Эконометрический анализ динамических рядов основных макроэкономических показателей

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 :
critical values at
1%
5%
for 100 obs.
-5.45
-4.83
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,
.
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,
.
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%. :
Critical values at
1%
5%
for 70 obs.
-6.32
-5.59
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
Dependent Variable: D(M2)
Date: 02/21/01 Time: 12:22
Sample: 1995:06 2000:07
Included observations: 62
Variable
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
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:
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:
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
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
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
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
ADF Test Statistic
-2.172099

Dependent Variable: D(EXPORT)
Variable
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
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:
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
Dependent Variable: D(IMPORT)
Variable
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
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
;

( ).
:
critical values at
1%
for 70 obs.
-6.32
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,
. ,

( ).
:
critical values at
1%
for 60 obs.
-5.92
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:
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

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

(
)
.
,
:
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
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

2.5%
5%
-3.15
-2.89
10%
-2.57
DS- .
,
,
(
5% 2.78).
KPSS (
):
ETA(tau) Values:
Critical Level:
Critical Value:
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 ,

, :
critical values at
1%
for 100 obs.
-5.45
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. :
critical values at
1%
for 70 obs.
-6.32
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

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:
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
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

2.5%
5%
-3.15
-2.89
DS-.
[Cheung, Lay
(1995)] ( 5%
3.08).
69
10%
-2.57
,
PERRON97 .
(
), :
critical values at
1%
For 100 obs.
-5.45
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
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:
0
1
2
3
4
12
ETA(tau) Values:
Critical Level:
Critical Value:
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:
0
1
2
3
4
ETA(tau) Values:
Critical Level:
Critical Value:
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
Dependent Variable: D(X)
Date: 02/22/01 Time: 09:46
Sample: 1994:01 1998:01
Variable
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
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 ,
.
Sample: 1994:01 1998:01
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
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 .
:
Sample: 1994:01 1998:01
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
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 ,

Sample: 1994:01 1998:01
74
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
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

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:
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.
( ):
critical values at
1%
for 100 obs.
-5.45
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
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:
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:
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

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
,
( ):
critical values at
1%
for 100 obs.
-6.21
infinite sample
-5.57
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)
Sample: 545 649
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
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:
4
10
11
12
13
ETA(tau) Values:
Critical Level:
Critical Value:
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
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)
Sample: 650 776
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
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:
4
13
14
ETA(tau) Values:
Critical Level:
Critical Value:
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

critical values at
1%
for 100 obs.
-6.21
infinite sample
-5.57
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:
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
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
. (
) :
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
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:
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,
.
( ):
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
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
.
,
( ):
Critical values at
1%
for 200 obs.
-5.28
Infinite sample
-4.91
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:
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:
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,
.
( ):
Critical values at
1%
for 100 obs.
-6.21
Infinite sample
-5.57
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, , -,
( ).
(
):
Critical values at
1%
for 100 obs.
-5.70
Infinite sample
-5.41
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

Эконометрический анализ динамических рядов основных макроэкономических показателей

Загружено:

Сведения о документе

Авторское право

Доступные форматы

Поделиться этим документом

Поделиться или встроить документ

Параметры публикации

Этот документ был вам полезен?

Это неприемлемый материал?

Авторское право:

Доступные форматы

Эконометрический анализ динамических рядов основных макроэкономических показателей

Загружено:

Авторское право:

Доступные форматы

103918, , , .

DUt =1 t>TB DUt = 0 t;

, 1998:04. t=1 = 0.547,

Augmented Dickey-Fuller Test Equation

10% Critical Value

: Critical values (asymptotic)

PAC Q-Stat Prob

ADF Test Statistic

Augmented Dickey-Fuller Test Equation

Critical values (asymptotic)

Critical values (asymptotic)

Critical values (asymptotic)

PAC Q-Stat Prob

Critical values (asymptotic)

Dependent Variable: D(X)

Critical values (asymptotic)

PAC Q-Stat Prob

number of lag retained : 7

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

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

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

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

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

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

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

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

1994:01- 1998:04 (52 ),

520 525 530 535 540 545 550 555 560

( , E u t C < > 2).

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

B. "changing growth" model:

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

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

153 < 1170

cov(t, tk) = kDt.

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

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

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

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

1998 1999 2000 1995 1996

1998 1999 2000 1995 1996

1997 1998 1999

1997 1998 1999 2000 1992

1998 1999 2000 1992

23. Christiano L.J., M. Eichenbaum (1990) Unit Roots in Real GDP: Do We

and Modeling ( B.Ray), Kluwer Academic Publishers, Dordrecht and

Вам также может понравиться