/11/97-08/04/98
09/04/98-08/10/98
09/10/98-31/10/00

(DS TS)
DS
DS
TS
DS
DS

2.10.

,
.
:
01/07/92
01/11/00; .
,
, Xt=Rubkurs :
30
25
20
15
10
5
0
200

400

600

800

1000

1200

1400

, , [Nadal-De Simone, Razzak (1999)],


,
-
, .. DS-.
1980 .
1997 .
DM-USD, GBP-USD, YEN-USD CAD-USD.


.
Yt = lnXt,

95

4
3
2
1
0
-1
-2
-3
200

400

600

800

1000

1200

1400

X_LOG

03/09/96-14/08/98 ( 462 949 ),



, :
1.85

1.80

1.75

1.70

1.65
500 550 600 650 700 750 800 850 900
X_LOG

-.
,
, :

96

0.002

0.001

0.000

-0.001

-0.002
500 550 600 650 700 750 800 850 900
RESID


TS DS,
, .
,
, .
Yt ,

( ).
11/01/99-01/11/00 ( 1050 1507 ):
3.4

3.3

3.2

3.1

3.0
1050 1100 1150 1200 1250 1300 1350 1400 1450 1500
X_LOG

1300
(11/01/00) PERRON77

97

. (
) :
break date TB = 1297 ; statistic t(alpha=1) = -5.64108
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
Number of lag retained : 11
Explained variable : RUBKURS
coefficient
student
CONSTANT
1.78751
DU
2.46555
D(Tb)
-0.24166
TIME
0.00125
DT
-0.00177
RUBKURS {1}
0.92176

5%
-5.55
-5.08

10%
-5.25
-4.82

5.66944
5.65979
-2.28691
5.25651
-5.61882
66.45906

DS TS.
, , 11/01/99-22/12/99 ( 1050 1290
):
3.30
3.25

3.20

3.15

3.10

3.05
1050

1100

1150

1200

1250

X_LOG

KPSS :
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
4
12
13
14
15
16

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
0.35318
0.16172
0.15316
0.14581
0.13943
0.13384


TS DS .
.
TS-:

98

0.01
0.216

V K + /- 1 * S D
S e r ie s : R U B K U R S

1 .4

1 .2

1 .0

0 .8

0 .6

0 .4

0 .2
5

10

15

20

25

30

35

40

W IN D O W S IZ E

-.

24
(- LM 2
0.00008) :
100

Series: Residuals
Sample 1050 1290
Observations 241

80

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

60
40

1.33E-17
-0.000998
0.028061
-0.017462
0.005606
1.534219
9.026910

20
Jarque-Bera
Probability

459.2954
0.000000

0
-0.01

0.00

0.01

0.02

0.03

99

0.03
0.02
0.01
0.00
-0.01
-0.02
1050

1100

1150

1200

1250

RESID

ARIMA c
:
, , ARCH, GARCH ,
.
,
DS-.
. ,
,
,
TS-.
, ,

.
01/07/92-26/08/94 ( 1 215 ):

100

-1

-2

-3
50

100

150

200

X_LOG

PERRON97,
.
( ):
break date TB = 125 ; statistic t(alpha=1) = -4.64360
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
Number of lag retained : 12
Explained variable : RUBKURS
coefficient
CONSTANT
0.00411
DU
-0.10113
D(Tb)
0.26144
TIME
0.00118
DT
6.52082e-004
RUBKURS {1}
0.86678

5%
-5.55
-5.08

10%
-5.25
-4.82

student
0.82027
-4.46211
12.66729
4.36206
4.48231
30.21349

.
,
( ):
break date TB = 140; statistic t(alpha=1) = -3.15871
Critical values at
1%
for 200 obs.
-5.28
Infinite sample
-4.91
Number of lag retained : 1
Explained variable : RUBKURS
coefficient
CONSTANT
0.05774
TIME
0.00859
DT
0.00409
RUBKURS {1}
0.91711

5%
-4.65
-4.36

student
5.11654
68.56875
11.65102
34.94671

.
KPSS:
ETA(tau) Values:

101

10%
-4.38
-4.07

Critical Level:
Critical Value:
For lag parameter l =
0
4
12
24

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
3.41074
0.76524
0.33370
0.21045

0 24 TS
DS-.
:
V K + /- 1 * S D

S e r ie s : R U B K U R S

0 .9

0 .8

0 .7

0 .6

0 .5

0 .4

0 .3

0 .2

0 .1

0 .0
25

50

75

100

W IN D O W S IZ E


,
1-250.
25/01/2000-28/07/00 ( 1310 1439 ):

102

0.01
0.216

29.0
28.8
28.6
28.4
28.2
28.0
27.8
27.6
1320

1340

1360

1380

1400

1420

RUBKURS
KPSS:
ETA(tau) Values:
Critical Level:
Critical Value:
For lag parameter l =
0
4
12
16
17
18
19
20
24

0.10
0.119

0.05
0.146

0.025
0.176

ETA(tau) =
1.22425
0.29309
0.16087
0.14802
0.14680
0.14619
0.14612
0.14654
0.15205

0 12 TS- .
5%
.
:

103

0.01
0.216

V K + /- 1 *S D
S e rie s : R U B K U R S

2 .2 5

2 .0 0

1 .7 5

1 .5 0

1 .2 5

1 .0 0

0 .7 5

0 .5 0

0 .2 5
5

10

15

20

25

30

35

40

45

50

W IN D O W S IZ E

DS-.
PERRON97,
.
( ):
break date TB = 1356; statistic t(alpha=1) = -4.83009
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
Number of lag retained : 1
Explained variable : RUBKURS
coefficient
CONSTANT
5.21179
DU
0.37708
D(Tb)
-0.10339
TIME
-0.00214
DT
-2.15747e-004
RUBKURS {1}
0.81950

5%
-5.55
-5.08

10%
-5.25
-4.82

student
4.85003
0.45186
-2.01671
-3.55302
-0.34859
21.92879

.
t-
DT, , -,
( ).
(
):
break date TB = 1356; statistic t(alpha=1) = -4.97646
Critical values at
1%
for 100 obs.
-5.70
Infinite sample
-5.41
Number of lag retained : 13
Explained variable : RUBKURS
coefficient

104

5%
-5.10
-4.80

student

10%
-4.82
-4.58

CONSTANT
DU
D(Tb)
TIME
RUBKURS {1}

8.15044
0.10380
-0.13128
-0.00324
0.71820

4.98109
4.82563
-2.51146
-5.74401
12.68305

120 , t 4.976 5% .
.
01/07/92-26/08/94 ( 1 215 ):
()
KPSS


( )

()
DS
TS

11/01/99-01/11/00 ( 1050 1507 ):


()

( )

()
DS
TS

11/01/99-22/12/99 ( 1050 1290 ).


()
- ()
KPSS

()
DS
TS


TS

25/01/00-28/07/00 ( 1310 1439 ):


()
KPSS


( )

()
DS
TS

DS

:

01/07/92-26/08/94
11/01/99-01/11/00
11/01/99-22/12/99
25/01/00-28/07/00

(DS TS)
DS
TS

DS

,
,
(..
DS-).
,
.
,
.
[Copeland (1991)], , ,

,
.

105

3.

3.1.
3.1.1. 1

,


.
(. . 2-2 2.1) ,
1998
1999 ., - 1998 .
,
t = TB = 42, 1998 .
, ..

5,
.
2.2.1, 1 (
) DS-.
. Yt = Xt Xt1
60000
40000

20000
0

-20000

-40000
1996

1997

1998

1999

2000

M1_DIF


, 1
,
. , ,
1997:08 1998:09.

.
-,


5

-
1998 , , .

106

(
) - , ..
. ,
,

(
5 ).
-, ( 1997-1998 )
-
. , 1995 1997 ,
,
:
,

( )
.

( 1997 ) -
. ,
- 1998
- ,
- .
1998

- ,
, ,
, ,
.
3.1.2. M0
1
,
. ,
,
1995:06 2000:07.

350000
300000
250000
200000
150000
100000
50000
1996

1997

1998
M0

107

1999

2000

,
0 , 1.
.
1,
,
1998 , , -
.
,
(0) .
, ,
(..
)
,
, .
1 0 .
1997:07 ,
1998 . ,
, 1999
.
3.1.3. 2

1995:06 2000:07. M2

1000000
800000
600000
400000
200000
0
1996

1997

1998

1999

2000

M2

.
0 1997:07 ,
1998 .
.
2
. 1997:08-1998:07 2

.

108


,

-.
375000

370000

365000

360000

355000
97:09

97:11

98:01

98:03

98:05

98:07

M2

3.2.
3.2.1.
EXPORT, 2.2.1
.
Xt = Export
,
. X_deseas :
2
1
0
-1
-2

, , ,
, 5
.-31994 1995 1996 1997 1998 1999 2000
,X_DESEAS


, , ,
. ,
,
.

, -,
, ,
-,

109

.
.
3.2.2.
Xt = Import (. . 2-3 2.1)
1998:09,
,
( ).
Xt 1994:01-1998:01 (n=49)
1998:10-2000:04 (n=19). ,

( ). 2.2.2,
,
, : TS,
DS.
1994:01 1998:01.

9
8
7
6
5
4
3
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
IMPORT

,

.

110

-1

-2
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
X_DESEASONED

, ,
:
1995 ., 1996 .
1997 . , ,
. ,
1996 (,
),
, .

,
(
).
1998:10 2000:04,

4.4
4.0
3.6

3.2
2.8
2.4
98:10

99:01

99:04

99:07

99:10

00:01

00:04

Xt,
, ,
, 1999 .

111

3.3.
3.3.1.
Xt = Dokhfedbud ( . 2-5 2.1)
,
1995 .,

. 1996:01-2000:05,
, ,
X_deseas,
.
, 2.4.1, :
. ,
1998 .,
TB = 28. ,
.
120000
100000
80000
60000
40000
20000
0
1996

1997

1998

1999

2000



,
, .
( , ) ,
. ,

,
16000
.
1992:01 1995:12.
12000

,
1993 . : 1993:10
1995:05 1992:01 1993:09.
1993:10 1995:05 :
8000
4000

0
93:10

112
94:01

94:04

94:07

94:10
X

95:01

95:04


, 1992:01 1993:09

2500
2000
1500

1000
500
0
92:01

92:04

92:07

92:10

93:01

93:04

93:07

; ,

.

(
20% ),
.
3.3.2.
Xt=Nalogdokh ( . 2-5 2.1)
Dokhfedbud.
1996:01:2000:05 (53 ),

113

100000
80000
60000
40000
20000
0
1996

1997

1998

1999

2000

NALOGDO

,

.

.

1998 . , 1996-
1998 ( ,
) , .
,
1998 ,
.
3.4.
Xt = INFL
1990 . 2000 .
(. . 2-1 2.1)
, 1991 ., - 1992 .
1998 ., , ,
. ,
.
, , 1992:05-1998:07.
:

114

30
25
20
15
10
5
0
-5
1993

1994

1995

1996

1997

1998

INFL

2.5. DS-
, ,
AR(1)-,
20

10

-10


Xt .
-20
1993
1994
1995
1996
1997
[ .

1991 INFL
1997Residuals
(1998, IY)]
[ .
1991 1997 (1998, IY)]


.

.
, ,
. ,
,
,
. ,

.
,
,
,
.
115

.
,

(..

).
ARCH (GARCH) .
3.5.


,
. ,
. , ,
.
1994:01-1998:08.
. 1990:12
1998:08 .
Yt = Xt Xt1,
:
1

-1

-2

-3
91

92

93

94

95

96

97

98

99

00

1990:12-1994:04, 1994:051998:08 1998:09-2000:07. ,


, ,
.
.
,
, ,
(10 ), ,
,
( )

116

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

1990-2000 ,
,
- .
U-
( ).

, .
-,
, , .
, ,
,
, .
,
.
1990 1998 .
-, 1994
,
.
-
,

, .. ,
,
. .
-,
1996 , 1997 .
-
1997 -
1998
,
.

117

, 1994-1995
1998
,
.
-,

:
,

.

,
, ( )
.
3.6.

.
Xt = GDP (. 2-4 , 2.1)
,
(n=26),
. , 1, ,
TB=18 ( 1998 .)
, ,
(1- ) AR(1).
, , , ,
, .
,

.
3.7.
UNJOB

118

11
10
9
8
7
6
5
4
94

95

96

97

98

99

00

UNJOB

1994:01- 1998:04 (52 ),


:
9
8
7
6
5
4
94:01 94:07 95:01 95:07 96:01 96:07 97:01 97:07 98:01
UNJOB

, 2.8, TS-
.
.
,
, ,
,
.
(
),
. ,
119

, ,
.
3.8. -1

. Xt = RTS1 (. 2-7 2.1 1294
)
.
,
Yt = lnXt,
6.5
6.0
5.5
5.0
4.5
4.0
3.5
200

400

600

800

1000

1200

X_LOG

01/09/95 03/09/971 (1
500 ), 05/11/97 08/04/98 (545 649 ), 09/04/98
08/10/98 (650 776 ) 09/10/98 31/10/00 (777 1294
).
1 c 01/09/95 31/10/00
.
01/09/95-31/10/00:

c 1 500 ( 01/09/95 03/09/97):
.
545 649 (05/11/97-08/04/98):
.
650 776 (09/04/98-08/10/98):
.
, 777 1294 (09/10/98-31/10/00):
.
, Zt
,

538 544 27 4 1997
., -1,
. Xt
:

120

600
550
500
450
400
350
300

520 525 530 535 540 545 550 555 560


RTS1



.
,
. , ,

. ,
,

1998 ,
.


( ). ,
.
( ,
, , ..),
,
.
3.9.
. Xt =
Rubkurs (. . 2-8 , 2-1)
Yt=lnXt,

121

4
3
2
1
0
-1
-2
-3
200

400

600

800

1000

1200

1400

X_LOG


, 1995
1998 , ( 1992
1995 , 1998 2000 ).
,

. ,
, 1999 ,

, .
,
.
1999
. , ,
,
, .
,
,
,
.

,

.
,
,

.

122



.
,
. ,
,

.
,
.

, .

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

,
.


, , ,
, ..
,
TS (trend stationary), ,
DS (difference stationary) .
,
,

, TS DS
. TS
, , , ,
, -. DS
( )
, - DS
(
),
, -
,
. TS-
, DS-
123


.

,


,
- .
,

,

, , ..
(TS DS).
, ,
. 1
1.

1
0
2
EXPORT
IMPORT
IMPORT
DOKHFEDBUD
DOKHFEDBUD
DOKHFEDBUD
NALOGDOKH
INFL
INTPROM
INTPROM
UNJOB
GDP
RTS1
RTS1
RTS1
RTS1
RTS1
RUBKURS
RUBKURS
RUBKURS
RUBKURS

(DS TS)

1995:06 2000:07
1990:12 2000:07
1990:12 2000:07
1994:01 2000:04
1994:01 2000:04
1994:01 2000:04
1992:01 2000:05
1992:01 2000:05
1992:01 2000:05
1992:01 2000:05
1991:01 2000:08
1990:12 2000:07
1990:12 2000:07
1994:01 2000:08
1994:2 2000:2
01/09/95 31/10/00
01/09/95 31/10/00
01/09/95 31/10/00
01/09/95 31/10/00
01/09/95 31/10/00
01/07/92 01/11/00
01/07/92 01/11/00
01/07/92 01/11/00
01/07/92 01/11/00

1995:06 2000:07
1995:06 2000:07
1995:06 2000:07
1994:01 2000:04
1994:01 1998:01
1998:10 2000:04
1992:01 1993:09
1993:10 1995:05
1996:01 2000:05
1996:01 2000:05
1992:05 1998:07
1990:12 1998:08
1994:01 1998:08
1994:01 1998:04
1994:2 2000:2
01/09/95 03/09/97
05/11/97 08/04/98
09/04/98 08/10/98
09/10/98 31/10/00
01/09/95 31/10/00
01/07/92 26/08/94
11/01/99-22/12/99
11/01/99-01/11/00
25/01/00-28/07/00

DS
DS
DS
TS

( )
( )
( )
DS
DS
DS
TS
DS
TS

DS
TS
DS
DS
DS
DS

TS
DS

,
DS, ..
,

,
,

. -1
( ) (05/11/97 08/04/98),
(09/04/98 08/10/98) DS .

124

,
1998 ., , -,
1998 .

, TS DS .
,
.


.

.
1.
, .
2. , ,
-
.
3.
.

125


1. , TS DS
1.1.
1.1.1. -
-
, ,
[Dickey (1976)], [Fuller (1976)], [Dickey, Fuller (1979)], [Dickey, Fuller (1981)].
- () ,
xt DS (DS-);
TS (TS-).
- ,
(,
). ,

.
(SM , statistical model; DGP
, data generating process).
1) x t (
),

SM: xt = xt 1 + + t + t , t = 2, , T ,
DGP: xt = + t , t = 2, , T .
t ,
..
SM
t- t H0 : = 0.
tcrit,
,
DGP ( ). DS- ,
t < tcrit. ,
, , [Fuller (1976)],
[Fuller (1996)], T = 25, 50, 100, 250,
500. T ,
tcrit, ,
[MacKinnon (1991)].
2) xt (
) ,

SM: xt = xt 1 + + t , t = 2, , T ,
DGP: xt = t , t = 2, , T .
SM
t- t H0 : = 0.
tcrit,
,

126

DGP ( ). DS- , t
< tcrit. , ,
, [Fuller (1976)], [Fuller (1996)],
T = 25, 50, 100, 250, 500.
T ,
tcrit, ,
[MacKinnon (1991)].
3) , xt (
) ,

SM: xt = xt 1 + t , t = 2, , T ,
DGP: x t = t , t = 2, , T .
SM
t- t H0 : = 0.
tcrit,
,
DGP ( ). DS- , t
< tcrit. , ,
, [Fuller (1976)], [Fuller (1996)],
T = 25, 50, 100, 250, 500.
T ,
tcrit, ,
[MacKinnon (1991)].

-. ,
,

,
, t,
(. [Perron (1988)]). ,
,
.
-

[Dolado, Jenkinson, Sosvilla-Rivero (1990)]; . [Enders
(1995)].
1.1.2. -.

- ,

(, ).
( ) p
,
(augmented) .

xtj, t = 2,, p 1, , ,

127

SM: xt = xt 1 + + t +

p 1

j= 1

xt j +

t = p + 1, , T .


t- t H0 : = 0
tcrit,
() . DS- , t < tcrit.
, -
, xt -
. [Said, Dickey (1984)],
x1,, xT ARIMA(p, 1, q) c q > 0,
ARI(p*, 1) = ARIMA(p*, 1, 0) p*< T 1/3
- .
x1,, xT
AR(p) p, p
,
.
p=pmax
, , p0

*
,
, .

,
,


( 10% ) (GS-
) ()
pmax
(SIC). [Hall (1994)] [Ng, Perron (1995)] ,
pmax p0, ( ) SIC
, GS 0;

-.
,
,

,
-. ,
(GDP)
1870 1994 . [Murray, Nelson (2000)], pmax = 8,
GS- = 6, SIC
= 1.
LM-
(. [Holden, Perman (1994)]). , ,
[Taylor (2000)] ,
Ng Perron:
. , , GS SC-. , ,
-.

128

1.2. -
, [Phillips, Perron (1988)],
xt DS H0
: = 0
SM: xt = xt 1 + + t + u t , t = 2, , T ,
, -,
. , -,
ut
(
), ()

( , E u t C < > 2).


, -,
.
- t-
H0 : = 0 ,

Zt,

ut.
Zt (longrun) ut,
2
2 = lim T 1 E ( u1 + ... + uT ) .
T

u ( )
xt = xt 1 + + t + u t , t = 2, , T ,

( 2 ) 2 [Newey, West (1987)]


l
( 2 ) = 0 + 2 1 l +j 1 j ,

j= 1

= T 1

ut ut j

t= j+1

j- ut. l T ,

, ( l / T ) 1 / 4 0 , ( 2 ) 2 (.
[Phillips (1987)]) Zt
t
-.
,
l Newey-West ( l window
size). , ..
( ).

. ,
-
.
( , ,
[Phillips, Perron (1988)], [Schwert (1989)]) -
l.
[Andrews (1991)], 2

129

T 1 ,

1 z z
j
, k ( z ) =
k
k ( z) =
l+ 1
l + 1
0 ,

( 6

j
,
l + 1

z / 5)

l.

[Schwert (1989)], l = [K(T/100)1/4], [a] a,
K 4 12
. l , ,
EVIEWS (Econometric Views),
l = [4(T/100)2/9] ([Newey, West (1994)]).
,
l .
Zt [Fuller
(1976)] [acKinnon (1991)].
, xt IMA(1, q),
q l NeweyWest. q = 1, xt = t + b1 t 1 , b1 > 0
- , , .
, b1 < 0 -
,
b1 < 0 (
DS).
1.3.
[Leybourne (1995)]
- DF xt ,
, DFmax
.
DFmax T = 25, 50, 100,
200, 400 () .

(). ,
.
-.
1.4. -.
[Schmidt, Phillips (1992)]
DS ( )
xt = + t + wt ,

wt = wt 1 + t , t = 2,..., T .

130

, ( = 1 1)
, .
(DS)
(TS) , .
, l T1/2.
.
1.5. DF-GLS.
, , , [Elliott, Rothenberg, Stock (1996)].
DF-GLS (. [Maddala, Kim (1998)]) a0=0
ydt= a0 ydt-1+a1ydt-1++ apydt-p+error,
d
y t - ( .
).
1.6. --- (KPSS)
, [Kwiatkowski, Phillips, Schmidt,
Shin (1992)], TS.

= + +
.
,
, ,
,

, ,
DS .
LM
.
-,
, -.
l Newey-West,
l.

, (. [Schwert (1989)]).
1.7.
1.7.1.
[Perron (1989a)]
DS -
,
TB ,
, .
, DS ,
,
, .. DS- (., ,
[Engle, Granger (1991)]).

, ,
131

,
,
.

,
,
.
A. "crash" model
xt = c + DMU t + t + DTS t + xt 1 +

B. "changing growth" model:

xt = c + DMU t + t + DTS t + xt 1 +

C. model which allows "both effects" take place:

xt = c + DMU t + t + DTt + dDTB + xt 1 +

c ,

1 t = TB + 1
DTBt =
0

1 t > TB
DMU t =
0 t TB

T TB t > TB
DTSt =
0 t TB

DMU t = DTt = 0

t TB ,

DMU t = 1 , DTt = 0

t > TB .

t-
TB /T.

:
A.
= = = 0, d 0

B.

= = = 0, 0

C.
= = = 0, d 0, 0



A.
132

0 , 0 , 0 , d = 0

B.

0 , 0 , 0 , = 0

C.

0 , 0 , 0 , 0 , d = 0.


.
t-
, =T/TB ,
(AO),
,
(IO), .
[Perron (1989a)]
.
, [Perron, Vogelsang
(1993)].
1.7.2.
.
, [Perron (1997)],
TB , ..
, -
.
IO1 , IO2
, , AO
, .
:
UR t- = 1;
STUDABS t-
,
( IO1)
( IO2);
STUD t-
,
( IO1) ( IO2);

,
.
1.8. ( )
, [Cochraine (1998)],

2
(VR) k = k2
1
(VR variance ratio),
2k = T Var ( xt xt k ) .
xt , (VR ) k 1 , xt ,
( ),
(VR) k 0 k .

133


, T / (T
k + 1) (VR) k .
(VR) k k =
1,, K
TS DS,
.

(VR) k :
k
j

(VR ) k = 1 + 2 1
rj ,
k + 1
j= 1
rj xt = xt xt 1 .
1.9.

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

,
DS (., , [Ghysels,
Perron (1993)]), .
([Davidson, MacKinnon (1993)]).

(dummy)
D1,, D12 ( ) D1,, D4 (
). ,
.
-
[Dickey, Bell, Miller (1986)], ,
t
.
1.10. -
,
, [Dickey,
Pantula (1987)]
,
. ,
;
1 ..
1.11. .
, ,
, ,
134

, . ,
, ,
, .
, , [Shiller,
Perron (1985)] [Perron (1989b)].
2.
2.1.

, t
xt, , ,
.
2.1. xt (
), m
m
m
x ti i = 1 , m xti + i = 1 , ,
t1,, tm.
,
. , m = 1
xt ,
xt t, ,
t , :
Ext = Dxt = 2.
, ,
xt,
.
xt t,
x1,,
xT. :
1 T
1 T
2
= xt , 2 = ( xt ~ )

T t=1
T t= 1
. (2.1)
().


1 T
( ) =
( xt )( xt + ),
T t=1
= 1, T 1, (2.1).
, = 0
, , , ,
1 T
2
( 0) = 2 = ( xt ) .
T t= 1
(2.2)
r().
, ,
, ,
, .

{ }

135


.
, ,
.
r()
r().
. (
) , ..
. , ,
1 +1. , , r() = r(),

.

r( ) =

1
T

(x

t= 1

)( xt + )

1
( xt ) 2

T t= 1

( )
, = 1,..., T 1.
( 0)

(2.3)
,
.
,
.
: ,
xt xt+, , ,
r().
r0,
.
r().
,
xt xt+,

. 1-
:
r ( 2 ) r 2 (1)
r ( 2 ) = r ( xt , xt + 2 xt + 1 = ) =
,
1 r 2 (1)
(2.4)
.

R = ||rij||,
rij = = r(xi, xj) = r(|i j|), i, j = 1,, T r(0) = 1. , ,
2- :
r ( 3) = r ( xt , xt + 3 xt + 1 = xt + 2 = ) =

r (1) r ( 2 ) r (1)

(1 r ( 2) )(1 r (1) )
2

(2.5)
()
(2.4), (2.5)

136

r()
r( ) .
r(1),r (2),
,
.
r() r()

.
p().

p ( ) =
i =

r ( )e

1 . r() = r(),

p ( ) = 1 + 2 r ( ) cos( ).
=1

, p() 2.
, ,
= . p()
0 .
.

.
, , [, (1971,
1972)] [, (1990)].

, ..

,
(
).
,
,
xt 2/.
:

(1.1.1). ,
/2, /3 ..
, .
[Granger (1963)]
18751958 .

, .
2.2. (
), ,
t.

137

2.2.

,
(1.1.1)
, :
/ (
t) (1.1.1); ,

H0: Ext = = const
(2.6)
(
)

H: Ext const;
()
f(t) = 1f(t) + 2(t) +3(t), ..
( t)
xt.
2.2.1.

, .
, ..
:
x(1), x(2),, x(T).

(T )
xmed

x( T + 1 ) ,
,

= 1

x( T2 ) + x( T2 + 1) , .
2

,
(2.6).
,
(T )
: xt +, xt > xmed , ,
(T )
(T )
xt < xmed ( , xmed ,
).

() ().

.
,
(.. (2.6)), +
, ..

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

138


0, (2.6):

(T ) >

1
T + 2 1,96 T 1 ,
2

(T ) < 1,43 ln (T + 1)

, (2.6) , ,
0,05 < < 0,0975 , ,
(1.1.1).
.

, , ,
.
, ,
,
. i-
+, xi+1 xi > 0, ,
xi+1 xi < 0 (
, ).
+ ( )
,
( ) .
, : ,
,
.
0,05 < < 0,0975 :
2T 1
16T 29
1,96
,
3
90
(T ) < 0 ( T ),

(T ) >

(2.7)
0() :

0()

26
0 = 5

26 < 153
0 = 6

153 < 1170


0 = 7

(2.7) ,
(2.6) .
( ).
, x(t)

,

,
.
(2.6)
2
T 1
1
2
(
)
( xi + 1 xi ) 2 ;
q
T
=

,

2( T 1) i = 1
2

(T) =

1 T
( xt x ) 2 ,
s =

T 1 i= 1
2

x = x (T ) =

q (T)
s ( T )

1 T
xi . (T ) min (T ), (2.6)
T i= 1

139

min
. (T ) T > 60
u
min ( T ) = 1 +
, u -
T + 0,5 1 + u2

. (T ) T 60
. 4.9
[, (1965)].
2.2.2. (
)
,
, .
() ,
(1.1.1)
f(t) = 1f(t) + 2(t) +3(t).
(2.8)
, ,
f(t) = 0 + 1t, 0 1
, (
)
0 1
.
()
, (2.8)
. ,
.
f (t ) f(t)
t
(2.8).

()

.
, xt,
t. ,

xt = f(t, ) + t, t = 1,, T,
f(t, ) ,
~
= (0, 1,, m).
{t , x t }Tt= 1 .
f(t, ) t.

( ).

:
xt () a
2, N
(x1 + x2 ++ xT) / N a
, , 2 / N.
()
.
min

140

N = 2m + 1,
. f (t )
xt xtm, xtm+1,, xt, xt+1,, xt+m

f ( t ) =

wk xt + k , t = m + 1, m + 2,..., T m,

k= m

(2.9)
wk (k = m, m + 1,, m)
m

, , .. wk > 0

wk = 1 . ,

k= m

t m + 1 T m, , ,
(2.9),
().
, m wk.
wk .
f(x)

p. 2m + 1
x1,, x2m+1, x1 (t ) p,

, f (t )
f(t) (.. (m + 1)-) ,
.. f ( m + 1) = = x1 ( m + 1) .
x2 ( t ) p
x2,, xm+2

, .. f ( m + 2) = x2 ( m + 2) , ..
f (t )
t, t = 1,, m t = T, T m +
1.
( )

(2.9), ,
.
(
[Brown (1963)]).
f (t ) t

Q( f ) =

t 1

(x
k= 0

t k

f ) min,
2

(2.10)
0 < < 1. , k Q(f)
()
xtk .
(2.10) :

141

t1
f ( t ) = 1
k xt k .
t
1 k= 0
(2.11)

, ,
. (2.11)
, .
2.2.3.

p
- .
.

,
:
xt
f(t) = 0 + 1t + ptp p,
p + 1, ,
, t.
p ,
f(t)
xt. , , ,
(E = 0),
T
2
( T ) = i , I, i = 1, 2,, T
i= 1 T
. E 0,

2 T
i i ,
i= 1 T
i= 1 T
(T )
D. kxt, k = 1, 2,,
p + 1, , k < p + 1
, t,
0, 1,, p t. k p + 1
, :
2
k
p+ 1
E(kxt) = 0 = D ( xt ) C2 ( p + 1) .

p,
.
k = 1, 2, kxt (t = 1,, T k),

T

2 ( k ) =

1
T k

(2.12)

142

( x )

T k
t= `

C2kk

2 ( k ) k. 2 ( k )
k ,
k p + 1. (2.12)
, ( p)
. k = k0, 2 ( k )
,
, .. p = k0 1.
,
.
2 ( k ) ,
( )
. ,

, ,
, 2 ( k ) ,
, ,
.
, p,

.
2.3.

2.2 ,
,
(1.1.1).

. ,
, t,
xt
(2.8). , ,
, ,

.
.
, t, ,
t , .. Et, 0.
, , t.
, ,
,
, :

t =

k= 0

k t k ,

(2.13)
0 = 1

k= 0

k2 < .

143

, ,

.
t (2.13) ,

,
:

t =

k=1

t k + t.

(2.14)
1, 2,
, t. (2.14)
(2.13)
(2.14) t1, t2, ,
(2.14) t 1, t 2 ..
,
,
:
t =

k=1

k t k + t +

j=1

j t j .

, p q ,
, ( )
.
2.3.1. p (AR(p)-)
.
1- AR(1) ( ).

(2.14),
.
,
t = t1 + t,
(2.15)
,
(|| < 1), t ,
. t t ,
. , (2.15) t
t1 . , t
().
, (2.15),
. ,
Et 0,
(2.16)
r(t, tk) = k,
(2.17)
Dt =

02
,
1 2

(2.18)

144

cov(t, tk) = kDt.


(2.19)
(2.19) , ||
, t .
, t ,
t
t.
1-
.
(2.15)
:
|| < 1,
, , z0 1 z = 0
.

(2.17):
r() = r(t, t) = .
(2.20)
, ,
:
= r(t, t1),
..
t.
(2.20) ,
(2.15)
.
r() = r(t, t+ | t+1 = t+2 == t+
= 0) (2.4)(2.5).
1

: r()
= 2, 3,. :
r
= 2, 3,,
1-
.
p (~ ) (2.15)

(2.20):

p( ~ ) =

2 02
,
2 + 2 2 cos( 2 ~ )

1
0 ~
2

~
=
.
2

1, t
,
,
,
t. 1,
( ),
145


.
, ..
2
0 xt ( ,
), (2.16)(2.19)
.
f (t ) ,

t = xt f ( t ).

(2.21)
( 0 )
1 N

( t ) 2 ,
( 0) =

N t=1

= 1

, () (2.21).

N
(2.18),
,
..
=

1
N1

N1

(
t=1

)( t + 1

( 0 )
2
2
, 0 0 (2.19),
Dt , , ( 0 ) :
02 = (1 2 ) ( 0).
2- AR(2) ( ).
, AR(1),
, j (2.14) ,
. ,
t = 1t1 + 2t2 + t,
(2.22)
1, 2, .
(2.22) ( )
:

1 < 2,

2 < 1 1 .

.
2-
: 1 1 z 2 z 2 = 0.

. r(1) r(2)

146

1
,
1 2

r (1) =

r ( 2) = 2 +

12
,
1 2

r(), = 3, 4,

r() = 1r( 1) + 2r( 2).

,
2- ,
:
r() = 0 = 3, 4,
p (~ )
:

p ( ~ ) =

2 02
~ 1.
,
0

2
2
1 + 1 + 2 2 1 (1 2 ) cos( 2 ~ ) 2 2 cos( 4 ~ )
2

2-
, 1,
2
2 0 t.
t ( 0 ), r( 0 ) r(0 ) , ,
Dt r(1) r(2).
(2.2) (2.3):
1 T
2
( 0 ) = ( t ) ,
T t=1

( k ) =

1
T k

T k

)( t + k

, k = 1,2
( 0)
1 2
r(1) (1 r( 2 ) )
r( 2 ) r 2 (1)

1 =
,

=
.
2
1 r 2 (1)
1 r 2 (1)
2
, 0
1 + 2
(1 2 ) 2 12 .
02 = ( 0)
1 2
p- AR(p) (p 3). ,
,
. (2.14)
j, p , ,
AR(p)-:
t= 1

t =

j= 1

t j + t ,

(2.23)
1, 2, .
, (2.23),

1 1z 2z2 pzp = 0.

147

,
, ..
.
(2.23)
p r(1),, r(p).
:
r () = 1r( 1) + 2r( 2) ++ pr( p), = p + 1, p + 2,...
(2.24)
(2.23)
p; r(p) > p
(., , [, (1974)]).
AR(p)- , ,

. , , ,
k, ,
p = k 1.
p-
:
p (~ ) =

1 1e

i 2 ~

2e

2
0
i 4 ~

... p e

i 2 p ~ 2

1
,0 ~ .
2

p-
,
.
(2.24) = 1, 2,, p.
1, 2,, p:

r (1) = 1 + 2 r (1) + ... + p r ( p 1) ,

r ( 2) = 1r (1) + 2 + ... + p r ( p 2 ) ,

.......................................................
r ( p ) = 1r ( p 1) + 2 r ( p 2) + ... + p .

(2.25)
[Yule (1927)], [Walker (1931)].
k
k ,
r(k) r( k )
.
2
0

2
0

= ( 0 ) (1 1r (1) 2 r ( 2 ) ... p r ( p ) ).

.
2.3.2. q ((q)-)
(2.13),
q j .

t = t 1t1 2t2 qtq,
(2.26)

148

1,, q
, (2.13). (2.26)
q ((q)).
AR- -
-. (2.13) (2.14) ,
AR-
, - .
(2.26)
t =t + 1t1 + 2t2 ++ qtq.

t = t 1t1 2t2 ,
(2.27)
j (j = 1, 2,)
1,, q. (2.27)
(.. )
t =

j=1

j t j

+ t.

(., , [, , (1974)]),

(q)-

(..

j=1

(2.26)
:
2
q
1 1 z 2 z ... q z = 0
, .. |zj| > 1 j = 1, 2,, q.
(q).
:

02 1 + 12 + 22 + ... + q2 ,
= 0;
2
( ) = 0 + 1 + 1 + 2 + 2 + ... + q q , 1 q;

0
> q.

(2.28)

(q)

(2.28):
+ 1 + 1 + 2 + 2 + ... + q q
, = 1,..., q;

r ( ) =
1 + 12 + 22 + ... + q2

0,
> q.

(2.29)
, r() (q)
, q.
(q)-
.
(q)
:
~ ) = 2 2 1 e i 2 ~ e i 4 ~ ... e i 2 q ~
p (
0
1
2
q

~ 1 2.
,0

(q) (2.29),
: 1) t = xt f ( t )

149

r( ) =

1
T

( )(
t= 1

1 T
( t
T t=1

t+

, = 1,2,..., q,

r(1),..., r(q ) ; 2) (2.29)


= 1,, q
r() r( ) ; 3)
q 1,,
q; 1 ,...,q
2
; 4) 0
(2.28) (0), 1,, q .
, (2.25),
(q)- .

(., , [, (1974)]).
AR(q) (q).
.
1. p t
, t
.
, q t

t .
2.

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

.
3.
- ,
. ,
.
4.
.
2.3.3.
(ARMA(p, q)-)

. AR
.

, ,
, .

150

t = 1t1 ++ ptp + t 1t1 qtq


(2.30)
(p,
q)(ARMA(p, q)).
ARMA(p, q)-.
(2.30)
t =

j=1

t j + qt ,

(2.31)


(2.31) , AR(p)-.
qt ,
. (2.30)
,
AR(p)- .
qt = t 1 t 1 ... q t q ,

,
(2.30)

pt

= t

j=1

j t j

pt = t 1 t 1 ... q t q ,

,
(q): ARMA(p, q)-
, (q)-
.
,
AR- -, .
1) () = 1( 1) ++ p( p) + () 1( 1)
q( q), ( (k) = E(tkt)
t t) = 0, 1,, q , (0),
(1),, (q) , , r(1),, r(q)
q
1,, q p 1,, p.
(), ( 1),, ( q)
,
1,, p,1,, q : k
> 0; (k) = E(tkt); tkt (k + 1)-
(2.30)
t1,
,
E ,
( E(t1t) = 0).
2) r() q + 1
r() = 1r( 1) + 2r( 2) ++ pr( p)
q + 1,
(2.24) AR(p). , ,
= q + 1, ARMA(p, q)
, AR(p), ..
() ,

151

1,, p
r(1),, r(p).
ARMA(p, q)
(q)-.
, ()
(
q ).
ARMA(p, q)
:
~

p (~ ) = 2

2
0

~ 2

1 1e i 2 2 e i 4 ... q e i 2 q
1 1e

i 2 ~

2e

i 4 ~

... p e

i 2 p ~ 2

1
,0 ~ .
2

ARMA(p, q) ( AR- )
. k (k = 1, 2,, p), j (j = 1, 2,,
2
q) 0 . 1-
2
k, 2- j 0 .
1- . (2.30)
:

r ( q + 1) 1r ( q ) 2 r ( q 1) ... p r ( q p + 1) = 0,

r ( q + 2) 1r ( q + 1) 2 r ( q ) ... p r ( q p + 2 ) = 0,

....................................................................................
r ( q + p ) 1r ( q + p 1) 2 r ( q + p 2) ... p r ( q ) = 0.

(2.32)
(2.32) r(k)
j (j = 1,, p),
1 ,..., p .
2- . 1 ,..., p (2.30)
q + 1 :
t

t+1
t+ q

k=1

k =1
p

k=1

k t k = t

j=1

k t + 1 k = t + 1
k t + q k = t + q

t j ,

j=1

t + 1 j ,

j=1

t + q j .

,
2
0 , 1,, q 1-
.
.

ARMA AR -. ,
.
, , [Greene (1997)].
152

2.3.4.

(., [Engle (1982)],
[Engle (1983)], [Gragg (1983)])
:
.

, .. Dt =
= (0) = const
.
ARMA .
. [Engle (1982)]

,

t = t[0 + 12t1],
(2.33)
t, t = 1, 2,,
, 0 1
, t (
0 > 0, |1| < 1).
(2.33)
(ARCH-). (.,
, [Greene (1997)]
, - (
, ).
(2.33) (. [Engle, Kraft (1983)]):
t = t[0 + 12t1 ++ qtq],
(2.34)
0, 1,, q ,
t.
(2.34) ARCH (
ARCH(q)). (2.33) ARCH(1)-
(2.34) q = 1. q > 1
(2.34) , t
t1, t2, . ARCH(q) (2.34) (q), .
[Bollerslev (1986)]
t
(GARGH-).
2.4.

2.4.1. -
(ARIMA(p, k, q)-)
. . [,
(1974)]. xt,
:
1.
f(t), ( t)

153

k > 1;
, ;
k
2. xt , t = 1,..., T k , xt k ,
ARMA(p, q).
, ARIMA(p, k, p)- xt,

xtk = 1 xtk 1 + 2 xtk 2 + ... + p xtk p + 1 t 1 ... q t q ,

k
xtk = k xt = xt Ck1 xt 1 + Ck2 xt 2 ... + ( 1) xt k .
, ARIMA
(
).
(2.14), =
1,
t = t1 + t.
t ,
.. ARMA(0, 0).
ARIMA ARIMA(0, 1, 0).
ARIMA-. ,
k .
2 ( k ) (. (2.12)) k:
k k0,
2 ( k ) 2 ( k )
. k ARIMA-
xt,
2
xt,. xt
, 2, .
, l < k lxt ,

. ,
k ,
k
k
xt = xt .
k xt, k-
. ARMA(p,
q), 2.4.3.
.

. xt k1,
k1, yt
k2 > k1,
k2, t = yt xt
k2. k1 = k2 = k,
, t
( 0) . ,
xt yt , (1, ) .
xt yt
() .

154


, , : 1)
yt = xt + t ; 2)
t = yt xt
ARMA(p, q); , AR(1)- || < 1
t = t 1 + t .

, , [Greene (1997)].
[Maddala, Kim (1998)].
2.4.2. ,
, ,
,
/ .

: , ( ,
) ;
, ,
.
. -,
(
)
,

. -,
,
, ..
.
ARIMA-
.
, ARIMA-,
T = 1 FT_,
( .,
, [, (1974)]:
1. xt T
;
(T )
2. xk , K (t )
ARMA- (
) ARMA-;
(T )
3. xk , K (t )
( ) ;
4. (
xt )
, ,
.
[,
(1974)].
2.4.3.
,
( )
155

yt xt. ,

yt = c0 +

k= 0

xt k + t , t = N + 1, N + 2,...,

(2.35)
t, t = 1, 2,, N
( xt, xt1,, xtN)
2
, c0, 0, 1,, N 0 = Dt .
,
(2.35),
:

k (k = 0, 1, 2,),
1,,
m (m << N),
k;
j.

(2.35)

.
.

.

( )

P{ = k} = wk, k = 0, 1,, N
(2.36)
N .


wk
.
wk .

.

0, 1,, ..
.
.
[Almon (1965)].
.
0, 1,, N.
k k,
m (m 3)
k, ..
k = 0 + 1k + 2k2 ++ mkm, k = 0, 1, 2,, N,
(2.37)

156

0, 1,, m ,
(2.35). (2.37)
(2.35) :
yt + N = c0 + 0 ~
xt(1) + 1~
xt( 2 ) + ... + m ~
xt( m ) + t + N , t = 1,2,..., T N .
N + 2
c0, 0, 1,, N
m + 1 (m 3)
.
[Koyck (1954)].
,
.

k= 0

. , xt yt+k

k, , ..
y x
. .

wk = k
, ,
j,
j= 0

, k .
(2.35), ..
0, 1, 2,
: :
yt = (1 )c0 + (1 )xt + yt1 +(t t1).
(2.38)
(2.38)
,
t t, , , [ (1980)].
( )
*
[Nerlove (1956)], [Nerlove (1958)]. , yt

~ ~
~
yt* = 0 + 1 xt + t ,

(2.39)
, xt ,
~
, .
.
()
,

yt = yt 1 + yt* yt 1 + t ,0 1,
(2.40)
t . (2.40) ,
yt
*
yt ,
~

157

. (2.40)

yt = yt* + (1 ) yt 1 + t ,

(2.41)
,
( t)
( )
.
(2.39) (2.41),

~
~
~
yt = 0 + 1 xt + (1 ) yt 1 + t + t .


, .

.
,
*
yt
xt .
,
.

.
.
.
, , , ,

.
yt,
*
xt ,
t + 1

~
~
yt = 0 + 1 xt*+ 1 + t ,

t
xt.

xt*+ 1 = xt + (1 ) xt* ,0 1.

, ,
t + 1, t
.
.
,
, .
,

.

,
.

158

[Cagan (1956)]
[Friedman (1957)]
.
, .
,
, .
[Solow (1960)]
, .. wk, k = 0, 1, 2,
(2.36)

M
wk = (1 p ) C Mk + k 1 p k , k = 0,1,2,...,
(2.42)
p (0 < p < 1) M ( ) ,
( =

k= 0

.
:
wk M > 1
pM 1

pM 1

( k < 1 p ), ( k > 1 p );
(E) (D)
pM

pM

E = 1 p ; D =
(1 p ) 2 .
M, p.
,
,
.

N k
wk = C Nk p k (1 p )
, k = 0,1,..., N .
(2.45)

( p 0 1).
, (2.45)
( (2.42)) , E = pN D = p(1
p)N.
,
(2.35)
, k ( , wk)
, k0.
2.5.

, , 2.3 2.4,

.
,
, , , ,
.

159

,
. :
() ;
() ;
()
- .

,
.
2.5.1. ARIMA-
ARIMA-
,
.
,
ARIMA-. ARIMA-, ,
AR-, MA- ARMA-. ,
,
, .
,
.
xt+l, l 1 , xt
,
l
. xt .
l
l +1
, xt xt 1
xt+l, -, ..
.
x, ARIMA(p, k, q)-, (
> k)

(1

L ... p Lp

) ( 1)
k

j= 0

Ckj x j = 1 1 ... q q ,

(2.46)
L .
(2.46) x = t q,, t 1, t,
t + 1,, t + + l.
p
q
p


i
x = j L j x + 1 j L j ( 1) Cki x i + 1 j L j .
j= 1
j= 1

j= 1

i= 0

(2.46)

p + k ( )
x,
q . ,
, , ..
.
(2.46)
l
.
, (
)
160

t l
xt+l, , x
t.
(. [Wold (1932)], [Kolmogoroff (1939)], [Wiener (1949)]).
E(xt+l | x1,, xt)
(2.46) = t + l
:
E(xtj | x1,, xt) = xtj
j = 0, 1, 2,, t 1;
(2.47)
j
E(xt+j | x1,, xt) = xt
j = 1, 2,;
(2.48)
E(xt+j | x1,, xt) = 0
j = 1, 2,;
(2.49)
1
E(xtj | x1,, xt) = xt j xt j 1
j = 0, 1, 2,, t 1.
(2.50)
,
:
1
1)
(2.46) xt q 1 ,
t1 q ,, x
x
t11 ;
t q + m 1 xtq+m
x
(m = 0, 1,) (2.46) E(tq+mj |
x1,, xtq+m),
(2.50), ,
;
2)
(2.46) > t (2.47)(2.50)

.
.
p, q k
.

. , ,
[, (1974)].
2.5.2.
,

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

.
,
, .

161

[Brown (1962)].

.

.
x, = 1, 2,, t
x = a0 + ,
(2.51)
a0 , ,
, , .
, x t
xt ( ) ( ) (0 < < 1)

1 t1 j
xt ( ) =
xt j ,
1 t j= 0
(2.52)
t1

: xt ( ) = arg min
j ( xt j a ) .
a
2

j= 0


,
.
(2.52)
xt ( ) = (1

j= 0

j xt j .

(2.53)

1
xt xt+1
t xt
xt1 = xt ( ),

(2.54)

xt ( ) (2.52) (2.53),
.
(2.54) , , ,
1
(t + 1)- xt+1 xt + 1 = xt + 1 ( )
xt + 1 ( ) = xt ( ) + (1 ) xt + 1.

,
.. , (2.51)
xt+ = a0 + a1 ++ akk + ,
(2.55)
k 1. (2.55)
t, .
1
, xt xt+1
(2.55) = 1 (2.54):
xt1 = xt + 1 = a0( k ) ( t , ) + a1( k ) ( t , ) + ... + ak( k ) ( t , ) ,

162

a j (t , ), j = 0,1,..., k

j= 0

j ( xt j a0 a1 j ... ak j k )
2

min .

a 0 , a1 ,..., a k

(2.56)
(2.56) .

.
1)

(1 jLj) k = 1 Lk,
,

.
2)

,

() .
ARIMA(0, 1, 1)-.
3)


. , ,
.
,
,
.
. [Holt (1957)] ,
,
l
1 2 (0 < 1, 2 < 1). xt l
t
xtl = a0 ( t , 1 , 2 ) + la1 ( t , 1 , 2 ),
:

a0 ( t + 1, 1 , 2 ) = 1 xt + (1 1 ) ( a0 ( t , 1 , 2 ) + a1 ( t , 1 , 2 ) ) ,
a1 ( t + 1, 1 , 2 ) = 2 ( a0 ( t + 1, 1 , 2 ) a1 ( t , 1 , 2 ) ) + (1 2 ) a1 ( t , 1 , 2 ).

,
, 1 2, a0 ( 0, 1 , 2 )
a1 ( 0, 1 , 2 ) .
. [Winters (1960)]
, . ,
t l ,
xtl = [ a0 ( t ) + la1 ( t ) ] t + l N ,
, N ,
.
. 1, 2, 3 (0 <
j < 1, j = 1, 2, 3), :

163

xt + 1

+ (1 1 )[ a0 ( t ) + a1 ( t ) ],
t + 1 N
xt + 1
t+ 1 = 2
+ (1 2 ) t + 1 N ,
a0 ( t + 1)
a1 ( t + 1) = 3 [ a0 ( t + 1) a0 ( t ) ] + (1 3 ) a1 ( t ).
,
, 1, 2 3,
a0 ( 0), a1 ( 0) 0.
.

.
,
,
.
.
( , ):
a0 ( t + 1) = 1

x = a0 ( ) + + ,

a0 ( ) = a0 ( 1) + a1 ( ),

a0() , a1()
, t , t
.
, t l ,

xtl = a0 ( t ) + la1 ( t ) + t N + l ,
a0 , a1
:
a0 ( ) = a0 ( 1) + a1 ( 1) + 1 x x1 1 ;

[
];
].

a1 ( ) = a1 ( 1) + 1 2 x x1 1

t = N + (1 1 ) 3 x x1 1
, , N ,
, 1, 2 3 .
3.
3.1.
1991:01 2000:08 (%).
Inflation.

1991
6,2
4,8
6,3
63,5
3,0
1,2
0,6
0,5
1,1

1992
245,0
38,3
29,9
21,7
12,0
18,6
11,0
8,6
11,5

1993
25,8
24,7
20,1
18,8
18,1
19,9
22,4
25,8
23,1

1994
17,9
10,8
7,4
8,5
6,9
6,0
5,3
4,6
7,7

1995
17,8
11,0
8,9
8,5
7,9
6,7
5,4
4,6
4,5

164

1996
4,1
2,8
2,8
2,2
1,6
1,2
0,7
-0,2
0,3

1997
2,3
1,5
1,4
1,0
0,9
1,1
0,9
-0,1
-0,3

1998
1,4
0,9
0,6
0,4
0,5
0,1
0,2
3,7
38,4

1999
8,4
4,1
2,8
3,0
2,2
1,9
2,8
1,2
1,5

2000
2,3
1,0
0,6
0,9
1,8
2,6
1,8
1,0

3,5
8,9
12,1

22,9
26,1
25,4

19,5
16,4
12,5

15,0
15,0
16,4

4,7
4,5
3,2

1,2
1,9
1,4

0,2
0,6
1,0

4,5
5,7
11,6

1,4
1,2
1,3

3.2.
3.2.1. M0
1990:12 2000:07. M0.

1990 1991
73
76
82
85
89
100
112
123
133
142
153
79
191

1992
199
216
255
321
369
458
645
830
998
1196
1449
1716

1993
1903
2278
2559
3309
4020
5111
6259
7305
8408
9826
10952
13278

1994
12967
14573
15939
19411
20669
23811
27048
27918
30016
30522
31982
36482

1995
31802
34381
35240
41639
45459
52520
57970
61658
65495
66285
70700
80815

1996
75371
80371
86735
93112
93652
104368
102850
101117
96218
94398
95801
103824

1997
96372
102079
105213
115227
120369
136851
140397
141621
134873
135795
128817
130540

1998
116672
120255
119147
128606
129856
129806
129326
133377
154212
166451
167269
187843

1999
178014
180781
174132
195246
205285
216388
218163
216181
212804
221959
219325
266544

2000
232852
242046
251531
279064
289272
321766
334037

3.2.2.
1992:05 2000:08 (. .).
Denbaza.
1992

466
578
806
1032
1259
1552
1878
2235

1993
2598
3078
3554
4445
5425
6687
7970
9446
10770
12472
14080
16691

1994
17010
18741
20432
24292
26469
30200
34678
36625
39862
41280
43354
48000

1995
44000
47600
49900
57300
64000
73700
81600
86100
89300
90700
95400
103800

1996
100800
106700
113700
120900
118800
129400
131100
129000
125600
124000
125000
130900

1997
123900
130200
136300
145700
148200
167000
171400
174700
169800
170600
163800
164500

1998
151400
152800
152900
161600
163200
163200
161300
161700
175200
187200
191300
207300

1999
202500
205200
205900
224500
241400
258400
260300
264100
259000
269100
272000
307500

2000
297800
309200
318900
349600
365000
397200
417300
427600

3.2.3.
1995:06 2000:07 (. .).
Shirdenmas.
1995

99008
101439
107649
109326
112460
118136
129714

1996
127266
132277
140603
146374
144017
158101
162469
157863
157084
155153
157008
165844

1997
157139
164709
172516
180860
187033
206634
208875
201976
199332
201894
199939
210450

165

1998
187777
185321
189340
191787
193931
193796
194226
186381
208782
227932
238725
263675

1999
261471
270831
289178
310699
353137
362744
364857
369919
364133
384562
393805
439743

2000
430685
449397
490950
513775
558448
602794
654723

3.2.4. 1
1995:06 2000:07 (. .).
M1.
1995

106311
112990
119494
121301
123054
130920
151267

1996
140347
146202
155905
163174
166538
180106
181138
181808
176079
175546
177482
192402

1997
186311
192515
197754
208172
217770
242496
249777
251167
252764
260660
252213
298289

1998
272669
270401
266022
269489
271839
270256
261569
252356
274112
289197
302828
342817

1999
329986
340333
344782
371892
403982
418070
429382
432913
430987
454337
471573
526772

2000
508059
529876
546439
576378
611197
662680
692388

3.2.5. 2
1990:12 2000:07 (. .).
M2.

1990 1991
455,5
462,4
482,9
516,1
550,9
589,0
689,0
728,4
763,6
818,6
866,3
424 958,0

1992
1054
1204
1369
1506
1641
2093
2668
3422
4515
5722
6038
6400

1993
7187
7782
8913
11063
13460
15765
18482
21121
21771
24554
26788
32601

1994
33980
36439
39550
46401
52253
59414
64363
70970
77063
80359
84348
97800

1995
93800
101900
107300
123200
138200
156600
165000
173800
179700
184200
195200
220800

1996
216700
229200
241800
251000
254200
266900
271900
275300
276000
278800
282300
288300

1997
289900
299500
305800
317800
328400
352000
363000
364600
363000
368800
357400
374100

1998
361200
362900
360400
368000
370000
368600
360000
343600
365800
377600
396900
448300

1999
444200
463900
473800
509600
542400
567700
583200
590800
597400
625100
646500
704700

2000
695000
726600
751400
787900
831600
892200
931200

3.2.6.
1992:01 2000:07 (. .).
Shirdengi.
1992

1215

1359

1568

1870

2091

2685

3799

4988
7049

9822

10787
10943

1993
13414
14321
16584
20416
24938
27818
28961
32133
33192
36110
38751
44687

1994
48153
52257
55429
59856
66652
75083
84924
92752
103477
113573
115391
136839

1995
135701
148003
159957
181461
197955
214050
222762
232052
235357
241097
249198
275781

1996
278360
288396
294793
302201
309702
329769
333404
338977
334399
337624
343497
357324

166

1997
361041
371110
377963
391919
398915
423255
430137
432469
434695
445505
435863
457244

1998
429436
436363
436169
444138
448972
447902
437810
434292
520049
521748
552918
628641

1999
637434
658003
675333
717649
755470
786070
791983
812712
823509
866513
909816
984875

2000
1000609
1064973
1090399
1123209
1170283
1242847
1301733

3.3.
3.3.1.
1994:01 2000:04. Export.

1994
4,09
4,46
4,76
4,74
5,83
6,34
5,77
6,11
6,55
6,01
6,31
6,59

1995
5,64
6,15
6,76
6,75
6,86
7,02
6,31
6,34
6,73
7,10
7,73
7,80

1996
5,80
6,80
7,80
7,00
7,50
6,90
7,30
7,00
7,10
8,60
8,10
8,70

1997
7,00
6,70
7,40
6,80
6,70
6,90
7,50
7,00
7,10
7,90
8,30
8,90

1998
6,00
5,90
6,80
6,20
6,10
6,60
6,30
5,80
6,00
6,10
5,90
7,30

1999
4,60
5,00
5,90
6,50
5,10
5,30
6,30
6,10
6,30
6,80
7,40
9,40

2000
6,80
7,90
8,70
8,20

3.3.2.
1994:01 2000:04. Import.

1994
3,55
3,85
4,14
3,64
4,06
4,35
3,76
4,09
4,46
4,33
4,77
5,48

1995
3,70
4,41
4,86
4,28
4,72
5,22
5,21
5,00
5,07
5,46
6,30
6,60

1996
4,80
5,80
6,00
6,10
5,70
5,50
6,10
5,80
5,30
5,70
5,60
6,40

1997
4,80
5,10
5,70
6,20
5,50
5,80
6,50
6,10
6,20
6,90
6,50
8,40

1998
5,90
6,10
6,60
6,30
5,90
5,90
5,60
5,20
3,10
3,10
3,10
3,60

1999
2,80
3,10
3,60
3,40
3,00
3,40
3,40
3,20
3,30
3,50
3,60
4,10

2000
2,60
3,40
3,70
3,50

3.4.
1994:1 2000:2 (. .).
GDP.
I
II
III
IV

1994
88 000
130 000
168 000
225 000

1995
253 000
353 000
443 000
491 000

1996
456 000
509 000
570 000
611 000

1997
539 000
594 000
679 000
667 000

1998
1999
2000
551 000
837 000 1 389 100
626 000 1 042 000 1 557 300
694 000 1 276 000
825 000 1 391 000

3.5.
3.5.1.
1992:01 2000:05 (. .).
Dokhfedbud.

1992
40
74
88
153

1993
756
779
1006
1310

1994
2378
2285
5402
3735

1995
9327
10953
13450
15855

1996
13091
14244
22778
14644

167

1997
14660
19021
22112
26927

1998
18902
19034
22832
22237

1999
27758
26925
34403
44830

2000
64913
73387
83524
92223

112
98
193
199
290
612
444
666

1001
1531
1626
1753
2145
2066
3020
4635

10604
5174
4758
5903
7108
8944
9253
13308

15491
15037
19422
25616
23767
24424
32810
20725

22533
27781
22510
19928
20858
22265
26409
54909

26583
16821
21979
34725
22175
26005
30472
61352

23331
21698
22248
21525
20248
23690
27591
59052

39746
52921
55544
52214
53011
58280
69257
96820

101450

3.5.2.
1992:01 2000:05 (. .).
Dokhnalog.

1992
32
69
76
150
101
100
176
183
287
631
405
648

1993
729
729
914
1382
946
1135
1438
1320
1407
1977
2174
2599

1994
2316
2099
3421
3824
8580
4017
5192
5373
6232
8245
8655
12376

1995
7798
7698
10062
13581
14009
13254
16216
15710
16936
21579
18289
15333

1996
11252
10360
16172
14118
13037
17473
18214
17241
17617
18189
22756
42294

1997
11460
14667
19487
24375
23683
13522
16505
15935
17409
20352
20811
45341

1998
15793
15412
18745
18882
19049
17423
18379
15520
15421
19285
23928
38147

1999
24579
24060
31444
39246
33585
42333
47658
42869
40239
49602
57409
72001

2000
56841
65851
73470
80890
88130

3.6.
1990:12 2000:07.
Intprom.
1990

95,44

1991
94,42
93,03
91,35
89,58
88,24
87,59
87,50
87,40
86,74
85,36
83,52
81,77

1992
80,53
79,78
79,10
78,02
76,27
74,03
71,92
70,34
69,31
68,71
68,61
69,00

1993
69,57
69,78
69,42
68,64
67,50
65,92
64,01
62,06
60,20
58,12
55,54
52,75

1994
50,42
48,95
48,06
47,32
46,60
46,13
45,97
46,05
46,31
46,75
47,23
47,48

1995
47,26
46,61
45,89
45,46
45,48
45,79
45,97
45,73
45,05
44,16
43,35
42,80

1996
42,48
42,27
42,08
41,85
41,61
41,42
41,29
41,21
41,08
40,83
40,51
40,30

1997
40,34
40,55
40,77
40,97
41,24
41,67
42,19
42,62
42,82
42,82
42,67
42,35

1998
41,90
41,49
41,17
40,80
40,18
39,32
38,48
38,00
38,10
38,73
39,60
40,38

1999
40,96
41,41
41,96
42,71
43,59
44,34
44,81
44,94
44,87
44,85
45,16
45,73

2000
46,26
46,48
46,48
46,49
46,66
47,06
47,68

3.7. -1
( ) 01/09/1995 31/10/2000.
RTS1.

05.01
06.01
08.01
09.01
10.01
11.01
12.01
13.01

1996

87,35
90,78
91,19
89,99

1997
213,38
219,86
227,73
231,48
247,69

1998 1999
411,61
59,7
410,04 61,27
382,06
372,46
62,93
61,35
319,02 60,17
250,55 341,76 55,64

2000
179,01 06.07
185,52 07.07
08.07
09.07
192,25 10.07
182,33 11.07
189,2 12.07
195,86 13.07

1995

168

1996

190,15
181,57
168,79
156,08
159,9

1997
504,55
489,92
503,97
502,48
493,34

1998
145,01
138,47
134,81
136,19
144,02

1999 2000
146,61 182,66
144,27 184,96
147,37
144
185,06
180,48
141,92 185,52
157,2 137,26 187,7


14.01
15.01
16.01
17.01
18.01
19.01
20.01
21.01
22.01
23.01
24.01
25.01
26.01
27.01
28.01
29.01
30.01
31.01
01.02
02.02
03.02
04.02
05.02
06.02
07.02
08.02
09.02
10.02
11.02
12.02
13.02
14.02
15.02
16.02
17.02
18.02
19.02
20.02
21.02
22.02
23.02
24.02
25.02
26.02
27.02
28.02
29.02
01.03
02.03
03.03
04.03
05.03
06.03
07.03
09.03
10.03

1996
90,73
87,57
81,65
83,59
85,04

85,27
82,83
81,74
77,97
80,2

80,36
80,95
80,71
81,19
83,56

83,56
83,56
80,81
80,88
80,42

78,79
77,69
77,84
77,86
77,34

76,15
74,53
72,23
70,84
74,4

73,7
72,79
72,47
71,31
70,23

69,22
70,15
70,1
69,94

1997
243,03
243,46
243,31
251,07

262,34
279,11
278,62
288,49
291,98

277,4
268,37
276,7
275,49
274,68

276,79
279,55
280,33
286,47
292,67

304,9
312,6
306,79
310,63
313,5

320,34
329,83
347,11
347,2
331,82

329,48
327,35
326,29
337,38
329,97

322,31
320,33
311,1
314,07
316,89

1998 1999 2000 1995 1996


338,42 56,94 202,71 14.07
329,89
55,4
15.07
174,59
334,54
16.07
173,92
197,91 17.07
164,04
55,71 194,58 18.07
161,38
339,47
56,1 183,63 19.07
163,15
338,32 56,99 192,16 20.07
325,34 57,59 202,14 21.07
308,8 55,68
22.07
159,51
294,71
55,6
23.07
155,57
194,51 24.07
146,42
183,76 25.07
147,94
280,59 55,55 182,3 26.07
147,82
284,39 55,03 188,47 27.07
276,88 54,49 181,84 28.07
265,93 55,12
29.07
153,89
284,35
30.07
152,24
172,31 31.07
152,15
55,09 171,29 01.08
158,05
300,61 55,14 168,92 02.08
164,57
291,31
55,3 173,23 03.08
284,8 55,96 178,39 04.08
299,58 55,69
05.08
172,02
304,04
06.08
166,11
178,13 07.08
166,11
56,6 186,25 08.08
168,51
307,71 58,94 193,24 09.08
170,68
302,68 62,98 189,33 10.08
311,6 67,53 187,61 11.08
302,53 65,16
12.08
172,59
302,24
13.08
177,11
187,29 14.08
182,77
64,01 179,18 15.08
189,39
303,5
65,6 180,26 16.08
187,67
309,65 65,79 182,26 17.08
303,02 66,52 179,82 18.08
305,24 70,22
19.08
183,34
305,81
20.08
182,02
176,63 21.08
175,88
75,4 178,37 22.08
180,87
311,93 73,93 181,13 23.08
182,07
307,13
75,5 182,88 24.08
306,74 71,36 174,21 25.08
309,21 70,03
26.08
181,95
309,56
27.08
183,39
164,32 28.08
180,38
170,93 29.08
180,96
73,5 180,47 30.08
182,64
323,91 76,07 184,8 31.08
321,44 73,33 189,93 01.09
100
334,18 70,93
02.09
185,52
328,12 72,61
03.09
183,9
339,66
190,87 04.09
99,8
185
197,33 05.09 100,42 182,83
73,71 211,25 06.09 99,74 175,23
354,56 76,52 224,82 07.09 101,3

169

1997
475,54
469,7
452,85
462,37
473,12

468,66
472,19
492,6
497,82
509,47

516,63
517,54
508,12
506,45
510,2

518,31
526,2
533,86
559,86
569,23

1998
183,65
190,56
181,32
193,35

193,02
183,95
171,73
159,86
157,74

143,46
147,28
147,96
150,17
149,65

145,64
147,21
141,68
135,88
132,86

120,91
554,2 109,9
557,99 108,19
552,62 101,17
555,23
115
563,14

544,69
536,31
527,72
538,46
525,25

109,43
99,58
90,19
86,57
81,76

86,4
521,04 88,5
516,23 76,26
500 63,2
495,73 66,77
474,8

453,22
471,78
501,79
487,78
488,46

65,61
65,66
65,63
61,43
63,13

63,28

1999 2000
141,31 188,32
139,13
137,83
189,28
187,67
133,65 187,63
130,67 189,34
127,13 189,52
128,85
127,34
189,63
188,26
126,64 187,47
125,18 187,63
123,66 191,3
114,54
116,49
194,09
200,3
115,77 202,69
114,47 202,99
105,46 210,64
101,34
103,15
211,89
212,99
101,72 217,38
102,42 216,26
102,78 222,89
104,87
103,11
228,89
232,05
103,96 228,47
104,59 224,57
104,87 223,81
105,83
109,09
222,59
227,69
116,85 227,97
115,75 238,06
115,44 240,66
111,12
107,73
239,33
245,49
103,8 240,01
102,5 239,99
102,95 237,15
101,6
104,13
236,74
237,77
104,91 237,85
104,69 232,97


11.03
12.03
13.03
14.03
15.03
16.03
17.03
18.03
19.03
20.03
21.03
22.03
23.03
24.03
25.03
26.03
27.03
28.03
29.03
30.03
31.03
01.04
02.04
03.04
04.04
05.04
06.04
07.04
08.04
09.04
10.04
11.04
12.04
13.04
14.04
15.04
16.04
17.04
18.04
19.04
20.04
21.04
22.04
23.04
24.04
25.04
26.04
27.04
28.04
29.04
30.04
03.05
04.05
05.05
06.05
07.05

1996
69,93
69,57
67,7
68,46
67,92

66,69
67,28
68,91
71,95
74,73

76,23
77,93
75,91
75,16
75,63

77,56
80,58
84,67
83,95
81,5

83,02
84,25
83,9
85,73
86,57

87,43
93,19
95,08
92,3
89,65

91,41
94,08
98,7
108,63
105,15

1997
327,37
331,64
334,48
329,37

330,38
330,01
320,23
313,35
309,41

310,44
303,33
303,71
298,68
297,46

301,3
298,52
297,83
295,24
286,03

282,23
288,63
303,34
298,24
294,94

286,07
291,41
298,81
295,08
299,06

295,61
291,32
290,22
290,66
297,6
301,53
305,53
321,19

104,28
103,98

103,52
105,81
109,42

334,59
339,04
338,7

1998 1999 2000 1995 1996


357,09 82,24
08.09 101,3
350,31 82,98
09.09
175,97
350,2
209,67 10.09
171,58
223,07 11.09 100,84 166,73
83,84 222,4 12.09 100,24 166,06
349,35 86,63 222,48 13.09 99,16 171,72
332,15 90,02 218,88 14.09
98,8
325,06 84,53
15.09
99,3
331,61
85,7
16.09
173,53
335,78
215,85 17.09
174,28
212,57 18.09 99,84 174,32
81,98 222,4 19.09 99,54 174,26
342,85 80,96 231,65 20.09 99,19 173,08
344,75 76,82 243,92 21.09 96,27
341,89 80,65
22.09 94,03
335,03 79,94
23.09
167,48
341,48
239,86 24.09
157,16
229,88 25.09 91,16 159,7
79,85 232,45 26.09 87,98 164,24
331,28 81,18 223,92 27.09 88,17 162,52
325,5 80,36 231,88 28.09 89,07
321,91
78,7
29.09 86,09
323,13 79,31
30.09
165,93
313,48
226,22 01.10
165,57
228,17 02.10
83 163,9
79,24 214,59 03.10 78,39 163,45
316,42 75,51 222,43 04.10 72,06 161,38
316,33 72,98 221,27 05.10 75,03
312,52
70,9
06.10 74,16
306,39 66,88
07.10
163,51
308,96
229,14 08.10
169,9
222,32 09.10 77,27 181,64
68,59 224,92 10.10 76,42 184,67
310,07 69,15 222,04 11.10
75,8 181,75
308,85 73,57 220,67 12.10 76,48
313,12 75,68
13.10 77,48
319,83 79,59
14.10
186,37
312,69
203,38 15.10
186,14
202,95 16.10
78,1 182,36
81,1 204,63 17.10 78,66 177,81
312,84 76,58 208,73 18.10
79 180,41
314,26 76,91 213,29 19.10 79,26
317,48 80,33
20.10 79,35
322,1 82,83
21.10
184,02
326,16
206,19 22.10
183,72
309,63
213,05 23.10 79,16 187,56
304,13 83,92 221,17 24.10 79,08 185,28
306,21 83,72
218 25.10 79,14 179,49
312,37 81,47 226,87 26.10 78,11
87,16
27.10 75,86
91,83
28.10
176,52
227,46 29.10
175,7
225,38 30.10 74,88 178,78
315,21 102,69 225,38 31.10 73,56 177,99
310,61 104,67 228,97 01.11
72,7 178,64
304,74 100,97
02.11 68,09

170

1997
497,53
505,84
504,77
489,44
483,75

1998
62,61
61,63
64,6
62,31

63,88
486,9 62,03
490,47 58,86
494,48 51,7
489,69 50,12
492,89

496,4
501,26
496,92
495,15
491,42

492,86
498,42
503,96
525,73
552,14

571,66
559,51
552,88
533,62
527,78

535,65
544,89
539,56
537,07
532,9

526,61
538,01
550,44
528,5
518,29

485,16
392,86
454,34
427,2
422,26

47,81
49,65
47,65
48,31
47,08

46,24
45,86
43,81
41,18
38,81

38,53
41,05
42,94
41,35
42,55

44,75
47,67
51,89
58,73
55,32

55,91
56,68
61,94
60,96
60,42

59,54
56,89
53,54
55,39
57,54

58,38

1999 2000
101,65 227,62
101,17
103,84
220,44
220,71
97,13 213,07
95,41 215,59
92,77 210,54
87,53
84,58
198,61
200,19
80,54 193,19
76,15 194,37
80,14 179,98
84,94
84,2
194,18
192,99
87,67 199,88
86,51 197,40
85,15 199,08
83,12
84,5
203,83
212,91
86,65 204,50
88,42 197,97
88,16 197,20
89,34
93,31
193,61
192,99
97,19 187,22
96,25 187,33
96,03 184,24
100,31
95,1
194,88
196,10
94,19 183,98
96,46 193,33
98,39 198,88
95,85
98,2
196,85
196,52
97,11 191,11
97,93 188,86
97,02 190,75
97,63
97,8
187,98
189,00
97,25
97,82


08.05
10.05
11.05
12.05
13.05
14.05
15.05
16.05
17.05
18.05
19.05
20.05
21.05
22.05
23.05
24.05
25.05
26.05
27.05
28.05
29.05
30.05
31.05
01.06
02.06
03.06
04.06
05.06
06.06
07.06
08.06
09.06
10.06
11.06
13.06
14.06
15.06
16.06
17.06
18.06
19.06
20.06
21.06
22.06
23.06
24.06
25.06
26.06
27.06
28.06
29.06
30.06
01.07
02.07
03.07
04.07

1996
111,03

1997 1998 1999


337,53 302,82

110,66
116,84
112,82
109,23
109,97
109,34

360,72
353,99
349,75
357
362,52

110,88
113,67
116,18
121,18
131,67

144,76
164,49
149,55
141,04
146,91

149,15
144,69
136,86
138,12
140,73

150,4
151,63
148,56
146,86

170,13
179
171,28
171,7
180,66

195,64
205,03
213,82
227,7
204,13

198,63
209,36
227,79

366,22
359,37
365,96
359,04
356,27

356,52
355,3
351,4
353,41
355,64

355,46
355,35
359,76
360,54
360,94

290,72
279,19
263,66
258,1

227,61
236,58
233,15
230,23
225,41

97,11
81,39
83,58
82,58

92,13
99,15
98,23
98,49
98,16

101,6
213,44 98,62
209,33
99,9
187,23 100,32
198,74
99,1
191,29
97,64
171,71 96,76
192,75 94,18
209,07
99,7
208,61 100,27
207,65

102,72
205,31 106,4
365,64 196,45 107,47
365,26 184,26 110,66
363,96 178,13 113,86
364,78

369
369,17
377,69
388,99
390,82

400,59
412,32
433,12
421,68
421,46

418,63
423,87
447,94
481,13
495,57

165,11
169,02
181,99
177,24
174,65

112,77
117,72
117,57
121,13

129,28
172,37 129,83
172,61 125,5
178,21 126,12
172,57 123,06
163,99
122,8
153,97 123,9
151,35 125,65
145,72 131,48
144,21 133,67
151,33

2000
03.11
227,15 04.11
222,93 05.11
219,52 06.11
08.11
09.11
215,27 10.11
220,01 11.11
209,8 12.11
204,62 13.11
190,5 14.11
15.11
16.11
184,78 17.11
171,82 18.11
167,05 19.11
177,59 20.11
185,53 21.11
22.11
23.11
184,11 24.11
188,58 25.11
190,21 26.11
194,75 27.11
202,25 28.11
29.11
30.11
200,95 01.12
194,8 02.12
193,92 03.12
199,64 04.12
200,21 05.12
06.12
07.12
195,31 08.12
191,25 09.12
193,17 10.12
194,63 11.12
13.12
14.12
190,58 15.12
184,13 16.12
179,3 17.12
180,9 18.12
182,86 19.12
20.12
21.12
180,08 22.12
172,68 23.12
170,17 24.12
163,02 25.12
171,4 26.12
27.12
28.12
176,38 29.12
178,66 30.12

1995 1996
69,98
70,53 180,54
183,95
184,35
71,27
71,76
71,54 186,07
188,74
190,2
72,18 190,74
71,87 187,75
71,52 188,28
70,98
71,28
190,65
190,88
72,59 192,03
72,19 192,82
73,75 191,23
73,69
72,56
191,94
190,49
72,35 187,14
72,42 188,42
71,12 187,9
70,47
70,95
189,73
190,51
71,9 190,79
73,91 190,16
74,86 185,25
76,14
76,45
76,37 185,14
184,92
186,02
78,04
82,04 186,56
82,04 186,03
186,24
184,99
81,04 184,35
83,2 185,27
83,84 185,14
81,01
80,37
186,95
189,08
81,49 189,85
81,85 189,41
82,45 193,64
82,92

171

197,94

1997
440,82
441,61
440,97
438,34

1998
59,36
61,07
60,38
61,13

402,1
385,69
350,01
344,8
342,07

60,67
60,76
60,53
59,32

339,39
360,31
352,1
360,73
382,59

368,47
347,04
356,81
340,03
328,49

322,91
320,38
340,22
361,79
382,42

59,55
60,02
59,76
60,04
63,36

70,13
70,85
69,15
72
71,57

71,46
67,74
68,07
65,38
64
63,32

388,13
387,34
369,16
339,25

60,44
58,71
60,95
58,67

361,24
373,91
383,6
379,86
354,41

58,79
60,95
60,42
59,24

355,91
371,85
370,41
378,92
380,11

60,25
60,16
60,44
60,11
59,94

59,95
389,02 59,68
396,41 59,39

1999 2000
95,5
96,48
99,83

106,01
110,98
113,03
111,56

112,87
115,32
116,08
113,9
118,26

120,92
124,91
119,5
120,06
119,75

116,64
112,36
113,41
114,75
118,17

118,15
113,14
110,45
110,36
107,57

109,03
118,03
118,46
120,21

132,17
142,67
146,06
147,29
150,71

156,61
151,73
147,28
150,01

1996
05.07 216,39

1997

1998

1999 2000
139,03 175,98 31.12

1995

1996
200,5

1997 1998
396,86 58,93

1999 2000
177,71

3.8.
01/07/1992 01/11/2000 (. .).
Rubkurs.

01.01
05.01
06.01
07.01
09.01
10.01
11.01
12.01
13.01
14.01
15.01
16.01
17.01
18.01
19.01
20.01
21.01
22.01
23.01
24.01
25.01
26.01
27.01
28.01
29.01
30.01
31.01
01.02
02.02
03.02
04.02
05.02
06.02
07.02
08.02
09.02
10.02
11.02
12.02
13.02
14.02
15.02
16.02
17.02
18.02
19.02
20.02
21.02
22.02
23.02
24.02
25.02
26.02
27.02
28.02
29.02
01.03
02.03
03.03
04.03
05.03
06.03
07.03
08.03
10.03
11.03
12.03
13.03
14.03
15.03
16.03

1993

1994

1995

1996
4661,00

417,00

3623,00

4668,00
3705,00
4670,00
423,00

3757,00
1356,00

442,00
4677,00
3861,00
1504,00
474,50

4683,00
3916,00

1553,00
493,00
4700,00
3988,00
1544,00
568,00

4718,00
4004,00

1542,00
572,00
4732,00
4048,00
1560,00
572,00

4736,00
4079,00

1560,00
572,00
4738,00
4133,00
1569,00
561,00

4738,00
4170,00

1568,00
560,00
4751,00
4231,00
1567,00
559,00

4760,00
4293,00

1567,00
559,00
4770,00
4357,00
1585,00
576,00

4783,00
4407,00

1657,00
593,00
4815,00
4473,00 4818,00
1668,00
649,00

4531,00
1693,00

648,00
4823,00
4603,00 4825,00
4639,00

650,00
1706,00
653,00

4828,00
4723,00 4834,00
1716,00

1997 1998 1999 2000 1992


5560,00 5,96 20,65 27,00 01.07 125,26
02.07
5570,00 5,96 20,65 26,90 03.07 134,80
5573,00 5,97 21,91 27,23 04.07
5580,00 5,97
05.07
5585,00 5,97
06.07
5590,00
22,40 27,73 07.07
23,06 28,44 08.07 130,50
5,98 22,58 28,85 09.07
5593,00 5,98 21,80 28,65 10.07 130,30
5596,00 5,99 21,45 28,57 11.07
5599,00 6,00 21,88
12.07
5602,00 6,00
13.07
5605,00
28,57 14.07
22,37 28,57 15.07 130,20
6,00 22,98 28,52 16.07
5607,00 6,00 22,39 28,51 17.07 135,40
5610,00 6,01 22,73 28,44 18.07
5613,00 6,02 22,75
19.07
5615,00 6,02
20.07
5618,00
28,44 21.07
22,95 28,49 22.07 151,10
6,02 22,82 28,55 23.07
5621,00 6,02 22,67 28,55 24.07 155,70
5624,00 6,02 22,77 28,55 25.07
5627,00 6,03 22,60
26.07
5629,00 6,03
27.07
5632,00
28,55 28.07
22,77 28,55 29.07 161,10
6,03 22,92 28,64 30.07
5634,00 6,03 23,12 28,77 31.07 161,20
5637,00 6,03 23,14 28,77 01.08
5640,00 6,04 23,12
02.08
5640,00 6,04
03.08
5642,00
28,76 04.08
23,05 28,72 05.08 161,40
6,04 22,90 28,69 06.08
5644,50 6,04 22,76 28,66 07.08 161,50
5646,00 6,05 22,79 28,77 08.08
5650,00 6,05 22,89
09.08
5652,50 6,05
10.08
5654,50
28,77 11.08
22,84 28,72 12.08 161,70
6,05 23,11 28,71 13.08
5658,00 6,05 22,87 28,79 14.08 162,50
5660,00 6,06 22,92 28,74 15.08
5662,00 6,06 22,84
16.08
5665,00 6,06
17.08
5667,00
28,74 18.08
22,84 28,87 19.08 162,50
6,06 22,80 28,83 20.08
5670,00 6,07 22,82 28,80 21.08 162,60
5672,00 6,07 22,84 28,70 22.08
5674,00 6,07 22,86
23.08
5676,00 6,07
24.08
28,66 25.08
5679,00
28,65 26.08 168,10
22,89 28,64 27.08
6,07 22,89 28,60 28.08 205,00
5683,00 6,08 22,93 28,59 29.08
5686,00 6,08 23,01
30.08
5689,00 6,08 23,09
31.08
5691,50 6,08
28,58 01.09
5695,00
28,55 02.09 210,50
23,03 28,53 03.09
6,08 22,98 28,51 04.09 210,50
5697,00 6,08 23,04
05.09
5699,00 6,09 23,12
06.09
5700,00 6,09
28,50 07.09
5703,00
28,49 08.09
23,26 28,46 09.09 207,90

172

1993

1994
1989,00

1059,00

1998,00
1058,00
2011,00
1050,00

2020,00
1036,00
2022,00
1025,00

2028,00
1010,00
2034,00
1008,00

994,00 2052,00
2052,00
989,50

2060,00
987,00
2081,00
986,00

2087,00
984,50
2108,00
984,50

2117,00
984,50
2141,00
987,00

2161,00
986,00
2156,00
985,00

2153,00
992,50
2204,00
990,00

2222,00
995,00
2253,00

1995

1996

1997
5782,00
5119,00 5782,00
5124,00 5782,00
5782,00
4553,00 5125,00 5782,00
5125,00
4576,00
5783,00
5129,00 5784,00
5131,00 5784,00
5133,00 5784,00
4530,00 5131,00 5784,00
5131,00
4565,00
5784,00
5135,00 5784,00
5136,00 5785,00
5140,00 5787,00
4546,00 5150,00 5788,00
5156,00
4530,00
5789,00
5165,00 5791,00
5169,00 5792,00
5175,00 5794,00
4465,00 5180,00 5795,00
5182,00
4415,00
5796,00
5188,00 5797,00
5191,00 5798,00
5197,00 5800,00
4405,00 5209,00 5801,00
5224,00
4415,00
5801,00
5230,00 5802,00
5235,00 5803,00
5247,00 5804,50
4405,00 5254,00 5806,00
5261,00
4405,00
5808,00
5271,00 5808,00
5276,00 5809,00
5280,00 5809,00
4406,00 5285,00 5811,00
5290,00
4408,00
5813,00
5302,00 5814,00
5305,00 5815,00
5305,00 5817,00
5311,00 5819,00
4428,00 5318,00
4428,00
5820,00
5327,00 5821,00
5332,00 5824,00
5348,00 5826,00
4435,00 5348,00 5830,00
5345,00
4447,00
5832,00
5345,00 5833,50
5348,00 5835,00
5351,00 5837,00
4448,00 5353,00 5838,00
5356,00
4479,00
5839,50

1998 1999
6,20 24,21
6,20 24,21
6,20 24,29
6,21

6,21
6,21
6,21
6,21
6,21

6,21
6,21
6,21
6,22
6,22

6,22
6,22
6,22
6,22
6,23

6,23
6,23
6,24
6,24
6,24

6,24
6,25
6,25
6,26
6,26

6,26
6,27
6,27
6,27
6,29

6,43
6,89
6,99
7,00
7,01

7,14
7,86
7,86
7,86
7,91

24,29
24,48
24,46
24,44
24,42

24,40
24,38
24,36
24,34
24,32

24,30
24,28
24,26
24,24
24,23

24,22
24,22
24,22
24,21
24,19

24,19
24,22
24,30
24,40
24,55

25,29
25,01
24,96
24,90
24,88

24,86
24,76
24,62
24,60
24,82

24,80
24,76
24,75
24,75
24,75
24,75

9,33
10,88
12,82
13,46
16,99

24,81
25,22
25,87
25,82

25,82
18,90 25,79
20,83 25,73

2000
28,05

28,03
28,03
28,03
28,01
27,99

27,97
27,92
27,90
27,87
27,85

27,83
27,81
27,75
27,66
27,64

27,64
27,64
27,64
27,70
27,80

27,82
27,85
27,83
27,80
27,77

27,73
27,73
27,70
27,70
27,69

27,69
27,74
27,73
27,73
27,73

27,71
27,71
27,71
27,70
27,70

27,70
27,75
27,75
27,75
27,75

27,75
27,84
27,88
27,84
27,86

1993
1994
1995
17.03 662,00
4767,00
18.03
1724,00
19.03 667,00
20.03
21.03
22.03
4824,00
23.03
1736,00
24.03 684,00
4856,00
25.03
1742,00
26.03 684,00
27.03
28.03
29.03
4897,00
30.03
1753,00
31.03 684,00
4897,00
01.04
1753,00
02.04 692,00
03.04
04.04
05.04
4920,00
06.04
1772,00
07.04 712,00
4957,00
08.04
1772,00
09.04 740,00
10.04
11.04
12.04
4991,00
13.04
1785,00
14.04 766,00
5029,00
15.04
1787,00
16.04 779,00
17.04
18.04
19.04
5064,00
20.04
1792,00
21.04 786,00
5051,00
22.04
1810,00
23.04 795,00
24.04
25.04
26.04
5081,00
27.04
1820,00
28.04 812,00
5100,00
29.04
1820,00
30.04 823,00
01.05
04.05
05.05
5130,00
06.05
1854,00
07.05 829,00
08.05
09.05
11.05
1859,00
12.05 859,00
5106,00
13.05
1869,00
14.05
15.05 886,00
16.05
17.05
5026,00
18.05
1877,00
19.05 934,00
5043,00
20.05
1881,00
21.05 940,00
22.05
23.05
24.05
5039,00
25.05
1895,00
26.05 960,00
5038,00
27.05
1901,00
28.05 994,00
29.05
30.05
31.05
4995,00
01.06
1916,00
02.06 1050,00
4958,00
03.06
1918,00
04.06 1072,00
05.06
06.06
07.06
4900,00

1996

1997

5705,50
5708,00
4838,00 5710,00
5712,00
4844,00 5714,00

5717,00
5719,00
4850,00 5721,00
5723,50
4854,00 5726,00

1998
6,09
6,09
6,09
6,09
6,10

6,10
6,10
6,10
6,10
6,10

6,11
5729,00
5731,00 6,11
4863,00 5732,00 6,11
5735,00 6,11
4873,00 5737,00

5739,00
5741,00
4894,00 5743,00
5744,00
4901,00 5746,00

5748,00
5750,00
4909,00 5752,00
5753,00
4915,00 5753,00

5755,00
5756,00
4925,00 5757,00
5758,00
4932,00 5759,00

6,12
6,12
6,12
6,12
6,12

6,12
6,13
6,13
6,13
6,13

6,13
6,13
6,13
6,13
6,13

6,13
5760,00 6,13
5762,00 6,13
4940,00 5764,00 6,13

5764,00
4960,00 5766,00
5768,00
5769,00

6,14
6,14
6,14
6,14

5771,00
5771,00
4971,00 5771,00
5771,00
4970,00 5771,00
4982,00

6,14
6,14
6,14
6,15

4988,00
4991,00
4994,00
4998,00
5001,00

5006,00
5008,00
5011,00
5014,00
5018,00

5024,00
5027,00
5031,00
5037,00

5771,00
5771,00
5771,00
5771,00
5772,00

5773,50
5773,50
5774,00
5773,00
5773,00

5774,00
5775,00
5776,00
5776,00
5777,00

6,15
6,16
6,16
6,16
6,16

6,16
6,16
6,16
6,17
6,16

6,17
6,17
6,17
6,17
6,17

1999 2000
23,35 28,43 10.09
23,41 28,41 11.09
23,65
12.09
23,68
13.09
28,39 14.09
28,38 15.09
23,92 28,36 16.09
24,29 28,34 17.09
24,22 28,33 18.09
24,18
19.09
24,19
20.09
28,31 21.09
28,29 22.09
24,20 28,27 23.09
24,18 28,46 24.09
24,16 28,60 25.09
24,29
26.09
24,83
27.09
28,78 28.09
28,76 29.09
25,11 28,72 30.09
25,10 28,68 01.10
25,12 28,66 02.10
25,09
03.10
25,03
04.10
28,63 05.10
28,59 06.10
24,96 28,56 07.10
24,90 28,53 08.10
24,85 28,50 09.10
24,80
10.10
24,77
11.10
28,60 12.10
28,78 13.10
24,78 28,62 14.10
24,77 28,59 15.10
24,72 28,55 16.10
24,67
17.10
24,62
18.10
28,53 19.10
28,53 20.10
24,53 28,46 21.10
24,40 28,43 22.10
24,31 28,40 23.10
24,23
24.10
24,16
25.10
28,38 26.10
28,36 27.10
24,09 28,36 28.10
24,07 28,36 29.10
24,04
30.10
31.10
28,34 01.11
24,00 28,32 02.11
23,99 28,30 03.11
24,69
04.11
24,92
05.11
28,28 06.11
28,27 07.11
24,86 28,27 09.11
24,79 28,33 10.11
24,75 28,31 11.11
24,70
12.11
24,65
13.11
28,30 14.11
28,29 15.11
24,60 28,28 16.11
24,55 28,28 17.11
24,50 28,27 18.11
24,46
19.11
24,44
20.11
28,27 21.11
28,25 22.11
24,44 28,23 23.11
24,43 28,25 24.11
24,40 28,34 25.11
24,38
26.11
24,36
27.11
28,34 28.11
28,32 29.11

1992

1993
998,00

203,00

1006,00
204,00
1010,00
205,50

1036,00
241,00
1299,00
248,00

1201,00
254,00
1169,00
309,00

1173,00
342,00
1189,00
334,00

1194,00
334,00
338,00

1193,00
368,00
1193,00
368,00

1189,00
393,00
1186,00
398,00

1179,00
396,00
1177,00
399,00

1175,00
403,00
1176,00
419,00

1194,00
448,00
1203,00
448,00

1208,00
450,00
1214,00
447,00

173

1994

1995

1996
5359,00
5361,00
5364,00
4469,00 5367,00
2271,00
5370,00
4467,00
2301,00
5373,00
5376,00
5379,00
4468,00 5382,00
2335,00
5384,00
4467,00
2460,00
5389,00
5391,00
5392,00
4491,00 5394,00
2476,00
5396,00
4508,00
2596,00
5402,00
5412,00
5415,00
4490,00 5417,00
2668,00
5419,00
4493,00
2833,00
5421,00
5424,00
5425,00
4498,00 5426,00
3926,00
5429,00
4509,00
2994,00
5431,00
5434,00
5434,00
4506,00 5434,00
2996,00
5435,00
4506,00
3015,00
5438,00
5440,00
5442,00
4504,00 5444,00
3036,00
5445,00
4504,00
3055,00
5447,00
5453,00
5455,00
4504,00 5456,00
3085,00
5458,00
4514,00
3099,00
5460,00
5461,00
5470,00
3102,00
4522,00
3102,00
5474,00
5475,00
5476,00
5478,00
4532,00 5481,00
3131,00
5484,00
4537,00
3157,00
5486,00
5487,00
5491,00
4559,00 5492,00
3187,00
5494,00
4566,00
3201,00
5497,00
5500,00
5503,00
4578,00 5508,00

1997
1998 1999
5840,50 15,77 25,71
5841,50 12,87 25,70
5843,00 11,43
5846,00
25,54
8,67 25,53
5847,00 9,61 25,48
5848,00 12,45 25,40
5849,50 14,60 25,41
5851,50 16,38
5853,50
25,40
16,38 25,34
5855,00 16,22 25,31
5856,50 15,84 25,29
5858,50 15,61 25,28
5860,00 15,88
5861,00
25,27
15,99 25,22
5860,00 16,06 25,08
5861,00 15,91 25,05
5862,50 15,99 25,20
5864,50 15,97
5866,00
25,49
15,79 25,90
5868,00 15,80 25,78
5869,00 15,81 25,72
5870,50 15,82 25,76
5872,00 15,84
5872,00
25,76
15,79 25,74
5874,00 15,05 25,70
5876,00 13,00 25,67
5877,00 13,56 25,80
5878,50 15,51
5878,00
25,88
17,09 25,83
5878,00 16,93 25,83
5878,00 16,83 25,79
5879,00 16,76 25,76
5880,00 16,69
5881,00
25,71
16,69 25,68
5882,00 16,67 25,80
5883,00 16,33 26,09
5885,00 16,06 26,05
5887,00 16,01
5887,00
26,07
15,82 26,37
5887,00 15,57 26,26
5889,00 15,54 26,24
5890,00 15,24 26,23
5892,00 15,01

5898,00
5899,00
5900,50
5900,50
5901,50

5903,00
5905,00
5906,50
5908,50
5910,50

5912,00
5914,00
5916,00
5917,00
5919,00

26,19
15,56 26,11
15,58 26,11
15,93 26,31
16,41

16,80
16,99
16,98
17,20
16,96

17,17
17,45
17,47
17,45
17,88

26,24
26,24
26,32
26,41
26,39

26,49
26,47
26,43
26,43
26,43

2000

27,84
27,82
27,82
27,78
27,73

27,73
27,77
27,82
27,82
27,79

27,85
27,82
27,81
27,75
27,75

27,76
27,76
27,81
27,86
27,88

27,88
27,94
27,86
27,91
27,90

27,83
27,80
27,87
27,93
27,93

27,93
27,91
27,87
27,92
27,89

27,83
27,82


08.06
09.06
10.06
11.06
12.06
14.06
15.06
16.06
17.06
18.06
19.06
20.06
21.06
22.06
23.06
24.06
25.06
26.06
27.06
28.06
29.06
30.06

1993

1994
1940,00

1104,00

1995
4911,00

1952,00

4836,00
1952,00
1116,00

4726,00
1959,00

1090,00

4546,00
1971,00
1079,00

4590,00
1977,00

1066,00

4516,00
1985,00
1060,00

4538,00

1996
5046,00

1997

1998 1999 2000 1992


1993
24,34 28,30 30.11
6,17 24,33 28,27 01.12
1231,00
5778,00 6,17 24,31 28,25 02.12 417,00
5051,00 5779,50 6,17 24,29
03.12
1230,00
5051,00 5781,00 6,17 24,27
04.12 398,00
5053,00 5782,00
28,43 05.12
28,33 06.12
5053,00
6,18 24,25 28,29 07.12
5782,00 6,18 24,23 28,26 08.12
1229,00
5057,00 5782,00 6,18 24,23
09.12 419,00
5059,00 5782,00 6,19 24,23
10.12
1229,00
5058,00 5782,00 6,19
28,24 11.12 419,00
5061,00 5783,00
28,23 12.12
5063,00
24,23 28,22 14.12
6,19 24,23 28,19 15.12
1237,00
5783,00 6,19 24,23 28,17 16.12 418,00
5068,00 5782,00 6,19 24,22
17.12
1247,00
5072,00 5782,00 6,19 24,22
18.12 416,00
5083,00 5782,00 6,20
28,13 19.12
5097,00 5782,00
28,11 20.12
5108,00
24,22 28,09 21.12
6,20 24,22 28,07 22.12
1250,00
23.12 415,00
24.12
1250,00
25.12 414,50
26.12
27.12
28.12
29.12
1247,00
30.12 414,50
31.12

1994
3232,00

1995

1996
5511,00

1997

4580,00
3249,00
5513,00
5515,00
5517,00
4583,00 5519,00
3275,00
5521,00
4597,00
3306,00
5523,00
5525,00
5530,00
3338,00
4628,00 5532,00
3383,00
5535,00
5537,00
5540,00
5543,00
4639,00 5546,00
3427,00
5550,00
4643,00
3454,00
5550,00
5553,00
5555,00
4648,00 5555,00
3512,00
5555,00
4640,00
3550,00
5560,00

5921,00
5925,00
5927,00
5930,00
5933,00

5936,00
5935,00
5935,00
5936,00

5939,00
5941,00
5943,00
5943,00
5945,00

5947,00
5950,00
5955,00
5955,00
5958,00

1998
17,88
18,25
18,56
18,83
19,57

20,40
20,43
20,08
19,76
20,10

1999
26,42
26,53
26,75
26,68
26,74

2000

26,84
26,82
26,87
26,87
26,83

26,82
20,26 26,80
20,62 26,77
20,70 26,77
20,75

20,90
20,64
20,51
19,87
19,48

26,72
26,71
26,74
26,72
26,76

26,95
20,99 27,00
5960,00 20,62 27,00
20,65

3.9.
01/1994 08/2000. UNJOB.

.94
.94
.94
.94
.94
.94
.94
.94
.94
.94
.94
.94
.95
.95
.95
.95
.95
.95
.95
.95
.95
.95
.95
.95
.96

(
), .

4,7
5,0
5,3
5,5
5,5
5,5
5,6
5,7
5,7
5,7
5,7
5,7
5,7
5,9
5,8
6,0
6,0
6,1
6,2
6,4
6,5
6,6
6,7
6,5
6,7

( (

), %
), %

), .
115,6
6,4
893
116,2
6,8
989
119,4
7,1
1083
123,5
7,4
1180
125,1
7,4
1219
130,3
7,4
1260
133,4
7,6
1324
136,2
7,7
1392
136,0
7,7
1426
132,5
7,7
1475
128,1
7,8
1550
126,1
7,8
1637
120,5
7,9
1710
116,1
8,1
1839
109,1
8,0
1921
107,5
8,2
1986
109,2
8,3
1993
110,7
8,4
2004
111,4
8,5
2048
112,5
8,8
2098
114,0
8,9
2104
116,4
9,1
2142
115,6
9,1
2228
114,9
9,0
2327
115,8
9,1
2418

174

708
794
889
976
1009
1044
1103
1163
1199
1236
1301
1395
1457
1577
1654
1709
1721
1727
1764
1812
1821
1854
1932
2026
2099

.96
.96
.96
.96
.96
.96
.96
.96
.96
.96
.96
.97
.97
.97
.97
.97
.97
.97
.97
.97
.97
.97
.97
.98
.98
.98
.98
.98
.98
.98
.98
.98
.98
.98
.98
.99
.99
.99
.99
.99
.99
.99
.99
.99
.99
.99
.99
.00
.00
.00

(
), .

6,8
6,7
6,9
7,0
7,0
7,1
7,1
7,1
7,2
7,2
7,3
7,3
7,5
7,6
7,8
7,9
7,9
7,9
7,9
8,0
8,1
8,1
8,1
8,3
8,4
8,5
8,5
8,3
8,1
8,1
8,3
8,6
8,9
9,4
9,7
10,1
10,4
10,0
9,6
9,1
8,8
8,7
8,7
8,8
8,9
9,1
8,9
8,7
8,6
8,2

( (

), %
), %

), .
115,2
9,3
2568
115,3
9,2
2676
115,5
9,5
2771
115,9
9,6
2694
115,1
9,6
2605
113,0
9,7
2558
110,7
9,7
2525
110,3
9,8
2470
108,1
9,8
2451
109,0
9,9
2460
111,3
10,0
2506
109,6
10,1
2516
109,8
10,3
2554
113,2
10,5
2550
112,1
10,7
2524
113,0
10,9
2412
112,5
10,9
2300
111,8
10,9
2218
111,5
10,9
2150
112,1
11,0
2063
112,2
11,1
2012
112,5
11,2
1996
111,7
11,2
1999
113,3
11,4
1970
113,0
11,6
1984
111,1
11,7
1960
108,8
11,7
1939
104,6
11,5
1866
102,4
11,3
1792
103,2
11,3
1769
104,8
11,6
1754
107,5
11,9
1754
110,2
12,3
1809
115,4
12,9
1870
119,6
13,3
1929
122,3
13,8
1938
123,2
14,1
1956
118,7
13,7
1920
113,2
13,1
1848
110,0
12,4
1730
109,2
12,1
1595
107,0
11,9
1500
104,9
11,8
1423
102,3
11,9
1339
100,5
12,1
1283
96,8
12,3
1262
91,5
12,2
1263
86,4
12,0
1235
82,5
11,9
1229
81,3
11,3
1202

175

2230
2337
2427
2392
2356
2329
2302
2250
2224
2226
2265
2261
2289
2275
2250
2130
2031
1958
1896
1821
1777
1764
1771
1746
1761
1742
1709
1666
1603
1586
1572
1580
1634
1696
1756
1760
1774
1746
1694
1571
1432
1317
1250
1165
1111
1088
1090
1066
1058
1033

.00
.00
.00
.00
.00

(
), .

7,8
7,4
7,3
7,2
7,1

( (

), %
), %

), .
81,0
10,8
1151
81,2
10,2
1069
82,5
10,1
1009
82,6
10,0
990
81,9
9,8
986

176

979
904
849
836
841


1. .., .. (1998)
. .: , 1998.
2. ., . (1974) .
. .: , 1974. . 1, 2.
3. .., .. (1965) .
.: , 1965.
4. ., . (1971, 1972) .
.: , 1971, 1972. . 1,2.
5. . (1980) . .: , 1980.
6. ., . (1990) (.)
. .: , 1990. 2.
7. . (1989) . .: , 1989.
8.
. ., 1998.
9. .
1991 1997. ., 1998.
10. Almon S. (1960) The Distributed Lag between Capital Appropriations and
Expenditures, Econometrica, 30, 178-196.
11. Andrews D.W.K. (1991) Heteroskedasticity and Autocorrelation Consistent
Covariance Matrix Estimation, Econometrica, 59, 817858.
12. Ardeni P.G., D. Lubian (1991) Is There Trend Reversion in Purchaising Power
Parity, European Economic Review, 35, 1035-1055.
13. Banerjee A., R.L. Lumsdaine, J.H. Stock (1992) Recursive and Sequential
Tests of the Unit Root and Trend Break Hypotheses: Theory and International
Evidence, Journal of Business and Economic Statistics, 10, 271-287.
14. Bierens H.J. (1997) Testing the Unit Root with Drift Hypothesis Against
Nonlinear Trend Stationarity, with an Application to the US Price Level and
Interest Rate, Journal of Econometrics, 81, 29-64.
15. Bollerslev,
Tim
(1986)
Generalized
Autoregressive
Conditional
Heteroskedasticity, Journal of Econometrics, 31, 307327.
16. Brown R.G. (1962) Smoothing, Forecasting and Prediction of Discrete TimeSeries. Prentice-Hall, New Jersey.
17. Brown R.G. (1963) Smoothing, Forecasting and Prediction. Prentice-Hall,
Englewood Cliffs, N.Y.
18. Cagan P. (1956) The Monetary Dynamics of Hyperinflation, in: Studies in
the Quantity Theory of Maney. Chicago, University of Chicago Press.
19. Chan K.H, J.C.Hayya, J.K.Ord (1977) A Note on Trend Removal Methods:
The Case of polynomial versus vatiate differencing, Econometrica, 45, 737-744.
20. Cheung Y.-W., M.D. Chinn (1996) Deterministic, Stochastic, and Segmented
Trends in Aggregate Output: a Cross-country Analysis, Oxford Economic
Papers, 48, 1, 134-162.
21. Cheung Y.-W., M.D. Chinn (1997) Further Investigation of the Uncertain Unit
Root in GDP, Journal of Business and Economic Statistics, 15, 68-73.
22. Cheung Y.-W., K.S.Lay (1995) Lag Order and Critical Values of a Modified
Dickey-Fuller Test, Oxford Bulletin of Economics and Statistics, 57, 3, 411419.

177

23. Christiano L.J., M. Eichenbaum (1990) Unit Roots in Real GDP: Do We


Know, and Do We Care?, Carnegie-Rochester Conference Series on Public
Policy, 32, 7-62.
24. Clark P.K. (1989) Trend Reversion in Real Output and Unemployment,
Journal of Econometrics, 40,15-32.
25. Cochrane J.H. (1998) How Big is the Random Walk in GNP?, Journal of
Political Economy, 96, 893-920.
26. Cogley T. (1990) International Evidence on the Size of the Random Walk in
Output, Journal of Political Economy, 98, 501-518.
27. Copeland L.S. (1991) Cointegration Tests with Daily Exchange Rate Data,
Oxford Bulletin of Economics and Statistics, 53, 185-198.
28. Davidson R., J.G. MacKinnon (1993) Estimation and Inference in
Econometrics, Oxford University Press
29. Dickey D.A. (1976) Estimation and Hypothesis Testing for Nonstationary Time
Series, Ph.D. dissertation, Iowa State University.
30. Dickey D.A., W.R.Bell, R.B. Miller (1986) Unit Roots in Time Series Models:
Tests and Implications, American Statistican, 40, 12-26.
31. Dickey D.A., W.A. Fuller (1979) Distribution of the Estimators for
Autoregressive Time
Series with a Unit Root, Journal of the American
Statistical Association, 74, 427431.
32. Dickey, D.A., W.A. Fuller (1981) Likelihood Ratio Statistics for
Autoregressive Time Series With a Unit Root, Econometrica, 49, 1057-1072.
33. Dickey D.A., S. Pantula (1987) Determining the Order of Differencing in
Autoregressive Processes, Journal of Business and Economic Statistics, 15, 455461.
34. Dolado H., T. Jenkinson, S. Sosvilla-Rivero (1990) Cointegration and Unit
Roots, Journal of Economic Surveys, 4, 243-273.
35. Dutt S.D. (1998) Purchasing Power Parity Revisited: Null of Cointegration
Approach, Applied Economic Letters, 5, 573-576.
36. Dutt S.D., D. Ghosh (1999) An Empirical Examination of Exchange Market
Efficiency, Applied Economic Letters, 6, 2, 89-91.
37. Dweyer G.P., Wallace M.S. (1992) Cointegration and Market Efficiency,
Journal of International Money and Finance, 11 318-327.
38. Elliott G., T.J. Rothenberg, J.H. Stock (1996) Efficient Tests for an
Autoregressive Unit Root, Econometrica, 64, 813-836.
39. Enders W. (1995) Applied Econometric Time Series, Wiley, New York
40. Engle, R. F. (1982) Autoregressive Conditional Heteroskedasticity with
Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 987
1008.
41. Engle, R. (1983) Estimates of the Variance of U.S. Inflation Based on the
ARCH Model, Journal of Money, Credit and Banking, 15, 286301.
42. Engle R.F., C.W.J. Granger (1991) Cointegrated Economic Time Series: An
Overview with New Results, in R.F. Engle and C.W.J. (eds.), Long-Run
Economic Relationships, Readings in Cointegration, Oxford University Press,
237-266.
43. Engle R., Kraft D. (1983) Applied Time Series Analysis of Economic Data,
Washington D.C.: Bureau of the Gensus.
44. Fama E.F., French K.R. (1988) Permanent and Temporary Components of
Stock Prices, Journal of Political Economy, 96, 246-273.
45. Fuller W.A. (1976) Introduction to Statistical Time Series, Wiley, New York.

178

46. Fuller W.A. (1996) Introduction to Statistical Time Series, 2nd Ed, Wiley, New
York
47. Friedman M. (1957) Theory of the Consumption Function. Princeton, N.J.:
Princeton University Press.
48. Funke N., J. Thornton (1999) The demand for money in Italy, 1861-1988,
Applied Economic Letters, 6, 5, 299-301.
49. Ghysels E., H.S. Lee, J. Noh (1994) Testing for Unit Roots in Seasonal Time
Series: Some Theoretical Extensions and a Monte Carlo Investigation, Journal
of Econometrics, 62, 415-442.
50. Ghysels E., Perron P. (1992) The Effect of Seasonal Adjustment Filters on
Tests for a Unit Root, Journal of Econometrics, 55, 57-98.
51. Gragg J. (1983) More Efficient Estimation in the Presence of Heteroscedasticity
of Unknown Form, Econometrica, 51, 751-763.
52. Granger C.W.J. (1963) The Effect of Varjing Month-Length in the Analisis of
Economic Time Series, LIndustria, 1, 3, Milano.
53. Green W.H. (1997) Econometric Analysis. 3rd edition, Prentice-Hall.
54. den Haan W.J. (2000) The omovement Between Output and Prices, Journal
of Monetary Economics, 46, 1, 3-30.
55. Hafer R.W., D.W. Jansen (1991) The Demand for Money in the United
States: Evidence from Cointegration Tests, Journal of Money, Credit, and
Banking, 23 (1991), 155-168.
56. Hall A. (1994) Testing for a Unit Root in Time Series with Pretest Data-Based
Model Selection, Journal of Business and Economic Statistics, 12, 451-470.
57. Hamilton, James D. (1994) Time Series Analysis, Princeton University Press,
Princeton.
58. Hasan M.S. (1998) The Choice of Appropriate Monetary Aggregate in the
United Kingdom, Applied Economic Letters, 5, 9, 563-568.
59. Hatanaka M. (1996) Time Series-Based Econometrics: Unit Roots and
Cointegration, Oxford University Press.
60. Holt C.C. (1957) Forecasting Seasonals and Trends by Exponentially Weighted
Moving Averages, Carnegie Inst. Tech. Res. Mem., 52.
61. Holden D., Perman R. (1994) Unit Roots and Cointegration for Economist,
Cointegration for the Applied Economists ( Rao B.B.),
Macmillan.
62. Johansen S., K. Juselius (1990) Maximum Likelihood Estimation and
Inferences on Cointegrationwith applications to the demand for money,
Oxford Bulletin of Economics and Statistics, 52, 169210.
63. Kim B. J.C., Mo Soowon (1995) Cointegration and the long-run forecast of
exchange rates, Economics Letters, 48, 3-4, 353-359.
64. Kolmogoroff A. (1939) Sur Linterpolation et Lextrapolation des Suites
Stationaires, Compt. Rend., 208, 2043.
65. Koyck L.M. (1954) Distributed Lags and Investment Analysis. North-Holland
Publishing Company, Amsterdam.
66. Kwiatkowski D., P.C.B. Phillips, P. Schmidt, Y. Shin (1992) Testing of the
Null Hypothesis of Stationary against the Alternative of a Unit Root, Journal of
Econometrics, 54, 159-178.
67. Leybourne S.J. (1995) Testing for Unit Roots Using Forward and Reverse
Dickey-Fuller Regressions, Oxford Bulletin of Economics and Statistics, 57,
559-571.

179

68. Leybourne S., T. Mills, P. Newbold (1998) Spurious Rejections by DickeyFuller Tests in the Presence of a Break Under Null, Journal of Econometrics, 87,
191-203.
69. Lumsdaine R.L., Kim I.M. (1997) Structural Change and Unit Roots, The
Review of Economics and Statistics, 79, 212-218.
70. MacKinnon, J.G. (1991) Critical Values for Cointegration Tests, 13
Long-run Economic Relationships: Readings in Cointegration, edited by
R.F.Engle and C.W.J. Granger, Oxford University Press.
71. Maddala G.S., In-Moo Kim (1998) Unit Roots, Cointegration, and Structural
Change. Cambridge University Press, Cambridge.
72. Metin K. (1995) An Integrated Analysis of Turkish Inflation, Oxford Bulletin
of Economics and Statistics, 57, 4, 513-532.
73. Milas C. (1998) Demand for Greek Imports Using Multivariate Cointegration
Technique, Applied Economics, 30, 11, 1483-1492.
74. Mills T.C. (1993)
The Econometric Modeling of Financial Time Series.
Cambridge University Press, Cambridge.
75. Molana H. (1994) Consumption and Fiscal Theory. UK Evidence from a
Cointegration Approach, Dundee Discussion Papers, University of Dundey,
Dundey, Scotland.
76. Murray C.J., C.R. Nelson (2000) The Uncertain Trend in U.S. GDP, Journal
of Monetary Economics, 46, 79-95.
77. Nadal-De Simone F., W.A. Razzak (1999) Nominal Exchange Rates and
Nominal Interest Rate Differentials, IMF Working Paper WP/99/141.
78. Nelson C.R., H. Kang (1981) Spurious Periodicity in Inappropriately
Detrended Time Series, Journal of Monetary Economics, 10, 139-162.
79. Nelson
C.R., C.I. Plosser
(1982) Trends and Random Walks in
Macroeconomic Time Series, Journal of Monetary Economics, 10, 139-162.
80. Nerlove M. (1956) Estimates of the Elasticities of Supply of Selected
Agricultural Commodities, Jorn. Farm Econ., 38, 496-509.
81. Nerlove M. (1958) The Dynamics of Supply: Estimation of Farmers Response
to Price. The Johns Hopkins Press. Baltimore.
82. Newey W., K. West (1987) A Simple Positive Semi-Definite,
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,
Econometrica, 55, 703708
83. Newey W., K. West (1994) Automatic Lag Selection in Covariance Matrix
Estimation, Review of Economic Studies, 61, 631653.
84. Ng S., P. Perron (1995) Unit Root Tests in ARMA models With DataDependent Methods for the Selection of the Truncation Lag, Journal of
American Statistical Association, 90, 268-281.
85. Nunes L.S., Newbold P., C.-M. Kuan (1997) Testing for Unit Roots With
Breaks. Evidence on the Great Crash and the Unit Root Hypothesis
Reconsidered, Oxford Bulletin of Economics and Statistics, 59, 4, 435-448.
86. Perron P. (1988) Trends and Random Walks in Macroeconomic Time Series:
Furter Evidence from a New Approach, Journal of Economic Dynamic and
Control, 12, 297-332.
87. Perron P. (1989a) The Great Crash, the Oil Price Shock, and the Unit Root
Hypothesis, Econometrica, 577, 1361-1401.
88. Perron P. (1989b) Testing for a Random Walk: A Simulation Experiment
When the Sampling Interval Is Varied Advances in Econometrics

180

and Modeling ( B.Ray), Kluwer Academic Publishers, Dordrecht and


Boston.
89. Perron P. (1997)
"Further evidence on breaking trend functions in
macroeconomic variables, Journal of Econometrics, 80, 2, 355-385.
90. Perron P., Vogelsang T.J. (1993) Erratum, Econometrica, 61, 1, 248-249.
91. Phillips P.C.B. (1987) Time Series Regression with a Unit Root,
Econometrica, 55, 277-301.
92. Phillips P.C.B., P. Perron (1988) Testing for a Unit Root in Time Series
Regression, Biometrika, 75, 335346.
93. Said E., D.A. Dickey (1984) Testing for Unit Roots in Autoregressive Moving
Average Models of Unknown Order, Biometrika, 71, 599607.
94. Shiller R.J., Perron P. (1985) Testing the Random Walk Hypothesis: Power
versus Frequency of Observation, Economic Letters, 18, 381-386.
95. Schmidt P., Phillips P.C.B. (1992) LM Tests for a Unit Root in the Presence of
Deterministic Trends, Oxford Bulletin of Economics and Statistics, 54, 257-287.
96. Schwert G.W. (1989) Tests for Unit Roots: A Monte Carlo Investigation,
Journal of Business and Economic Statistics, 7, 147-159.
97. Solow R.M. (1960) On a Family of Lag Distributions, Econometrica, 28, 393406.
98. Taylor A.M.R. (2000) The Finite Sample Effects of Deterministic Variables on
Conventional Methods of Lag-Selection in Unit-Root Tests, Oxford Bulletin of
Economics and Statistics, 62, 293-304.
99. Walker G. (1931) On Periodicity in Series of Related Terms, Proc. Royal Soc.,
A131, 518.
100.White H., I. Domovitz (1984) Nonlinear Regression with Dependent
Observations, Econometrica, 52, 143-162.
101.Wiener N. (1949) Extrapolation, Interpolation and Smoothing of Stationary
Time Series. John Wiley, New York.
102.Winters P.R. (1960) Forecasting Sales by Exponentially Weighted Moving
Averages, Mgmt. Sci., 6, 324.
103.Wold H.O. (1932) A Study in the Analysis of Stationary Time Series.
Almquist and Wieksell, Uppsala.
104.Woodward G., R. Pillarisetti (1999) Empirical Evidence on Alternative
Theories of Inflation and Unemployment: a Re-Evaluation for the Scandinavian
Countries, Applied Economic Letters, 6, 1, 55-58.
105.Yule G.U. (1927) On a Method of Investigating Periodicities in Disturbed
Series, Phil. Trans., A226, 227.
106.Zivot E., Andrews D.W.K. (1992) Further Evidence on the Great Crash, the
Oil Price Shock and the Unit Root Hypothesis, Journal of Business and
Economic Statistics, 10, 251-270.

181