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..

2002

1.

2. . ARMA
2.1. .
2.2.
2.3.
2.4.
2.5. (
)
2.6. ARMA,
3. ARMA
3.1. ARMA
3.2.
3.3.
4.
4.1.
4.2.
4.3.
4.4.
5.
5.1. ARMA
5.2. TS
DS
5.3. TS DS ARMA. .
6. TS DS
6.1.
6.2.
6.3. -
6.4.
6.5. DGP SM
6.6. .
6.7.
6.8.
6.8.1.
6.8.2.

6.8.3. .
6.8.4. DF-GLS
6.8.5. (KPSS)
6.8.6. ( )
6.9. , TS DS
6.9.1.
6.9.2.
6.9.3. TS DS

6.9.4.
6.10.
6.10.1.
6.10.2.
7.
7.1.
7.2. .
7.3. .
7.4.
8.
8.1.
8.2.

,
[ (2000)],


yt = 1 xt1+ 2 xt2+ + p xtp + t , t = 1, 2, , n ,
, xt1, xt2, , xtp , t
= 1, 2, , n , , 1, 2, , n ()
,
(
).



.

( );
;
.

.

:
, ,
, , ,
,
t - ;
,
t - ;

, F- ;

,
.
,
n ,

xt1, xt2, , xtp , t = 1, 2, , n ;
( ) t , t
= 1, 2, , n , ,
y1, y2, , yn , .
,

,
. , ,


n

.

, ,
, , ,

.

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

, ,
,
.

y 0 = 0,
yt = yt 1 + t , t = 1, 2, , n ,
1, 2, , n ,
2.
,
xt t
, .. xt = yt 1.
, (
),
,
n

y y
t

t =2
n

y
t =2

t 1

2
t 1

, ,

t :
x1 = 0 ,
x2 = y1 = 1 ,
x3 = y2 = y1 + 2 = 1 + 2 ,
x4 = y3 = y2 + 3 = ( 1 + 2 ) + 3 = 2 1 + 2 + 3 ,

xn = yn 1 = n 2 1 + n 3 2 + + n 1 .
,
, t- F- ,
,
t- F-, .

, = 1,
( ),
yt = yt 1 + t , t = 1, 2, , n , y 0 = 0,
( )

. ,
.
[White (1958)],
,
.
TS (trend stationary)
(
) DS (difference stationary) ,
.
DS ,

. ,

, ,
Dickey D.A., Fuller W.A, Granger C.W.J., Hansen B.E., Johansen S.,
Juselius K., Perron P., Phillips P.S.B., Sims C.A., Stock J.H., Watson M.W.J.
[Maddala G.S.,
Kim In-Moo (1998)]; . [Hatanaka M. (1996)].

,
,
. , [ (2000)],


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

.
,
.

. . .. www.iet.ru

1.

,


yt = 1xt1+ 2 xt2+ + p xtp + t , t = 1, 2, , n ,
, xt1, xt2, , xtp ,
t = 1, 2, , n , , 1, 2, , n ()
,
(
).


.


: ,
, , ,
,
,
t - ;
,
t - ;

F- ;

,
.
,
n ,

xt1, xt2, , xtp , t = 1, 2, , n ;
( )
t ,
t = 1, 2, , n , ,
y1, y2, , yn , .
,

,
.
.
, (
) .

,
.
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, -
p :
y = X + ,

y = (y1, ..., yn)T - n ,
X (np)- n , n > p,
= ( 1, 2, , p)T - ,
= ( 1, 2, , n)T - () n .
X p , XTX
, (XTX) 1 ,

= (XTX) 1XTy .


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

(,
) , E ((XTX)
1 T
X ) 0,
E( ) ,
, , ,
.
,
,
, ,
( ).

A
s () xt1, xt2, , xtp t
s,
1, 2, , n ,

2 > 0. ( t ~
i.i.d. N (0, 2). i.i.d. independent, identically distributed.)

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

X ;
( ).
,
X
X.

, :

| X ~ N , 2 (X T X )

).

N , 2 X T X

) X . ,

, .
, j- :

2
T
j | X ~ N j , (X X )j j ,
1

(X T X ) jj j- (X T X ) ,
1

( X X )j1j
T

X ~ N (0, 1) .

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


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

t=

j *j
S ( X T X )j1j

(
)
=
j

*
j

( X T X )j1j

S2 2

,
, H0
t- t- (n p)
,
t | X ~ t(n p) .
X .
, X , t
H0: j = *j
t(n p) .
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F- .
A
.
A
| X ~ N(0, 2In) , In ( n n) .

xt = (xt1, xt2, , xtp)T
.

p t-

B
s () xt1, xt2, , xtp t
s;
t ,
t ~ i.i.d., E( t) = 0, D( t) = 2 > 0 E( t4) = 4 < ;
E(xt xtT) = Qt , (1/n)( Q1 + + Qn) Q
n , Q ;
E(xit xjt xkt xst) < i, j, k, s ;
(1/n)( x1 x1T + + xn xnT) Q .
,
, A.
n - () t
S2, t- F-,
, .
,
, ,
, [Hamilton (1994)].
(n) n , Xn
n , S n2 , tn , Fn S2 , t , F , n .
, B, n
n ( (n) ) N (0 , 2 Q 1),
n ( S n2 2 ) N (0, 4 4),
tn N (0 , 1),
qFn 2(q) , q .
, ..
, , n
, .

T
2
1
2
1
(n) N ( , Q n), (n) N ( , (Xn Xn) ) ,
( ),
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S n2 N (2 , (4 4) n),

tn N (0, 1),
qFn 2(q).
B n
, t(n p) t-
( N (0 , 1)) F(q, n p) F- ( 2(q)
qFn), (
, ).
,
, n
tn Fn .
C
, , ,
t | X ~ i.i.d. ,
X
n- N (0 , 2 V) ;
V nn.
V , ;
V 1 .
(nn)- P , V 1 = PTP . P ,

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

*
y = X* + * ,

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

*
| X ~ N (0 , 2 In) ,
,
A. , , A,
y* = X* + * .
,
* = (X*TX*) 1 X*T y* = (XTPTPX) 1 XTPTPy = (XT V 1X) 1 XT V 1y
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, .. E(*) = , (
X)
Cov ( * | X ) = 2(X*TX*) 1 = 2(XT V 1X) 1.
(GLS
generalized least squares).
y* = X* + *
, t- F-.
V ,
, , V = V() ,
, .
,
GLS * = (XT V 1X) 1 XT V 1y
V = V(0) (V(0) )
n 0 . ,
V( n ),

.
, ,
.
,
,
.

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2. . ARMA
2.1. .
(time series)
, .
(, , ..),
, x1, ..., xn
t = 1, , n .

, x1, ..., xn
, ,
X1, ..., Xn ,

F(v1, v2, , vn) = P{ X1 < v1, X2 < v2, ... , Xn < vn }.


,

X1, ..., Xn

p( x1, x2, , xn).

,
,
.
.
xt , t = 1, , n , (
), m ( m < n)
X t1 , K , X tm , X t1 + , K , X t m + , t1,, tm
, , 1 t1, , tm n 1 t1+, , tm+ n.
,
. , m = 1
xt ,
Xt t, , t
(, , ), :
E (Xt) = D(Xt)= 2.
,
xt,
.
, ,
, , ,
, .
Xt Xt+

Cov( X t , X t + )
,
Corr(Xt , Xt +) =
D( X t ) D( X t + )

Cov(Xt , Xt +) = E [(Xt E(Xt))(Xt + E(Xt+))] .


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xt , Cov(Xt , Xt+) t
; () :
() = Cov(Xt , Xt +) .
,
D(Xt) = Cov(Xt , Xt ) (0) .
,
Corr(Xt , Xt +) ; (),

() = Corr(Xt , Xt +) = () (0) .
, (0) = 1.
xt
x1, x2, , xn .
xt ,
E(Xt) ,
D(Xt) 2,
Cov(Xt , Xt +) = () t .
, ,
( ,
).
,
. ,
,
/ . (
.) , ,
, , , E( X t3 ) t .
xt , t = 1, , n, ,
X1, ... , Xn n- .
.
, xt , (
) ,
( ).
, xt E(Xt) , D(Xt) 2 () = Corr(Xt , Xt+).
()
,
( ).
() = Cov(Xt , Xt +) .
()
(). , ..
. 1
+1; (0) = 1. , xt , () = (),

.
() .
,
. , xt
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c ,
.

xt

(xt + c)

,
,
X 1, ..., X n n+1 : , (0), (1), , (n 1) (
, (0), (1), , (n 1)). , ,
, . ,

, ,
.
, , ,
.
2.2.
( ,
) xt ,
E(Xt) 0, D(Xt) 2 > 0

() = 0 0.
, t s Xt Xs ,
t s, .
, Xt , X 1, ...,
X n N(0, 2),
, .. Xt ~ i.i.d. N(0, 2).
.
, , X1, ... ,
Xn , ,
, .. Xt
/ (
).
, ,
- t s Xt Xs
.
(NOISE) D(Xt) 0.04.
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
50

100

150

200

250

300

350

400

450

NOISE

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, .
, ,
,
.
,
, t .
,
, , , ,
() - 1984 ( ).

4
3
2
1
0
-1
-2
-3
50

100

150

200

250

DOW-JONES_TEMP

, ,
(

xt
),
.
2.3.

( ).
:
Xt = a Xt 1 + t , t = 1, , n,
t ,
2, X0 , a 0
.

E(Xt) = a E(X t 1),
E(Xt) =
0 t = 0, 1, , n.
,
Xt = a X t 1 + t = a (a Xt 2 + t1) + t = a2 Xt2 + a t1 + t = =
= a t X0 + a t 1 1 + a t2 2 + + t ,
Xt1 = a Xt2 + t1 = a t1 X0 + a t2 1 + a t3 2 + + t1 ,
Xt2 = a Xt3 + t2 = a t2 X0 + a t3 1 + a t4 2 + + t2,

X1 = a X0 + 1.

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X0 1, 2,
, n, ,
Cov(X0, 1) = 0, Cov(X1, 2) = 0, , Cov(Xt2, t1) = 0, Cov(Xt1, t) = 0

D(Xt) = D(aXt1 + t) = a2D(Xt1) + D(t), t = 1, , n.


, ,
D(X0) = D(Xt) = X2 t = 1, , n,
:
X2 = a2X2 + 2.
a2 < 1, ..
a < 1.
X2
X2 = 2 (1 a2) .
,
Cov(Xt , Xt +) = Cov(a t X0 + a t1 1 + a t2 2 + + t ,
a t+X0 + a t+1 1 + a t+2 2 + + t+) =
= a2t+D(X0) + a (1 + a2 + + a2(t1))2 =
= a [a2t2 (1 a2) + (1 a2t)2 (1 a2)] = [a (1 a2)]2,

Corr(Xt , Xt +) = a ,
..
, .
, ,

Xt = a Xt1 + t , t = 1, , n,
,
a<1;
X0 1, 2, ,
n ;
E(X0) = 0 ;
D(X0) = 2 (1 a2) .
Corr(Xt , Xt +) = () = a .
( ) ,
.
yt E(Yt) = , ,
Xt = Yt :
Yt = a (Yt1 ) + t , t = 1, , n,

Yt = aYt1 + + t , t = 1, , n,

= (1 a) .

, .
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Xt (
), ,
(1) = E(Xt Xt1) = E [(a Xt1 + t) Xt1] = a (0),

(1) = (1) (0) = a ,
a > 0, 1,
,
. a < 0
, , ,
.

, Xt = a Xt1 + t 2 = 0.2
a = 0.8 ( ) a = 0.8 ( ).
1.5

1.5
1.0

1.0

0.5
0.5
0.0
0.0
-0.5
-0.5

-1.0

-1.0

-1.5
50

100 150 200 250 300 350 400 450


a = 0.8

50

100 150 200 250 300 350 400 450


a = - 0.8

.
X0 = x0 ,
Xt = a Xt1 + t Xt
, ,

, , Xt = a Xt1 + t a 2.
, t = 0
, x0
. Xt a
< 1. .
,
t = 1, x0
.
Xt = a t x0 + a t1 1 + a t2 2 + + t ,
E(Xt) = a t x0 + a t1E(1) + a t2E(2) + + E(t) = a t x0 ,
D(Xt) = (a2(t1) + a2(t2) + + 1) 2 = [(1 a2t) (1 a2)]2
= 2 (1 a2) [a2t (1 a2)]2,
Cov(Xt , Xt +) = Cov(Xt a t x0 , Xt + a t+ x0) = a (1 + a2 + + a2(t1))2
= a (1 a2t)2 (1 a2) ,
Xt ,
Cov(Xt , Xt +) t .
, a < 1, t
E(Xt) 0 , D(Xt) 2 (1 a2), Cov(Xt , Xt +) a [2 (1 a2)],
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.. t
Xt , Cov(Xt , Xt +) ,
.
, a < 1
, Xt = aXt1 + t X0 = x0 .
Xt ,
t 1

X t = a t x0 + a k t k

, a<1,

k =0

~
X t = a k t k .
k =0

~
X t X t = a t x 0 + a k t k ;
k =t

a x0 0 E a t k
t

k =t

= 2 a 2 k 0 .
k =t

~
, X t Xt ; Xt
~
~
X t t . Xt X t
, X0 a .
~
X t


~
E X t = E a k t k = a k E ( t k ) = 0 ,
k =0
k =0

( )

2


~
D( X t ) = D a k t k = a k D( t k ) = 2 a 2 k = 2 ,
1 a
k =0
k =0
k =0

~ ~
,
Cov( X t , X t + ) = E a k t k a k t + k = a a 2 k E t2k = a
2
1

a
0
0
0
k
k
k
=
=
=

~
X t ( ). ,

( )

1
~
X t 1 = a k t k ,
a k =1

~
~
aX t 1 + t = a k t k = X t ,
k =0

~
.. X t
~
~
X t = aX t 1 + t .

~
~
X t 1 , X t 2 , ... ,
~
~
t X t 1 , X t 2 , , .. t
t

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~
(). , X t
, ,
AR(1).

xt, Xt = a Xt1 + t = 0.2
a x0.
x0=2; a=0.5

x0=0; a1=0.5

2.5

2.5

2.0

2.0

1.5

1.5

1.0

1.0

0.5

0.5

0.0

0.0

-0.5

-0.5
10

20

30

40

50

60

70

80

90

100

10

20

30

40

50

60

70

80

90

100

70

80

90

100

x0=2; a=0.9

x0=0; a=0.9

2.5

2.5

2.0

2.0

1.5

1.5

1.0

1.0

0.5

0.5

0.0

0.0

-0.5

-0.5
10

20

30

40

50

60
X

70

80

90

100

10

20

30

40

50

60
X

Xt = a Xt1 + t
. p (
AR(p))
Xt = a1 Xt1 + a2 Xt2 + + ap Xtp + t , ap 0,
t D(t) = 2 .
, Cov(Xts, t) = 0 s > 0; ,
t () ,
t t .
, t
p
t ,
, , , t ,
Xt .

L (lag operator),

L Xt = Xt1 ;
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B (backshift operator).
k , Lk ,

Lk Xt = Xtk .

a1 Xt1 + a2 Xt2 + + ap Xtp



(a1L + a2 L2 + + ap Lp) Xt ,
, p- ,
a(L) Xt = t ,

a(L) = 1 (a1L + a2 L2 + + ap Lp).


, ,

a(z) = 0
( ) z 1. (
, AR(1) a(z) = 1 a z , a(z) = 0 z
= 1/a , z > 1 a <
1. ) a(L) Xt = t
Xt =

1
t =
a( L)

b j t j ,

j =0

<,

j=0

, , ,


E(Xt) = E b j t j = b j E ( t j ) = 0 .
j =0
j =0
AR(p)

a(L) ( Xt ) = t ,

a(L) Xt = + t ,

= a(L) = (1 a1 a2 ap) = a(1).


a(L) ( Xt ) = t
1
t .
Xt = +
a ( L)

, AR(p) a(L) Xt = + t ,
,
,

(1 a1 a2 K a p )

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10

AR(1) a(L) = 1 aL , ( ,
)
Xt = (1/ (1 aL)) t = (1 + aL + a2L2 + ) t = t + at1+ a2t2 + .
,
(k) = Corr(Xt , Xt+k) = a k , k = 0, 1, 2, .
0 < a < 1 ( (k) k = 0, 1, 2, )
;
1 < a < 0 .
AR(1) a = 0.8 :
1.0

1.5

0.8

1.0

0.6

0.5

0.4

0.0

0.2

-0.5

0.0

-1.0
5

10

15

20
a = 0.8

25

30

35

10

15

20

25

30

35

a = - 0.8

AR(p) p > 1 ,
( ) a(z) = 0.
k (k)
Ak, = 1/zmin zmin
a(z) = 0, ,
A k . A > 0
, a1 , , ap .
Xtk (k >0) ,
AR(p), ,

(k) = a1 (k1) + a2 (k2) + + ap (kp) , k > 0 .


(0),

(k) = a1 (k1) + a2 (k2) + + ap (kp) , k > 0 .



, p , aj
p ,
(. 3.1
3.2).
. AR(2)
Xt = 4.375 + 0.25Xt1 0.125Xt2 + t .
a(z) = 0
1 0.25z + 0.125z2 = 0, z2 2z + 8 = 0,
z 1,2 = 1 i 7 .
, .

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11

= / (1 a1 a2) = 4.375/(1 0.25 + 0.125) = 5,


5.
.
p = 2,
(k) = 0.25 (k1) 0.125 (k2), k > 0 .
, (0) = 1. (1)
(1) = 0.25 (0) 0.125 (1) = 0.25 0.125 (1),
:
(1) = 0.25 / (1 + 0.125) = 2/9 = 0.222.
:
(2) = 0.25 (1) 0.125 (0) = 0.25 * 0.222 0.125 = 0.069,
(3) = 0.045, (4) = 0.003, (5) = 0.005 ..
, ,

.
.
10

1.2
1.0

0.8
6

0.6
0.4

0.2
2

0.0
0

-0.2
0

RHO

50

100 150 200 250 300 350 400 450


AR(2)

2.4.


q (MA(q)). ,
Xt = t + b1 t1 + b2 t2 + + bq tq , bq 0 ,
t .
.
, ,
Xt = t + b1 t1 + b2 t2 + + bq tq ,
..
Xt = + t + b1 t1 + b2 t2 + + bq tq .
q MA(q)
( moving average).
q = 0 = 0 . q = 1 ,
Xt = t + bt1
.
D(Xt) = (1 + b2)2 , E [(Xt )(Xt1 )] = b2 , E [(Xt )(Xtk )] = 0, k > 1,
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12

Xt
E(Xt) = 0 , D(Xt) = (1 + b2)2 ,

1 + b 2 2 , k = 0 ,

(k) = b 2 ,
k = 1,
0 ,
k > 1.


k = 0,
1 ,

2
(k) = b (1 + b ) , k = 1 ,
0 ,
k > 1,

..

.
.
, b > 0, b < 0. ,
MA(1) b > 0 , , ,
MA(1) b < 0 , ,
. , MA(1)
(1) 0.5 ,
.. ,
AR(1) ( a ,
1).
MA(q)
Xt = b(L) t ,

b(L) = 1 + b1L + + bq Lq .

(k) = E [(Xt )(Xtk

qk
2
b j b j + k , 0 k q ,
)] = j = 0

0,
k >q,

MA(q)
,
X2 = (1 + b12 + + bq2)2

qk
q 2

b , k = 0, 1, K , q ,
b
b

k = j = 0 j j + k j = 0 j

0,
k = q + 1, q + 2, K .

q
(.. q).
,
,
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13

,
,
.

, bj = a j , 0 < a < 1, , t
,
MA()
Xt =

t j =

j =0

j =0

j t j

< .

j=0

,
AR(1)
Xt = a Xt1 + t , a < 1,
.. MA() AR(1).
, AR(p)
MA():
Xt = +

1
t = + b j t j = + b(L) t ,
a ( L)
j =0

b(L) =

j
j L =

j =0

1
a ( L)

bj < .

j=0

.
a) MA(1) b = 0.8 E(Xt) = 6 , ..
Xt = 6 + t + 0.8 t1 .
(1) = 0.8/(1+ 0.82) = 0.488.
b) MA(1) b = 0.8 E(Xt) = 6
(1) = 0.8/(1+0.82) = 0.488.

1.0

1.0

0.8

0.8

0.6

0.6

0.4

0.4

0.2

0.2

0.0

0.0

-0.2

-0.2

-0.4

-0.4

-0.6

-0.6
0

b = 0.8

b = - 0.8

2 = 1:

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12

12

10

10

14

0
50

100 150 200 250 300 350 400 450

50

100 150 200 250 300 350 400 450

b = 0.8

b = - 0.8

c) MA(2) Xt = 5 + t 0.75t1 + 0.125 t2 :


(1) = (b0b1 + b1b2)/(b02 + b12 + b22)
= ( 0.75 0.750.125)/(1 + 0.752 + 0.1252) = 0.535,
(2) = 0.125/1.578 = 0.079.
.
1.2

10

0.8

0.4

0.0

-0.4

-0.8
0

0
50

rho

100 150 200 250 300 350 400 450


MA(2)

2.5. (
)

Xt ,
, p q AR A
ARMA(p, q) (autoregressive moving average, mixed
autoregressive moving average). , Xt
ARMA(p, q),
p

Xt =

a j Xt j +
j =1

t j ,

ap 0 , bq 0 ,

j =0

t b0 = 1.

a(L) Xt = b(L) t ,
a(L) b(L) , AR(p)
MA(q). ,
ARMA(p, q),
Xt =

a
j =1

(Xt j ) +

t j .

j =0

ARMA(p, q) E(Xt) = .
, a(z) = 0
z 1.
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15

,
MA()
Xt =

c j t j , c0 = 1,
j =0

cj < ,

j=0

Xt = c(L) t ,

c(z) =

c z

j=0

b( z )
.
a( z)

b(z) = 0
z1
( ),
Xt AR()
Xt =

(Xt j ) + t ,

j =1

d(L)(Xt ) = t ,

d(z) = 1

d
j =1

zj =

a( z )
.
b( z )

, ARMA(p, q)
,

.
ARMA(p, q)
, AR(p) MA(q). , k > q
a(L) Xt = b(L) t ,
a(L) Xt = t . , ARMA(1, 1)
(k) = a1 (k 1) k = 2, 3, ,
Xt = a1 Xt1 + t . , , (1) a1 .
ARMA
. ARMA(p1, q1) Xt ARMA(p2, q2) Yt
, Zt = Xt + Yt , , Zt
ARMA(p, q) ,
p = p1 + p2 ,
q = p1 + q2 , p1 + q2 > p2 + q1 ,
q = p2 + q1 , p2 + q1 > p1 + q2 .
, p q
. ( , aX(z) aY(z) ,
Xt Yt , .)
, AR(1), ,
ARMA(2, 1).
.
, AR,
ARMA .
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16

, AR,
MA. ,
MA MA .
, , AR(p)
, ,
(.. MA(0)). ARMA(p, p).

, ARMA(p, q) Xt
,
AR(). , ,
AR(p), , .
,
ARMA, AR MA . ,
, , ,
( )
. ARMA
.
2.6. ARMA,

,
ARMA, , ,

.

(SAR(1))
Xt = a4 Xt4 + t , a4 < 1
(SMA(1))
Xt = t + b4 t4 .

(k) = a4k/4 k = 4m, m = 0, 1, 2, ,
(k) = 0 k > 0.

(0) = 1, (4) = b4 , (k) = 0 k > 0.
SAR(1) a4 = 0.8
SMA(1) b4 = 0.8.
6

-2

-2

-4

-4
10

20

30

40

50

60

X_SAR

70

80

90

100

10

20

30

40

50

60

70

80

90

100

X_SMA

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17

, ,
ARMA((1, 4), 1)
Xt = a1 Xt1 + a4 Xt4 + t + b1 t1
ARMA(1, (1,4))
Xt = a1 Xt1 + t + b1 t1+ b4 t4 .
C
a1 = 2/3, a4 = 1/48, b4 = 1/5 a1 = 0.4, b1 = 0.3,
b4 = 0.8 .
4

-2

-2

-4

-4
10

20

30

40

50

60

70

ARMA((1, 4), 1)

80

90

100

10

20

30

40

50

60

70

80

90

100

ARMA(1, (1,4))

, a(z) = 0 1 2/3z + 1/48


z = 0, .. z4 32z + 48 = 0; z1 = 2, z2 = 2, z3 = 2 + i8, z4 = 2
i8
,
. a(z) = 0 1 0.4 z = 0;
z = 2.5 > 1, .
,
, ,
(1 a1L)Xt = (1+ b1L)(1+ b4L4) t ,
(1 a1L)(1 a4L4) Xt = (1+ b1L) t .

Xt = a1 Xt1 + t + b1 t1+ b4 t4 + b1b4 t5 ,

Xt = a1 Xt1 + a4 Xt4 a1a4 Xt5 + t + b1 t1 .

1 4 (.. t1 t4),
1 4 (.. Xt1 Xt4 ). ,

Xt = a1 Xt1 + t + b1 t1+ b4 t4 + b5 t5 ,
Xt = a1 Xt1 + a4 Xt4 + a5 Xt5 + t + b1 t1
c b5 = b1b4 , a5 = a1a4 .
( , ),


,
(parsimony model). , - ,
(
), .
ARMA , ,
[Enders (1995)].
4

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18

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3. ARMA

, x1, x2, , xT
ARMA,
, :
1. ;
2. ;
3. .

ARMA, .. p q.
,

.
a1, a2, , ap, b1, b2, , bq .

.
, ,
X1, X2, ,

.

(misspecification tests).
, ,
, ,
.. , .
, ,

, .
ARMA(p, q),
Xt ~ ARMA(p, q). ,
AR(p), Xt ~ AR(p), MA(q), Xt ~ MA(q).
3.1. ARMA
ARMA


(ACF)
(PACF) (ACF autocorrelation function, PACF partial
autocorrelation function) , ARMA.
ARMA
.
( MA )
.
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(PACF) Xt .
part(k) k
Xt Xt+k , Xt+1 ,
, Xt+k1 .
, part(k) Xtk
Xt1, , Xtk ,
Xt . , (., ,
[Hamilton (1994)]), part(k) ak
k
(s) = a1 (s1) + a2 (s2) + + ak (sk) , s = 1, 2, , k ,

(s1) a1 + (s2) a2 + + (sk) ak = (s) , s = 1, 2, , k ,
, a1 , a2 , , ak , (1k), , (k1)
.
k k , ,
PACF
part(0) = 1,
part(1) = (1),
1
(1)
(1) (2) (2) 2 (1)
part(2) =
,
=
1
(1)
1 2 (1)
(1) 1

(1)
part(3) = (1)
1
(2)
(2) (1) (3)
1

(1)

(1) (2)
(1)
1
(1) ,
(2) (1)
1
1

1
(1)
(2) K (1)
K (2)
(1)
1
(1)
K (3)
(2)
(1)
1
M
M
M
O
M
part(k) =
(k 1) (k 2) (k 3) K (k ) .
1
(1)
(2) K (k 1)
K (k 2)
(1)
1
(1)
K (k 3)
(2)
(1)
1
M
M
M
O
M
(k 1) (k 2) (k 3) K
1

part(k)

, (1), (2), ..., (k).
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, Xt AR(p),
part(p) 0 ,
part(k) = 0 k > p.
PACF
ARMA(p, q) q
> 0.
, ACF q MA(q).
, PACF p AR(p).
ACF PACF
ARMA(p, q) p 0, q 0.
,
(k) part(k)
ACF,

r (k ) =

1
T k

T k

(x

t =1

1
T

)(xt +k )

(x

t =1

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

= x =
(k ) =

1 T
xt = E(Xt) ,
T t =1

1 T k
(xt )(xt +k ) (k),
T k t =1

PACF,

rpart(k) . ,
part(k) (s) r(s).
, , part(k) Xtk
Xt1, , Xtk ,
Xt . ,

Xt = a1 Xt1 + a2 Xt2 + + ak Xtk + ut
( ut
ut = Xt (a1 Xt1 + a2 Xt2 + + ak Xtk) ,
- ).
ak rpart(k) .

Xt ARMA(p,q) E (X t4 ) < ,
, (k ) , r(k) rpart(k) ,
(k), (k) part(k), . (. [Hamilton (1994), p.199].) r(k)
rpart(k) (k) part(k),
(k) part(k). , k =k1 k
=k2 , , (k1) = 0 part(k2) = 0, , , r(k1)
0 rpart(k2) 0,
. ,

.
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, ACF PACF -
.
ACF PACF
ARMA.
ACF PACF
.

ACF

PACF

(k) = 0 k 0

part(k) = 0 k

0
MA(0)
AR(1)

(k) =

part(1) = a1
part(k) = 0, k 2

(k) =

part(1) = a1
part(k) = 0, k 2



MA(1)

b1 > 0
k = 1;
k >
1
MA(1)

b1 < 0
k = 1;
k >
1
MA(q)
k
p
ARM

A(1, 1)
1;
a1 > 0
(1)
(a1+ b1)
ARM

A(1, 1)
1;
a1 < 0
(1)
(a1+ b1)

,
a1 > 0
AR(1)

a1k

a1 < 0
AR(p)

a1k

ARM
A(p, q)

;
part(1) > 0

;
part(k) < 0 k
1


1;
part(1) = (1)

1;
part(1) = (1);

part(k)

(1), k > 1

,
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1)


q
p
SAR(1
,

; ;


SMA(

,
;
;

AR(p) MA(q)
r(k) rpart(k) ,
(k) part(k)
r(k) rpart(k). ,
,
(.., t ).
Xt MA(q), n
q

1
D(r (k )) 1 + 2 2 ( j ) k > q ,
T
j =1

,
(k), k > q . ,
limT E(r(k)) = (k) .
, T k > q r(k)
. ,
H0 : Xt MA(q)
, ,
r (k ) >

2
T

1 + r 2 ( j)
j =1

k > q . 0.05.
, q = 0, Xt ~ MA(0) , H0: Xt

2
r (k ) >
, k > 0.
T
(2) Xt AR(p), T k > p
rpart(k)
rpart(k) N (0, T 1) ( D(rpart(k)) T 1 ).
, H0: Xt ~ AR(p)
2
rpart (k ) >
, k > p,
T
, 0.05.
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,
ACF
PACF, 2/ T . ,
0.95, r(k), Xt ,
rpart(k), Xt ~ AR(p). . ,
, 0.05,
H0 k .
, , ?
, .
T = 499 x1, x2, , x499.

() k = 1, 2, , 36.
A
CF

0.019

0
.038
0

0.019
0
0

.079

.021

.017

0.083

.035

0.049

.069

.041

0.014

0.035

.034

0.064

.032

0.057

0.053

.011

.034

.029

0.042

.013

.046

0.006

0
.021

0
.034

0.057

0
.012

0.044

0.018

0.075

0.057

0
.042

0
.022

0.035

0
.032

0.018

0.085

0.031

0
.028

0
.034

0.015

0.115

0
.099

0
.034

0
.073

0.053

0.036

0
.069

5
-

0.051

P
ACF

0
.053

.061

0.044

.062

A
CF

.126
-

0
.009

0.024

0.071

0.049

.017

0
.035

0.047

.102

0.083

P
ACF

0
3

0.014

0.083

.074

CF

0.019

0.013

ACF

0
.064

0
.055

ACF, , 2/T = 0.0895


r(13) = 0.102. ,
H0: Xt ? PACF,
, , .
(T = 499),
rpart(k), k = 1, 2, .
Bk , , rpart(k) 2/T .
0.05.
( 36) rpart(k), k = 1, 2, , 36,
P2 = C362 (0.05)2(1 0.05)362 = (3635/2) 0.0520.9534,
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lg(P2) = lg(630) + 2lg(0.05) + 34lg(0.95) = 0.560.


: P2 = 0.275,
PACF 36 .
ACF,

r(k), k = 1, 2, , Xt ( MA(q) q 1
). ACF

P1 = C361 (0.05)(1 0.05)35 ,
lg(P1) = 0.780, : P1 = 0.166.
,
ACF PACF .
, , r(k)
EVIEWS, : (k )
T k , T . , (k)
.
ACF
PACF Q-,
,
.

Q-.
( ) [Box, Pearce (1970)]

Q =T

(k ) .

k =1


r(1), r(2), , r(M) , Xt , ,
T T r(k) N (0, 1), T r2(k) [N (0, 1)]2 = 2(1) .
(, Xt . [ (1974)].)
, T
Q ~ 2(M).
H0 .
0.05,

Q > 20.95(M).
P- Q
M = 1, 2, . M H0
, P- 0.05.
, ,

2(M) T .
[Ljung,
Box (1979)]

r 2 (k )
,
k = 1 (T k )
M

Q = T (T + 2)

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( T ) 2(M),
T ,
. EVIEWS (Econometric Views)
P-,
2(M).

Q-
. P- (Prob) Q-
.
Prob

Prob

13

.670

.292

.066

0
.037

.044

.044

.033

.187

.065

.061

.076

.084

0
0
0
0
0

.037

.146

.072

.360

.438

7
0

.539

.063

0
6

.455

.077
0

.049

.349

0
6

.045
0

.348

0
.061

4
0

.243

25

.064

.873

Prob

.096
0

.049

.056

.064

.099

.119

.119

P-, M = 14, 15, 17 22, 0.05,


M
H0: Xt ,
M P- , 0.05, H0
M .
- , ,
, M , .

[Kwan (1996a,b)].

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,
ARMA
.
,
.
, .
.
AR , .. ,
Xt AR(k)
k

kj

(Xt j ) = t , ak0 = 1,

j =1

k , k
[Akaike (1973)].
, k ,

AIC(k ) = ln k2 + (2 k T )

T ,

k2 t AR

k- . k2 k-

k

s = ak j s j ,
j =1

a k j , j = 1, , k , ak j
, x , t ,
k

t = a k j (xt j x ) ,
j=0

k2

k2 =

1
T

2
t

t =1

,
k0
()
. , ,

ln k2 + k cT ,
cT = O(T 1 ln T) (.. cT T , T 1

ln T ).

SIC [Schwarz (1978)],
lnT
.
SIC = ln k2 + k
T
[Hannan, Quinn
(1979)], cT = 2ck T 1lnlnT , c > 1,
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10

2cln ln T
,
T
k0 T .

T
.
HQ = ln k2 + k

AR(2)
Xt = 1.2 Xt-1 0.36 Xt-2 + t .
a(z) = 0
1 1.2 z + 0.36 z2 = 0
z = 5/3 > 1, ,
.
C t = 1, 2, , 500
.
8

-4

-8
50

100 150 200 250 300 350 400 450 500


PRIM1

:
A
ACF
PACF
C
PAC Q-Stat Prob
.|*******

.|*******
***|.

.|******

.899
.732

.|.
.|****

.561
.|.

.|***

.409
.|**

.|.
.277

.|*

.|.
.167

.|*

.|*
.095

.|.

.|.
.045

.|.

.|.

0
4
0
.899 06.25 .000
0
6
0.396 75.97 .000
0
8
0.005 34.98 .000
0
9
0.027 19.59 .000
0
9
0.048 58.40 .000
0
9
0.015 72.59 .000
9
0
0
.071 77.15 .000
0
9
0.045 78.19 .000
0
0
9
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.014

.|.

.|.

.|.

.|.

.|.

.|.

11

.011

78.29 .000
0
9
0 0.001 .020 78.29 .000
0
0
9
1 .003 .055 78.30 .000
9
0
0
2 .019 .001 78.49 .000

2/T = 0.089 PACF,


k = 1, 2. ,
, H0: Xt ~ AR(2).

, AR 4-, 3-, 2- 1-
, AR
.
p=
1

p
=2

p=
3

p=
4

3.0
2.9
2.9
2.
83264
19244
24441
91800
3.1
2.9
2.9
2.
00148
53116
66846
94336
AR(2).

IC
IC

AR , ,
, ARMA(p0, q0) ( p0, q0)
a(L) Xt = b(L) t ,
(p0, q0),
(. [Kavalieris (1991)]).

AR(k)
k

a
j=0

k j

X t j = t , ak 0 = 1 ,

a k j , j = 1, , k,

k

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

k
. ,
. (,
,
.)
Xt Xt j , j = 1, , p, Xt k (t
j), j = 1, , q.
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12

aj , .. a k j , j = 1, , p, b j bj , j = 1, , q.
, a(z), b(z)
p

j=0

j=0

a( z ) = a j z j , b( z ) = b j z j ,

= b 1 ( L) a ( L) x ,
t

~ p2, q =

1
T

t =1

, , ARMA
, t = b 1 ( L) a ( L) xt
.

p0 , q0

( ~p, q~ ) ,

ln T
SIC ~ p2 , q = ln~ p2, q + ( p + q )
.
T

, SIC ~ p2, q p q , p p0 , q
q0 , ( ~
p, q~ ) .

3.2.

() ARMA, ..
p, q
ARMA(p, q), ,
. ,
.
(, AR(1)),
, ()
, .

, . ,
(k) r(k)

(k) . ,
AR(p), a1, , ap p

p

(k ) = a j (k j ), k = 1,K, p ,
j =1

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13


(1), , (p)
( ) r(1), , r(p)
.
MA(q) (q > 0)
, . 2.5. MA(1)

Xt = t + bt1 , t = 1, , T .
x1, x2, , xT , 1, 2,
, T () 0 :
1 = X1 b0 ,
2 = X2 b1 = X2 b(X1 b0) = (X2 ) b(X1 ) + b2 0,

T = XT bT 1 = (XT ) b(XT 1 ) + b2(XT 2 )


+(1)T 1 b T 1 (X1 ) + (1)T b T 0 .
( b) ,
x1, x2, , xT 0 ,

Q(b) = 12 + 22 + + T2 ,
b .
,
, , ()
b . ,
.
b 0 ,
. ,
b < 1, b 1.
, 0 = 0 .
0 ,
, 0 = 0,
, 0 ,
. MA(q) q
> 1 : 0 = 1 = = q + 1 = 0 .
, ( EVIEWS)
(backcasting) ,
0 , 1 , , q + 1
.
,
,
.
ARMA
, , [Hamilton
(1994)]. ,
,
.
.
AR(p)
a(L) Xt = + t .
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14

,
Xt

(1 a1 a2 K a p )

a1, , ap ,

Xt = + a1 Xt1 + a2 Xt2 + + ap Xtp + t ,
, a1 , ... , a p ,

=
.
(1 a1 a 2 K a p )
, , ,
EVIEWS (Econometric Views), . ,

Xt = (1 a1 a2 ap) + a1 Xt1 + a2 Xt2 + + ap Xtp + t
a1, , ap .
. ,
, MA ,
(NLLS nonlinear least squares)
.

(
, ).
946

0.8

956

0.4

947

0.3

957

0.2

948

1.1

958

0.6

949

0.9

959

0.9

950

1.8

960

0.3

951

1.2

961

0.7

952

1.2
11.4

962

0.6

963

0.7

964

0.5

953
954

1.2

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955

0.5

15

0.9

965

:
12.0

11.5

11.0

10.5

10.0
46

48

50

52

54

56

58

60

62

64

, ,
Autocorrelati
on
. |***

Partial
Correlation

. |***
.429

. |***

. |**
.366

. | .

**| .
.059

. | .

. | .
.016

*| .

*| .
0.156

**| .

**| .
0.255

***| .

*| .
0.321

. *| .

. |*
0.133

A
PAC
0
.429
0
.222
0
0.204
0
0.034
0.129
0.195
0.123
.175

Q-Stat Prob
0
.2694
0
.5350
.6255
.6324
.3498
0.393
3.879
0
4.523

4
.039

7
.023
7

0
.054
0

7
.106

8
.138
1

0
.109
0

1
.053

1
.069

,
2/T = 2/20 = 0.447. 0.447
. ,
,
MA(0)
X0 = + t .
, , ACF
1 . ,

AR(1) MA(1). ,
: , ,
. -
,
, , ,

.
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16

,
,
, -
, .

,
1940 1945 ( ).
1940 1965 :
12
11

10
9
8

7
40

42

44

46

48

50

52

54

56

58

60

62

64

1942 1944 ..
1940 1965 .
1946 1965 ..
AR(1), , , (1) = a1.

(1) r(1) = 0.429,
a1. ,
AR(1)
, .
Dependent Variable: X
Method: Least Squares
Sample(adjusted): 1947 1965
Included observations: 19 after adjusting endpoints
Convergence achieved after 3 iterations
Variable

Coef
.

Std.
Error

10.8
1451

AR(1)

0.159
261

0.43
0515

R-squared

Pro
b.

67.90
445

0.219
257

0.18
4864

tStatistic

0.0
000

1.963
522

0.0
662

Mean dependent
var

10.
81053

Adjusted
R0.13
S.D. dependent
0.4
squared
6915
var
25434
S.E.
of
0.39
Akaike
info
1.0
regression
5238
criterion
80645
Sum squared
2.65
Schwarz criterion
1.1
resid
5627
80060


a1 .
MA(1), (1) = b1/(1 + b12).
(1) r(1) = 0.429
b1/(1 + b12) = 0.429. 0.567 1.704.
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17

MA(1) ;
MA(1) . MA(1)
(backcasting) .
Dependent Variable: X
Method: Least Squares
Sample: 1946 1965
Included observations: 20
Convergence achieved after 13 iterations
Backcast: 1945
Variable

Coef
.

Std.
Error

10.8
1379

MA(1)

0.113
355

0.28
0610

R-squared

Pro
b.

95.39
726

0.228
102

0.0
000

1.230
195

0.11
7961

tStatistic

0.2
345

Mean dependent
var

10.
81000

Adjusted
R0.06
squared
8959
var
S.E.
of
0.39
regression
9561
criterion
Sum squared
2.87
resid
3684
Log likelihood
8.977395
Durbin-Watson
1.78
stat
9895

S.D.

dependent

0.4
14094

Akaike

info

1.0
97739

Schwarz criterion

1.1
97313

F-statistic

2.4
07257

Prob(F-statistic)

0.1
38178

b1
. P t- F- b1 .
,
, 20
.
1945
, :
Dependent Variable: X
Method: Least Squares
Sample: 1946 1965
Included observations: 20
Convergence achieved after 24 iterations
Backcast: OFF
Variable

Coef
ficient

10.8
1515

MA(1)

0.27

R-squared

0.229

0.11
R-

0.0
000

1.195
405

0.2
474

Mean dependent
var

0.06

Pro
b.

96.06
431

231

6800

tStatistic

0.112
582

4024

Adjusted

Std.
Error

10.
81000

S.D.

dependent

0.4

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squared
7734
var
S.E.
of
0.39
regression
9824
criterion
Sum squared
2.87
resid
7464
Log likelihood
8.990543
Durbin-Watson
1.77
stat
8286

18

14094
Akaike

info

1.0
99054

Schwarz criterion

1.1
98628

F-statistic

2.3
80443

Prob(F-statistic)

0.1
40261

3.3.


, .. ,
( )
.

, H0 ,
, , t
.
ARMA(p, q)
a(L) Xt = b(L) t ,
..
Xt = a1 Xt1 + + ap Xtp + t + b1 t1 + + bq tq ,

a ( L) X = b( L) ,
t

a ( L) = 1 a1 L K a p Lp ,
b( L) = 1 + b1 L + K + bq Lq .

MA ARMA(p, q) ,
a ( L)
t =
Xt ,
b( L )
t a(L) b(L)

a ( L)

b( L) , :

t =

a ( L)
Xt .
b( L)

, , ,
-
.
t
t . C, t ,
.

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19

, [Bartlett (1946)] [Box,


Pierce (1970)]
t
T k

r (k ) =


t =1
T

t t+k

2
t

t =1


QBP = T

r (k ) (Q- ).
2

k =1

, QBP ,
2(M p q), , T M ,
(M/T) . ,
QBP > 20.95(M p q).
, T

QBP 2(M p q).


[Ljung, Box (1978)], ,
M ( M + 5)
E (QBP ) ( M p q )
.
2T + 2
M(M + 5)/(2T + 2) ,
,
2
(M p q) .
.

QBP 2(E(QBP)) ,
E(QBP) (
).
D(r(k)) (1/T)
(T k)/(T2 + 2T). Q-
QLB

r2
= T (T + 2)
,
k = 1 (T k )
M

2(M p q), QBP ,


T QLB 2(M p q),
QBP . ,

; M . ,

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

t
, .
t .
.)

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20

EVIEWS ARMA
P- Q
.
AR(1) A(1)
.
AR(1):
A
A
P
CF
ACF
C
PAC Q-Stat Prob
*| .

*| .

. |**

. |**

*| .

*| .

. |*

. | .

*| .

. | .

*| .

*| .

**| .

**| .

. | .

. | .

. | .

|*

*| .

**| .

. | .

. | .

*| .

*| .

0
0.096 0.096 .2033
0
0
1
.271 .265 .9334 .164
2
0.116 0.078 .2687 .322
0
2
.076 0.008 .4232 .489
2
0.099 0.049 .7024 .609
3
0.125 0.175 .1852 .671
5
0.257 0.260 .3801 .496
0
0
5
.019 .051 .3928 .612
0
0
5
.047 .189 .4826 .705
6
0 0.178 0.259 .8945 .648
0
6
1 .040 0.050 .9748 .728
8
2 0.187 0.132 .9579 .626

MA(1):
A
P
A
CF
ACF
C
PAC Q-Stat Prob
. |*
0
0
0
. |*
.100 .100 .2306
0
0
3
. |*** . |***
.365 .358 .4838 .062
3
. | .
*| .
0.050 0.127 .5491 .170
0
3
. | .
*| .
.058 0.068 .6417 .303
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. . .. www.iet.ru

*| .

*| .

*| .

*| .

*| .

**| .

*| .

. |*

. | .

. |*

4
0.139 0.088 .2051 .379
5
0.169 0.182 .1071 .403
7
0.277 0.199 .6991 .261
0
7
0.066 .094 .8603 .345
0
7
0.021 .159 .8772 .446
9
0 0.187 0.302 .4191 .400
0
9
1 .002 0.042 .4192 .493
1
2 0.187 0.104 1.338 .415

.
*| .

**| .

. | .

. | .
.

*| .

21

*| .

P- QLB 0.05,
, t
, . ,
t : P- Jarque Bera ,
, 0.480 0.608.
.

, ,
() .
, t1, , tn X t 1 , K, X t n
.
,
. ,
()
.
[Lomnicki (1961)].
mk =

1 T
(X t X )k ,

T t =1

G1 =

m3
m
, G2 = 42 3 .
3/ 2
m2
m2

, Xt
, T G1 G2

D(G1 ) =

6
T

3 (k ) , D(G2 ) =

k =

24 4
(k ) .
T k =
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22

,
(k) r(k).
D (G1 ), D (G2 ),
G1 =

G1
, G2 =

D(G )
1

G2
,
D (G2 )

,
.
, T

(G ) + (G )
2
1

2
2

2 (2) .

, ,
T

G2 .
, (
). ,

(G ) + (G ) , AR
2
1

2
2

MA, .. Xt ,
.
,
Xt , ,
Xt . AR MA
t , , ,
, ,
N(0, 2).
, :
6
24
D(G1 ) = , D(G2 ) =
,
T
T
(.. (k) = 0 k 0),
G
G
G1 = T 1 , G2 = T 2 ,
6
24

G2 G2
= T 1 + 2 ,
24
6
,
Jarque Bera [Jarque, Bera (1980)].
, Jarque Bera
(
), ,
, , , .
-, EVIEWS
T (T K), K
, .
, .
,
.
?

(G ) + (G )
2
1

2
2

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23

T (p, q)
ARMA, ,
,
.

, ,
. ,

,
.

MA(1) AR(1)
, , H0 : a1 = 0 AR(1)
H0 : b1 = 0 A(1) . ,
MA(0)
Xt = + t .
, :
Variable

Coef
.

Std.
Error

10.8
1000

R-squared

0.092
594

0.00
0000

tStatistic

Pro
b.

116.7
460

0.0
000

Mean dependent
var

Adjusted
R0.00
squared
0000
var
S.E.
of
0.41
regression
4094
criterion
Sum squared
3.25
resid
8000
Log likelihood
10.23258 stat

10.
81000

S.D.

dependent

0.4
14094

Akaike

info

1.1
23258

Schwarz criterion

1.1
73045

Durbin-Watson

1.1
38735

,
,
AR(1) MA(1). ,
(1) part(1),
, ,
.
, ,
.
,
, ,
.
[Sargan, Bhargava (1983)] . ,
0.05 T= 21 1.069. ,
, MA(0).
MA(0), MA(1) AR(1) .
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M
A(0)

M
A(1)

1
.123

IC

A
R(1)

1
.098

24

1
.081

.173
.197
.180
AR(1),
MA(0).
:
,
.
IC

. 3.1
Xt = 1.2 Xt1 0.36 Xt2 + t . ,
, ()
. AR 4, 3, 2 1 AIC SIC
.

.
Dependent Variable: X
Sample(adjusted): 3 500
Included observations: 498 after adjusting endpoints
Convergence achieved after 3 iterations
Variable

Coef
.

Std.
Error

0.00
1015

AR(1)

0.330
958

1.25

AR(2)

tStatistic
0.003
067

0.041

6580

257

0.397095

290

0.041

Pro
b.
0.9
976

30.45

0.0

723

000

9.617188

000


AC
PA
A
CF
C
PAC Q-Stat Prob

.|.

.|.

.|.

.|.

.|.

.|.

.|.

.|.

0.0

0
0.003 0.003 .0042
0
0.005 0.005 .0165
0
0
0
.000 .000 .0165 .898
0
0
0
.036 .036 .6866 .709
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.|.

*|.

.|.
|

0
0
1
.037 .037 .3675 .713
5
0.086 0.085 .0736 .280
0
0
5
.005 .005 .0882 .405
5
0.004 0.006 .0977 .531
5
0.002 0.004 .0993 .648
6
0 0.054 0.050 .5887 .582
6
1 0.014 0.008 .6897 .669
0
0
6
2 .019 .011 .8676 .738

*|.

.|.

.|.

.|.

.|.

.|.

.|.

.|.

.|.

.|.

.|.

.|.

.|.

25

P- QLB 0.05, ,
t ,
. t (P-
Jarque Bera 0.616). ,
Xt
,
AR(2) .
,
Dependent Variable: X
Sample(adjusted): 3 500
Included observations: 498 after adjusting endpoints
Convergence achieved after 2 iterations
Variable

Coef
.

AR(1)
AR(2)

Std.
Error

1.25

tStatistic

0.041

6581

215

0.397096

248

0.041

Pro
b.

30.48

0.0

807

000

9.627056

000

0.0

S.E.
of
1.03
Akaike
info
2.9
regression
6707
criterion
1398
Sum squared
533.
Schwarz criterion
2.9
resid
0816
3089
Inverted
AR
.63
.63+.05i
Roots
-.05i

.
AR(2), AR(3) AR(4) P ,
AR(2).

AR(2)

Xt 1
1.26

Xt 2
0.40

Xt 3

Xt 4

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26

1.25
0.39
P = 0.87
AR(3)
1.25
0.40
P = 0.72
P = 0.56
AR(4)
,
,
, ,
. AR(2)
.
, , .
, AR(2),
, a(z) = 0 , .. 1 1.2 z + 0.36 z2 = 0 ,
z = 5/3 1.67. ,
, . , ,
, ,
,
. 0.63 0.05i ,
z = 1.58 0.125i . , ,
() a(z) = 0 ,
, , AR(2)
.

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4.

, , ,

.

4.1.
1 , ,
,
( A, A, B, C),

.
, .
AR(p)
yt = + a1 yt 1 + a2 yt 2 + + ap yt p + t ,
t , D(t) =2.

yt = xtT + t ,

xt = (1, yt 1, yt 2, , yt p)T , = ( , a1 , a2 , , ap)T .


, A
B. s xt s t ,
s = t 1, t 1 yt 1,
xt . , A B.
, A C.
,
X N(0, 2V ) ()
V ( A ).
xt + 1 = (1, yt , yt 1, , yt p + 1)T xt t
.
, AR(p) , :
D
yt
yt = + a1 yt 1+ a2 yt 2 + + ap yt p + t

(t );

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1 a1z a2 z2 ap z
;
t ~ i.i.d., E( t) = 0, D( t) = 2 > 0, E( t4) = 4 < .

= 0

, n
= ( , a1 , a2 , , ap), n ,

n 1/2 ( ) N(0, 2Q 1 ) ,
n

Q ,
yt .
2 Q1

2
Sn (XnTXn n)1 , ,
, n N(,
Sn2(XnTXn ) 1). ( Xn n
.)
,
,
.
,
, ,

. .
yt
yt = + t + t ,
t ~ i.i.d., E( t) = 0, D( t) = 2 > 0, E( t4) = 4 < .

yt = xtT + t , xt = (1, t)T , = (, ),

n = ( n , n ),

: ( ) T 1/2 , ( ) T
3/2

. ,
n n . ,
N(0, 1) . ,
,
.


t-

.
C E
yt
yt = + t + a1 yt 1 + a2 yt 2 + + ap yt p + t (t );
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1 a1z a2 z2 ap z p = 0
;
t ~ i.i.d., E( t) = 0, D( t) = 2 > 0, E( t4) = 4 < .
t- qF
( q , F F
)
N(0, 1) 2(q) .
, .

,
,
,
.

y = X + , X = Xn ,
, ,
yt = xtT + t , t = 1, 2, , n ,

xt = (xt1, xt2, , xtp)T


p t- , n
= ( 1 , 2 , , p)T ,
n . (., , [Green (1997)]),

n n :
1 n

plim
xt t = 0

n t =1

[ : plim (n 1 XnT ) = 0];


1 n

plim xt xtT = Q
n t =1

[ : plim(n 1 X nT X ) = Q ] , Q
;
1 n

xt t N 0, 2Q

n t =1

[ : (n 1/2 XnT ) N(0, 2Q)].


( plim ;
.) , n ,
D,
n ( ) N(0, 2Q 1 ).
n

[Mann, Wald (1943)] ( ).


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1 n

plim xt xtT = Q
n t =1

[ : plim (n 1 XnT X ) = Q] , Q
,
t ~ i.i.d., E( t) = 0, D( t) = 2 > 0, E t m < m = 1, 2, ,
E(xt t) = 0, t = 1, 2, , n ,

, n
n .
, E(xt t) = 0, t = 1, 2, , n , E( t) = 0, ,

Cov(xt k , t) = 0 k = 1, 2, , p ,
.. t
. E t m < m = 1, 2, ,
, , t .
.
F

yt = xtT + t , t = 1, 2, , n ,

xt = (xt1, xt2, , xtK)T


K t- , n
= ( 1, 2 , , K), n
. :
1
1 n

plim xt xtT = Q .. plim X nT X n = Q ,


n n t =1
n n

Q ,
t ~ i.i.d., E( t) = 0, D( t) = 2 > 0, E t m < m = 1, 2, ,
Cov(xt k , t) = 0 k = 1, 2, , K .
n
n ( ) N(0, 2Q 1 ).

, xt (K-) ,

E(xt) = = const , Cov(xt) = Q , Cov(xt k , xt +s, l) = kl (s)


t, s k, l = 1, 2, , K. ( kl (s) -
k- l- xt , s .
s , kl (s) s , kl (s) k- l- xt .)
, F,
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Cov(xt) = Q
xt xtT t = 1, 2, , n .
F ARX
:
yt = a1 yt 1 + a2 yt 2 + + ap yt p + ztT + t ,

zt = (zt1, zt2, , ztM)T , = (1 , 2 , , M)T.


F ,
xt = (yt 1, yt 2 , , y t p, z1 , z2 , , z M)T ,
= (a1 , a2 , , ap , 1 , 2 , , M)T .
:
zt (M-) ;
1 n

plim
z t ztT = QZ ,
n n
t =1

QZ ;

t ~ i.i.d., E( t) = 0, D( t) = 2 > 0, E t m < m = 1, 2, ;


Cov(zt m , t) = 0 m = 1, 2, , M ;
Cov(yt j , t) = 0 j = 1, 2, , p ;

a(z) = 1 a1 z a2 z2 ap zp = 0
.
(. [Green (1993)]) F, n
1/2
n ( ) N(0, 2Q 1).
n

, a(z) = 0,
ARX. ,
(..
t )
(long-run) yt , zt1, zt2, , ztM ,
.
4.2.

ARX ,
(
ADL )
yt = 0 + a1 yt 1 + a2 yt 2 + + ap yt p +
+ (10 x1, t + 11 x1, t 1 + + 1r x1, t r ) +
+ +
+ (s 0 xs, t + s 1 xs, t 1 + + s r xs, t r) + t .
ADL(p,r; s), p
yt , r x1, t , x2, t ,
, xs, t , yt , s
. ,
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ij ,
xi, t .
ADL(p,r; s)
a(L) yt = + b1(L) x1, t + + bs(L) xs, t + t ,

a(L) = 1 a1 L a2 L 2 ap L p,
bi(L) = i 0 + i 1L + + i r L r , i = 1, , s .
, yt
1
1
1
1
yt =
b1 ( L) x1, t + K +
bs ( L) xs , t +
+
t ,
a( L)
a( L)
a( L)
a( L)

yt =

1
1
+ c1 ( L) x1, t + K + c s ( L) x s , t +
t ,
a ( L)
a( L)

ci ( L ) =

bi ( L)
.
a ( L)

,
yt
L = 1, t 0.

1
yt =
+ c1 (1) x1, t + K + cs (1) xs , t ;
a(1)
, t :
1
y=
+ c1 (1) x1 + K + cs (1) xs .
a(1)

1(1) , , s(1)

(long-run multipliers).
ADL(1, 1; 1),
(1 1L) yt = + 0 xt + 1 xt 1 + t .
1 < 1
1
1
yt =
+
( x + x + ) ,
(1 1L ) (1 1L ) 0 t 1 t 1 t
..
yt = (1 + 1 + 12 + ) + (1 + 1 L + 12 L2 + )(0 xt + 1 xt 1 + t),
:
yt xt = 0 ,
yt +1 xt = yt xt 1 = 1 + 1 0 ,
yt +2 xt = yt xt 2 = 1 1 + 120 ,
yt +3 xt = yt xt 3 = 121 + 130 ,

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.. ,
()

xt

yt . ,
:
yt xt + yt xt 1 + yt xt 2 + yt xt 3 + =
= 0 (1 + 1 + 12 + ) + 1(1 + 1 + 12 + ) =
= (1 1L) 1(0 + 1).
, ,
ADL(1, 1; 1).
,

yt

xt .

, ADL
, .
,
(
. . 4.1, F):
t- N(0,1) .
F F- q
, qF
2 q .


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

.

t
, .
,
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d d = 2,

( t ).

ADL(3, 2; 1)
(1 0.5L 0.1L 2 0.05L 3) yt = 0.7 + (0.2 + 0.1 L + 0.05L 2) xt + t .
y x L =
1 t 0:
(1 0.5 0.1 0.05) y = 0.7 + (0.2 + 0.1 + 0.05) x ,
.. 0.35 y = 0.7 + 0.35 x ,
y=2+x.
xt
= 0.7xt1 + xt , xt ~ i.i.d. N(0, 1), yt ,
ADL(3, 2; 1), t ~ i.i.d. N(0, 1), t

xt .
: x1 = 0, y1 = y2 = y3 = 0.
6
4
2
0
-2
-4
10

20

30

40

50

60

70

80

90

100

, ,
. yt = + xt + t
; yt = 1.789 + 0.577xt +
et , et . :
4
2
0
-2
-4
-6
10

20

30

40

50

60

70

80

90

100

DELTA

,

ACF
PAC
F
C
PAC Q-Stat Prob
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0
4
.696 9.981 .000
.
.
0
7
|****
|*
.536
.099 9.868 .000
.
*|
9
|***
.
.364 0.081 3.801 .000
.
. |
9
|**
.
.227 0.056 9.279 .000
.
. |
1
|*
.
.130 0.015 01.10 .000
. |
. |
1
.
.
.057 0.020 01.46 .000
, P 0.0000. , ,
.
.
xt
ACF
PACF
AC
PAC
Q-Stat
Prob
|*****

|*****

.696

. |*****
. |*****
0.686
0.686
48.468
. |***
*| .
0.429
-0.079
67.594
. |*
*| .
0.193
-0.132
71.527
.|.
*| .
0.024
-0.066
71.591
*| .
|.
-0.058
0.003
71.958
*| .
*| .
-0.140
-0.107
74.090
xt AR(1).
yt
ACF PACF
AC
PAC Q-Stat
Prob
.

. |******

0.767

0.767

60.58 0.000

. |*

0.629

0.100

101.75 0.000

.|.

0.494 -0.042

127.37 0.000

.|.

0.399

0.019

144.32 0.000

.|.

0.318 -0.003

155.21 0.000

.|.

0.257

162.38 0.000

0.000
0.000
0.000
0.000
0.000
0.000

|******
|*****
|****
|***
|**
0.004

|**
AR(1).
ADL
, :
yt = + a1 yt 1 + 0 xt + 1 x t 1 + t .
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10

ADL(1, 1; 1), :
Dependent Variable: Y
Variable Coefficient Std. Error t-Statistic Prob.
C
Y(-1)
X
X(-1)

0.558588
0.695204
0.208971
0.161690

0.157276
0.066095
0.126135
0.132352

3.55163
10.51828
1.65673
1.22166

0.0006
0.0000
0.1009
0.2249

(P-
AR(1) 0.164),
t (P- Jarque Bera =
0.267), (P- = 0.159),
, ,
,
t- F-.
H0: 0 = 1 = 0 F
P- 0.0032;
2(2) P- 0.0022.
. xt1 ,
P-,
xt , :
Dependent Variable: Y
Variable
Coefficient Std. Error
C
Y(-1)
X
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.517868 0.154098
0.719738 0.063131
0.310343 0.095241
0.637523
0.629971
1.039901
103.8138
-142.8251
2.256404

t-Statistic

Prob.

3.360648
11.40064
3.258511

0.0011
0.0000
0.0015

Mean dependent var


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

1.844751
1.709520
2.945962
3.024602
84.42207
0.000000

,
.
x t 1, x t ,

Dependent Variable: Y
Variable
Coefficient Std. Error
C
Y(-1)
X(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.567821 0.158600
0.692523 0.066673
0.305939 0.100582
0.632818
0.625169
1.046627
105.1611
-143.4634
2.221594

t-Statistic

Prob.

3.580215
10.38690
3.041698

0.0005
0.0000
0.0030

Mean dependent var


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

1.844751
1.709520
2.958857
3.037497
82.72550
0.000000
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11


xt1 , . ,
.
,
(1 0.720 L) yt = 0.518 + 0.310 xt + et .
L = 1
et 0, : 0.28 yt = 0.518 + 0.310 xt ,

y = 1.839 + 1.107x .
, , . ,
, ADL(3, 2; 1).
, :
Dependent Variable: Y
Variable
Coefficient Std. Error t-Statistic
C
Y(-1)
Y(-2)
Y(-3)
X
X(-1)
X(-2)

0.539617
0.590293
0.153936
-0.031297
0.205570
0.191959
-0.024779

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

0.643818
0.620072
1.051648
99.53667
-138.8891
1.999213

0.174057
0.105583
0.120517
0.099814
0.129483
0.153608
0.138389

3.100239
5.590795
1.277303
-0.313555
1.587626
1.249666
-0.179053

Mean dependent var


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

Prob.
0.0026
0.0000
0.2048
0.7546
0.1159
0.2147
0.8583
1.882787
1.706160
3.008022
3.193826
27.11327
0.000000

y x
, , :
y = 1.882 +1.300 x ,
, ,
. ,
.
4.3.


(VAR vector autoregression).
y1t y2t
:
y1t = 1 + 11.1 y1, t 1 + 12.1 y2, t 1 + 1t ,
y2t = 2 + 21.1 y1, t 1 + 22.1 y2, t 1 + 2t ,
.. , , y1t
y1,t1 , y2,t1 y2t .
1t 2t :
Cov(jt , ls) = 0 t s j , l = 1, 2 ;
Cov(jt , yl, t r) = 0 r 1 j , l = 1, 2 .
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12

, 1t 2t
.

y1t y2t .
, ,
. p ,
VAR(p).
k y1t, y2t, , ykt .
p ,

y1t = 1 + 11.1 y1, t 1 + 11.2 y1, t 2 + + 11.p y1, t p +
+ 12.1 y2, t 1 + 12.2 y2, t 2 + + 12.p y2, t p +
++
+ 1k. 1 yk, t 1 + 1k. 2 yk, t 2 + + 1k.p yk, t p + 1t ,

y2t = 2 + 21.1 y1, t 1 + 21.2 y1, t 2 + + 21.p y1, t p +


+ 22.1 y2, t 1 + 22.2 y2, t 2 + + 22.p y2, t p +
++
+ 2k.1 yk, t 1 + 2k.2 yk, t 2 + + 2k.p yk, t p + 2t ,
...
yk t = k + k1.1 y1, t 1 + k1.2 y1, t 2 + + k1.p y1, t p +
+ k2.1 y2, t 1 + k2.2 y2, t 2 + + k2.p y2, t p +
++
+ kk. 1 yk, t 1 + kk. 2 yk, t 2 + + kk.p yk, t p + kt ,
ij.r - yj, t r yi t .
1t , 2t , , kt ,
Cov(jt , ls) = 0 t s j , l = 1, , k ;
Cov(jt , yl, t r) = 0 r 1 j , l = 1, , k ;
Cov(jt , lt) .
C 1t , 2t , , kt t = (1t , 2t , ,
T
kt) ,
y1t, y2t, , ykt .
()
Yt 1 = ( y1, t 1 , y1, t 2 , , y1, t p , , yk, t 1 , yk, t 2 , , yk, t p) .

VAR(1) (k = 2, p = 1):
y1t = 0.6 + 0.7 y1, t 1 + 0.2 y2, t 1 + 1t ,
y2t = 0.4 + 0.2 y1, t 1 + 0.7 y2, t 1 + 2t .
y1t,
y2t t = 2, 3, , 100.

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13

y11 = y21 = 0; 1t 2t
, N(0, 0.12).
6
5
4
3
2
1
0
10

20

30

40

50

60

Y1

70

80

90

100

Y2

(y1t y2t).
0.8

0.6

0.4

0.2

0.0
10

20

30

40

50

60

70

80

90

100

Y1-Y2

, :
. ,
y1t y2t
0.4 ( y1t y2t 0.403).
y1t , y2t VAR .
, VAR
, , .
VAR(p) k
yt = + 1 yt 1 + 2 yt 2 + + p yt p + t .

yt = (y1t , y2t , , ykt )T , = ( 1, 2, , k )T , t = (1t , 2t , , kt)T ,


r = ( ij.r ) k k y1, t r , y2, t r , , yk, t r
k .

yt 1 yt 1 2 yt 2 p yt p = + t ,
(Ik 1 L 2 L2 p Lp) yt = + t ,

A(L) yt = + t ,

A(L) = Ik 1 L 2 L2 p Lp .
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14

VAR :
k
det(Ik z 1 z2 2 zp p) = 0 (.. det A(z) = 0)
(..
k ).
,
, y 1 , y2 , , y p
.
L = 1 t = 0 .

A(1) yt = ,

yt = A 1(1) .

VAR(1)
y1t = 0.6 + 0.7 y1, t 1 + 0.2 y2, t 1 + 1t ,
y2t = 0.4 + 0.2 y1, t 1 + 0.7 y2, t 1 + 2t .

yt = + 1 yt 1 + t ,

y

0.6
0.7 0.2
, t = 1 t ,
yt = 1 t , = , 1 =
0.4
0.2 0.7
y2 t
2t

A(L) yt = + t ,

1 0 0.7 L 0.2 L 1 0.7 L 0.2 L


,
=

A( L) = I 2 1 L =
0 1 0.2 L 0.7 L 0.2 L 1 0.7 L

6 4
0.3 0.2
.
, A 1 (1) =
A(1) =
0.3
4 6
0.2
det A(z) = 0
1 0.7 z 0.2 z
= 0 ,
det A( z ) =
0.2 z 1 0.7 z
.. (1 0.7 z)2 (0.2 z)2 = 0 , (1 0.9 z)(1 0.5 z) = 0 . z = 1/0.9
z = 1/0.5 1, .. .
()
6 4 0.6 5.2
= .
yt = A 1 (1) =
4 6 0.4 4.8
,
y1t = 5.2, y2t = 4.8,
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15

y1t y2t
y1 y2 = 0.4 .
, , , y1t
5.2, y2t
4.8; (y1t y2t) 0.4 .
VAR(1)
.
, , ,
VAR, VAR,
,
( ),
( ).
, - ,
,
. ,
.
, VAR .
VAR
A(L) yt = + B(L) xt + t ,

A(L) = I 1 L 2 L2 p Lp
B(L) .
detA(z) = 0
, ,

yt = A 1(L) + (L) xt + A 1(L) t ,
(L) = A 1(L)B(L) (transfer function).
(L) ;
.
(, , long-run )
, L = 1
t 0. :
yt = A 1(1) + (1) xt .
(1) . ( i ,
j)- cij(1) xjt yit
(. .
4.2).

VAR(1)
VAR
y1t = 0.6 + 0.7 y1, t 1 + 0.2 y2, t 1 + 0.1 x1, t 1 + 0.2 x2, t + 1t ,
y2t = 0.4 + 0.2 y1, t 1 + 0.7 y2, t 1 + 0.2 x1, t + 0.4 x2, t 1 + 2t .
A(L) , ,
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16

0.1 L 0.2
0 0.2 0.1 0
,
L =
+
B( L) = B0 + B1 L =
0.2 0.4 L
0.2 0 0 0.4

0.1 0.2
.
B(1) = B0 + B1 =
0.2 0.4

6 4 0.1 0.2 1.4 2.8
,
=

C (1) = A1 (1) B(1) =


4 6 0.2 0.4 1.6 3.2

y1 5.2 1.4 2.8 x1
= +
,
y2 4.8 1.6 3.2 x2
..
y1 = 5.2 + 1.4 x1 + 2.8 x2 ,
y2 = 4.8 + 1.6 x1 + 3.2 x2 .

, x1, t x2, t AR(1) ,
x1, t = 0.7 x1, t 1 + 1t , x2, t = 0.5 x2, t 1 + 2t ; 1t 2t ~ i.i.d. N(0, 1).

x11 = x21 = 0, y11 = y21 = 0 ( 1)
x11 = x21 = 0, y11 = 5.2, y21 = 4.8 ( 2).
:
Variant 1

Variant 2

7
6

6
5
4

4
3

2
2
0

1
10

20

30

40

50
Y1

60

70

80

90

100

10

Y2

20

30

40

50
Y1

60

70

80

90

100

Y2

, -
, ,
.
.
VAR(1) :
y1t = 0.8 y1, t 1 + 0.2 y2, t 1 + 1t ,
y2t = 0.2 y1, t 1 + 0.8 y2, t 1 + 2t .

y1t 0.8 L 0.2 L y1t 1t
=
+ ,
y2t 0.2 L 0.8L y2t 2t
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17


1 0.8L 0.2 L
.
A( L) =
0.2 L 1 0.8L

0.2 0.2
,
A(1) =
0.2 0.2
, A 1(1) .
det A(z) = 0 (1 0.8 z)2 (0.2 z)2 = 0, ..
(1 z)(1 0.6 z) = 0.
(1/0.6) 1. , 1,
. ?
.
2
0
-2
-4
-6
-8
10

20

30

40

50

60

Y1

70

80

90

100

Y2

. ,
-
y11 =
y21 = 0.
,
: y11 = y21 = 5.
8
6
4
2
0
-2
10

20

30

40

50
Y1

60

70

80

90

100

Y2

- ,
VAR .

4.4.

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18

, ,
ADL(1,1;1)
yt = + a1 yt 1 + 0 xt + 1 x t 1 + t .
, ,
.

= (a1 , 0 ,1) .
,

ADL(1,1;1)

. 9 .
(1) (a1 = 1 = 0): yt = + 0 xt + t .
yt xt ;
yt 1 x t 1 yt .
,
, , ,
t
.
(2) (0 = 1 = 0): yt = + a1 yt 1 + t .
yt yt 1 ; xt
t (t 1) yt .

- ,
,
yt .
(3) (a1 = 0 = 0):
yt = + 1 x t 1 + t .
,
y x
. , ,
1 .
, ,
. , -
y .
(4) (a1 = 1, 1 = 0)
yt = + 0 xt + t ,
( = 1 L , yt = yt yt 1 , xt = xt xt 1),
, , (
).
.
. ,

.
(5) (a1 = 0)
yt = + 0 xt + 1 x t 1 + t
y .
, ,
xt x t 1 .
(6) (1 = 0)
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19

yt = + a1 yt 1 + 0 xt + t
x .
, , .
y*t = + xt y ,
yt = yt yt 1
yt yt 1 = (1 )( y*t yt 1) + t , 0 1,
..
yt = (1 ) y*t + yt 1 + t ,
, t , yt
y*t
y .
(, yt , xt .)
yt = yt 1 + (1 )( + xt yt 1) + t = (1 ) + yt 1 + (1 ) xt + t ,

yt = + a1 yt 1 + 0 xt + t ,

= (1 ) , a1 = , 0 = (1 ) .

, x t 1 a1 ,
a1 .
(7) , (0 = 0):
yt = + a1 yt 1 + 1 x t 1 + t .
, ,
xt = x t 1 + ut .
xt ADL(1,1;1) :
yt = + a1 yt 1 + 0 xt + 1 x t 1 + t
= + a1 yt 1 + (0 + 1) x t 1 + (t + 0 ut),

yt = + a1 yt 1 + *1 x t 1 + *t .
( )
0 1 , . ..
,
( ADL(1,1;1)).
(8) (1 = a10):
yt = + a1 yt 1 + 0 xt a10 x t 1 + t .

yt a1 yt 1 = (1 a1) + 0 (xt a1 x t 1) + t .

,

yt = + 0 xt + ut , ut = a1 ut 1 + t , a1 < 1.
(9) ( a1 < 1, 0 +1 = b(1 a1), b 0):
yt = + 0 xt (1 a1)( yt 1 b x t 1) + t ,

yt = 0 xt (1 a1)( yt 1 a b x t 1) + t ,
a = (1 a1), b = ( 0 +1) (1 a1).
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20


.

y=a+bx
yt xt
yt 1 a b x t 1
.

() ADL(1,1;1)
yt = + a1 yt 1 + 0 xt + 1 x t 1 + t

yt yt 1 = (1 a1) yt 1 + 0 (xt x t 1) + (0 + 1) x t 1 + t .
a1 < 1 ( ),
yt = + 0 xt (1 a1)( yt 1 ((0 + 1)/(1 a1)) x t 1) + t ,
0 + 1 0 .
, a1 < 1 0 + 1 0
.
.
,
(data generating process DGP).
, -
,
(statistical model SM), , ,
. ,

,

. ,
.
SM DGP,
SM . ,
, SM,
. ,
, ..
, ,
,
.

(n = 100) ADL(1,1,1)
yt = 0.5 yt 1 + 0.2 xt + 0.3 x t 1 + t , t ~ i.i.d. N(0, 0.12),
xt = 0.5 xt 1 + t , t ~ i.i.d. N(0, 0.52),
t t .

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21

1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
10

20

30

40

50
X

60

70

80

90

100

ADL(1,1;1)
:
Dependent Variable: Y
Sample(adjusted): 2 100
Variable
Coefficient Std. Error
C
Y(-1)
X
X(-1)

0.014122
0.555208
0.188567
0.258377

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.913395
0.910660
0.092824
0.818547

0.009556
0.034143
0.018421
0.020673

t-Statistic

Prob.

1.477773
16.26107
10.23666
12.49808

0.1428
0.0000
0.0000
0.0000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.062869
0.310554
-1.876660
-1.771806

, :
Dependent Variable: Y
Sample(adjusted): 2 100
Variable
Coefficient Std. Error
Y(-1)
X
X(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.565569 0.033621
0.190325 0.018495
0.256578 0.020764
0.911404
0.909558
0.093394
0.837363
95.76965

t-Statistic

Prob.

16.82186
10.29043
12.35668

0.0000
0.0000
0.0000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

0.062869
0.310554
-1.874134
-1.795494
2.218619

.
.
.

t (P- = 0.375 AR(1) 0.165 AR(2)
).
Jarque Bera
(P- = 0.689).
(P- = 0.285).

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,
.
,
SM 8 .
SM1 ( ): yt = + 0 xt + t .
:
Dependent Variable: Y
Sample: 1 100
Variable
Coefficient Std. Error
X
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.271208 0.053356
0.174472
0.174472
0.280794
7.805700
-14.37805

t-Statistic

Prob.

5.082965

0.0000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

0.062241
0.309046
0.307561
0.333613
0.839862


.
.
t , ..
.
SM2 : yt = + a1 yt 1 + t .
:
Dependent Variable: Y
Sample(adjusted): 2 100
Variable Coefficient Std. Error t-Statistic Prob.
C
Y(-1)

0.013941 0.020679 0.674149 0.5018


0.764874 0.065621 11.65594 0.0000


,
. t ,
. AR(1) P-
0.00003, t
. ,
.
SM3 : yt = + 1 x t 1 + t .
:
Dependent Variable: Y
Sample(adjusted): 2 100
Variable Coefficient Std. Error t-Statistic Prob.
C
X(-1)

0.049508 0.019722 2.510238 0.0137


0.455497 0.037291 12.21457 0.0000

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23

AR(1) P- 0.0002,
t
.
.
SM4 : yt = + 0 xt + t

Dependent Variable: D(Y)
Sample(adjusted): 2 100
Variable
Coefficient Std. Error t-Statistic Prob.
C
D(X)

-0.001126 0.021384 -0.052674 0.9581


0.040538 0.033362 1.215078 0.2273

Log likelihood
13.74152
Durbin-Watson stat 1.574116

F-statistic
Prob(F-statistic)

1.476415
0.227286

AR(1) P- 0.029,
t
.
.
SM5 :
yt = + 0 xt + 1 x t 1 + t

Dependent Variable: Y
Sample(adjusted): 2 100
Variable Coefficient Std. Error t-Statistic Prob.
C
X
X(-1)

0.046032 0.018096 2.543741 0.0126


0.156214 0.035435 4.408526 0.0000
0.414363 0.035435 11.69370 0.0000

AR(1) P- 0.00000,
t
.
.
SM6 :
yt = + a1 yt 1 + 0 xt + t

Dependent Variable: Y
Sample(adjusted): 2 100
Variable Coefficient Std. Error t-Statistic Prob.
C
Y(-1)
X

0.007088 0.015431 0.459354 0.6470


0.753212 0.048925 15.39514 0.0000
0.253493 0.028588 8.867013 0.0000

AR(1) P- 0.012,

t .
.
SM7 : yt = + a1 yt 1 + 1 x t 1 + t .

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Dependent Variable: Y
Sample(adjusted): 2 100
Variable
Coefficient Std. Error t-Statistic Prob.
C
Y(-1)
X(-1)

0.020438 0.013757 1.485648 0.1406


0.517457 0.048968 10.56734 0.0000
0.318058 0.028613 11.11579 0.0000

S.E. of regression 0.133909


Sum squared resid 1.721440

Akaike info criterion -1.153476


Schwarz criterion -1.074836

P- AR(1)
0.499, AR(2)
0.538.
t ,
. Jarque Bera
(P- = 0.937).
(P- = 0.348).
,
. ,
.
:
Dependent Variable: Y
Variable
Coefficient Std. Error t-Statistic Prob.
Y(-1)
X(-1)

0.532005 0.048276 11.02001 0.0000


0.316252 0.028765 10.99445 0.0000

S.E. of regression 0.134740


Sum squared resid 1.761018

Akaike info criterion -1.150947


Schwarz criterion -1.098520

.
,
.
yt =
a1 yt 1 + 0 xt + 1 x t 1 + t , , xt
( 1.874) ( 1.795)
.
:
SM8
yt = + a1 yt 1 + 0 xt a10 x t 1 + t .
()

Dependent Variable: Y
Sample(adjusted): 2 100
Convergence achieved after 19 iterations
Y=C(1)+C(2)*Y(-1)+C(3)*X-(C(2)*C(3))*X(-1)
Coefficient Std. Error

t-Statistic

Prob.

C(1)
C(2)
C(3)

0.014489
0.749747
0.052577

0.702743
10.68267
1.439066

0.4839
0.0000
0.1534

R-squared
Adjusted R-squared

0.592630
0.584144

0.020617
0.070184
0.036535

Mean dependent var


S.D. dependent var

0.062869
0.310554

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S.E. of regression
Sum squared resid
Log likelihood

0.200267
3.850250
20.25069

Akaike info criterion


Schwarz criterion
Durbin-Watson stat

25

-0.348499
-0.269859
1.447077

AR(1) P- 0.0002,

t .
.
SM (
).
SM9 :
yt = + 0 xt (1 a1)( yt 1 b x t 1) + t .
( ):
Dependent Variable: D(Y)
Sample(adjusted): 2 100
Convergence achieved after 4 iterations
D(Y) =C(1)+C(2)*D(X) + (C(3)-1)*(Y(-1)-C(4)*X(-1))
Coefficient Std. Error

t-Statistic

Prob.

C(1)
C(2)
C(3)
C(4)

0.014122
0.188567
0.555208
1.004839

1.477773
10.23666
16.26107
12.86299

0.1428
0.0000
0.0000
0.0000

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

0.816395
0.810597
0.092824
0.818547
96.89465

0.009556
0.018421
0.034143
0.078119

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

-0.001100
0.213288
-1.876660
-1.771806
2.248395

P- AR(1) 0.130,
AR(2) 0.318;
t . Jarque Bera
(P- = 0.711).
(P- = 0.380).
,
. , ,
; :
Dependent Variable: D(Y)
Convergence achieved after 3 iterations
D(Y) =C(2)*D(X) + (C(3)-1)*(Y(-1)-C(4)*X(-1))
Coefficient Std. Error

t-Statistic

Prob.

C(2)
C(3)
C(4)

0.190325
0.565569
1.028710

10.29043
16.82186
12.82279

0.0000
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.812174
0.808261
0.093394
0.837363

0.018495
0.033621
0.080225

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

-0.001100
0.213288
-1.874134
-1.795494

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Log likelihood

95.76965

Durbin-Watson stat

26

2.218619

..
yt = 0.190 xt 0.434( yt 1 1.029 x t 1) + et .
.
yt , :
yt = 0.566 yt 1 + 0.190 xt + 0.253 x t 1 + et .

DGP: yt = 0.5 yt 1+ 0.2 xt + 0.3 x t 1+ t
:
yt = 0.565 yt 1+ 0.190 xt + 0.257 x t 1+ t .

xt
,

yt
:
yt = 0.5 yt + 0.2 xt + 0.3 x t y = x .
, , SM,
DGP:
yt = 0.565 yt + 0.190 xt + 0.257 xt y = 1.002 x .
, , SM9 (
):
yt = 0.566 yt + 0.190 xt + 0.253 x t y = 1.021 x .
, SM7 ( )
, :
yt = 0.532 yt + 0.316 x t y = 0.675 x .
,
SM,
DGP. , SM
.
SM1 SM6 SM8 ,
SM7 .
, , ,
SM () DGP,
, DGP, ,
.
DGP (1) (8), SM
ADL(1,1;1) :
yt = + a1 yt 1 + 0 xt + 1 x t 1 + t .
(1) (8)
, ADL(1,1;1)
yt = 0.5 yt 1+ 0.2 xt + 0.3 x t 1+ t .
DGP t ~ i.i.d. N(0, 0.12).

DGP1 :
yt = 0.2 xt + t .
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27


Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Y(-1)
X
X(-1)

-0.004647
0.102848
0.186813
0.000201

-0.451175
1.009966
9.238033
0.007101

0.6529
0.3151
0.0000
0.9943

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.507795
0.492252
0.102190
0.992068

0.010300
0.101833
0.020222
0.028272

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.001230
0.143412
-1.684398
-1.579545

P- AR(1) 0.760,
AR(2) 0.951,
t . Jarque Bera
(P- = 0.733).
(P- = 0.770).
,
. ,
.
yt 1 x t 1 F-, F =
0.738, qF = 2.214. F- F , P 0.532. 2 (3) qF
P- 0.529.
. ,
yt = + 0 xt + t , :
Dependent Variable: Y
Sample: 1 100
Variable
Coefficient Std. Error

t-Statistic

Prob.

0.190067

9.852604

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.494995
0.494995
0.101522
1.020359

0.019291

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.001935
0.142860
-1.727139
-1.701087


.
, .
DGP2 :
yt = 0.5 yt 1 + t .

Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Y(-1)
X
X(-1)

-0.004519
0.576756
-0.013220
0.021476

-0.438075
6.855173
-0.652774
1.061719

0.6623
0.0000
0.5155
0.2911

R-squared

0.338422

0.010315
0.084134
0.020253
0.020228

Mean dependent var

-0.007891

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Adjusted R-squared
S.E. of regression
Sum squared resid

0.317530
0.102290
0.994011

S.D. dependent var


Akaike info criterion
Schwarz criterion

28

0.123820
-1.682441
-1.577588

P- AR(1) 0.600,
AR(2) 0.773,
t . Jarque Bera
(P- = 0.654).
(P- = 0.956).
xt xt 1
F-, F = 0.641, qF = 1.283.
F- F , P- 0.529.
2 (3) qF P- 0.527.
.
, yt = a1 yt 1 + t ,
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

Y(-1)

0.575922

6.963585

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.328274
0.328274
0.101482
1.009258

0.082705

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

-0.007891
0.123820
-1.727825
-1.701612


.
t .
DGP3 :
yt = 0.3 x t 1 + t .

Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Y(-1)
X
X(-1)

-0.005202
0.052373
-0.012475
0.315962

-0.504767
0.966363
-0.614213
15.30433

0.6149
0.3363
0.5405
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.736662
0.728346
0.102236
0.992959

0.010305
0.054196
0.020310
0.020645

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.004035
0.196154
-1.683501
-1.578647

P- AR(1) 0.614,
AR(2) 0.868,
t . Jarque Bera
(P- = 0.740).
(P- = 0.804).
xt yt 1
F-, F = 0.577, qF = 1.730.
F- F , P- 0.632.
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29

2 (3) qF P- 0.630.
.
, yt = 1 x t 1 + t ,
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

X(-1)

0.315777

16.35987

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.731866
0.731866
0.101572
1.011044

0.019302

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.004035
0.196154
-1.726058
-1.699844


.
t .
DGP4 :
yt = + 0 xt + t .

Dependent Variable: Y
Included observations: 99 after adjusting endpoints
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
Y(-1)
X
X(-1)

-0.029026
0.959750
0.184064
-0.173461

-1.636049
39.61303
9.206520
-8.528162

0.1051
0.0000
0.0000
0.0000

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

0.944972
0.943234
0.101277
0.974412
88.26661
1.745026

0.017741
0.024228
0.019993
0.020340

Mean dependent var


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

-0.599911
0.425076
-1.702356
-1.597502
543.7988
0.000000

yt 1 ,
, DGP a1 = 1.
. , yt ,
,
0.5
0.0
-0.5
-1.0

-1.5
-2.0
10

20

30

40

50

60

70

80

90

100

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30

.
H0: a1 = 1 ,
. ,
yt 1,

yt = + 0 xt + 1 x t 1 + t .
()
, xt
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
10

20

30

40

50

60

70

80

90

100

, yt

0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
10

20

30

40

50

60

70

80

90

100

DELTA

yt .
:
Dependent Variable: D(Y)
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
X
X(-1)

-0.477336
9.186333
-8.916410

0.6342
0.0000
0.0000

-0.004915 0.010297
0.185224 0.020163
-0.179782 0.020163

, ,
, , xt x t 1
. ,

yt = + 0 xt + 1 x t 1 + t
H0: = 0, 0 = 1. F- F - 2(2) qF = 2F ,
P- 0.876. H0 ,

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31

, .. yt = 0 xt + t .
:
Dependent Variable: D(Y)
Variable
Coefficient Std. Error

t-Statistic

Prob.

D(X)

11.49045

0.0000

0.182495

0.015882

P- AR(1) 0.328,
AR(2) 0.605;
t . Jarque Bera
(P- = 0.673).
(P- = 0.988). ,
, ,
DGP.
DGP5
yt = + 0.2 xt + 0.3 xt 1 + t .

Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Y(-1)
X
X(-1)

-0.003282
0.000523
0.181735
0.289502

-0.321584
0.008975
9.097166
11.61638

0.7485
0.9929
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.804020
0.797831
0.101218
0.973283

0.010206
0.058294
0.019977
0.024922

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.010665
0.225113
-1.703515
-1.598661

P- AR(1) 0.972,
AR(2) 0.826;
t . Jarque Bera
(P- = 0.689).
(P- = 0.433).
H0: = 0, a1 = 0 . F- F-
- 2(2) qF = 2F ,
P- 0.950. H0 ,
= 0, a1 = 0, .. yt = + 0 xt + 1 x t 1 + t .
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

X
X(-1)

9.185972
14.64736

0.0000
0.0000

0.181461
0.289367

0.019754
0.019756

DGP6
yt = + 0.5 yt 1 + 0.2 xt + t .
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

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C
Y(-1)
X
X(-1)

-0.005099
0.592041
0.188766
0.000973

0.010263
0.071296
0.020280
0.025019

-0.496869
8.304016
9.308077
0.038898

32

0.6204
0.0000
0.0000
0.9691

P- AR(1) 0.904,
AR(2) 0.723;
t . Jarque Bera
(P- = 0.691).
(P- = 0.533).
H0: = 0, 1 = 0. F- F-
- 2(2) qF = 2F ,
P- 0.884. H0 ,
= 0, 1 = 0, .. yt = + a1 yt 1 + 0 xt + t .
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

Y(-1)
X

0.592666
0.188468

10.45233
9.814814

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.690477
0.687286
0.100924
0.988000

0.056702
0.019202

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.004719
0.180476
-1.728911
-1.676484

DGP7
yt = 0.5 yt 1 + 0.3 xt 1 + t .

Dependent Variable: Y
Variable
Coefficien Std. Error
t

t-Statistic

Prob.

C
Y(-1)
X
X(-1)

-0.573100
13.08387
-0.507807
15.65291

0.5679
0.0000
0.6128
0.0000

-0.005886
0.559497
-0.010318
0.316645

0.010271
0.042762
0.020320
0.020229

P- AR(1) 0.701,
AR(2) 0.827;
t . Jarque Bera
(P- = 0.740).
(P- = 0.586).
H0: = 0, 0 = 0. F- F-
- 2(2) qF = 2F ,
P- 0.734. H0 ,
= 0, 0 = 0, .. yt = a1 yt 1 + 1 xt 1 + t .
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

Y(-1)

13.41452

0.0000

0.561389

0.041849

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X(-1)

0.313207

0.019269

16.25422

0.0000

Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Y(-1)
X
X(-1)

-0.438075
6.855173
9.222532
-3.693770

0.6623
0.0000
0.0000
0.0004

33

DGP8

yt = 0.5 yt 1 + 0.2 xt 0.1 x t 1 + t .
:

-0.004519
0.576756
0.186780
-0.093875

0.010315
0.084134
0.020253
0.025414

P- AR(1) 0.600,
AR(2) 0.773;
t . Jarque Bera
(P- = 0.654).
(P- = 0.682).
:
Dependent Variable: Y
Variable
Coefficien Std. Error
t

t-Statistic

Prob.

Y(-1)
X
X(-1)

6.908866
9.251413
-3.741827

0.0000
0.0000
0.0003

0.578309 0.083705
0.186426 0.020151
-0.094531 0.025263

, yt 1 xt 0.108,
.. x t
1 . , H0: 1 = a10 .
,
.
:
H0: 1 = a10 ; H0: 0 = (1 /a1) ; H0: a 1 = (1 / 0) .
P- 2(1)- 0.515, 0.514
0.506, H0 :
. ,
1 = a10 , .. yt = a1 yt 1 + 0 xt
a10 xt 1 + t .
Dependent Variable: Y
Convergence achieved after 3 iterations
Y =C(1)*Y(-1)+C(2)*X-(C(1)*C(2))*X(-1)

C(1)
C(2)

Coefficient Std. Error

t-Statistic

Prob.

0.575812
0.182370

6.906747
9.543254

0.0000
0.0000

0.083369
0.019110


yt = 0.576 yt 1 + 0.182 xt 0.105 xt 1 + t .

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34

, , DGP
,
(
SM ) ,
DGP. ,
, ,
, DGP,
.

, ..
,
, , ,

.
,
,
.


. , , (
8)
ADL(1,1;1).
yt = + a1 yt 1 + 0 xt + 1 xt 1 + t
, ,
1 = a10 .
, 0 0 ADL(1,1;1)

(1 a1L)yt = 0 1 + 1 L xt + t ,

0

a(L) yt = b(L) xt + t ,

a(L) = 1 a1L , b(L) = 0 1 + 1 L .



0

( = 0.)

a1 =

1
,
0

(1 a1L)yt = 0 (1 a1L) xt + t ,
a(L) b(L) (1 a1L).
,
yt = 0 xt + ut ,

ut =

t
1 a1 L

(1 a1L) ut = t ut = a1 ut 1 + t .
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35

,
, COMFAC (common factors).
1 =
a10 . COMFAC
.
yt = 0 xt + ut

, , .

a(L) yt = b(L) xt + t
; , t
,
.
, a(L) b(L) .
,
H0: a1 = 0 ( ). ,


.
.
H0: t , ,
HA: t ~ AR(k) c k p , ..
t =1 t 1 + + p t p + t ,
t ~ i.i.d. j 0. , ,

yt = a1 yt 1 + 0 xt + 1 xt 1 + 1 t 1 + + p t p + t ,
, , H0: 12 = = p2 = 0 HA:
2
1 + + p2 0 . , LM
.
, . 3.1
. (., , [Kwan, Sim
(1996)].)

H1: 1 = a10 HA: 1 a10 . ,
,
, : 1 = a10 , a1 = 1 0
0 = 1 a1 , .
,
.
, , H1
, , , H2: a1 = 0
.
, , =
0.05.
? :
P{ H1, H2}
P{ H1} + P{ H2} =
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36

= + = 2 .
, = 0.025,
0.05.
, ,
.

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5.


, .
.

(GNP gross national product) 1947 .
1961 . (
60 , ., ).
600

500

400

300

200
48

50

52

54

56

58

60

GNP

. (NONDURABLE)


1974 . 1985 . (
48 , , ):
66000
64000
62000
60000
58000
56000
54000
52000
50000
74 75 76 77 78 79 80 81 82 83 84 85
NONDURABLE

.

, ,
. GNP
Autocorrelation
. |*******
. |*******
. |******
. |******
. |******
. |*****

Partial Correlation
. |*******
.|.
.|.
.|.
.|.
.|.

1
2
3
4
5
6

AC

PAC

Q-Stat

Prob

0.946
0.893
0.840
0.791
0.743
0.696

0.946
-0.021
-0.024
0.013
-0.021
-0.022

56.419
107.52
153.55
195.14
232.52
265.90

0.000
0.000
0.000
0.000
0.000
0.000

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. |*****
. |*****
. |****
. |****
. |***
. |***
. |***
. |**
. |**
. |**
. |*
. |*
. |*
. |*
.|.
.|.
.|.
*| .

.|.
.|.
.|.
.|.
*| .
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.

7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24

0.648
0.599
0.550
0.498
0.442
0.388
0.337
0.291
0.253
0.218
0.182
0.143
0.106
0.069
0.032
-0.003
-0.037
-0.066

-0.030
-0.044
-0.033
-0.052
-0.073
-0.034
-0.002
0.007
0.041
-0.002
-0.034
-0.044
-0.021
-0.039
-0.028
-0.030
-0.021
-0.005

295.41
321.09
343.13
361.57
376.44
388.08
397.06
403.91
409.21
413.22
416.08
417.90
418.92
419.36
419.45
419.45
419.59
420.04

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

NONDURABLE
ACF
. |*******
. |******
. |******
. |*****
. |*****
. |****
. |****
. |***
. |***
. |**
. |**
. |*
. |*
. |*
. |*
.|.
.|.
.|.
.|.
*| .

PACF
. |*******
.|.
.|.
.|.
.|.
.|.
*| .
.|.
*| .
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
*| .
.|.
*| .

AC
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

PAC Q-Stat Prob

0.917 0.917 42.921


0.843 0.014 79.976
0.774 -0.004 111.92
0.704 -0.040 138.99
0.643 0.013 162.09
0.581 -0.041 181.36
0.510 -0.090 196.57
0.439 -0.050 208.14
0.366 -0.066 216.39
0.300 -0.012 222.07
0.246 0.026 225.99
0.196 -0.006 228.56
0.150 -0.013 230.11
0.106 -0.025 230.91
0.072 0.036 231.28
0.041 -0.016 231.41
0.019 0.028 231.43
-0.007 -0.063 231.44
-0.032 -0.018 231.52
-0.062 -0.073 231.85

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

,
ACF PACF
AR(1). ,

Xt = + t + a1Xt 1 + ut .
( ut , t , ut
.)
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.1
GNP:
Dependent Variable: GNP
Method: Least Squares
Sample(adjusted): 1947:2 1961:4
Included observations: 59 after adjusting endpoints
Convergence achieved after 3 iterations
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
T
AR(1)

216.0630
5.269279
0.846976

19.11661
18.70170
11.64665

0.0000
0.0000
0.0000

Inverted AR Roots

11.30237
0.281754
0.072723

.85

: P-
AR(1) 0.0000.
, :
Dependent Variable: GNP
Method: Least Squares
Sample(adjusted): 1947:3 1961:4
Included observations: 58 after adjusting endpoints
Convergence achieved after 3 iterations
Variable

Coefficien Std. Error

t-Statistic

Prob.

217.7399
5.221538
1.380274
-0.630066

5.054473
0.140436
0.109452
0.109453

43.07865
37.18089
12.61078
-5.756490

0.0000
0.0000
0.0000
0.0000

.69 -.39i

.69+.39i

t
C
T
AR(1)
AR(2)
Inverted AR Roots

, , 0.7926,

Xt0 = Xt t .
K GNP .
,
Xt = + t + ut :
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
T

218.4825
5.181995

82.75373
68.84144

0.0000
0.0000

Durbin-Watson stat

0.316211

2.640153
0.075274

Prob(F-statistic)

0.000000

(C) t (T)

(Xt t ) = a1(Xt 1 ( t 1)) + a2(Xt 2 ( t 2)) + ut
(a2 = 0 ).
. AR(1) a1 , AR(2)
a2 .

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, ,
,
Autocorrelation
. |******
. |****
. |*.
.*| .
**| .
***| .
***| .
***| .
**| .
**| .
**| .
**| .

Partial Correlation
. |******
****| .
**| .
.|.
.|.
.*| .
.*| .
.*| .
.|.
.*| .
***| .
. |*.

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

AC

PAC

Q-Stat

Prob

0.836
0.531
0.183
-0.100
-0.272
-0.339
-0.350
-0.332
-0.281
-0.234
-0.234
-0.226

0.836
-0.554
-0.210
0.044
-0.004
-0.082
-0.169
-0.072
0.058
-0.177
-0.321
0.103

44.028
62.115
64.294
64.960
69.949
77.846
86.446
94.332
100.07
104.16
108.32
112.26

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

AR(2).
AR(2) ()
Xt_detrended = Xt 218.4825 5.181995 t :
Variable

Coeff.

Std. Error

AR(1)
AR(2)

1.379966 0.107605
-0.630426 0.107605

t-Statistic

Prob.

12.82435
-5.858722

0.0000
0.0000

,
Xt 218.4825 5.181995 t =
= 1.379966 (Xt1 218.4825 5.181995(t1))
0.630426 (Xt2 218.4825 5.181995(t2)),

Xt = [(1 1.379966 + 0.630426)218.4825


+ 1.3799665.181995 0.6304265.1819952]
+ (1 1.379966 +0.630426) 5.181995 t
+ 1.379966 Xt1 0.630426 Xt2 + et
= 55.338375 +1.297882 t + 1.379966 Xt1 0.630426 Xt2 + et .
,
Xt = + t + a1Xt1 + a2Xt2 + ut

Xt 217.7399 5.221538 t =
= 1.380274 (Xt1 217.7399 5.221538(t1))
0.630066 (Xt2 217.7399 5.221538(t2)),

Xt = [(1 1.380274 + 0.630066)217.7399


+ 1.3802745.221538 0.6300665.2215382]
+ (1 1.380274 +0.630066) 5.221538 t
+ 1.380274 Xt 1 0.630066 Xt 2 + et
= 55.017011 + 1.304298 t + 1.380274 Xt1 0.630066 Xt2 + et ,

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,
, .
,
,
Xt = + t + a1Xt1 + a2Xt2 + ut .
,
.
NONDURABLE.
( Xt t )
Autocorrelation
. |******
. |*****
. |***
. |**
. |*
*| .
**| .
***| .
****| .

Partial Correlation
. |******
.|.
**| .
**| .
.|.
*| .
**| .
*| .
**| .

1
2
3
4
5
6
7
8
9

AC

PAC

Q-Stat

Prob

0.793
0.632
0.432
0.219
0.090
-0.067
-0.242
-0.362
-0.510

0.793
0.011
-0.195
-0.193
0.062
-0.152
-0.277
-0.084
-0.211

32.083
52.942
62.887
65.515
65.965
66.218
69.647
77.505
93.500

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

1,
Xt = + t + a1Xt1 + ut . :
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
T
AR(1)

47962.75
315.1909
0.884803

16.75451
4.122961
10.94727

0.0000
0.0002
0.0000

2862.678
76.44770
0.080824

P-
0.05 M 1 20.
P-, 0.05, AR(1)
, AR(2), AR(3) .. ,
P- Jarque Bera 0.648 ,

Xt 47962.75 315.1909 t =
= 0.884803 (Xt1 47962.75 315.1909 (t1)) + et .
, , .
0.884803
Xt1 ,
0.080824
,
, 0.884803 20.080824
, 1.
.
, , 0.884803
Xt1
(..
AR(1) ),
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,
.
,
,
.
80- 20 , .

,
,
.
,
( )
ARMA ,
.

5.1. ARMA
AR(1)
Xt = a1Xt1 + t .
,
1< a1 < 1. Xt
? a1 = 0.5, a1 =
0.7, a1 = 0.9, a1 = 1, a1 = 1.05, a1 = 1.1.
4

-2

-2

-4

-4
5

10

15

20

25

30

35

40

45

50

10

15

20

a1= 0.5

25

30

35

40

45

50

35

40

45

50

a1= 0.7

2
0

-2
0
-4
-2
-6
-4

-8

-6

-10
5

10

15

20

25

30

a1= 0.9

35

40

45

50

10

15

20

25

30

a1= 1

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5
0
-5
-10
-15
-20
50

100

150

200

250

300

350

400

450

500

a1= 1

10

50
0

-50

-10

-100
-150

-20

-200

-30
-250

-40
5

10

15

20

25

30

35

40

45

50

a1= 1.05

-300
5

10

15

20

25

30

35

40

45

50

a1= 1.1

X1 X1 = 0

1 , , T ,
, :
3
2
1
0
-1
-2
-3
5

10

15

20

25

30

35

40

45

50

NOISE

.
, c
a1 a1 = 0.5 a1 = 1.1. ,
Xt .

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Noise
)

25

0.046

AR(1)
0.5

a1 =

14

0.097

AR(1)
0.7

a1 =

0.191

AR(1)
0.9

a1 =

0.649

AR(1)
1.0

a1 =

3.582

AR(1)
1.05

a1 =

13.511

AR(1)
1.1

a1 =

59.621

a1 a1= 0 ( ) a1= 1
,
,
. a1= 1, 500 ,

Xt = Xt1 + t ,
, , t = 1 Xt
= x1 ( x1 = 0), x1
( x1 ) ,
( ),
.

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,
, ,
.
, AR(1) a1= 1:
Xt = Xt 1 + t
random walk).

,

Xt = a1Xt1 + t
a1 = 1.05 a1 = 1.1.
(explosive) AR(1) a1 > 0:
.

- .
AR(1)

Xt Xt1 = a1Xt1 Xt1 + t = (a1 1)Xt1 + t ,

Xt = Xt1 + t ,

Xt = Xt Xt1 , = a1 1.
a1 = 1 = a1 1= 0, Xt Xt
, Xt
() Xt1 = xt1 xt1 0. ,
() Xt1 = xt1 ,
Xt = Xt + Xt1 xt1 .
t (
, ),
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10

Xt = xt ,
xt1 . .
a1 > 1 = a1 1 > 0, Xt
() Xt1 = xt1 , E( XtXt1 = xt1) =
xt1 , , xt1. , xt1 > 0,
Xt = xt xt1 ,
xt1 < 0, Xt = xt
xt1 .
,
AR(1) a1 = 1.05 a1 = 1.1.
, 0 < a1 < 1 = a1 1 < 0,
Xt () Xt1 = xt1 ,
E( XtXt1 = xt1) = xt1 , , xt1. ,
xt1 > 0, Xt = xt
xt1 , xt1 < 0, Xt =
xt xt1 .
,
E(Xt) = ( , = 0),
.
a1 > 0,
.
Xt = a1Xt1 + t a1 = 1 a1 =
1.1.
6

30
20

10
2
0
0
-10
-2

-20

-4

-30
5

10

15

20

25

30

35

40

a1= -1

45

50

10

15

20

25

30

35

40

45

50

a1= - 1.1


Xt = Xt1 + t , t = 1, , T ,
X0 = x0 . Xt
Xt = Xt1 + t = (Xt2 + t1) + t = Xt2 + t1 + t = (Xt3 + t2) + t1 + t =
= Xt3 + t2 + t1 + t = ... = X0 + (1 + ...+ t ),
t

X t = X 0 + j .
j =1

:
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11

E(XtX0 = x0) = x0 ,
D(XtX0 = x0) = D(1 + ... + t ) = D(1) + ... + D(t ) = tD(1) = t2 .
,
Cov(Xt , Xt1X0 = x0) = E[(Xt x0)(Xt1 x0)X0 = x0] =
= E[(1 + ... + t )(1 + ... + t1 )] = (t 1) 2
x0 ,
Corr ( X t , X t 1 ) =

(t 1) 2
(t 1) 2
=
=
D( X t ) D( X t 1 )
2t 2 (t 1)
t 1
1
= 1 .
t
t

:
t

Corr(Xt , Xt1)

0.707

0.806

0.866

0.894

0.913

0.925

0.935

0.943

10

0.949

.. Xt Xt1 ,
, t .
.
,

x0 .
x0 (
),
. ,
,
, , x0 .
X0 = 0
t

X t = j , t = 1, , T .
j =1

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12

(
), :
E(Xt) = 0 , D(Xt) = t2 ,
.
,


, .
,

,
, (,
) .
.

Xt = + t + t , t = 1, , T ,
..
. , ..

Xt = + Xt1+ t , t = 1, , T , X0 = x0 ,

E( Xt) = 0.
Xt
Xt = + Xt1 + t = + (+ Xt2 + t1) + t = 2a+ Xt2 + t1 + t =
= 3a + Xt3 + t2 + t1 + t = = x0 + a t + (1 + ...+ t ),
t

X t = x0 + at + j ,
j =1

Xt .

Xt0 = Xt (+ t) = t ,
.
t

X t0 = X t ( x0 + at ) = j ,
j =1

.
. ,
Xt
Xt = Xt Xt1 ,
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13

( ).

Xt = Xt Xt1 = (+ t + t ) (+ (t 1)+ t1 ) = + t t1 ,

Xt = Xt Xt1 = + t .
.

Xt
MA(1)
. MA(0)
.
, ,
.
,
.

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

,
, 3.

,
Xt = 0 + 1 t + 2 t2 + t

Y t = + t + t2 + Z t ,
Zt - ,
Zt = t + 2t 1 + 3t 2 + + t 1 , t = 1, , T .

Xt0 = Xt (0+ 1 t + 2 t2) = t .

Yt0 = Yt ( + t + t2) = Zt ,

D(Zt) = D(t + 2t 1 + 3t 2 + + t 1) = 2(1 + 2 + + t) = 2 t (t + 1)/2,
.
,
Xt
Xt = 1 2 + 22 t + t t 1 ,
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14

:
Xt (1 2 + 22 t) = t t 1
, MA(1) .
Yt ,

Yt = ( + 2 t) + Zt Zt 1 =
= + 2 t + (t + 2t 1 + 3t 2 + + t 1)
(t 1 + 2t 2 + 3t 3 + + (t 1)1) =
= + 2 t + (1 + 2 + + t 1 + t)
:
Yt ( + 2 t) = (1 + 2 + + t 1 + t)
.
, Yt , ..
2Yt , 2 = (1 L)2 = 1 2L + L2 ,
MA(0)
2Yt = 2 + 2 Zt = 2 + Zt 2Zt 1 + Zt 2 =
= 2 + (t + 2t 1 + 3t 2 + + t 1)
2(t 1 + 2t 2 + 3t 3 + + (t 1)1) +
+ (t 2 + 2t 3 + 3t 4 + + (t 2)1) = 2 + t .
Xt ,
2Xt = ( Xt ) = (Xt Xt1) = (Xt Xt1) (Xt 1 Xt 2 ) =
= Xt 2Xt 1+ Xt 2 = 2 2 + t 2t 1 + t 2 ,

MA(2) 22 ,
. , b(z) = 0
1 2z + z2 = 0
z = 1.
, Xt
Yt , Xt
.

.


Xt
f(t) , Xt f(t) . Xt
, ,
,
, TS (TS time stationary).
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15

TS ,
.

Xt k, k = 1, 2, ,

Xt

, .. TS ;

k Xt , k- Xt
, ;

k 1Xt , (k 1)-
Xt , TS .
0Xt = Xt , k = 1 .

k I(k) .
Xt k ,
Xt ~ I(k). Xt ~ I(0) ,

TS .
TS Xt = + t + Yt , Yt ,
. Xt

X t = + t + j t j , 0 = 1 ,
j=0

2
j

<,

j =0

t . (

.) ,
:

X t = f (t ) + j ( t j t 1 j ) =
j =0

= + b j t j = + b( L) t ,
j=0

b( L) = b j L j , b0 = 1 , b j = j j 1 , j = 1, 2, K ,
j =0

b(1) = b j = 0 ,
j=0

.. b(z) = 0 .
, Zt ,
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16

Zt = + b(L) t , b( L) = b j L j , b0 = 1 ,
j =0


b(1) = 0,
Zt : TS
TS .
k = 1, 2,
, DS (DS difference stationary) .
Xt , DS .
Xt k . k-
.
ARMA(p, q), , Xt ARIMA(p, k, q),
k ARMA(p, q) (ARIMA autoregressive
integrated moving average). p = 0 q = 0,
:
ARIMA(p, k, 0) = ARI (p, k), ARIMA(0, k, q) = IMA( k, q),
ARIMA(0, k, 0) = ARI (0, k) = IMA( k, 0).

, :
Xt = + t + t ~ I(0);
Xt = + Xt1+ t ~ I(1), Xt ARIMA(0, 1, 0);
Xt = 0 + 1 t + 2 t2 + t ~ I(0);
Xt = + t + t2 + t + 2t 1 + 3t 2 + + t 1 ~ I(2), Xt ARIMA(0, 2, 0).
TS , DS
.
, ,

TREND_1 t = 1 + 0.5 t + t , t ~ N(0, 1),
WALKt = 0.5+ WALKt1 + t , t ~ N(0, 0.52), WALK0 = 0:

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17

50

50
40

40
30

30

20

20

10

10
0
10

20

30

40

50

60

70

80

90 100

10

20

30

40

TREND_1

50

60

70

80

90

100

WALK

:
Dependent Variable: TREND_1
Variable
Coef.

Std. Error

t-Statistic

Prob.

C
T

0.208085
0.003577

3.827226
140.1946

0.0002
0.0000

Std. Error

t-Statistic

Prob.

-3.726248
101.9477

0.0003
0.0000

0.796390
0.501522

Dependent Variable: WALK


Variable
Coef.
C
T

-0.930832 0.249804
0.437818 0.004295

:
3

-1

-1

-2

-2
-3

-3
10

20

30

40

50

60

70

X_DETRENDED

80

90

100

10

20

30

40

50

60

70

80

90

100

WALK_DETRENDED

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

, (
)
.
,
:

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2.0

1.5

18

1.0

0.5

0
0.0

-2

-0.5

-4
10

20

30

40

50

60

70

80

90

100

-1.0
10

20

X_TREND_DIF

30

40

50

60

70

80

90

100

WALK_DIF

(X_TREND_DIF)
ACF

***| .
.|.
.|.
.|.
. |*
*| .
. |*
**| .
. |*
.|.

PACF

***| .
**| .
**| .
**| .
.*| .
**| .
. |*
*| .
.|.
*| .

AC

PAC

Q-Stat Prob

1 -0.449 -0.449 20.527 0.000


2 -0.045 -0.308 20.736 0.000
3 -0.006 -0.236 20.740 0.000
4 -0.052 -0.266 21.021 0.000
5

0.078 -0.157 21.676 0.001

6 -0.074 -0.221 22.258 0.001


7

0.194 0.073 26.358 0.000

8 -0.216 -0.120 31.473 0.000


9

0.079 -0.047 32.159 0.000

10 -0.056 -0.143 32.513 0.000

(WALK_DIF)
ACF

.|.
.|.
.|.
.|.
.|.
.|.
. |*
*| .
.|.
.|.

PACF

.|.
.|.
.|.
.|.
.|.
.|.
. |*
*| .
.|.
*| .

AC
1

PAC

Q-Stat Prob

0.035 0.035 0.1271 0.721

2 -0.044 -0.045 0.3271 0.849


3 -0.042 -0.039 0.5099 0.917
4 -0.025 -0.024 0.5766 0.966
5

0.065 0.063 1.0215 0.961

6 -0.004 -0.012 1.0231 0.985


7

0.101 0.107 2.1405 0.952

8 -0.173 -0.181 5.4243 0.711


9 -0.041 -0.013 5.6087 0.778
10 -0.057 -0.073 5.9707 0.818

.
,

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19

MA(1) . r(1) = 0.449


(1) (1) = b1/(1 + b12), 0.449 = b1/(1 + b12).
: 1.6036 0.6236.
, MA(1) . ,
b1 0.6236.
MA(1),
.

Dependent Variable: X_TREND_DIF


Sample(adjusted): 2 100
Included observations: 99 after adjusting endpoints
Convergence achieved after 10 iterations
Backcast: 1
Variable Coefficient Std. Error t-Statistic Prob.
C
MA(1)

0.501429 0.004483 111.8447 0.0000


-0.977743 0.015377 -63.58459 0.0000

backcasting ( . . 3.2)

Dependent Variable: X_TREND_DIF


Method: Least Squares
Sample(adjusted): 2 100
Included observations: 99 after adjusting endpoints
Convergence achieved after 18 iterations
Backcast: OFF
Variable Coefficient Std. Error t-Statistic Prob.
C
MA(1)

0.518807 0.007616 68.12224 0.0000


-1.062852 0.042816 -24.82378 0.0000

backcasting .

b1 , 1, MA(1)
, . ,
,

. ([Slutsky (1937)].

:
Xt = 0.01 t2 + t , t ~ N(0, 52),
Yt = 0.04 t2 + t + 2t 1 + 3t 2 + + t 1 , t ~ N(0, 0.12):

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120

100

100

80

80

60

60

40

40

20

20

-20

-20
10

20

30

40

50

60

70

80

90

100

10

20

30

40

50

60

70

80

90

20

100

Dependent Variable: X
Variable
Coef.

Std. Error

t-Statistic

Prob.

T^2

0.000114

86.93333

0.0000

0.009926

( .)

Dependent Variable: Y
Variable
Coef.
C
T
T^2

Std. Error

-2.273387 0.621988
-0.119781 0.028427
0.013087 0.000273

t-Statistic

Prob.

-3.655036
-4.213709
47.99344

0.0004
0.0001
0.0000

:
15

10
2
5
0

0
-5

-2
-10
-4

-15
10

20

30

40

50

60

70

80

90

100

10

20

30

40

50

60

70

80

90

100

Y_DETRENDED

X_DETRENDED

X_DETRENDED
ACF

.|.
.|.
.|.
.|.
. |*
.|.

PACF

.|.
.|.
.|.
.|.
. |*
.|.

AC

PAC

Q-Stat Prob

1 0.030 0.030 0.0936 0.760


2 -0.049 -0.050 0.3429 0.842
3 -0.042 -0.039 0.5278 0.913
4 -0.024 -0.024 0.5867 0.965
5 0.071 0.068 1.1208 0.952
6 0.000 -0.008 1.1208 0.981
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. |*
*| .
.|.
.|.

. |*
*| .
.|.
*| .

21

7 0.101 0.107 2.2429 0.945


8 -0.171 -0.177 5.4698 0.706
9 -0.039 -0.011 5.6366 0.776
10 -0.050 -0.068 5.9165 0.822

, Y_DETRENDED
ACF

PACF

AC

PAC

Q-Stat Prob

. |********
. |******** 1 0.985 0.985 99.989
2 0.956 -0.507 195.02
. |******* ****| .
3 0.912 -0.314 282.52
. |*******
**| .
4 0.857 -0.196 360.52
. |*******
**| .
5 0.791 -0.136 427.67
|******
*| .
6 0.716 -0.073 483.36
. |******
*| .
7 0.635 -0.044 527.61
. |*****
.|.
8 0.549 -0.067 560.97
. |****
*| .
9 0.458 -0.043 584.49
. |***
.|.
10 0.365 -0.051 599.58
. |***
.|.

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

AR(2) .

Xt Yt :
30

0.4

20

0.3

10

0.2
0.1

0.0

-10

-0.1

-20

-0.2

-30
10

20

30

40

50

60

70

80

90

100

-0.3
10

20

30

X_DIF2

40

50

60

70

80

90

100

Y_DIF2

X_DIF2
ACF

*****| .
. |*
.|.
*| .
. |*
*| .
. |**
**| .
. |*

PACF

*****| .
****| .
**| .
**| .
*| .
**| .
.|.
.|.
.|.

AC

PAC

Q-Stat Prob

1 -0.635 -0.635 40.777 0.000


2 0.128 -0.463 42.440 0.000
3 0.038 -0.294 42.586 0.000
4 -0.064 -0.273 43.014 0.000
5 0.081 -0.141 43.710 0.000
6 -0.137 -0.292 45.710 0.000
7 0.243 0.037 52.065 0.000
8 -0.254 -0.037 59.064 0.000
9 0.160 0.057 61.891 0.000

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*| .

.|.

22

10 -0.099 -0.056 62.976 0.000

MA . r(1) = 0.635
(1) MA(1), ..
0.5 (1) 0.5 . ( 0.635 (1)
(1) = b1/(1 + b12) 0.635 b12 + b1 +
0.635 = 0, .)

Y_DIF2
ACF

PACF

.|.
.|.
.|.
.|.
. |*
.|.
. |*
*| .
.|.
*| .

.|.
.|.
.|.
.|.
. |*
.|.
. |*
*| .
.|.
*| .

AC

PAC

Q-Stat Prob

1 0.031 0.031 0.0942 0.759


2 -0.041 -0.042 0.2636 0.877
3 -0.038 -0.036 0.4127 0.938
4 -0.013 -0.013 0.4313 0.980
5 0.073 0.071 0.9925 0.963
6 -0.006 -0.012 0.9958 0.986
7 0.104 0.111 2.1713 0.950
8 -0.172 -0.178 5.3769 0.717
9 -0.031 -0.006 5.4804 0.791
10 -0.066 -0.084 5.9673 0.818

DS DS ;

TS TS ;
TS
ARMA, TS MA
, ;

k- Xt ~ I(k)
; I(k)
ARIMA, k-
MA .

TS

, TS-
, DS-

. AR(1) Xt = a X t 1 + t .
(. . 2.3)
Xt = a t X0 + a t 1 1 + a t 2 2 + + t ,

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23

Xt + h = a t + h X0 + a t + h 1 1 + a t + h 2 2 + + ah t + + h+ t .
,
() () t
:
Xt t = 1, Xt +1 t = a, Xt +2 t = a2, , Xt + h t = ah, .
, h
Xt + h t 0 a < 1,
Xt + h t 1 a = 1.
, a > 1 ( ),
Xt + h t ,

.

5.2. TS
DS



() .
,
, (
) TS (trend stationary) , ,
(, )
k-2
DS (difference stationary) .
,
TS
, DS
-
.
,
,
. ,
TS DS ,
TS DS
2

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24

,
(
, , ).
, DS, (.
7), , ,
(., ,
[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)]
: [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 (
) , -
DS
( ),
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25

, -
,
.
TS-
, DS-
.

,


,
- .


, (, ARMA)
, , ..
. ([,
(1974)]) ARIMA
()
. ,
,
, .
[Chan, Hayya, Ord (1977)], [Nelson, Kang (1981)] ,
DS ()
, (
),

,
TS ,
,
, -;

( ). ,
-

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

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

.
,
,
( , )

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26

, .

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

TS- DS-.
, 14
( 62 111 ) [Nelson, Plosser
(1982)] ([Perron (1989a)]).
14 TS, ,
, 11 . ,

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

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27

5.3. TS DS ARMA.
.

, Xt
TS ( ) DS (
) .
. ,
, ,
, ( ),
.
, ,

.
,
, .

TS DS ,
, (
) .
TS DS
.
.
, DS TS ,
ARMA ( ).
Xt ARIMA(p, k, q), k-
kXt ARMA(p, q),
,
a*(L) kXt = b(L) t ,
a*(L) b(L) L ,
p q, . , Xt = (1 L) Xt ,
kXt = (1 L)kXt ,

*
a (L) (1 L)k Xt = b(L) t ,

a(L) Xt = b(L) t ,
a(L) = a*(L) (1 L)k (p + k). kXt
, p a*(z) ,
a(z) p k
, , z = 1 k .
, Xt ARMA(p+ k, q),
a(L) k , 1,
1. H0 ,
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28

ARMA Xt DS- ( ),
, a(L)
, 1. , ,
a(z) , ..
. H0
(UR unit root hypothesis),
. TS
, ARMA .
, () TS,
DS-.
a(z)
z = 1 b*(z) = 0, b*(L)
L Xt =
b*(z) t Xt = Xt Xt1 Xt .

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6. TS DS

.
6.1.
, ,
,
.
TS
xt = + t + a1 xt 1 + t , | a1| < 1.
?
yt , yt = xt t
yt = a1 yt 1 + t .
yt yt 1 , :
xt t = a1(xt 1 (t 1)) + t ,
xt = ( a1 + a1)+ (1 a1) t + a1xt 1 + t ,
= a1 + a1 = (1 a1),
= (1 a1), = ( a1( + )) (1 a1)2 .
, xt
a1 ( + )

t.
+
2
(1 a1 )
(1 a1 )
, = 0 0

.
(1 a1 )

a1 = 1, ,
xt .
xt = + t + xt 1 + t =
= ( + t + t) + ( + ( t 1) + t1) + + ( + + 1) + x0 =
= x0 + ( + /2) t + (/2) t2 + (1 + 2 + + t) .
= = 0
xt = xt1 + t , xt = x0 + (1 + 2 + + t) .
0, = 0
xt = + xt1 + t , xt = x0 + t + (1 + 2 + + t) ,
.. x0 + t .
, 0, 0
xt = + t + xt1 + t , xt = x0 + ( + /2) t + (/2) t2 + (1 + 2 + + t) ,


xt
x0 + ( + /2) t + (/2) t2 .
,
xt = + t + a1 xt1 + t
0, = 0 ,

| a1| < 1 xt ;
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a1 = 1 xt

j =1

x0 + t ;
0,

| a1| < 1 xt
a1 ( + )

t;
+
2
(1 a1 )
(1 a1 )
t

a1 = 1 xt

j =1

x0 + ( + /2) t + (/2) t2.


,
xt = + t + a1 xt 1 + t
, , a1 :

ST_1 : a1 = 0.8, = 0, = 0 .

ST_2 : a1 = 0.8, = 0.2, = 0 .

ST_3 : a1 = 0.8, = 0.16, = 0.04 .

WALK_1 : a1 = 1, = 0, = 0 .

WALK_2 : a1 = 1, = 0.2, = 0 .

WALK_3 : a1 = 1, = 0.2, = 0.1 .


, ,
xt = + t + t2 + a1 xt 1 + t :

ST_4 : a1 = 0.8, = 0.12, = 0.13, = 0.01.


6
4
2
0
-2
-4
-6
10

20

30

40

50

60

70

80

90

100

ST_1

0
2

-2
-4

-6
-2

-8
-4
10

20

30

40

50

60

ST_2

70

80

90

100

-10
10

20

30

40

50

60

70

80

90

100

WALK_1

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15

20

10

15
5
10
0
5
-5

0
-5

-10
10

20

30

40

50

60

70

80

90

100

10

20

30

40

ST_3

50

60

70

80

90

100

70

80

90

100

WALK_2

600

600

500

500

400

400

300

300

200

200

100

100

0
10

20

30

40

50

60

70

80

90

100

ST_4

10

20

30

40

50

60

WALK_3

ST_1, ST_2, WALK_1


ST_3 WALK_2, ST_4 WALK_3 ,
,

.
( )
.
6.2.

,

SM: xt = a1 xt 1 + t , t = 1, , T ,
, , ( ,
DGP data generating process),
DGP: xt = xt 1 + t , t ,
.. a1 = 1, a1 a1
.
. T a1 = 1
(
1 / 2) {[W (1)]2 1}

n(a1 1)
,
1
2
[W (r )] dr
0

W(r)
,
, , .
W(r)
xt = xt 1 + t .
,
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W(0) = 0;

(W(r2) W(r1)),, (W(rk) W(r k1))


, 0 r1 < r2 < < rk ; W(s) W(r) ~ N(0, s r) s > r ;

W(r) 1.

, , , W(1) = W(1) W(0) ~ N(0, 1), [W(1)]2


~ 2(1). , T
P{a1 < 1} = P{a1 1 < 0} P{[W (1)]2 1 < 0} = P{ 2 (1) < 1} = 0.68 ,
DGP ( ), DGP: xt = xt 1 + t ,
SM: xt = a1 xt 1 + t a1 < 1 2/3 .
T( a1 1) a1 = 1
T ( );
[Fuller (1976)].
, t ~ N(0, 2), 1 , , T x0
= 0. , x0
T( a1 1) , T( a1 1) .
, T( a1 1), H0: a1 = 1
HA: a1 < 1 5% T( a1 1),
T( a1 1), a1 , a1 ,
T
T( a1 1) a1
0.708
25 7.3
0.846
50 7.7
0.921
100 7.9
0.968
250 8.0

8.0
0.998
500

8.1
, T H0
a1 , 1.
. ,
T H0: a1 = 1 HA: a1 < 1
, a1 1.
, , H0: a1
= 1 HA: a1 < 1
a 1
(t-, t-ratio, t-),
t= 1
s (a1 )
s( a1 ) a1 . , a1 = 1
a1 ,
t- . t- T
T
[Fuller (1976)]. H0: a1 = 1 HA:
a1 < 1 . 5%
, , 5%
t-, t(T 1) (T
1) :
T

1.71
25 1.95
1.68
50 1.95
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1.66
100 1.95
1.65
250 1.95
1.65
500 1.95

1.95
( a1 1)/s( a1 ) a1 = 1.
, . 6.1
xt = xt1 + t (WALK_1).
xt = a1 xt1 + t , 50 :
Dependent Variable: WALK_1
Sample(adjusted): 2 50
Included observations: 49 after adjusting endpoints
Variable

Coeff.

Std. Error

t-Statistic

Prob.

WALK_1(-1)

0.970831

0.035729

27.17224

0.0000

t- (0.970831 1)/ 0.035729 = 0.816


1.95.
5% .

0.970831
a1,
0.846.
, . 6.1 ST_1
xt = 0.8 xt1 + t ( )
xt = a1 xt1 + t ,
50 , :
Dependent Variable: ST_1
Method: Least Squares
Sample(adjusted): 2 50
Included observations: 49 after adjusting endpoints
Convergence achieved after 2 iterations
Variable Coefficient Std. Error t-Statistic Prob.
AR(1)

0.790557

0.090501 8.735349 0.0000

t- 2.314 < 1.95,


. , a1
0.791 1.
ST_2 AR(1)
xt
= 0.2 + 0.8 xt1 + t
(
1).
50 0.596.
, , ,
, .
H0: xt = xt1 + t ( )

HA: xt = + a1 xt1 + t , a1 < 1, 0.

SM: xt = + a1 xt1 + t .
T( a1 1) ,
SM = 0; T
= 25 P{ a1 < 1} = 0.95.
:
T
T( a1 1) a1 t ()
0.500 3.00
25 12.5
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0.734 2.92
50 13.3
0.863 2.89
100 13.7
0.944 2.88
250 14.0
0.972 2.87
500 14.0

14.1
2.86
SM: xt = + a1 xt1 + t WALK_1 (
50 )
t = 2.143 > t = 2.92,
, xt =
xt1 + t , .
ST_2 ( T = 50)
t = 2.245 , ,
. , ,
, a1 = 0.794 0.734.

SM: xt = + a1 xt1 + t ST_1 (c =


0),
a1 = 0.785 > a1 = 0.734, t = 2.298 > t = 2.92,
ST_1 . ,
, ST_1 SM: xt =
a1 xt 1 + t , .
,
( .. )
, ,
. ,
,
.
ST_3
xt = 0.16 + 0.04 t + 0.8 xt 1 + t ,
0.2 t .
WALK_2 0.2
xt = 0.2 + xt 1 + t :
25

15

20

10

15
5
10
0
5
-5

0
-5

-10
10

20

30

40

50

60

ST_3

70

80

90

100

10

20

30

40

50

60

70

80

90

100

WALK_2

, ,

H0: xt = + xt1 + t , 0, ( )

SM: xt = + t + a1 xt1 + t .

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a1 t-
a1 = 1 .
DGP: xt = + xt1 + t 0, 5% T( a1 1)
t- :
T
T( a1 1) a1 t ()
0.284 3.60
25 17.9
0.604 3.50
50 19.8
0.793 3.45
100 20.7
0.914 3.43
250 21.3
0.957 3.42
500 21.5

21.8
3.41
SM: xt = + t + a1 xt1 + t
( T = 50).
WALK_2 a1 = 0.858 > a1 = 0.604, t = 2.027 > t = 3.50,
.
ST_3 a1 = 0.733 > a1 = 0.604, t = 2.687 > t = 3.50.
a1 t , WALK_2,
, .
, , ST_3,
, DGP ,
a1 t
SM: xt = + t + a1 xt1 + t
,
DGP: xt = xt1 + t .
, a1
t ,
DGP: xt = + xt1 + t , 0,

SM: xt = + t + a1 xt1 + t
a1 t DGP: xt = xt1 + t
DGP: xt = + xt1 + t , 0.
SM: xt = + t + a1 xt1 + t
DGP: xt = xt1 + t , WALK_1.
, ( DGP: xt = 0.2 + xt1 + t ): a1 = 0.858 >
a1 = 0.604,
t = 2.027 > t = 3.50,
.
, , [MacKinnon (1991)],
t . , , t(p, T)
t- , p
T ,
t(p, T) + 1T 1 + 2T 2 ,
, 1 , 2 , p ,
.
p = 0.01, 0.05, 0.10.
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5

1974 . 1985 .

:
Xt 47962.75 315.1909 t = 0.884803 (Xt1 47962.75 315.1909 (t1)) + t ,

Xt = 5804.037 + 36.30898 t + 0.884803 Xt1 + t .


, ,
0.884803 Xt1
(..
AR(1) ),
,
.
.
,

SM: xt = + t + a1 xt 1 + t
H0: xt = + xt 1 + t ,
EVIEWS, :
Test Statistic

-1.425277

1% Critical Value*
5% Critical Value
10% Critical Value

-4.1630
-3.5066
-3.1828

*MacKinnon critical values for rejection of hypothesis of a unit root.

, H0 . ,
, xt = +
t + a1 xt 1 + t , xt = + xt 1 + t . xt =
+ t :
Variable Coefficient Std. Error t-Statistic Prob.

236.8958 80.80998 2.931517 0.0052


Durbin-Watson stat 2.135959


xt = 236.8958 + xt 1 + t .


SM: xt = a1 xt 1 + t
SM: xt = + a1 x t 1 + t
SM: xt = + t + a1 xt 1 + t
a1 t a1 = 1
:
DGP: xt = xt 1 + t ( ),
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DGP: xt = + xt 1 + t ( ).
, , SM: xt = + a1 xt 1 + t , xt = xt 1 + t

H0: = 0, a1 = 1.
,
F-
( RSS 0 RSS ) 2
,
1 =
RSS ((T 1) 2)
H0 F- F(2,
T 3) T 3 . , ,
H0 , , , ,
1 H0 ( )
F(2, T 3). [Dickey,
Fuller (1981)]. 1
H0: = 0, a1 = 1. 5% 1 ,
, ( ) 5%
F , F(2, n 3) (., [Hamilton (1994),
.7 Case 2] [Enders (1995), ]):
1 F
T
3.44
25 5.18
3.20
50 4.86
3.10
100 4.71
3.00
250 4.63
3.00
500 4.61

4.59
3.00

WALK_1, ST_2, ST_1 ( 50 ).


SM: xt = + a1 xt1 + t WALK_1, = 0.579, a1 = 0.850,
RSS = 48.0335. = 0, a1 = 1 xt = xt1 ,
T

RSS 0 = ( xt xt 1 ) = 52.7939 ,
2

t=2

(52.7939 48.0335) / 2
= 2.329 < 4.86
1 =
48.0335 /(50 1 2)
H0 .
ST_2 : = 0.181, a1 = 0.777, RSS = 52.6618. = 0, a1 =
1 RSS0 = 59.0547,
(59.0547 52.6618) / 2
= 2.853 < 4.86
1 =
52.6618 /(50 1 2)
H0 .
ST_1 : = 0.042, a1 = 0.785, RSS = 52.7007. = 0, a1
= 1 RSS0 = 58.0671,
1 = 2.662 < 4.86 H0 .
, ,
t- a1 , ,
F-.

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10

SM: xt = + t + a1 xt1 + t
DGP: xt = xt1 + t
H0: = = 0, a1 = 1 ,
DGP: xt = + xt1 + t
H0: = 0, a1 = 1 .
F- 2 ; 5%
(. [Enders (1995), ])
1
T
25 5.68
50 5.13
100 4.88
250 4.75
500 4.71

4.68
F- 3 ; 5%
(. [Hamilton (1994), .7 Case 4] [Enders (1995), ]):
1
T
25 7.24
50 6.73
100 6.49
250 6.34
500 6.30

6.25

WALK_1, WALK_2, ST_3.


SM: xt = + t + a1 xt1 + t

H0: = = 0, a1 = 1 , 2;

H0: = 0, a1 = 1 , 3 .
H0: = = 0, a1 = 1
WALK_1: = 0.854, = 0.012, a1 = 0.858, RSS = 46.7158.
RSS0 = 52.7939,
2 = 1.995 < 5.13 H0 .
WALK_2: = 0.711, = 0.040, a1 = 0.858, RSS = 46.7158.
RSS0 = 52.7939,
2 1.995 < 5.13 H0 .
ST_3: = 0.345, = 0.070, a1 = 0.733, RSS = 50.3928, 2 = 1.207 < 5.13
H0 .
H0: = 0, a1 = 1
WALK_1: RSS = 46.7158. RSS0 = 52.7282,
3 = 1.973 < 5.13 H0 .
WALK_2: 3 1.973 H0 .
ST_3: RSS = 50.3928, 2 = 0.711 H0 .
,

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11


.
. ,
1 a1 < 0.8, 1
> 1. 2 3 .
, t- T( a1 1).
,
H0 .
,
( )
.
, ,
. ,
.
,
() .



: 50

ST_1 ST_2
DGP: xt = xt1 + t , SM: xt = + a1 xt1 + t ;

ST_3
DGP: xt = + xt1 + t ( DGP: xt = xt1 + t) ,
SM: xt = + t + a1 xt1 + t .
, ,
; T = 100.
( 10%
):
n = 50
n = 100
t
=

3.238
< t = 2.89,
t
=

2.298
>
t
=
2.92,

ST_1


t = 2.245 > t = 2.92,


t = 3.217 < t = 2.89,
ST_2


t
=

3.207
< t = 3.15,
t = 2.687 > t = 3.18.
ST_3


10%
10%
,
.

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12

6.3. -


(GNP) 1947 . 1961
. 5
Xt 217.740 5.222 t = 1.380 (Xt1 217.740 5.222(t1))

0.630 (Xt2 217.740 5.222(t2)) + t,

Xt = 55.017 + 1.304 t + 1.380 Xt1 0.630Xt2 + t .


,
?
.
.

SM: xt = + t + a1 xt1 + a2 xt2 + + ap xtp + t .

(#) xt = + t + xt1 + (1 xt1 + + p1 xt p+1 ) + t ,

= a1 + a2 + + ap , j = (aj + 1 + + ap) .
( GNP
xt = 55.017 + 1.304 t + 1.380 Xt1 0.630Xt1 + 0.630Xt1 0.630Xt2 + t =
= 55.017 + 1.304 t + 0.750 Xt1 + 0.630 Xt1 + t .)
, a(z) = 0 z = 1,
p 1 ,
, a1 + a2 + + ap = 1, .. = 1. (.,
, [Hamilton (1994)].) ,
AR(p)
H0: = 1
(#) .
,
T( 1) t- = 1,
(augmented) (#) ( ,
). t- ADF (augmented
Dickey Fuller), DF, AR(1).
, t-
= 1, (#)
(# #) xt = + t + xt1 + (1 xt1 + + p-1 xt p+1 ) + t ,
= 1, H0: = 1 (#) H0: = 0 (# #).
H0: = 1 (#) HA: < 1.
(#) (# #)) HA: < 0 .
, t- H0: = 1 (#)
t- H0: = 0 (# #).

GNP
xt = + t + xt1 + 1 xt1 + t
( ) :
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ADF Test Statistic

-4.117782

1% Critical Value*
5% Critical Value
10% Critical Value

13

-4.1219
-3.4875
-3.1718

*MacKinnon critical values for rejection of hypothesis of a unit root.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(X)
Variable
Coefficient Std. Error

t-Statistic

Prob.

X(-1)
D(X(-1))
C
@TREND(1947:1)

-4.117782
5.756490
4.272264
4.135949

0.0001
0.0000
0.0001
0.0001

-0.249792
0.630066
56.32136
1.304300

0.060662
0.109453
13.18303
0.315357

: t-
H0: = 0 5% ,
, 1% .
, ,
, ,
, , t
. ,
, ..
,
.

p = p * , ,
t-
= 0 , 1, , p1
.
, p* 1 = 0, t-
t- . ,
p* 1 = p* 2 = 0, F-
F- , ...
.

. p* = 5, :
ADF Test Statistic

-2.873575

1% Critical Value*
5% Critical Value
10% Critical Value

-4.1314
-3.4919
-3.1744

*MacKinnon critical values for rejection of hypothesis of a unit root.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(X)
Variable
Coefficient Std. Error

t-Statistic

Prob.

X(-1)
D(X(-1))
D(X(-2))
D(X(-3))

-2.873575
4.090958
1.228486
-0.133077

0.0060
0.0002
0.2253
0.8947

-0.266169
0.546230
0.183918
-0.020254

0.092626
0.133521
0.149711
0.152201

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D(X(-4))
C
@TREND(1947:1)

-0.058683
59.45556
1.397409

0.148061
19.32396
0.482120

-0.396345
3.076779
2.898469

14

0.6936
0.0035
0.0056

t = 2.873575 > 3.1744,


10% . ,
. P-
F- 0.44.
,
, .
- ,
(,
). , xt ARMA(p,
q) q > 0 ?
xt ~ ARMA(p, q) , a(L) xt = b(L) t ,
a(L), b(L) p q, b(L) ,

c(L) xt = t ,

c(L) xt = a(L) b(L) = 1 + 1L + 2L2 + .


(# #)

(# # #) xt = + t + xt 1 + (1 xt 1 + 2 xt 2 + ) + t

. ?
[Said, Dickey (1984)] , ARIMA(p, 1, q)
p q
ARI(p*, 1) p* < 3 T .
(# # #) .

6.4.

,
, [Dickey (1976)],
[Fuller (1976)], [Dickey, Fuller (1979)], [Dickey, Fuller (1981)].
() , xt
DS (DS-);
TS (TS-).
,
(, ).
,
.
(SM , statistical model; DGP
, data generating process).
1) xt (
),
SM: xt = xt 1 + + t + t , t = 2,, T ,
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15

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

t = 2,, T .

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

x 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 ,
, ,
[MacKinnon (1991)].

. ,
,

, ,
t ,
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16

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


[Dolado, Jenkinson, Sosvilla Rivero (1990)]; . [Enders (1995)].
6.6.
a(L) xt = t
( ) p , a(z) = 0
,
(augmented) .

xtj , j = 1, , p 1,

(1)

p 1

SM: xt = + t + xt 1 + j xt j +

t = p + 1, , T ,

j =1

(2)

p 1

SM: xt = + xt 1 + j xt j +

t = p + 1, , T ,

j =1

(3)

p 1

SM: xt = xt 1 + j xt j +

t = p + 1, , T .

j =1

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*< 3 T .
x1,, xT
AR(p) p, p ,
,
.
p=pmax ,
p0 , ,
* ,
, .
, ,
( 10% )
(GS- )
() pmax
(SIC). [Hall (1994)] [Ng, Perron
(1995)] , pmax p0 , ( ) SIC
, GS 0 ;

- .
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17

T , ,
[Cheung, Lay (1995)].
(GS SIC),
,

,
. , (GDP)
1870 1994 . (. [Murray, Nelson (2000)]),
pmax = 8, GS- = 6,
SIC = 1.

LM- (. [Holden, Perman (1994)]). ,
, [Taylor (2000)] ,
Ng Perron:

. , ,
.
6.5. DGP SM

: ,
SM: xt = + a1 xt1 + t ,

DGP: xt = + xt1 + t , 0 ( ).
t DGP

, xt1 SM

i =1

(t 1) .
a1
; , ,
, ..
t-, .
0 , T t-
, = 0,
.

WALK_2 0.2
SM: xt = + a1 xt1 + t
Dependent Variable: WALK_2
Variable
Coefficient Std. Error t-Statistic Prob.
C
0.173019 0.160495 1.078031 0.2865
WALK_2(-1) 0.991851 0.045395 21.84958 0.0000

t- t = (0.991851 1)/0.045395
= 0.180 . 5% t- (n p) = (49 2) =
47 1.68, 5% ,
DGP: xt = xt1 + t ( = 0), 2.92,
. ,
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18


1.68 2.92.
ST_2 xt = 0.2 + 0.8 xt1 + t
( , 1) T = 50
Dependent Variable: ST_2
Variable Coefficient Std. Error t-Statistic Prob.
C
0.166899 0.159693 1.045128 0.3013
ST_2(-1) 0.793680 0.091904 8.635959 0.0000

t- t = (0.793680 1)/0.091904
= 2.245. 1.68
, 2.92
.
.
ST_1 xt = 0.8 xt1 + t .
xt , , ,
SM: xt = a1 xt1 + t (, DGP
) SM: xt = + a1 xt1 + t (, DGP
).
5% t- ( T = 50)
: 1.95.
, t = 1.68 (
, ), t = 2.92.
SM t = 2.314.
.
SM t = 2.298. ,
DGP , t < t = 1.68,
. , DGP , t > t =
2.92, .
,
(SM) , ,
, .
SM, .
, DGP ,
,
. , 5% ,
DGP .
6.6. .

,
. .
1
DGP:
() xt = xt1 + t ,
1

.
. 6.8.4.

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19

() xt = + xt1 + t , 0,
() xt = + t + xt1 + t , 0 .
;
.

SM: xt = + t + a1 xt1 + t , 0 ,
t- H0: a1 = 1 ,
, DGP.
. 6.2, t-
() (), .. , = 0 0.
DGP () 0 , t- ,
t- (, N(0, 1)).
T [Kwiatkowski, Schmidt (1990)].

WALK_3
:
DGP: xt = 0.2 + 0.1 t + xt1 + t .
SM: xt = + t + a1 xt1 + t ;
a = 0.989 t = 0.775 . t-
t = 1.68, .
, DGP = 0 ,
t = 3.50, .
ST_4
DGP: xt = 0.12 + 0.13 t + 0.01 t2 + 0.8 xt1 + t ,
, a =
0.990 t = 0.577 .
, .
6.7.

.( [Dolado, Jenkinson, Sosvilla-Rivero (1990)])



,
(SM) (DGP).
, ,
AR(1), , .
1 ,
,
:
SM:

xt = + t + xt 1 +

t = 2,, T ,

,

DGP: xt = + t , t = 2,, T .
: ().
DS (UR
Unit Root) .
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20

H0 : = 0; HA :
< 0. t - ,
,
. , = 0 0.
H0 : = 0 ,
. , H0 : = 0

DGP: xt = + t ( c = 0 0),

DGP: xt = + t + t , 0,
.. t ( ).
2.
1 H0 : = 0 , :

, = 0 ;

0 , H0 : = 0 - ,
DGP = 0, DGP: xt =
+ t + t , 0.
, 2
H0: = 0

SM: xt = + t + xt1 + t ,

DGP: xt = + t + t , 0.
t- (
) [Dickey, Fuller (1981)]. 5%
t t
.
n

( >
0)

2
5

3.25

2.85

5
0

3.18

2.81

1
0
0

3.14

2.79

2
5

3.12

2.79

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21

0
5
0
0

3.11

2.78

3.11

2.78

H0: = 0 , ,
= 0 -
, DGP = 0.
H0: = 0 ,
= 0
SM: xt = + t + xt1 + t ,

DGP: xt = + t + t , 0.
t- ( 0) N(0,
1) . T [Kwiatkowski,
Schmidt (1990)]. , = 0 ,
. ,
xt = + t + t , 0.

3,

SM: xt = + t + xt1 + t .
, -
t .
, 3
SM: xt = + xt1 + t
= 0 ( < 0)
SM. t-
( 2).
DGP: xt = t .
, H0: = 0 , (
, 1).

3 = 0 ,
SM . = 0

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22

SM: xt = + xt1 + t ,

DGP: xt = t .
t- (
) [Dickey, Fuller (1981)]. 5%
t t
.
n

( >
0)

2
5

2.97

2.61

5
0

2.89

2.56

1
0
0

2.86

2.54

2
5
0

2.84

2.53

5
0
0

2.83

2.52

2.83

2.52

= 0 , ,
= 0 DGP = 0.
= 0 ,
H0: = 0
SM: xt = + xt1 + t ,

DGP: xt = + t 0 .
t- = 0 ,
, H0: = 0

xt = + t 0 . , T

, ,

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,
.

23

= 0 ,

, 4 H0: = 0 ,

SM: xt = xt1 + t .
t- H0: = 0
( 1). , :
H0: = 0 ;
H0: = 0 xt = t . (, xt = 1 xt1 + + p1 xt p+1 + t .)

. ,
,
,
.
. ,
.
.

1:

p 1
xt = + t + xt 1 + j xt j + t

j =1

2:

p 1
xt = + xt 1 + j xt j + t

j =1

3:

p 1
xt = + j xt j + t

j =1


1959 1985 ( , 1982 .).

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24

2800
2400
2000
1600
1200
800
60 62 64 66 68 70 72 74 76 78 80 82 84
DPI

,
,
. .

1

SM: xt = + t + xt1 + 1 xt1 + + p1 xt p+1 + t .

,
SM: xt = + t + xt1 + t .
(T = 26):
xt = 461.338 + 25.857 t 0.448 xt1 + et ;
t- H0: = 0 t = 2.640. (5%)

DGP: xt = + t , 0 ,
t = 3.59 ( T = 26). t t
.

2
, DGP
DGP: xt = + t + t .

H0: = 0.
= 2.680. (5%)
(HA: > 0) 2.85 H0: = 0 .

3

SM: xt = + xt1 + t ;
DGP
DGP: xt = t .

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25

H0: = 0. : xt = 47.069 + 0.00522 xt1 + et ; t t = 0.335. (5%) t = 2.98


.
4
SM: xt = + xt1 + t , DGP: xt = t , H0: = 0. : xt = 47.069 +
0.00522 xt1 + et ; t- t = 1.682 < t = 2.61 H0: = 0
.
5
SM: xt = xt1 + t , DGP: xt = t , H0: = 0. : xt = 0.03070 xt1 +
et ; t- t = 7.987 > t = 1.95 H0: = 0 .
:
xt = xt1 + t .


( , ),
:

.
H0: = 0 2. (,
t-
: = 2.680, t = 2.85.) 2
H0: = 0 , 0, H0:
= 0
SM: xt = + t + xt1 + t , DGP: xt = + t + t , 0.
t N(0, 1) ,
5% t = 1.645.
t = 2.640 (. 1),
, ,
:
xt = 461.338 + 25.857 t 0.448 xt1 + t .
6.8.
6.8.1.

, [Phillips, Perron (1988)],


xt DS H0 : = 0

SM: xt = + t + xt 1 + ut , t = 2,, T ,
, ,
. , , ut
(
),
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26

. . .. www.iet.ru

() (

, E u t C < > 2). ,


, .
t-
H0 : = 0 ,

Zt ,
ut . Zt
(long-run)
ut ,

2 = lim T 1 E (u1 + ... + uT )2 .


T

u t ( )

( )

2
xt = xt 1 + + t + ut , t = 2,, T ,
[Newey, West (1987)]

( )

l
j

= 0 + 2 1
l + 1
j =1

= T 1 utut j
t = j +1

j- ut . l T ,

( )

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

( ). ,
.
, -
.
( , ,
[Phillips, Perron (1988)], [Schwert (1989)]) -
l.
[Schwert (1989)],
l = [K(T/100)1/4], [a] a, K
4 12 .
l , , EVIEWS, l =
[4(T/100)2/9] ([Newey, West (1994)]).
, l
.
Zt [Fuller (1976)]
[acKinnon(1991)].
, xt IMA(1, q),
q l Newey-West.
2

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27

q = 1, xt = t + b1 t 1 , b1 > 0 -
, ,
. , b1 < 0
-
, b1 < 0 (
DS).

GNP
xt = + t + xt1 + 1 xt1 + t
(. . 6.3):
ADF Test Statistic -4.117782

1% Critical Value* -4.1219


5% Critical Value -3.4875
10% Critical Value -3.1718

: t-
H0: = 0 5% ,
, 1% .
, AR c p max = 5, :
ADF Test Statistic -2.873575

1% Critical Value* -4.1314


5% Critical Value -3.4919
10% Critical Value -3.1744

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(X)
Variable
Coefficient Std. Error t-Statistic

Prob.

X(-1)
D(X(-1))
D(X(-2))
D(X(-3))
D(X(-4))
C
@TREND(1947:1)

0.0060
0.0002
0.2253
0.8947
0.6936
0.0035
0.0056

-0.266169
0.546230
0.183918
-0.020254
-0.058683
59.45556
1.397409

0.092626
0.133521
0.149711
0.152201
0.148061
19.32396
0.482120

-2.873575
4.090958
1.228486
-0.133077
-0.396345
3.076779
2.898469

t = 2.873575 > 3.1744,


10% . ,
. P-
F- 0.44.
,
,
.
, .
[Newey, West (1994)] l =
[4(T/100)2/9] = 3 ;
PP Test Statistic

-2.871178

Lag truncation for Bartlett kernel: 3

1% Critical Value* -4.1190


5% Critical Value -3.4862
10% Critical Value -3.1711
( Newey-West suggests: 3 )
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Residual variance with no correction


Residual variance with correction

28

29.28903
54.87482

Phillips-Perron Test Equation


Dependent Variable: D(GNP)
Method: Least Squares
Sample(adjusted): 1947:2 1961:4
Included observations: 59 after adjusting endpoints
Variable

Coefficient

Std. Error t-Statistic

Prob.

GNP(-1)
C
@TREND(1947:1)

-0.153024
38.33211
0.806326

0.072723 -2.104212 0.0399


15.97824 2.399020 0.0198
0.378145 2.132322 0.0374

,
, [Newey, West (1994)],
,
.


ST_1, ST_2, ST_3: ST_1 ST_2
DGP: xt = xt1 + t , SM: xt = + a1 xt1 + t ;
ST_3
DGP: xt = + xt1 + t ( DGP: xt = xt1 + t) ,
SM: xt = + t + a1 xt1 + t .
DF PP(l), ,
l ,
[Newey, West (1994)].
n = 50
ST_1 DF = 2.298 > t10% = 2.60,
PP(3) = 2.394 > t10% = 2.60,

10%
ST_2 DF = 2.387 > t10% = 2.60,
PP(3) = 2.322 > t10% = 2.60,

10%

n = 100
DF = 3.238 < t5% = 2.89,
PP(4) = 3.399 < t5% = 2.89,

5%
DF = 3.217 < t5% = 2.89,
PP(4) = 3.364 < t5% = 2.89,

5%
DF = 3.207 < t10% = 3.15,
PP(4) = 3.368 < t10% = 3.15,

10%

ST_3 DF = 2.687 > t10% = 3.18,


PP(3) = 2.755 > t10% = 3.18,

10%
, DF PP,

.

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29

6.8.2.

[Leybourne (1995)]
DF xt ,
, DFmax .
DFmax
T = 25, 50, 100, 200, 400 ()
.
(). ,
.

.

ST_3 100
DF = 3.207 .
3.352. , 3.207,
5% 3.45, .
5% ( )
3.15, ST_3
5% .

6.8.3. .

[Schmidt, Phillips (1992)] DS (


)
xt = + t + wt ,

wt = wt 1 +

, t = 2,..., T .

, ( = 1 1)
, .
(DS) (TS)
, .
, , l T1/2.
.

[Maddala, Kim (1998), .85].
.

ST_3 100 ,
: 3.12. , 5%
3.06.
5% .

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30

6.8.4. DF-GLS

, , ,
[Elliott, Rothenberg, Stock (1996)]. DF-GLS (.
[Maddala, Kim (1998)]) a0 = 0
ydt= a0 ydt1+a1ydt1++ apydtp+error,
ydt - ( . ).

,
DF-GLS.
3.246, 5% 2.89.
5% , ,
-.
6.8.5. (KPSS)

, [Kwiatkowski, Phillips, Schmidt, Shin (1992)],


TS.
= + + .
,
, , ,
. ,
, DS .
LM
.
-, ,
- .
l Newey-West,
l.
,
(. [Schwert (1989)]).
KPSS
[Maddala, Kim (1998), .120-122].

ST_3 100 KPSS l =


3 0.157. ,
TS , ,
. , ,
: 5% 0.146, TS
DS . ,
, - DF-GLS,
TS DS , .

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31

6.8.6. ( )

, [Cochrane (1998)],

V
VRk = k
V1
(VR variance ratio),
1
Vk = D( xt xt k ) .
k
xt , VRk = 1 , xt ,
( ), VRk 0 k
.

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

VRk :
k
j

VRk = 1 + 2 1
rj ,
k +1
j =1

rj j xt = xt xt1
.

ST_3 ,
,
TS DS ,
. .
1.2

1.0
0.8

0.6
0.4

0.2
5

10

15

20

25

30

35

40

VARRATIO

TS .

WALK_2 :

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32

1.3

1.2
1.1

1.0
0.9

0.8
5

10

15

20

25

30

35

40

VARRATIO

, WALK_2 DS
.

6.9. , TS DS
6.9.1.


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

- ([Davidson, MacKinnon (1993)]).

(dummy) D1,,
D12 ( ) D1,, D4 ( ).
,
.
- [Dickey, Bell, Miller (1986)], ,
t
.
6.9.2.
, ,
, , ,
. ,
, , ,
. ,
, [Shiller, Perron (1985)] [Perron (1989b)].

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6.9.3.
TS DS

33

TS DS
,
TS, DS, :
H0: TS
H0: TS
H0: DS
1
2
H0: DS
3
4
:

2 DS .

3 TS .

1 -
.

4 (DGP)
TS DS .

6.9.4.

[Fuller (1976)] [Dickey, Fuller (1981)]



,
.
,
.
,

, .
,
, 1.

.

2.
,
,
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34

.
: ,
, .
,
, .
, ,
, > 1, [Dickey,
Pantula (1987)]
,
. ,
;
1 ...
AR(2)
a(L) xt = t ,
..
(1 a1L a2L2) xt = t ,

(1 aL)( 1 bL) xt = t ,

a = 1/z1 , b = 1/z2 , z1, z2 a(z) = 0.


, , | z1|, |z2|
1, , | a|, |b| 1.
, xt , ,
:
xt = (a + b) xt 1 abxt 2 + t .
xt 1 :
xt = (a + b 1) xt 1 abxt 2 + t .
xt 1 :
2xt = xt xt 1 = xt 1 + (a + b 1) xt 1 abxt 2 + t =
= (a + b 2) xt 1 + (1 ab) xt 2 + t .
:
2xt = (a + b 2) xt 1 + [ (ab 1) xt 2 + (ab 1) xt 1] (ab 1) xt 1 + t
= (a + b ab 1) xt 1 + (ab 1) xt 1+ t ,

2xt = (a 1)(1 b) xt 1 + (ab 1) xt 1+ t .
, 2
, 1 .
,

a = b = 1 ( ), 2xt = t .

a = 1, |b| < 1 ( ),
2
xt = (b 1) xt 1+ t ,
2xt = xt 1+ t < 0 .

|a| < 1 |b| < 1 ( ),


2
xt = xt 1 + xt 1+ t < 0 < 0.
, , , .
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35

,

2xt = + xt 1 + ut
t-
( 1 2, ,
= 0 0). ut
2xt 1 , ...
, 2xt p + 1 .
( = 0) ,

2xt = xt 1 + xt 1+ ut
= 0 < 0.
, xt ,
xt ~ I(1).

AR(2)
:
4

0
-4
-2
-8
-4
-12

-6
-8
10

20

30

40

50

60

ROOT0

70

80

90

100

-16
10

20

30

40

50

60

70

80

90

100

ROOT1

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36

2
0
-2
-4
-6
-8
10

20

30

40

50

60

70

80

90

100

ROOT2

, .

SM: 2xt = + xt 1+ t
= 0 < 0. (

.)
ROOT2 ,
2 ( 0),
. T = 100 5%
2.89. t- 1.64;
. ROOT0 ROOT1
, 1 (a = 0),
.
T = 100 5% 1.95.
t- 7.83 ROOT0 5.50
ROOT1; .

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37

ROOT0
ROOT1.
SM: 2xt = xt 1 + xt 1+ t

= 0

< 0.

t- 3.89 ROOT0 1.63


ROOT1, = 0 ROOT0
ROOT1.
, DGP ROOT2
, DGP ROOT1 ,
DGP ROOT0 :
DGP ROOT0: xt = 1.1 xt 1 0.3 xt 2 + t ,
(1 0.6L)(1 0.5L) xt = t,
DGP ROOT1:

xt = 1.5 xt 1 0.5 xt 2 + t ,

(1 L)(1 0.5L) xt = t ;
DGP ROOT2: xt = 2 xt 1 xt 2 + t ,
(1 L)2 xt = t .

c , ,
, , ,
[Patterson (2000)].

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38

6.10.
6.10.1.

[Perron (1989a)]
DS ,

TB ,
, .
, DS-
,
, , .. DS (., , [Engle, Granger (1991)]).

[Nelson, Plosser (1982)], 13

( 62 111 ) GNP,
(1948 1987 ..). ,
.

SM: xt = + t + xt1 + ut , ut AR(k),
DGP: xt = + ut (c = 0 0),
.
, 13 14
. .

, , ,
DS . , ,
,
14 .
, ,
[Perron (1989a)]. , , GNP 1
1958 . 4 1979 .
3500
3000

2500

2000
1500

1000
58

60

62

64

66

68

70

72

74

76

78

GNP

( )
,
. ,
1974 . 1974
.
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39

1958:1 1979:4,
19.086.
1958:1 1973:4 19.852. ,
1975:1 1979:4
31.995.
,
. ,
, 1975 .

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

,
, .
A. :
xt = c + DMU t + t + d DTBt + xt 1 + t
B. :
xt = c + DMU t + t + DTS t + xt 1 + t
C. , :
xt = c + DMU t + t + DTt + d DTBt + xt 1 + t

c ,

1 t = TB + 1
DTBt =
;
0
1 t > TB
DMU t =
0 t TB

t TB t > TB
DTS t =
0 t TB

t t > TB
DTt =
.
0 t TB

:
A.
= 1, = = 0, d 0.
B.
= 1, = = 0, 0.
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40

C.
= 1, = = 0, d 0, 0.


A.
< 1, 0, 0, d = 0
B.
< 1, 0, 0, = 0
C.
< 1, 0, 0, d = 0, 0 .

.
t-
, =T/TB ,
(AO),
, (IO),
. [Perron (1989a)]
2.
, [Perron,
Vogelsang (1993)].
, ,
.
,
, ([Perron
(1989a)], ,
.

zt
,
zt = a1 zt 1 + t ,
yt
yt = f(t) + zt ,
f(t) = 0 t TB f(t) = 0 t > TB . E(zt) = 0, E(yt) = 0 t
TB E(yt) = t > TB . , TB yt
(
).
,
AR(1) yt . ,
yt = f(t) + a1 yt 1 + t , a1 < 1,

f(t) = 0 t TB f(t) = (1 a1) t > TB , 0 .

,
.

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41

TB yt .
yt TB ?
:
yt = a1 yt 1 + (f(t) + t) = a1 yt 1 + t .
t = TB + h
yTB + h = y

TB + h
0

TB + h 1

a
k
1

k =0

= y0TB + h +

TB + h 1

t k

a ( f (t k ) + ) =
k
1

t k

k =0

TB + h 1

h1
= y0TB + h + a1k t k `+ a1k (1 a1 ) .
k =0

k =0
( )
E(yt) = 0. h
h 1

lim a1k (1 a1 ) = .
h

k =0

t = TB yt
, .
f(t) t
( ),
. ,
.
, ( ),

.
, .
:
16
12
8
4
0

-4
10

20

30

40
Y1_ADD

50

60

70

80

90

100

Y1_INNOV

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42

100
80
60
40
20
0
10

20

30

40

50

Y2_ADD

60

70

80

90

100

90

100

Y2_INNOV

:
140
120
100
80
60
40
20
0
10

20

30

40

50

Y3_ADD

60

70

80

Y3_INNOV

:
120
100
80
60
40
20
0
10

20

30

40

50

60

70

80

90

100

Y4_ADD

[Perron (1989a)].
- 14
,
.
11 14 , ..
-.
,
.



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43

, xt = M1, 1 ,
,
.
1995:06 2000:07 . Xt = M1
:
700000
600000
500000
400000
300000
200000
100000
1996

1997

1998

1999

2000

M1


(. [
(2001)]) ,
.
,
1998 1999 ., - 1998
.
,
1998 .,
,
() (AO
).
, TB ,

xt = + t + DTSt + ut ,
DTSt t TB t > TB 0
t . et.
et et 1 e t 1 ,, et p :
et = et 1 +

et j + t ;

j =1

t- H0: = 1
, [Perron,
Vogelsgang (1993), . 249]).
,
.

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44

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

( 10%
) .


SIC

P-val
P-val P-val
LM-. White J-B

( 12
)
8
11
10
9*

22.236

1 0.983
2 0.967

22.157
22.089
22.018
21.986

4
5
3
1** ( GS)
7
6
2 ( SIC)

21.974
21.935
21.898
21.837
21.834
21.793
21.782

1 0.590
2 0.844
3 0.954

0.701

0.372
0.040
0.035
0.016
0.006
0.002

0.281

t-

-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

,
.
,
10% .
(SIC),
.

P-
(P-values)
LM-
-. , P, ( )
.
P- (White)
.
P- Jarque-Bera
.
t- ()
- ,
( ) .
( 10% )
12
, 8, 11, 10, 9 ().
, , 1 7 12 ;
,
. ,
, 10% ,
, , .
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45

,
.


, ,
, .

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

.
, 1998:08
1998 .
1. ,
t- .
6.10.2.

14 ,

. [Zivot, Andrews (1992)]
, GNP
1973 . (
- ).
,
().
, (1964 .), ,
80- . ,
1973 ., GNP. ,
,
( ) ,
. ,
, [Perron (1989a)], ,
, .
, Zivot Andrews
( ),
,

t- t H0: = 1;
(tmin), t .
?
, , , (1890 1970).
[Zivot, Andrews (1992)] (A) (. A, B,
C), DTBt .
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46

, GNP, 1929 .
( ). t t =
4.95, TB = 40, = 40/81= 0.49. (5%)
t 3.76, .
, , Zivot Andrews
(1929 .), tmin = 4.95. t- .
tmin t
: 5% tmin 5.26.
tmin = 4.95 > 5.26, (H0: = 1)
.

. 11 14
. GNP ( )
(1986 1970).
( ):
,
.
, , , GNP,


(kurtosis): 5.68, 4.658, 4.324,
,
tmin . (
.
3.3)
( )
5%
: 5.86, 5.81 5.86 ( 5.38, 5.33 5.63,
). tmin 5.82, 5.30
5.61, , , .
, ,
, D(t) = , tmin
, 5%
.

[Perron
(1997)] , Zivot, Andrews,
tmin ,
.
(A) (C), ( Zivot, Andrews)
DTBt .
3


= ( 3), 0 .
- , ,
ECONOMETRIC VIEWS, ()
.

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47

, [Perron (1997)],
PERRON97 RATS.
IO1
, IO2 ,
, AO , .
:
UR t- = 1;
STUDABS t-
,
( IO1) ( IO2);
STUD t-
, ( IO1)
( IO2);

,
.
( 1)
,
, PERRON97
RATS, ,
[Perron (1997)].
,
,
, .
,
(IO).
PERRON97 :
break date TB = 1999:07; statistic t(alpha=1) = -3.34124
critical values at 1%
5%
10%
for 70 obs.
-6.32
-5.59
-5.29
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

DUt =1 t>TB DUt = 0 t ;


D(Tb)t =1 t=TB+1 D(Tb)t = 0 t ;
DT= t t>TB DTt=0 t ;
(M1{1})t =M1t1.
(,

6
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48

: CONST, DU, D(Tb), TIME, DT


M1{1}.)
PERRON97 1999:07,
t-
t=1, . t=1 = 3.341,
5% 5.59, .
, ,
12 GS 10%
.
t d DTt,
, 1998:04. t=1 = 0.547, 5%
5.33; . (
11). ,
t-
DT,
, 1998:04
(UR-).
, (
) (AO).
PERRON97 :
break date TB = 1999:02; statistic t(alpha=1) = -3.59417
critical values at 1%
5%
for 100 obs.
-5.45
-4.83
number of lag retained : 12
explained variable : M1
coefficient
student
CONSTANT
104939.65455
20.48279
TIME
4832.56930
26.73200
DT
14335.07564
21.11189
M1 {1}
-0.75752
-1.54915

10%
-4.48

(,
.

CONST, TIME, DT;
et . et et1
et 1,, et p ).
t=1
1 et 1 .
1999:02, t=1= 3.594 ( 12
), 5% 4.83, UR-
.
, ,
:
1.626
, 3. [Zivot, Andrews (1992)] (
),
,
, UR- .

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49

1 1995:06 2000:07,
[ (2001)].
.
()
- ()
-
DF-GLS
KPSS


( )

( )

()
DS
TS


DS

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

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7.

7.1.
(, spurious)
.
,
[ (2000)].

1957 1966
: E -
( -), C - ( .
) H -
( ). :


34.9
35.9
37.9
41.1
43.5
46.7
48.9
52.0
56.1
62.6

1957
1958
1959
1960
1961
1962
1963
1964
1965
1966

. .
-
( )

716
478
724
478
797
478
844
481
881
483
946
493
1011
520
1083
528
1157
528
1249
534

:
1400
1200

1000
800
600
400

200
0

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, ,

. , ,
E = 2625.5 + 7.131H ,

R 2 = 0.900;

C = 129.30 + 0.350 H ,

R 2 = 0.871; .

E = 23.90 + 19.950C ,

R 2 = 0.993;

C = 0.860 + 0.0498E ,

R 2 = 0.993.

(, , ,
,
, 19.950 0.0498 = 0.993
R 2 .)
,
, ,

, . ,
,

, 0.9
.
, ,
(, - spurious)
. ,
(
) -
.
, , ,
R 2
y x :

R 2 = ryx2 .
,

y x .

Cov ( y , x )
ryx =
,
Var ( y ) Var ( x )

Cov ( y, x) =
Var ( x) =

1
n 1

( yi y )(xi x ) ,
i =1

1
n 1

(x
i =1

Var ( y ) =

1
n 1

(y
i =1

y) ,
2

x) .
2

Var ( x ) Var ( y) , ryx 1 ,


Cov ( y, x ) > 0 .

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yi y xi x
y
x , ,
. (

, ,
. , ,
, , , ,
.)
, ryx 1,

Cov ( y, x ) < 0 .

yi y

xi x

y x , ,
, . ( ,
, , , ,
, .)
,

,
.


1t 2t ,
, N(0, 1).

3

-1

-1

-2

-2

-3

-3
5

10

15

20

25

30

EPS_1

35

40

45

50

10

15

20

25

30

35

40

45

50

EPS_2

DGP
DGP : xt = 1 + 0.2 t + 1t ,
yt = 2 + 0.4 t + 2t ,

SM: yt = + xt + t
.
xt yt

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25
20
15

10
5

0
5

10

15

20

25
X

30

35

40

45

50

.
:
Dependent Variable: Y
Sample: 1 50
Included observations: 50
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X

1.553866
1.800255

2.265868
17.47878

0.0280
0.0000

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

0.864218
0.861389
2.206028
233.5948
-109.4860
2.150060

0.685771
0.102997

Mean dependent var


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

12.22809
5.925326
4.459442
4.535923
305.5076
0.000000

,
,
.
.
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
T
X

2.037450 0.294861
0.412232 0.028055
-0.054186 0.133658

6.909879
14.69394
-0.405410

0.0000
0.0000
0.6870

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

0.975727
0.974694
0.942598
41.75908
-66.44428
2.249075

Mean dependent var


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

12.22809
5.925326
2.777771
2.892492
944.6386
0.000000

,
.
, xt ,

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- ,
yt .
xt
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
T

1.990020
0.401493

7.417403
43.84727

0.0000
0.0000

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

0.975642
0.975134
0.934357
41.90511
-66.53155
2.249658

0.268291
0.009157

Mean dependent var


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

12.22809
5.925326
2.741262
2.817743
1922.583
0.000000


. ,
yt = + xt + t , ,
SM 233.59 ,
41.91.
, yt
xt .

, DGP
.
()
.
, ,
. .


DGP: xt = xt 1 + 1t ,
yt = yt 1 + 2t ,
1t 2t , .

10
5
0
-5
-10
-15
-20
10

20

30

40

50
X

60

70

80

90

100

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, ,
50 ( 51 100).

SM: yt = + xt + t
:
Dependent Variable: Y
Sample: 51 100
Included observations: 50
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X

8.616496
0.597513

11.51512
7.707873

0.0000
0.0000

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

0.553120
0.543810
2.265356
246.3283
-110.8130
0.213611

0.748277
0.077520

Mean dependent var


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

3.404232
3.354003
4.512519
4.589000
59.41131
0.000000

, DGP yt xt
,
0.553. , ,
:
10
5
0
-5
-10
-15
-20
55

60

65

70

75
X

80

85

90

95

100

, , 100 ,
:
Dependent Variable: Y
Sample: 1 100
Included observations: 100
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X

1.490206
0.055097

2.242470
0.656086

0.0272
0.5133

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

0.004373
-0.005786
3.523613
1216.753
-266.8324
0.061638

0.664538
0.083978

Mean dependent var


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

1.120548
3.513463
5.376648
5.428752
0.430449
0.513306

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,
xt 0.0551 0.5975,
51 100.
DGP , ,

xt , .

(0.214 0.062 ).
,
,
( !)
.
.
DGP: xt = xt 1 + 1t , yt = yt 1 + 2t , x0 = 0, y0 = 0 , 1t 2t

, 1t ~ N(0, 12), 2t ~ N(0, 22), Cov(xt , yt) =


0. , T (xt , yt), t = 1, 2, , T ,

SM: yt = xt + ut , ut ~ i.i.d. N(0, u2), Cov(xt , ut) = 0.

T = yt xt xt2 .
t =1

t =1

DGP , T
T ,
.
, SM ,
( DGP !) :
Cov(xt , yt) = Cov(xt , xt + ut) = Cov(xt , xt ) = D(xt),
..
= Cov(xt , yt ) / D(xt).
( DGP) Cov(xt , yt ) = 0, = 0,
( SM) ,

0 .
T

, T t- t H0: = 0
, t , ..
, xt yt
. ,
t , 1 / T t ,
.
(DW), T
DW 0 ,

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.
,
.


DGP: xt = xt 1 + 1t , yt = yt 1 + 2t ,
1t 2t ,
, N(0, 1),

SM: yt = + xt + t .
51 100
:
= 0.598, t = 7.708, DW = 0.214.
T


4
2
0
-2
-4
-6
55

60

65

70

75

80

85

90

95

100

RESIDS

.

,
, ,
(
, .).
, , , , ,
(
).
,
.
, ,
,
. ,
.
()
SM: yt = + xt + t 51
100
yt = 8.616 +0.598 xt + e t .
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,
, ..
e t = e t 1 + t
t- t H0: = 0,
.
H0 HA: < 0 (
), t < t . t

t + T 1 + T 2 ,

, 1 , 2

[MacKinnon (1991)]. 5%
t 3.3377 + 5.967 T 1 8.98 T 2 ,
T = 50 t = 3.46 . 5%
2.92,
.
t
= 2.01. 5% ,
.
, () ()
xt yt ,
(xt , yt ~ I(1)),
. , yt
xt ?
, xt yt (
xt yt ) . , xt
yt ( xt yt ) .

yt = + xt + ut
, .. T , ,
- xt yt . (.,
, . 7.3.)
, xt yt ,
T

, yt xt
,
DGP: xt = xt 1 + 1t ,
yt = yt 1 + 2t
1t 2t , ..
Cov(1t , 2t) 0, 1t 2t , xt yt
. , ,
yt = xt + ut , ut . yt 1 xt 1 = ut 1 , yt
= xt + ut , 2t = 1t + ut . ut = ut 1 + t ,

t = 2t 1t ~ i.i.d. N(0, 2).


, ut .
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10

, x0 = y0 = 0,
Cov(xt , yt ) = Cov(11 + + 1t , 21 + + 2t) = t Cov(11, 21) ,
xt yt , .
,
= (Cov(k 1, s 1)) , k, s = 1, 2.
,
(CRDW cointegrating regression DW):
et = yt T T xt .

T = 50 5% 0.78.
,
.

0.214,
.


1 xt yt ?
:
1.

, ,
SM: yt = + xt + yt 1 + xt 1 + ut ,
ut xt .
:
(a) yt = + yt 1 + xt + ( + ) xt 1 + ut ,
() yt = + yt 1 + ( + ) xt xt + ut .
yt ~ I(1).
()
xt , ; yt 1 , xt 1 ~ I(1), ut
. [Sims, Stock, Watson (1990)],
SM
, . t H0: = 0
N(0,1), ut . , ()
xt ,
; yt 1 , xt ~ I(1), ut .
SM , t H0: = 0
N(0,1), ut .
ut ,
. N(0,1)
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11

t-,
ut
, . 6.8.1.
, qF = 2F H0: = = 0
2(2) , SM
,

, . (
.)
2. xt yt ,
..
SM: yt = + xt + ut , ut .

. t-
N(0,1), ut . ut ,
, t-, .
3.
SM: yt = + xt + ut , ut = xt 1 + t , ut ~ i.i.d. N(0, 2).
, , ,

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

1 ( ), , ,

T .

,

DGP: xt = xt 1 + 1t , yt = yt 1 + 2t ,
1t 2t ,
, N(0,1).
50 .
(1)
,
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
X
Y(-1)
X(-1)

0.812691
-0.116725
17.32664
0.279290

0.4206
0.9076
0.0000
0.7813

0.447271
-0.014458
0.970105
0.033532

0.550358
0.123861
0.055989
0.120061

P- xt xt 1
, xt yt .
(2)
,
Dependent Variable: D(Y)
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Variable

Coefficient Std. Error

t-Statistic

Prob.

C
D(X)

0.184523 0.117614
-0.033386 0.116361

1.568884
-0.286915

0.1232
0.7754

12

,
1t 2t .
(3)
,
yt yt 1 = (1 ) + (xt xt 1) + t ,
..
yt = * + yt 1 + (xt xt 1) + t .
:
Dependent Variable: Y
Method: Least Squares
Convergence achieved after 7 iterations
Y=C(1)+C(2)*Y(-1)+C(3)*(X-C(2)*X(-1))
Coefficient Std. Error

t-Statistic

Prob.

C(1)
C(2)
C(3)

0.217398 0.159423
0.988791 0.035801
-0.027306 0.119276

1.363650
27.61920
-0.228934

0.1792
0.0000
0.8199

R-squared

0.940380

Mean dependent var

3.404232

, yt 1 1,
.
P- 0.367.

, xt yt , ..
xt = xt 1 + 1t , yt = yt 1 + 2t ,

1t ,
, N(0, 1.25),
2t ,
, N(0, 1.25),
Cov(1t, 2s) = 0 t s , Cov(1t, 2t) = 1.
, , , Corr(1t, 2t) = 0.8 .
1t 2t

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13

3
2
1
0
-1
-2
-3
10

20

30

40

50

60

NOISE_X

70

80

90

100

NOISE_Y


1t
2t
;
0.789. xt yt ,
.
1t 2t .
10

10

-5

-5

-10

-10

-15

-15

-20

-20
10

20

30

40

50
X

60

70

80

90

100

10

20

30

40

50

60

70

80

90

100

,
;
1t 2t 0.792.
yt = + xt + ut .
, 2.112, 5%
3.46. ,
.

(1)

Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
X
Y(-1)
X(-1)

0.548392
0.718479
0.913556
-0.641522

1.454312
8.987361
13.47210
-7.223976

0.1526
0.0000
0.0000
0.0000

R-squared

0.987574

0.377080
0.079943
0.067811
0.088805

Mean dependent var

-0.957402

, 1t 2t
,
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14

xt xt 1. ,
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

X
Y(-1)
X(-1)

0.695862 0.079341
1.005257 0.025245
-0.707002 0.077447

8.770553
39.82053
-9.128837

0.0000
0.0000
0.0000

R-squared

0.987003

Mean dependent var

-0.957402

.. yt = 1.005 yt 1 + 0.695 xt 0.707 xt 1 + et . yt 1


1; xt xt 1
, DGP.
(2)

Dependent Variable: D(Y)


Variable
Coefficient Std. Error

t-Statistic

Prob.

C
D(X)

0.100915
0.694000

1.203508
8.981039

0.2347
0.0000

R-squared

0.626921

0.083851
0.077274

Mean dependent var

0.226857

, DGP,
xt ,
1t 2t , .. xt yt .
, :
Dependent Variable: D(Y)
Variable
Coefficient Std. Error

t-Statistic

Prob.

D(X)

9.271155

0.0000

0.709553

0.076533

.. yt = 0.710 xt + et , yt = yt 1 + 0.710 xt 0.710 xt 1 + et .


(3)
, ,
yt = + yt 1 + (xt xt 1) + t ;
:
*

Dependent Variable: Y
Convergence achieved after 8 iterations
Y=C(1)+C(2)*Y(-1)+C(3)*(X-C(2)*X(-1))
Coefficient Std. Error

t-Statistic

Prob.

C(1)
C(2)
C(3)

0.329205
0.941984
0.723593

1.314726
16.54170
9.119982

0.1950
0.0000
0.0000

R-squared

0.987410

0.250398
0.056946
0.079341

Mean dependent var

-0.957402

.
:
Dependent Variable: Y
Convergence achieved after 4 iterations
Y=C(2)*Y(-1)+C(3)*(X-C(2)*X(-1))

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C(2)
C(3)

Coefficient Std. Error

t-Statistic

Prob.

1.014411
0.702102

48.88608
8.970448

0.0000
0.0000

0.020750
0.078268

15

.. yt = 1.014 yt 1 + 0.702 (xt 1.014 xt 1) + e t ,


yt = 1.014 yt 1 + 0.702 xt 0.712 xt 1 + e t
, :
yt = 1.005 yt 1 + 0.695 xt 0.707 xt 1 + et ( 1),
yt =
yt 1 + 0.710 xt 0.710 xt 1 + et ( 2),
yt = 1.014 yt 1 + 0.702 xt 0.712 xt 1 + e t ( 3).
,
:
yt = 0.7 xt + et .

( ):
1.985; P- Jarque Bera 0.344.

, ,
,
. , ,
,
( ) ?
:
(a)

MA
.
(b) 1
,
.
,
, .
7.2. .

yt ~ I(1), xt ~ I(0). yt xt , ..
a b
yt a b xt ~ I(1).
, , yt ~ I(0), xt ~ I(1). a b 0
yt a b xt ~ I(1),
b = 0
yt a b xt ~ I(0),
.
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16

yt ~ I(1), xt ~ I(1) .
b
yt b xt ~ I(1),
yt xt , ,
.
, b 0
yt b xt ~ I(0) .
, yt xt , (1,
b)T .
, yt ~ I(1), xt ~ I(1) (
), ()
= (1, 2)T 0 ,
1 xt + 2 yt ~ I(0) .
, = (1, 2)T
xt yt , =
(1, 2)T , 0 . -
, , ,
(1, b)T ( ( a, 1)T ).
, xt , yt ~ I(1), xt , yt
. ,
(xt , yt)T ,

(xt , yt)T = + B(L) t ,

= ( 1, 2 )T , 1 = E(xt ) , 2 = E(yt) ;
t = (1t , 2t )T ,
..
1, 2 , ,
,
E( t) = (0, 0)T , D(1t) = 12 , D(2t) = 22 , Cov(1t , 2t ) = 12 ;
1 0 b11( k ) b12( k ) k
L .
+ ( k )
B( L) =
(k )
0
1
b
b

k = 1 21
22
([Granger (1983)], . [Engle, Granger (1987)])
, I(1) xt yt ( )
(I)
(xt , yt)T = + B(L) t B(1) 1.
(II) xt yt ARMA
A(L) (xt, yt )T = c + d(L) t ,

t , (I),
c = (c1, c2)T , c1 c2 ,
A(L) ,
d(L) ,

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17

A(0) = I2 ( 22),
rank A(1) = 1 ( 22- A(1) 1),
d(1) .
, (22)- A(1) ,

(reduced rank VAR).
(II)
q
p

(
)
x
c
a
x
b
y
=
+
+
+

k 1,t k ,
1
1j t j
1j t j
t
k =0
j =1

q
p
y = c + (a x + b y ) +

k 2,t k
2
2j t j
2j t j
t
k =0
j =1
p q .
AR ,
d(L) 1 , p < .

(III)
xt yt
(error correction model ECM)

j =1

k =0

j =1

k =0

xt = 1 + 1 z t 1 + ( 1 j xt j + 1 j yt j ) + k 1,t k ,
yt = 2 + 2 z t 1 + ( 2 j xt j + 2 j yt j ) + k 2,t k ,

zt = yt xt E(yt xt)
,
zt ~ I(0),

12 + 22 > 0.
(II) AR(p) (p < ), ECM

p 1

xt = 1 + 1 z t 1 + ( 1 j xt j + 1 j yt j ) + 1,t ,
j =1

p 1

yt = 2 + 2 z t 1 + ( 2 j xt j + 2 j yt j ) + 2,t ,
j =1

xt , yt ~ I(1) , ECM
.

(xt , yt)T ~ I(1) ( (xt , yt)T


) ECM , xt yt .
(, ECM, zt1,
; zt 1.)

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18

xt , yt ~ I(1) , VAR
. ( , xt yt
.)
zt = yt xt , = E(yt xt),
,
t

,
yt xt = 0. xt yt
zt 1 .
zt , ,
, ,
.
1
xt yt ,
xt
yt . yt
xt ,
yt xt
. (
.)
xt , yt ~ I(1) ,
, , .
ECM, 12 + 22 > 0. xt
1 zt 1 yt (.. xt
yt), 2 0. yt 1
zt 1 xt (.. yt
xt), 1 0.
2
xt , yt ~ I(1) wt ~ I(0). k
xt yt k + wt , 0. , xt ~ I(1), xt
xt k . (, xt xt k = xt + xt 1 + + xt k I(0), I(0)-.)
, xt , yt ~ I(1)

() yt = + xt ;

ECM,
.
, , , ECM
( ,
). , .
, .
[Engle, Granger (1987)] ,
yt
xt
yt = + xt + ut .
(K-),

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19

zt = yt xt
.
, , (
!)
p 1

xt = 1 + 1 zt 1 + ( 1 j xt j + 1 j yt j ) + t ,
j =1

p 1

yt = 2 + 2 zt 1 + ( 2 j xt j + 2 j yt j ) + wt ,
j =1

(.. VAR(p) xt , yt).


,
( )
(1, )T . (
.) , , ,
ECM, z t 1 ,
,
, z t 1 . (
.) -
.
, ,
zt , .

,
(, 1)T , xt
yt , , ,
.

, ( ) ,
,
. ,
, ,
.
,

.
,
(, ).


DGP: xt = xt 1 + t , yt = 2 xt + t ,
x1 = 0, t t
, ,
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20

N(0, 1). xt yt

10

-10

-20

-30

-40
10

20

30

40

50

60

70

80

90

100

(xt , yt)
xt = xt 1 + t ,
yt = 2 xt 1 + t ,
t = t + 2t ~ i.i.d. N(0, 5).
ECM
xt = t ,
yt = (yt 1 2 xt 1) + t = zt + t ,
zt = yt 2 xt ,

xt = 1 zt 1 + t ,
yt = 2 zt 1 + t ,
1 = 0, 2 = 1, 12 + 22 > 0.
, ,
, VAR DGP. ,
ECM
xt = 1 zt 1 + 11xt 1 + 11yt 1 + vt ,
yt = 2 zt 1 + 21xt 1 + 21yt 1 + wt ,
,
(p = 2). 100 .
(I ) yt = + xt + ut .
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
X

-0.006764 0.165007
1.983373 0.020852

-0.040992
95.11654

0.9674
0.0000

R-squared

0.989284

Durbin-Watson stat

2.217786

..
yt = 0.006764 + 1.983373 xt + ut ,

zt = ut = yt + 0.006764 1.983373 xt .
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21

, VAR 2,
yt xt
:
,
zt = zt 1 + 1 zt 1 + t .
:
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Z)
Sample(adjusted): 3 100
Included observations: 98 after adjusting endpoints
Variable

Coefficient Std. Error

t-Statistic

Prob.

Z(-1)
D(Z(-1))

-1.153515 0.151497
0.038156 0.100190

-7.614088
0.380837

0.0000
0.7042

t = 7.614 5%
3.396 (. [Patterson (2000), 8.7]).
. (
, ,
. t
= 11.423,
.)
, yt xt ,
.
( II) xt :
Dependent Variable: D(X)
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Z(-1)
D(X(-1))
D(Y(-1))

-0.277810
1.420858
2.482201
-2.218019

0.7818
0.1587
0.0148
0.0290

-0.028016
0.250942
0.639967
-0.258740

0.100847
0.176613
0.257823
0.116654


P-

Dependent Variable: D(X)


Variable
Coefficient Std. Error

t-Statistic

Prob.

D(X(-1))

1.148554

0.2536

0.115141

0.100249

, ,
xt = t ,
xt .
yt ,
Dependent Variable: D(Y)
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Z(-1)
D(X(-1))
D(Y(-1))

-0.283630
-1.727472
2.425311
-1.970459

0.7773
0.0874
0.0172
0.0517

-0.060101
-0.641060
1.313872
-0.482981

0.211899
0.371097
0.541733
0.245111

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, :
Dependent Variable: D(Y)
Variable
Coefficient Std. Error

t-Statistic

Prob.

Z(-1)
D(X(-1))
D(Y(-1))

-1.730381
2.445138
-1.983217

0.0868
0.0163
0.0502

-0.638888 0.369218
1.317763 0.538932
-0.483722 0.243908


zt 1 ,

yt

xt .
, ECM 12 + 22 > 0.
zt 1 xt ,
yt .
yt 1 ,
Dependent Variable: D(Y)
Variable
Coefficient Std. Error

t-Statistic

Prob.

Z(-1)
D(X(-1))

-4.767072
1.572671

0.0000
0.1191

-1.186411 0.248876
0.331411 0.210732

xt 1 , yt =
2 zt 1 + wt , ,
Dependent Variable: D(Y)
Variable
Coefficient Std. Error

t-Statistic

Prob.

Z(-1)

-5.137760

0.0000

-1.273584 0.247887

H0: 2 = 1 :
Null Hypothesis: C(1)= -1
F-statistic
Chi-square

1.218077
1.218077

Probability
Probability

0.272441
0.269738

, ECM
xt = t , yt = zt 1 + wt ,

zt 1 = yt 1 + 0.006764 1.983373 xt 1 .
zt 1 yt

yt = 0.0068 + 1.983 xt 1 + wt ,

yt = 2 xt 1 + t ,
DGP.
, , wt = yt + zt 1
4.62
( DGP 5.00), t = xt
1.04
( DGP 1.00).
ECM
xt = t , yt = zt 1 + wt ,
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23

, yt
: zt 1 , ..
yt 1 ( 0.0068 + 1.983 xt 1) > 0,
yt zt 1
yt . ,
zt 1
yt .
xt zt 1
yt , .. xt yt .
, yt
xt , yt xt .
, ECM Cov(vt, wt) 0,
,
.

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

(t , t)T ~ i.i.d. N2(0, ) ,


,
. (
.)
, Cov(t , t) = 0, xt
,
.
Cov(t , t) 0, xt
, .. Cov(xt , t) = Cov(xt 1 + t , t) 0.

.
,
.
N y1t , , yN t ,
1. = (1, ... , N)T ,
,
1 y1t + ... + N yN t ~ I(0) ,
, ( );
.
c = E(1 y1t + ... + N yN t),

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1 y1t + ... + N yN t = c .
t
,
zt = 1 y1t + ... + N yN t c .
zt , , ,
,
, .. .
y1t , , yN t
N 1
zt
. , , ,
y1t = 1 + 2 y2 t + ... + N yN t + ut ,

u = y1t ( + y2 t + ... + yN t),
t

. ,
[MacKinnon (1991)] (. [Patterson (2000), A8.1]).
,
= (1, , , )
2

.

zt = ut .
, , ,
.
= (1, ... , N)T
, 1 y1t + ... + N yN t . ,
y1t , , yN t ( , ) ,
, ,
. ,
.
7.3. .

.
(1) .

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1 y1t + ... + N yN t .
,
;
N .

(2) y1t , , yN t (, E(yk t) =


0).
(2a) (SM) .


SM: y1t = 2 y2t + ... + N yN t + ut ,

ut = y1 t ( 2 y 2 t + K + N y N t ) ,

ut = ut 1 + 1ut 1 + K + K ut K + t
H0:
= 0 H0: < 0 .
t- t
N .

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26

, [Hamilton (1994), Table B.9, Case 1].


.
(2b) (SM) .

SM: y1t = + 2 y2t + ... + N yN t + ut ,

ut = y1 t ( + 2 y 2 t + K + N y N t ) ,

ut = ut 1 + 1ut 1 + K + K ut K + t
H0:
= 0 H0: < 0 .
(2a).
,
[Hamilton (1994), Table B.9, Case 2].

, [MacKinnon (1991), 1 ( no
trend)] [Patterson (2000)].

(3) y2t , , yN t , E(yk t)


0 .
(3a) .


SM: y1t = + 2 y2t + ... + N yN t + ut .

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27

(2b), .
,
[Hamilton (1994), Table B.9, Case 3]. T
, [MacKinnon (1991), Table
1 ( with trend)] [Patterson (2000)].
(3b) .


SM: y1t = + t + 2 y2t + ... + N yN t + ut .
, , , (3a),
N , N + 1 .


- .
,
, y1t, y2t , , yN t .

y1t , y2t , y3t , y4t ,


DGP: y1t = y2, t + y3, t + y4, t + 1t ,
y2t = y2, t 1 + 2t ,
y3t = y3, t 1 + 3t ,
y4t = y4, t 1 + 4t ,
1t , 2t , 3t , 4t
, 1 2t , 3t , 4t 2 1t .
T = 200 .

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28

60
40
20
0
-20
-40
-60
20

40

60

80

100

120

Y1
Y2

140

160

180

200

Y3
Y4

,
.
. t-,
2.18, 1.78, 0.57, 1.70, . 4 .
,
y1t , y2t , y3t , y4t AR(1) , ..
1.
.
(1)

y1t = y2, t + y3, t + y4, t ,

y1t y2, t y3, t y4, t .

8
6
4
2
0
-2
-4
-6
20

40

60

80

100

120

140

160

180

200

COINT

,
: t-
15.07. .
,
.
(2a) :
Dependent Variable: Y1
Method: Least Squares
Variable
Coefficient Std. Error

t-Statistic

Prob.

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Y2
Y3
Y4

0.996084
0.992550
1.002305

0.009973
0.009578
0.012393

99.88161
103.6296
80.87922

29

0.0000
0.0000
0.0000


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID_2A)
Variable
Coefficient Std. Error

t-Statistic

Prob.

RESID_2A(-1)

-15.17178

0.0000

-1.075552 0.070892

t- 15.17, 5%
3.74 ([Hamilton (1994), Table B.9, Case 1]).
.
(2b) :
Dependent Variable: Y1
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Y2
Y3
Y4

0.889279
81.05843
88.04048
77.22129

0.3749
0.0000
0.0000
0.0000

0.332183
1.002583
0.987369
0.999022

0.373542
0.012369
0.011215
0.012937


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID_2B)
Variable
Coefficient Std. Error

t-Statistic

Prob.

RESID_2B(-1)

-15.22764

0.0000

-1.079049 0.070861

t- 15.23 5%
, 4.11 ([Hamilton (1994), Table B.9, Case 2]).
.
(3) y1t , y*1t = y1t + 0.75t ,
y1t :
200

150

100

50

-50
20

40

60

80
Y1

100

120

140

160

180

200

Y1_STAR

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30

200
150

100

50

-50
20

40

60

80

100

120

140

Y1_STAR
Y2

160

180

200

Y3
Y4

(3a) :
Dependent Variable: Y1_STAR
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
Y2
Y3
Y4

4.248195
-14.89224
35.18115
0.775323

0.0000
0.0000
0.0000
0.4391

11.49053
-1.333762
2.856952
0.072630

2.704802
0.089561
0.081207
0.093677

:
15
10
5
0
-5
-10
-15
20

40

60

80

100

120

140

160

180

200

RESID_3A

:

Augmented Dickey-Fuller Test Equation
Variable
Coefficient Std. Error

t-Statistic

Prob.

RESID_3A(-1)

-3.562431

0.0005

-0.119805 0.033630

t- 3.56 5% ,

4.16 ([Hamilton (1994), Table B.9, Case 3]).
.
(3b) :
Dependent Variable: Y1_STAR
Variable
Coefficient Std. Error

t-Statistic

Prob.

0.778187

0.4374

0.304068

0.390739

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@TREND
Y2
Y3
Y4

0.751890
1.008470
0.982658
1.001356

0.007507
0.026468
0.021830
0.015942

100.1621
38.10166
45.01453
62.81247

31

0.0000
0.0000
0.0000
0.0000

:
8
6
4
2
0
-2
-4
-6
-8
20

40

60

80

100

120

140

160

180

200

RESID_3B

,
:
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID_3B)
Variable
Coefficient Std. Error

t-Statistic

Prob.

RESID_3B(-1)

-15.23448

0.0000

-1.079492 0.070859

t- 15.234 5%
, 4.49 ([Hamilton (1994), Table B.9, Case 3]).
.
,
.
, . y1t , y2t , y3t , y4t
, ( ).
. y*1t , y2t , y3t ,
y4t . ,

.
,

,
.
.

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

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32

, ..
, . ,
.

. . 7.1 ,

yt = + xt + u t , .. T
- xt
yt . ,
T ,
. , [Entorf (1992)],
.

DGP: xt = x + xt 1 + 1t ,
yt = y + yt 1 + 2t ,
1t 2t , x ,
y 0.
SM: yt = + xt + u t
T , T , T ,
T T y / x .

SM: yt = + xt + t + u t ,
( T ) T y , T
,
.
7.4.

N y1t , , yN t ,
1. = (1, ... , N)T ,
,
1 y1t + ... + N yN t ~ I(0) ,
( );

.
c = E(1 y1t + ... + N yN t),

1 y1t + ... + N yN t = c .
t
,
zt = 1 y1t + ... + N yN t c .

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zt , , ,
,
, .. .
, , , I(1)
.

y1t , , yN t r , r
. , N ,
r = 1, , N 1 . (,
, r = 0. r = N
, N .)
I(1)

r- ,
.
r

,
,
, .
I(1) y1t , , yN t r
VAR(p) p
(VAR vector autoregression)
A(L) yt = + t ,

yt = (y1t , , yN t )T ,
= (1 , , N )T ,
A(L) = A0 A1L ApLp,
A0 , A1 , , Ap (N N),
A0 = IN ( ),
..
yt = + A1 yt 1 + + Ap yt p + t .
A(1) rank A(1) = r ( N = 2)
VAR ECM ( )
y1 t = 1 + 11 z1, t 1 + K + 1r z r , t 1 +
p 1

+ ( 11, j y1, t j + K + 1N , j y N , t j ) + 1 t ,
j =1

..
y N t = N + N 1 z1, t 1 + K + N r z r , t 1 +
p 1

+ ( N 1, j y1, t j + K + NN , j y N , t j ) + N t ,
j =1

z1,t , ... , zr,t

I(0) , r
(1) , ... (r) ,
(11, ... , N 1)T , , (1 r, ... , N r)T
.

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yt = + T yt 1 + 1 yt 1 + p 1 yt p + 1 + t ,
1 , , p 1 N N , (N r)-
r . (1) , , (r)
, i j

z1, t 1 = T(1) yt 1 , , zr, t 1 = T(r) yt 1
( t 1 r
y1t , , yN t) y1t , , yN t .
VAR
, (1) , , (r)
. ,

.

I(1) .
r , 0 < r < N ,
I(1) y1t , , yN t
y r + 1, t r +1 vr + 1, t
y r + 1, t v1 t
y1 t 1



M = M + M ,
M = M + C M + M ,
y
v
y

y
N, t
rt r
N N, t

N , t vr t
( ) ,
C = (i j) r (N r) ,
vt = (v1 t , , vN t)T - ( )

E(vt) = 0,
yr + 1, t , , yN , t .
:
y1 t c11 yr + 1, t c1, N r yN, t = 1 + v1 t ,
...
yr t cr 1 yr + 1, t cr, N r yN, t = r + vr t ,

(1) = (1, 0, 0, , 0, c11, , c1, N r )T ,
(2) = (0, 1, 0, , 0, c21, , c2, N r )T ,
...
(r) = (0, 0, 0, , 1, cr 1, , cr, N r )T
. r
y1 t , , yN , t
z1, t = T(1) yt = y1 t c11 yr + 1, t c1, N r yN, t ,

zr, t = T(r) yt = yr t cr 1 yr + 1, t cr, N r yN, t .

v1 t , , vr t vr + 1, t , , vN t , yr
,
+ 1, t , , yN , t
y1 t , , yr t yr + 1, t ,
, yN , t . ci j ,
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35

T (ci j ci j ) T . r = 1

y1 t = 1 + c11 y 2, t c1, N 1 yN, t + v1 t ,


(
y 2, t , , yN, t ) ,
, t-
F- (, ),
, v1 t . ,
. 7.1, v1 t
.
ci j r (N 1) (1) , , (r) :
= (1, 0, 0, , 0, c , , c
)T ,
1, N r

11

(1)

...
( r ) = (0, 0, 0, , 1, cr 1 , , cr , N r )T .
(1) , ... , ( r ) ,

z
= T y , ... , z
= T y
.
1, t 1

(1)

t 1

r, t 1

(r )

t 1

ECM
yt = + zt 1 + 1 yt 1 + p 1 yt p + 1 + t ,

z1, t 1

zt 1 = M .
z

r, t 1


, ECM.
, ( c )
, z1, t , ... , zr, t
y1t , , yN t
,
(N +1) y1t , , yN t
t , .
A(1) r , r

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36

11 y1t + ... + 1N y1N + 1, N + 1 t ,

r1 y1t + ... + r N y1N + r, N + 1 t .


((N + 1)1)-

(1) = ( 11 , ... , 1N , 1, N + 1)T


..

(r) = ( r1 , ... , r N , r, N + 1)T.



.


(ECM),
, ,
.
I(1)
r ;
.
,

y1t = + 2 y2t + ... + N yN t + ut


( y1t = + 2 y2t + ... + N yN t + N + 1 t + ut). , r > 1,
(1, 2 , , N )T ( (1, 2 , , N , N +1 )T)
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37

,
.
r - , r > 1
.

(1) = (1, 0, 0, , 0, c11, , c1, N r )T ,


(2) = (0, 1, 0, , 0, c21, , c2, N r )T ,
...
(r) = (0, 0, 0, , 1, cr 1, , cr, N r )T .
(
) ,

r . (
) y1t , , yN t , (1) ,
, (r) .
( )
,

, .
8.


, [Johansen (1988)].

. .
8.1, ,

r = 1, .. (

) .
N = 2. ,
,
y1t y2t ,
. ,
, ,
(
). ,
.
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38


yt = xt + t ,
xt = xt 1 + t ,
t t .
, [West (1988)]:
yt = + xt + ut ,

xt ~ I(1), E(xt) = 0 ( xt
),
ut ~ I(0) ,
.

( , )T.
ut ,
t-, ,
.
t-
T T , :

(X X )

T , S

11

(X X )
T

1
22

T .

X (T2)- (1 xt)
, S2 ut , ut ~ i.i.d.,
S2 =

1 T 2
ut ,
n 2 t =1

ut = yt xt .

, ut ~ i.i.d., t-
(, N(0, 1) ) t- ( T),
S2 .
ut . h = Cov(ut, ut+h)
,
. West ,

S2

ut

(. . 6.8.1),

2 =

h =

, , 2 ,
. , ,
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39

h , h = 0, 1, 2, , , , ,
. - , , , ,
ut ,
2

h = Cov(ut, ut+h).

, h h
, () h
2 h .
, ut
MA(q) q , h = 0 |h| > q ,
h h . ,
,
q

h =1

2 = 0 + 2 1

h =

h
h ,
q + 1

1 T
ut ut 1 h . (.,
T t = h +1

, [Hamilton (1994), p. 513]),

q = O(T

1/5

2 ( NeweyWest).
EVIEWS .
:
Newey-West. (, ,
,
.)

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40

ut

AR(p) p ,

ut = a1 ut 1 + a2 ut 2 + + ap ut p + t ,
t D(t) =2 ,
2 = 2 (1 a1 a2 ... ap)2 .
2

2 =

(1 a

a 2 K a p )

a1 , a 2 , K , a p a1 , a2 , ... , ap ,

2 =

T
1
2 ,

T p t = p +1

t ut .
, S2 2 t-,

( )

, S .


DGP: yt = 2 xt + ut ,
xt = 1 + xt 1 + vt ,

ut = 0.4 ut 1 + 0.2 ut 2 + t AR(2) ,


t , t ,
: Cov(t , t) = 0.8 :

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41

200

150
100

50

0
-50
10

20

30

40

50

60

70

80

90

100

SM: yt = + xt + ut
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
X

-0.398071 0.172093
2.031938 0.007241

-2.313111
280.6336

0.0228
0.0000

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

0.998757
0.998745
1.071308
112.4748
-147.7718
1.080957

Mean dependent var


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

37.39809
30.23477
2.995436
3.047539
78755.23
0.000000

,
, DGP yt
.
4

-2

-4
10

20

30

40

50

60

70

80

90

100

RESIDS

AR(2). AR(2) :
Dependent Variable: RESIDS
Variable
Coefficient Std. Error

t-Statistic

Prob.

RESIDS(-1)
RESIDS(-2)

0.363522
0.205074

3.617344
2.042024

0.0005
0.0439

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.240364
0.232451
0.941891
85.16727

0.100494
0.100427

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

-0.008547
1.075097
2.738343
2.791098

:
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42

= 0.941891/ (1 0.363522 0.205074) = 2.183,



(S ) = 1.071/ 2.183 = 0.491.

t-

P-

t : -2.313111 (P-value = 0.0228)

-1.135738 (P-value = 0.2588)

t : 280.6336 (P-value = 0.0000) 137.791098 (P-value = 0.0000).



.

N = 2

I(1) y1t , , yN t .

y1t = + 2 y2t + ... +

yN t + ut

, ,
,
. , . 7.2,


.
T .

N = 2,


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43

y1t = + 2 y2t + ... + N yN t + 1t


y2t = y2, t 1 + 2t ,
...
yN t = y N, t 1 + N t ,
t = (1t , 2t , ... , N t)T N- (.. 1 , 2 , ...
, ,
N-
=(ij) ), 2t , ... , N t
, 1t (
1 j = 0 j = 2, , N ). y2t , , yN t
, = (1, 2 , , N )T
.
( c , 2 2 , , N N)T {y2t , , yN t , t = 1, , T}

N- , , F-
, 2 , ... , N F, t- t-.
,
y1t = + 2 y2t + ... + N yN t + u1t
y2t = y2, t 1 + u2t ,
...
yN t = y N, t 1 + u N t ,
ut =(u1t , u2t , ... , u N t)T N-
( N- ), u2t , ... , u
, u1t
N t
, Cov(u1t, uk s) = 0 k 1 t, s.

. ( ut ,
T NT-
.)

F- t- F- t, S2 u1t
2 2 u1t .

F-

S 2 2

t- S .

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44

, -
y2t , , yN t
.
[Stock, Watson (1993)] [Saikonnen (1991)]
,
(lags)

(leads)

leads and lags .) ,



y1t = + 2 y2t + ... + N yN t +
p

(2j y2, t j + ... + Nj yN, t j ) + ut .

j= p

p ( ),
2 , ... , N (,

), t- F, ut .
,
y2t , , yN t .
, ,

.
,
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45

y1t 2 y2t ... N yN t ;

(a)

(b) y1t 2 y2t ... N yN t .


(,

(a)

(b),

, .)

DGP: yt = 5 + zt + ut ,
zt = zt 1 + vt ,

z1 = 0,
ut = t + 0.25 t 1 + 0.25 t + 1 + 0.1 t 2 + 0.1 t + 2 + 0.1 t ,
t , t .
ut t , t 1 , t + 1 , t 2 , t + 2 ,
.
DGP (50 ):
12

-4
10

20

30

40

50
Y

60

70

80

90

100

yt zt 50
. .
yt = + zt + t

:
Dependent Variable: Y
Method: Least Squares
Sample(adjusted): 3 98
Included observations: 96 after adjusting endpoints
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
Z

4.851262
1.088870

36.43410
22.88977

0.0000
0.0000

0.133152
0.047570

H0: = 1, t-, , Cov(t ,


zs ) 0 t , s.
-,
et , zt , et ,
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46

yt = + zt + t . - Cov(et , zt - i)
i = 0, 1, 2, ; - lag.
- Cov(et , zt + i) i = 0, 1, 2, ;
- lead.
Included observations: 96
Correlations are asymptotically consistent approximations
e , Z(-i)

e , Z(+i)

. |*********
|.
|.
|.
*| .
*| .
.|.
**| .
.|.
. |*
.|.

. |*********
. |*
*| .
.|.
.|.
.|.
.|.
**| .
.|.
. |*
.|.

lag

lead

0
1
2
3
4
5
6
7
8
9
10

0.9017
-0.0217
-0.0956
0.0064
-0.0510
-0.0824
-0.0171
-0.1858
-0.0292
0.0833
0.0125

0.9017
0.0830
-0.0413
0.0341
0.0118
-0.0228
0.0150
-0.1579
-0.0272
0.0701
0.0216

-
- DGP 7- . ,

zt 7- .
Dependent Variable: Y
Sample(adjusted): 9 93
Included observations: 85 after adjusting endpoints
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
Z
D(Z)
D(Z(-1))
D(Z(-2))
D(Z(-3))
D(Z(-4))
D(Z(-5))
D(Z(-6))
D(Z(-7))
D(Z(1))
D(Z(2))
D(Z(3))
D(Z(4))
D(Z(5))
D(Z(6))
D(Z(7))

4.987362
1.000689
1.006216
0.237875
0.089302
-0.008934
-0.002997
-0.011646
-0.010012
-0.003586
0.262537
0.116863
-0.010921
0.003903
0.021536
-0.008452
0.002945

238.9236
127.9955
76.66298
18.63643
6.971105
-0.722323
-0.241901
-0.956245
-0.839615
-0.308269
19.63226
8.744236
-0.826184
0.294017
1.627644
-0.665583
0.241376

0.0000
0.0000
0.0000
0.0000
0.0000
0.4726
0.8096
0.3423
0.4041
0.7588
0.0000
0.0000
0.4116
0.7696
0.1082
0.5079
0.8100

0.020874
0.007818
0.013125
0.012764
0.012810
0.012368
0.012391
0.012179
0.011925
0.011634
0.013373
0.013365
0.013219
0.013276
0.013232
0.012699
0.012199

: P-
0.252 ( K = 1) 0.427 (K = 2).
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47

H0: = 1 t-
;
t = (1.0006891)/ 0.007818 = 0.0081,
H0: = 1 .
()
DGP , I(1)
.
DGP: yt = 5 + xt + ut ,
xt = 1 + xt 1 + vt ,
x1 = 0, ut , vt , .
DGP
120
100
80
60
40
20
0
-20
10

20

30

40

50
X

60

70

80

90

100

yt = + xt + t :
Dependent Variable: Y
Method: Least Squares
Sample(adjusted): 3 98
Included observations: 96 after adjusting endpoints
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
X

5.172117
0.997147

25.62837
289.5306

0.0000
0.0000

0.201812
0.003444

- xt
, .
,
:
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
X
D(X)
D(X(-1))
D(X(-2))
D(X(-3))

32.88423
1923.269
78.12803
18.92225
7.224562
-0.353864

0.0000
0.0000
0.0000
0.0000
0.0000
0.7245

3.224675
1.000621
1.009585
0.241440
0.093472
-0.004479

0.098061
0.000520
0.012922
0.012760
0.012938
0.012656

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D(X(-4))
D(X(-5))
D(X(-6))
D(X(-7))
D(X(1))
D(X(2))
D(X(3))
D(X(4))
D(X(5))
D(X(6))
D(X(7))

0.001328
-0.007856
-0.006808
-0.001175
0.266271
0.120232
-0.007953
0.006576
0.023956
-0.007153
0.003367

0.012648
0.012272
0.011934
0.011513
0.013016
0.012948
0.012873
0.012866
0.012814
0.012294
0.011821

0.104986
-0.640121
-0.570501
-0.102067
20.45699
9.286042
-0.617748
0.511164
1.869580
-0.581813
0.284813

48

0.9167
0.5242
0.5702
0.9190
0.0000
0.0000
0.5388
0.6109
0.0658
0.5626
0.7767

,
H0: = 1 t-
;
t = (1.0006211)/ 0.00520 = 1.194,
H0: = 1 .
. :
Dependent Variable: Y
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
@TREND
X
D(X)
D(X(-1))
D(X(-2))
D(X(-3))
D(X(-4))
D(X(-5))
D(X(-6))
D(X(-7))
D(X(1))
D(X(2))
D(X(3))
D(X(4))
D(X(5))
D(X(6))
D(X(7))

31.75848
-0.040686
128.3544
75.49241
18.47841
7.057897
-0.353495
0.097531
-0.633231
-0.565473
-0.106726
19.39718
8.815884
-0.580980
0.499805
1.802394
-0.553156
0.285016

0.0000
0.9677
0.0000
0.0000
0.0000
0.0000
0.7248
0.9226
0.5287
0.5736
0.9153
0.0000
0.0000
0.5632
0.6189
0.0760
0.5820
0.7765

3.223725
-0.000317
1.000938
1.009461
0.241345
0.093380
-0.004552
0.001255
-0.007941
-0.006888
-0.001256
0.266438
0.120397
-0.007809
0.006723
0.024098
-0.007035
0.003469

0.101508
0.007802
0.007798
0.013372
0.013061
0.013231
0.012877
0.012867
0.012541
0.012181
0.011767
0.013736
0.013657
0.013441
0.013451
0.013370
0.012719
0.012172

H0: = 1 , .
.
, .

DGP:
Wt = 5 + t + rwt ,
Vt = 1 + t + 0.5* rwt + 0.1*n2t ,

rwt = rwt 1 + 0.5*n3t ,


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49

n2t , n3t
.
50 :
50
40
30
20
10
0
5

10

15

20

25

30

35

40

45

50

Vt = + Wt + t :
Dependent Variable: V
Included observations: 50
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
W

-2.657128 0.325116
1.021898 0.011165

-8.172855
91.52908

0.0000
0.0000

Durbin-Watson stat

0.290480

Prob(F-statistic)

0.000000


3
2
1
0
-1
-2
5

10

15

20

25

30

35

40

45

50

RESID_V_W

( 2.22
5% 3.46), Vt Wt
. 1
, Vt
Wt . Vt Wt
.
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Dependent Variable: V
Variable
Coefficient Std. Error

t-Statistic

Prob.

C
@TREND
W

-1.493506 0.035792
0.503277 0.007131
0.496897 0.007519

-41.72787
70.57274
66.08810

0.0000
0.0000
0.0000

Durbin-Watson stat

2.275079

Prob(F-statistic)

50

0.000000


0.2

0.1

0.0

-0.1

-0.2
5

10

15

20

25

30

35

40

45

50

RESID_V_W_TREND

( 7.09).
- Wt
e ,W_DIF(-i)

e ,W_DIF(+i)

. | .
. | .
*| .
. | .
*| .
. |*
. |**
. |*
**| .
**| .
. |*

. | .
. |*
. | .
*| .
. |*
. |*
. | .
. |**
. |*
****| .
*| .

lag

lead

0
1
2
3
4
5
6
7
8
9
10

0.0353
-0.0237
-0.0846
0.0052
-0.0776
0.1352
0.1986
0.1093
-0.1751
-0.2456
0.1177

0.0353
0.1217
0.0115
-0.1083
0.1174
0.1018
0.0347
0.1669
0.0614
-0.3565
-0.0421

,
9
Wt .
,

Wt :
@TREND
W

0.497313
0.505495

0.023984
0.025512

20.73533
19.81437

0.0000
0.0000

.
, .
0.5
Wt . Vt 0.5t 0.5Wt

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51

-1.3
-1.4

-1.5

-1.6

-1.7

-1.8
5

10

15

20

25

30

35

40

45

50

SER1

.
. Vt Wt ,
. Vt 0.5Wt ,
:
25
20
15
10
5
0
-5
5

10

15

20

25

30

35

40

45

50

SER2

, Vt 0.5t 0.5Wt ,
1.493 0.104.

. , DGP,
Vt 0.5t 0.5Wt = (1 + t + 0.5* rwt + 0.1*n2t) 0.5t 0.5(5 + t + rwt) =
= 1.5 + 0.1*n2t .

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8.
8.1.
I(1) y1t , , yN t
yt = (y1t , , yN t)T ,
VAR(p)
A(L) yt = + t ,

A(L) = A0 A1L ApLp,


A0 , A1 , , Ap (N N),
A0 = IN ( ),
..
yt = + A1 yt 1 + + Ap yt p + t .

yt = + 0 yt 1 + 1 yt 1 + p 1 yt p + 1 + t ,

0 = A1 + + Ap IN ,
k = (A k+1 + + Ap) , k = 1, 2, , p 1.
,
0 = A1 + + Ap IN = A(1),
rank 0 = rank A(1).
(.7.4), y1t , , yN t ,
A(1) (rank A(1) < N).
0 . , 0
r = rank 0 = 0, 1, , N .

r = 1, , N 1 VAR
( y1t , , yN t ~ I(1) ).

r = 0 , y1t , , yN t .

r = N ,
N-
, , , (1, 0,
, 0)T, (0, 1, , 0)T, , (0, 0, , 1)T . , y1t , , yN
t .
0 , r = rank 0 ,
y1t , , yN t , ,
.
ECM
.
([Johansen (1988)],
[Johansen (1991)], [Johansen (1992)], [Johansen (1994)], [Johansen, Juselius (1990)]).

. ,
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,
.
, I(1) y1t , , yN t
VAR c
rank A(1) = r ,
VAR ECM. ,
1
yt = + 0 yt 1 + 1 yt 1 + p 1 yt p + 1 + t

0 = T ,
(N r)- r . (1) , , (r)
,

z1, t 1 = T(1) yt 1 , , zr, t 1 = T(r) yt 1


( r y1t ,
, yN t) y1t , , yN t .
, t - N- ,
t = (1t , , N t)T N -
Cov(t) = , Cov(k t , j s) = 0 t
s k , j = 1, , N .
, , p
, .
t- F- ( N(0, 1)
t- 2 qF) ,
VAR , , , ,
VAR . ,
VAR , .
, y1t , ,
yN t , t = 1, , T ,
L( , , 0 , 1 , , p 1) , , 0 , 1 , , p 1
r . ,
r ,
r

Lmax (r ) = (T 2 ) ln 1 i , r = 1,K, N ,
i =1

1 , K , N ,

, 1 > 1 > >


> 0 . Lmax (r) , r ,
N

.


.

I(1) . ,
I(2), . , [Johansen (1994a)], [Johansen (1994b)], [Johansen (1995b)].

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() H0: r = r* ,
HA: r = r*+1.

r*

Lmax (r ) = (T 2 ) ln 1 i
i =1

r* + 1

Lmax (r + 1) = (T 2 ) ln 1 i .
i =1


max (r*) = 2 (Lmax (r*+1) Lmax (r*)) = (T/2) ln (1 r* + 1 ).

( T ) H0
r* N ; (., , [Patterson
(2000), 14.3 14.7], [Enders (1995), B ] [Hamilton (1994),
.11]).
H0: r = r* , , , .
r* + 1

, r* + 1 ,
*
max (r ) . H0:
r = r* HA: r = r*+1
max (r*), .
() H0: r = r* ,
HA: r > r*.

r*

Lmax (r ) = (T 2 ) ln 1 i
i =1

Lmax ( N ) = (T 2 ) ln 1 i .
i =1


trace (r*) = 2 (Lmax (N) Lmax (r*)) = (T 2 )

ln(1 ).
N

i = r* + 1

( T ) H0
r* N ; (., ,
[Patterson (2000), 14.3 14.7], [Enders (1995), B ] [Hamilton (1994),
.10]).
H0: r = r* , , , .
r* + 1

, ,
*
trace (r ) . H0:
r = r* HA: r > 1
trace (r*), .
, , , , r
. ,
.
,
.
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, , , 0.05,
H0: r = 0 HA: r > 0.
, r = 0 . H0: r = 1
HA: r > 1. H0: r = 1 , r
= 1; H0: r = 2 HA: r > 2 ..
r . r
= r0 , T
P{ r = k } 0 , k = 0, 1, , r0 1,
P{ r = r0 } 1 .
, , , .

, .
,
r* N . ,
, /
( , CE cointegrating equation).
, r 5
( , , EVIEWS).

H2(r): ;
CE .

H1*(r): ;
CE , .

H1(r): ;
CE , .

H*(r): ;
CE .

H(r): ;
CE .
r 5
:
H2(r) H1*(r) H1(r) H*(r) H(r) .
, , ,
, , .
-.
,

r H2(r) H1*(r) H1(r) H*(r),


(N r) H1*(r) H1(r) H*(r) H(r) .
, 5 , ,
:
H(0) H(r) H(N)
H*(0) H*(r) H*(N)
H1(0) H1(r) H1(N)
H1*(0) H1*(r) H1*(N)
H2(0) H2(r) H2(N) .
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max trace ,
, 5 ,
, ,
.

(AIC) 5(N +1) .
,
. , ,
.
,
.
, 5 ,
,
I(1) .
DGP1 : yt = xt + t ,
xt = xt 1 + t .
:
yt yt 1 = yt 1 + (xt 1 + t ) + t = (yt 1 xt 1) + ut ,

ut = t + t ,
ECM
yt = zt 1+ ut ,
xt = t ,

zt = yt xt ( CE).
yt xt (
), H2(r).
DGP2 : yt = 0 + xt + t ,
xt = xt 1 + t .

yt = zt 1+ ut ,
xt = t ,

zt = yt 0 xt ( CE).
yt xt (
), H1*(r).
DGP3 : yt = 0 + xt + t ,
xt = 0 + xt 1 + t .

yt yt 1 = yt 1 + 0+ (0 + xt 1 + t ) + t =
= (yt 1 0 xt 1) + 0 + ut ,

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yt = zt 1 + 0 + ut ,
xt = 0 + t ,

zt = yt 0 xt ( CE).
xt ( ).
H1(r).
DGP4 : yt = 0 + 1t + xt + t ,
xt = 0 + xt 1 + t .

yt yt 1 = yt 1 + 0 + 1t + (0 + xt 1 + t ) + t =
= (yt 1 0 1t xt 1) + 0 + ut ,

yt = zt 1 + 0 + ut ,
xt = 0 + t ,

zt = yt 0 1t xt ( CE).
xt ( ).
H*(r).
DGP5 : yt = 0 + 1t + xt + t ,
xt = 0 + 1t + xt 1 + t .

yt yt 1 = yt 1 + 0 + 1t + (0 + 1 t + xt 1 + t ) + t =
= (yt 1 0 1t xt 1) + 0 + 1 t + ut ,

yt = zt 1 + 0 + 1 t + ut ,
xt = 0 + 1t + t ,

zt = yt 0 1t xt ( CE).
xt ( ).
H(r).

, 5
DGP.
:
= 2, 0 = 5, 1 = 0.2, 0 = 0.2, 1 = 0.01.
t t T = 400
, , 4 1, .
DGP1 : yt = 2 xt + t ,
xt = xt 1 + t .

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20
10
0
-10
-20
-30
-40
-50
50

100

150

200
Y1

250

300

350

400

X1


, EVIEWS ( , VAR
2):
Sample: 1 400
Included observations: 398
Series: Y1 X1
Lags interval: 1 to 1
Data Trend: None
None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

-1526.582
-1433.925
-1432.926

-1526.015
-1433.357
-1432.926

-1526.015
-1433.324
-1430.264

-1525.928
-1433.242
-1430.264

7.691369
7.250880
7.270985

7.698565
7.253051
7.270985

7.698565
7.257911
7.267658

7.708180
7.262521
7.267658

Log
Likelihood
0
1
2

-1526.582
-1434.108
-1434.100
AIC

0
1
2

7.691369
7.246775
7.266836

Schwarz
Criteria
0
1
2

7.731434
7.326905
7.387030

7.731434
7.341026
7.411212

7.758663
7.353213
7.411212

7.758663
7.368089
7.427918

7.788309
7.382716
7.427918

L.R. Test:

Rank = 1

Rank = 1

Rank = 1

Rank = 1

Rank = 2

5 3
(r = 0, 1, 2) :

Lmax (r) (Log


Likelihood), .

(AIC Akaike Information


Criteria), .

(Schwarz Criteria),
.
(Rank or No. of
CEs). 5 5 , . (
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H2(r), H1*(r), H1(r), H*(r), H(r).)


,
. ,
r = 1, (H(r))
r = 2.
, H2(1) (
, CE ;
1) ( 7.246775).
( 7.326905).

, .

Sample: 1 400
Included observations: 398
Test assumption: No deterministic trend in the data
Series: Y1 X1
Lags interval: 1 to 1
Eigenvalue

Likelihood
Ratio

5 Percent
Critical Value

1 Percent
Critical Value

0.371673
4.00E-05

184.9642
0.015911

12.53
3.84

16.31
6.51

Hypothesized
No. of CE(s)
None **
At most 1

*(**) denotes rejection of the hypothesis at 5%(1%) significance level


L.R. test indicates 1 cointegrating equation(s) at 5% significance level

(Eigenvalue) 1 , 2 ,
. 184.9642
trace (0), H0: r = 0
HA: r > 0. 5% 1%
trace (0) .
, H0: r = 0
HA: r > 0. . 0.015911
trace (1), H0: r = 1
HA: r > 1. 5% 1%
trace (1). trace (1)
, H0: r = 1 .
1,
.
DGP2 : yt = 5 + 2 xt + t ,
xt = xt 1 + t .

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20
10
0
-10
-20
-30
-40
-50
50

100

150

200
Y2

250

300

350

400

X2


:
Sample: 1 400
Included observations: 398
Series: Y2 X2
Lags interval: 1 to 1
Data Trend: None
None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

-1526.582
-1433.925
-1432.926

-1526.015
-1433.357
-1432.926

-1526.015
-1433.324
-1430.264

-1525.928
-1433.242
-1430.264

7.691369
7.250880
7.270985

7.698565
7.253051
7.270985

7.698565
7.257911
7.267658

7.708180
7.262521
7.267658

Log
Likelihood
0
1
2

-1526.582
-1513.785
-1513.777
AIC

0
1
2

7.691369
7.647159
7.667223

Schwarz
Criteria
0
1
2

7.731434
7.727289
7.787417

7.731434
7.341026
7.411212

7.758663
7.353213
7.411212

7.758663
7.368089
7.427918

7.788309
7.382716
7.427918

L.R. Test:

Rank = 1

Rank = 1

Rank = 1

Rank = 1

Rank = 2

, H*1(1) (
, CE ; 1)
( 7.250880).
( 7.341026).

, .

Test assumption: No deterministic trend in the data


Series: Y2 X2
Lags interval: 1 to 1
Eigenvalue

Likelihood
Ratio

5 Percent
Critical Value

1 Percent
Critical Value

Hypothesized
No. of CE(s)

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0.372251
0.005008

187.3130
1.998159

19.96
9.24

24.60
12.97

10

None **
At most 1

*(**) denotes rejection of the hypothesis at 5%(1%) significance level


L.R. test indicates 1 cointegrating equation(s) at 5% significance level

187.310 trace (0),


H0: r = 0 HA: r > 0,
. H0: r = 0 HA: r > 0.
1.998159 trace (1),
H0: r = 1 HA: r > 1,
. H0: r = 1 .
1, .
DGP3 : yt = 5 + 2 xt + t ,
xt = 0.2 + xt 1 + t .

140
120
100
80
60
40
20
0
50

100

150

200
Y3

250

300

350

400

X3


:
Sample: 1 400
Included observations: 398
Series: Y3 X3
Lags interval: 1 to 1
Data Trend: None
None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

-1531.268
-1438.576
-1432.880

-1526.015
-1433.325
-1432.880

-1526.015
-1433.324
-1430.264

-1525.928
-1433.242
-1430.264

7.714915
7.274253
7.270753

7.698565
7.252889
7.270753

7.698565
7.257911
7.267658

7.708180
7.262521
7.267658

Log
Likelihood
0
1
2

-1531.268
-1506.877
-1504.370
AIC

0
1
2

7.714915
7.612447
7.619950

Schwarz
Criteria
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0
1
2

7.754980
7.692577
7.740144

7.754980
7.364399
7.410980

7.758663
7.353051
7.410980

7.758663
7.368089
7.427918

7.788309
7.382716
7.427918

L.R. Test:

Rank = 2

Rank = 2

Rank = 1

Rank = 1

Rank = 2

11

, H1(1)
( , CE ; 1)
( 7.252889).
( 7.353051).
,
:
Sample: 1 400
Included observations: 398
Test assumption: Linear deterministic trend in the data
Series: Y3 X3
Lags interval: 1 to 1
Eigenvalue

Likelihood
Ratio

5 Percent
Critical Value

1 Percent
Critical Value

0.372353
0.002234

186.2692
0.890114

15.41
3.76

20.04
6.65

Hypothesized
No. of CE(s)
None **
At most 1

*(**) denotes rejection of the hypothesis at 5%(1%) significance level


L.R. test indicates 1 cointegrating equation(s) at 5% significance level

H0: r = 0 HA: r > 0. H0: r = 1


HA: r > 1.
1, .
DGP4 : yt = 5 + 0.2 t + 2 xt + t ,
xt = 0.2 + xt 1 + t .

250
200

150
100
50

0
50

100

150

200
Y4

250

300

350

400

X4


:
Sample: 1 400
Included observations: 398
Series: Y4 X4
Lags interval: 1 to 1
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Data Trend: None


None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

-1533.049
-1525.279
-1518.005

-1526.015
-1518.361
-1518.005

-1526.015
-1433.324
-1430.264

-1525.928
-1433.242
-1430.264

7.723863
7.709944
7.698520

7.698565
7.680208
7.698520

7.698565
7.257911
7.267658

7.708180
7.262521
7.267658

12

Log
Likelihood
0
1
2

-1533.049
-1525.311
-1521.201
AIC

0
1
2

7.723863
7.705079
7.704525

Schwarz
Criteria
0
1
2

7.763928
7.785208
7.824720

7.763928
7.800090
7.838747

7.758663
7.780370
7.838747

7.758663
7.368089
7.427918

7.788309
7.382716
7.427918

L.R. Test:

Rank = 2

Rank = 2

Rank = 1

Rank = 1

Rank = 2

, H*(1)
( , CE ;
1) ( 7.257911).
( 7.368089).
,
:
Test assumption: Linear deterministic trend in the data
Series: Y4 X4
Lags interval: 1 to 1
Eigenvalue

Likelihood
Ratio

5 Percent
Critical Value

1 Percent
Critical Value

0.372355
0.015260

191.5010
6.120353

25.32
12.25

30.45
16.26

Hypothesized
No. of CE(s)
None **
At most 1

*(**) denotes rejection of the hypothesis at 5%(1%) significance level


L.R. test indicates 1 cointegrating equation(s) at 5% significance level

H0: r = 0 HA: r > 0. H0: r = 1


HA: r > 1.
1, .
DGP5 : yt = 5 + 0.2 t + 2 xt + t ,
xt = 0.2 + 0.01 t + xt 1 + t .

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13

2000

1500

1000

500

0
50

100

150

200
Y5

250

300

350

400

X5


:
Series: Y5 X5
Lags interval: 1 to 1
Data Trend: None
None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

-1672.222
-1527.331
-1520.795

-1630.634
-1525.738
-1520.795

-1630.634
-1525.724
-1432.659

-1525.928
-1432.667
-1432.659

8.423224
7.720258
7.712538

8.224289
7.717274
7.712538

8.224289
7.722231
7.279694

7.708180
7.259633
7.279694

Log
Likelihood
0
1
2

-1672.222
-1527.340
-1527.280
AIC

0
1
2

8.423224
7.715279
7.735077

Schwarz
Criteria
0
1
2

8.463289
7.795408
7.855272

8.463289
7.810404
7.852765

8.284386
7.817436
7.852765

8.284386
7.832409
7.439953

7.788309
7.379827
7.439953

L.R. Test:

Rank = 1

Rank = 2

Rank = 2

Rank = 2

Rank = 1

, H(1)
( , CE ;
1) ( 7.259633).
(
7.379827).
,
:
Test assumption: Quadratic deterministic trend in the data
Series: Y5 X5
Lags interval: 1 to 1
Likelihood

5 Percent

1 Percent

Hypothesized

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Eigenvalue

Ratio

Critical Value

Critical Value

0.374152
3.97E-05

186.5374
0.015819

18.17
3.74

23.46
6.40

14

No. of CE(s)
None **
At most 1

*(**) denotes rejection of the hypothesis at 5%(1%) significance level


L.R. test indicates 1 cointegrating equation(s) at 5% significance level

H0: r = 0 HA: r > 0. H0: r = 1


HA: r > 1.
1, .
,
,
.

,
.
DGP: L234t = 0.5W2 t + W3 t + 2W4 t + 1t ,
L23t = W2 t + 0.5W3 t + 2 t ,
W2 t = W2, t 1 + 3 t ,
W3 t = W3, t 1 + 4 t ,
W4 t = W4, t 1 + 5 t ,
1t , 2 t , 3 t , 4 t , 5 t
, , 0.04.
W2 t , W3 t , W4 t
(common trends), ,
() .
L23t W2 t W3 t ,
L234t W2 t , W3 t W4 t .
501 5 DGP
L234t , L23t , W2 t , W3 t W4 t .
.
5

-5

-2

-10
-4
-15
-6

-20

-8

-25
-30

-10
50

100 150 200 250 300 350 400 450 500


L23

50

L234

100 150 200 250 300 350 400 450 500


WALK2

WALK3

WALK4

5 VAR(1) (
)
, 5 .
, L234t
Included observations: 498
Autocorrelation

Partial Correlation

AC

PAC

Q-Stat Prob

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.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.

.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.

1
2
3
4
5
6
7
8
9
10

-0.044
-0.037
0.031
-0.020
0.031
0.036
0.008
0.039
0.003
0.001

-0.044
-0.039
0.028
-0.019
0.031
0.037
0.015
0.041
0.007
0.005

0.9530
1.6395
2.1276
2.3355
2.8073
3.4726
3.5055
4.2674
4.2734
4.2743

15

0.329
0.441
0.546
0.674
0.730
0.748
0.835
0.832
0.893
0.934

VAR(1)
.
,
.
:
Series: L234 L23 WALK2 WALK3 WALK4
Lags interval: No lags
Data Trend: None
None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

99.73833
279.4377
457.6821
463.9622
468.0578
470.6760

103.2311
282.9301
461.1675
466.3818
469.2034
470.6760

103.2311
283.2575
462.6611
469.2587
472.1756
473.8191

104.7734
284.7997
464.2006
470.4661
473.0952
473.8191

-0.400556
-1.078063
-1.749727
-1.730772
-1.703044
-1.669382

-0.394502
-1.076025
-1.751677
-1.732457
-1.703628
-1.669382

-0.394502
-1.073323
-1.749643
-1.731963
-1.699501
-1.661924

-0.380616
-1.063453
-1.743777
-1.728780
-1.699178
-1.661924

Log
Likelihood
0
1
2
3
4
5

99.73833
279.2178
457.0419
461.1754
464.5438
464.7799
Akaike

0
1
2
3
4
5

-0.400556
-1.081196
-1.755188
-1.731628
-1.704995
-1.665783

Schwarz
0
1
2
3
4
5

-0.400556
-0.996646
-1.586088
-1.477977
-1.366794
-1.243032

-0.400556
-0.985058
-1.563717
-1.451756
-1.331023
-1.204355

-0.352227
-0.949199
-1.540301
-1.436531
-1.323152
-1.204355

-0.352227
-0.938043
-1.521357
-1.410672
-1.285205
-1.154623

-0.296066
-0.894352
-1.490127
-1.390579
-1.276427
-1.154623

L.R. Test:

Rank = 2

Rank = 2

Rank = 2

Rank = 2

Rank = 2

2.
( ) ,
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16

;
2.

W2 t , W3 t W4 t .
Series: WALK2 WALK3 WALK4
Lags interval: No lags
Data Trend: None
None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

-1.211316
-1.208105
-1.195348
-1.177195

-1.211316
-1.209616
-1.193234
-1.171753

-1.205445
-1.206429
-1.192934
-1.171753

Akaike
0
1
2
3

-1.209358
-1.201837
-1.191311
-1.168162

-1.209358
-1.206417
-1.194747
-1.177195
Schwarz

0
1
2
3

-1.209358
-1.151107
-1.089850
-1.015971

-1.209358
-1.147232
-1.076376
-0.999639

-1.185951
-1.132009
-1.068523
-0.999639

-1.185951
-1.125065
-1.049499
-0.968832

-1.154715
-1.104968
-1.040743
-0.968832

L.R. Test:

Rank = 0

Rank = 0

Rank = 0

Rank = 0

Rank = 0

0,
DGP. ,
,
DGP.
8.2.


( r )
r .
EVIEWS 5 ,
(r = 2), .
Test assumption: No deterministic trend in the data
Series: L234 L23 WALK2 WALK3 WALK4
Lags interval: No lags
Unnormalized Cointegrating Coefficients:
L234
-0.079261
-0.202709
0.001194
-0.002101
-0.000206

L23
-0.198108
0.079211
0.000453
0.001543
0.000771

WALK2
0.236127
0.022787
-0.014625
0.019423
0.011197

WALK3
0.178603
0.161363
-0.034465
-0.024621
-0.009764

WALK4
0.159704
0.406370
0.037834
0.007077
-0.012244


. , , 5
,
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17

. 5
, .
, , ..
r = 1,
,
, ..
(-0.079261, -0.198108, 0.236127, 0.178603, 0.159704)T ,
. ,
, .. ,
,
(1, 2.499451, 2.979119, 2.25363, 2.014916)T .
r = 2,
,
, ..
*(1) = ( 0.079261, 0.198108, 0.236127, 0.178603, 0.159704)T

*(2) = ( 0.202709, 0.079211, 0.022787, 0.161363, 0.406370)T.


, , ,

. ,

( )
(, , ..).
, ,
,
, .
r > 1,
q = r 1
(
).

,
, - ()
.
r = 2,
, ,
.
.
, .
, ,
, L234t , L23t ,
W2 t , W3 t W4 t ,
L234t , W2 t, W3 t , W4 t L23t ,
L23t , W2 t, W3 t , W4 t L234t .
,
L234t ,
L23t , ,
, ,

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18

(1) = (1, 0, 13 , 14 , 15)T


(2) = (0, 1, 23 , 24 , 25)T .
,
,
(-0.079261, -0.198108, 0.236127, 0.178603, 0.159704)T,
(-0.202709, 0.079211, 0.022787, 0.161363, 0.406370)T,
,

(1, 0, 13 , 14 , 15)T (0, 1, 23 , 24 , 25)T .


EVIEWS :
Normalized Cointegrating Coefficients: 2 Cointegrating Equation(s)
L234
1.000000

L23
0.000000

0.000000

1.000000

WALK2
-0.499995
(0.00541)
-0.991867
(0.00549)

WALK3
-0.993065
(0.00868)
-0.504230
(0.00881)

WALK4
-2.006077
(0.00852)
-0.003537
(0.00865)

,
(1) = (1, 0, 0.499995, 0.993065, 2.006077)T
(2) = (0, 1, 0.991867, 0.504230, 0.003537)T .

L234t = 0.499995W2 t + 0.993065W3 t + 2.006077W4 t,
L23t = 0.991867W2 t + 0.504230W3 t + 0.003537 W4 t,
,
DGP, ,
L234t = 0.5W2 t + W3 t + 2W4 t ,
L23t = W2 t + 0.5W3 t .
, *(1) *(2)
(1) (2) :
*(1) = 0.079261 (1) 0.198108 (2) ,
*(2) = 0.202709 (1) + 0.079211 (2) .

,
.
,
( ).

ECM .
,
, .. .
:
D(L234)

D(L23)

D(WALK2) D(WALK3) D(WALK4)

ecm1 -0.971220 -0.051197 -0.040351 0.005400 0.031996


(0.11006) (0.06585) (0.04248) (0.04468) (0.04231)
(-8.82480) (-0.77748) (-0.94983) (0.12086) (0.75621)
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19

ecm2 -0.033474 -1.015363 -0.001894 0.010505 -0.024292


(0.10788) (0.06455) (0.04164) (0.04380) (0.04148)
(-0.31028) (-15.7298) (-0.04549) (0.23985) (-0.58571)

ECM
(L234)t = 0.971220 (ecm1)t 1 0.033474 (ecm2)t 1 + e1t ,
(L23)t = 0.051197 (ecm1)t 1 1.015363 (ecm2)t 1 + e2t ,
(W2)t = 0.040351 (ecm1)t 1 0.001894 (ecm2)t 1 + e3t ,
(W3)t = 0.005400 (ecm1)t 1 + 0.010505 (ecm2)t 1 + e4t ,
(W4)t = 0.031996 (ecm1)t 1 0.024292 (ecm2)t 1 + e5t ,

(ecm1)t = L234t 0.499995W2 t 0.993065W3 t 2.006077W4 t ,


(ecm2)t = L23t 0.991867W2 t 0.504230W3 t 0.003537W4 t .

()
, ,
H0: 25 = 0
,
H0: 12 = 21 = 31 = 32 = 41= 42= 51= 52 = 0,
(ecm1)t 1
(ecm2)t 1 (
).

,
,
EVIEWS
. (,

.)

CATS (Cointegration Analysis of Time Series),
RATS (Regression Analysis of Time Series).

, , [Patterson (2000)].
,
.
o
VAR .

p VAR.

max trace
,
.

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20

,
max
trace , (T Np) T ( ).
,
( )
.

www.iet.ru/mipt/2/text/curs_econometrics.htm

,
,
. ,
, .
, ,
,
- (ARFIMA)
(ARCH, GARCH ..), ,
.


( ECM)
( , ).
, I(2) ,
, ,
.
, ,
[Patterson (2000)], [Maddala, Kim (1998)], [Hamilton (1994)], [Mills
(1993)], [ (1972)] [Favero (2001)],
[Clements, Hendry (1998)] [Clements, Hendry (1999)].

1.
., . (1974) . .
. 1, 2. ., .
2.
., . (1972)
. (. .) ., .
3.
.. (2000) . ., .
4.
. (1974) .(. .) ., .
5.

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251-270.


Q
Q-, 42, 43
, 54
, 55

, 69, 86
, 69
, 69

,
83

, 16
N- , 230, 242
, 203
, 17
, 212
, 133

, 73
, 77
(ECM),
204, 242
, 258
, 77

, 78
, 204
, 74
, 241
, 242, 255
, 76
, 14
, 15
, 231
, 114
, 160
, 160
k, 116
, 127
, 127
, 117
, 15
, 66
, 231
- , 66
-, 66
, 203

, 63, 116,
133
, 14, 15

ARIMA(p, k, q), 117



, 195, 203
, 203, 212, 221
ARMA ,
204
, 206

,
221
, 221
, 203, 221
, 206
, 256

leads and lags, 232


, 226
,
211, 226, 230
, 221
, 223
, 195


, 83
, 83
, 81

, 82
, 82
, 82
, 82
, 81

, ,
81
, 160, 197,
227
Newey West, 160, 227
, 160
, 78

, 221
,
221

, 23, 73
, 74
, 47
, 47, 48

, 203, 213, 220, 236

, 212

, 213
, 215

, 213
, 214
, 220, 239
VAR, 222
(ECM), 222
ECM, 261

, 261

, 222

,
259

, 261

, 259
, 206, 213
, 206
, 258
, 16, 55
, 16
DF-GLS, 164
, 134, 140, 147
ARMA(p, q), 146
, 142, 148
, 145
, 150

, 44
, 45
, 44

(KPSS), 164
, 163
, 163
, 172
, 181
, 182
, 159
, 161

, 163
, 182


, 4, 8
, 119, 127
, 186, 193

,
47

ARX
, 66
(ADL), 67

, 67, 68
, 69
(ECM), 204

, 124

, 31, 47, 48, 49, 54



, 9
, 23

, 13
, 207

, 196
, 78
ARMA

, 35, 53
, 58
, 35
, 35, 47

, 47


c A, 9
c A, 11
c B, 11
c C, 12
c D, 63
c E, 64
F, 65
, 34
, 32
, 205

Jarque Bera, 58
, 18, 24, 25, 28,
37, 99, 139, 144
, 208
, 111
p, 23
, 84

TS DS , 128
TS-, 129
, 143
, 167
, 129
, 169

, 167
, 153
TS , 143
KPSS, 164
, 165

, 168
, 172
, 174

, 175


, 32
, 34
, 34
, 32
q
, 26, 48
backcasting, 49
, 48
, 111
, 114

(ARMA), 30
, 32
, 30
, 21, 67, 84, 94

, 42
, 42
, 166
, 84

, 81

, 16
, 83

, 113
, 128
, 152, 171
, 114
, 176
, 176
, 176
, 177
, 113, 220

, 187

, 16, 36, 38, 48,


127, 159
, 37
, 36
, 38, 46

, 77
, 77

, 25

, 48

, 26

ARMA,
36

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14

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