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28 2010 .

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1
1.1. . . . . . . . . . . . .
1.1.1. . . . . . . . . . . . . .
1.1.2. . . . . .
1.2. . . . . .
1.3. . . . . . . . . . . .
1.3.1. . . . . . . . . . . . . .
1.3.2. OLS- . . . . . . . . . . . . . . . . . . . . . . . . .
1.3.3. . . .
1.3.4. R2 . . . .
1.4. . . . . . .
1.5. . . . . . . . . . . . . .
1.6. . . . . . . . . . . . . . . . . . . . .
1.7. . . . . . . . . . . . . . . . .
1.8. . . . . . . . . . . . . . . . . . . . . . . . . . . . .

.
.
.
.
.
.

15
15
15
17
21
24
26

.
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.
.
.
.

31
33
36
38
41
45
49
53

2
65
2.1. . . . . . . . . . . . . . . . 66
2.2. .
. . . . . . . . . . . . . . . . . . 68
2.3. OLS-.
. . . . . . . . . . . . . . . 71
3

2.4. R2 . . . . . . . . . . . . . . . . . . . . . .
2.5. . . . . .
2.6. . . . . . . . .
2.7. . . . . . . . . . . . . . . . . . . . .
2.8. . . . . . . . . . . . . . . . .
2.8.1. OLS- . . . . .
2.9. . . . . . . . . . . . . . . . . . .
2.10. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
3.1. . . . . . . . . . . . . . . . . . .
3.2. . . . . . . . . . . . . .
3.2.1. . . .
3.2.2. . . .
3.2.3. . . . . . . . . . .
3.2.4. . . . . . . . . .
3.2.5. . .
3.3. .
. . . . . . . . . . . . . . .
3.3.1. . . . . . . . . . .
3.3.2. . . . . .
3.4. . . . . . . .
3.4.1. . . . . . . . . .
3.4.2. . . . . .
3.5. . . . . . . . . . . . . . . . . . . . . . . . . .
3.6. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4

4.1.

. . . . . . . . . . . . . . . . .
4.2. . . . . . . . . . . .
4.3. . . . . . . . . .
4.4. . . . .
4.4.1. . . . . .
4.4.2. . . . . . . . . . .
4.4.3.
. . . . . . . . . . .
4

.
.
.
.
.
.
.
.

75
82
84
89
92
96
98
101

112
. 112
. 116
. 117
. 118
. 120
. 121
. 122
.
.
.
.
.
.

125
126
132
138
139
144

. 148
. 150
162

. . . . .
. . . . .
. . . . .
. . . . .
. . . . .
. . . . .

.
.
.
.
.
.

162
164
168
169
169
171

. . . . . . 175

4.4.4.
. . . . . . . . . . 177
4.5.
. . . . . . . . . . . . . . . . . . . . . . . 183
4.6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
A

187

200

202


. (
- ). . , .
?
. Econometrica (1933) Ranger Frisch [14] ( [1]):
,
.
, ,

. . , ,
, , , , .
.

Lawrence R. Klein, (1980)
( [3]):

6

L.R. Klein , :
Econometrics had its origin in the recognition of empirical
regularities and the systematic attempt to generalize these regularities
into laws of economics. In a broad sense, the use of such
laws is to make predictions about what might have or what
will come to pass. Econometrics should give a base for economic
prediction beyond experience if it is to be useful. In this broad
sense it may be called the science of economic prediction
. :
an attempt to compensate for the glaring weakness of the
data base available to us by the widest possible use of more
and more sophisticated techniques. Alongside the mounting pile
of elaborate theoretical models we see a fast growing stock of
equally intricate statistical tools. These are intended to stretch
to the limit the meager supply of facts.
:
The method of econometric research aims, essentially, at a
conjunction of economic theory and actual measurements, using
the theory and technique of statistical inference as a bridge
pier (Trygve Haavelmo)
Econometrics may be defined as the quantitative analysis of
actual economic phenomena based on the concurrent development
of theory and observation, related by appropriate methods of
inference. (Samuelson, Koopmans and Stone)
Econometrics is concerned with the systematic study of economic
phenomena using observed data. (Aris Spanos)
Broadly speaking, econometrics aims to give empirical content
to economic relations for testing economic theories, forecasting,
decision making, and for ex post decision/policy evaluation.
(J. Geweke, J. Horowitz, and M.H. Pesaran)
.. [4] :

()
7

.
, , , .

, , G. Tintner [27].
:
. () ( .. )
. . , . , (,
) . ,
, .
,
.
, , . . , ..
, .. [3] . [2], ,
[3] .
. [1]

:
, ,
, . 8

.. [4] ( ),
.
( )

W.J. Greene [21]. , ,
J.M. Wooldridge [29],
, , . J.H. Stock M.W.
Watson [26]. J.M. Wooldridge [30]

(
). R. Davidson, J.G. MacKinnon [9] . J.
D. Hamilton [15] ( ) W. Enders [13] .
(
1), ()

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


, 1:
() .
(
9

)
, ( ) .
: .
, .


.
:
.
:
.
. , .
,

.
[3, 21]. : . : , , ( ),
, , () . ( )
.
10

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

.
, , , , .
, , (FDL), (AR) , (ADL).

, -1: (Probit- Logit-, LPM), ( ), , , MA
( ) ARMA , .

. , .
11

. , , [2, 29].


:
(cross-sectional data);
(time series);
(panel data).
,
( )
(population). , , , ,
.

( ) , . , () .
.
( ),
. , ,
( ). , , ( ), , (, )
.
: . , 12

, .
.
pooled cross sectional data,
, . , pooled data ,
.


:
M()
Var()
F
cov(, )



F (x)

;
corr(, )
;
d
b (, Var()

)
2
N (a, )
a 2
(x)

2
p
- p
tp
p
(t-)
Fp,q
p q
(F -)
n

k

m

13


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

14


1.1.
1.1.1.

(X, Y )
. X Y

cov(X, Y )
M(XY ) MX MY
= corr(X, Y ) = p
= p
.
Var(X) Var(Y )
Var(X) Var(Y )
,
1. 1 6 6 1;
2. , ..
corr(X, Y ) = corr(a0 + a1 X, b0 + b1 Y ),

a1 , b1 6= 0.

1
, X Y
, ..
= 1 Y = 0 + 1 X,

s
1 =

Var(Y )
,
Var(X)

15

1 6= 0,

.. 1 .
:
l(x) = 0 + 1 x , l(X)
Y , ..
M (Y 0 1 X)2 min .
0 ,1


s
Var(Y )
cov(X, Y )
=
, 0 = MY 1 MX
1 =
Var(X)
Var(X)


M (Y 0 1 X)2 = 1 2 Var(Y ).
, x R
M(Y |X = x) = 0 + 1 x,
.. Y , , X = x, Yb = 0 + 1 x.
:
1. > 0. 1 > 0 x ()
M(Y |X = x) Y .
.
2. < 0. 1 < 0 x () M(Y |X = x) y .

.
3. = 0. 1 = 0, M(Y |X = x) = 0
X Y .

16

. (X, Y ) . X Y
, corr(X, Y ) = 0.
, (),
, :
= 0 ;
= 1 : y = 0 + 1 x.

1.1.2.

(xi , yi )ni=1
, n .
, ()
X Y
d
Var(X)
=

bx2

n
X
i=1
n
X

d )=
Var(Y
by2 =

(xi x)2 = (x2 ) (


x)2
(yi y)2 = (y 2 ) (
y )2 ,

i=1

1X
x =
xi ,
n i=1

1X 2
2
x =
x.
n i=1 i

d
d ) ,
, Var(X)
Var(Y
Var(X) Var(Y ) .
1
cov(X,
c
Y)=

n
X

(xi x) (yi y) = xy x y,

i=1
1

MS Excel (, )

17

2
cov(X,
c
Y)
r = corr(X,
d
Y)= q
,
d
d )
Var(X)
Var(Y

1 6 r 6 1


.
.


H0 : = 0

H0 : 6= 0.
, , () X Y . (X, Y ) , .
: t-

r n2
t=
tn2
1 r2 H0
(n 2) . ,
:
H0
H1 |t| > t ,
2

MS Excel (, )

18

t = t(; n 2) tn2 . ,

P(|tn2 | > t ) = .
|t| < t ,
, H0 .
. r =
0.68 3
NASDAQ FTSE n = 62 . , .. H0
( !).
t-:

0.68 62 2
7.1838.
t=
1 0.682
= 5% : t = t(5%; 62 2) 2.003. |t| > t ,
H0 ,
.


, ( 6= 0) t . ,
z- 4
1 1+r
z(r) = ln
,
2 1r
(
n > 6) ,


1
z(r) N z(),
.
n3
3
4

ht = ln(St /St1 )
MS Excel ()

19

, () z-


z
z
< z() < z(r) +
.
(1.1)
P z(r)
n3
n3
z 1

1+
(z ) =
,
2
(x) .
(1.1) 5
ex ex
z (x) = th(x) = x
.
e + ex
1

,





z
z
1
1
P z
z(r)
<<z
z(r) +
.
n3
n3
. , ..
H0 : = 0 = 1. ,
.
. r =
0, 68 NASDAQ FTSE n = 100 . = 0.95. z- z = z(0.68) 0.8291. z

(z ) =
5

1 + 0.95
= 0.975,
2

MS Excel ()

20

z = 1.96. z()


1.96
1.96
; 0.8291 +
= (0.6301 ; 1.0281).
0.8291
100 3
100 3


P(0.5581 < < 0.7732) = 0.95
(0.5581 = z 1 (0.6301) 0.7732 = z 1 (1.0281)).
, .. ( !).
, = 1 0.95 = 0.05.

1.2.

. n (xi , yi )ni=1 . , .

y = f (x) = 0 + 1 x,
0 1 ,
{xi } {yi }
. : , ,
? :
1. xi :
=

n
X

|yi f (xi )| =

i=1

n
X
i=1

21

|yi (0 + 1 xi )|

2. xi :
=

n
X

(yi f (xi )) =

i=1

n
X

(yi (0 + 1 xi ))2

i=1

3. xi () > 0:
=

n
X

n
 X

yi f (xi ) =
yi (0 + 1 xi )

i=1

i=1

,
, ( ).
( ) Ordinary Least
Squares ( OLS), - OLS-.
, (xi , yi )n1
6 :
n
X
S = S(0 , 1 ) =
(yi (0 + 1 xi ))2 .
i=1

, , :
S(0 , 1 ) =

n
X

2
yi (0 + 1 xi ) min .

i=1

,
(
Pn
S
=
i=1 2(yi 0 1 xi ) (1) = 0
0
P
n
S
i=1 2(yi 0 1 xi ) (xi ) = 0
1 =
6

, S(0 , 1 ) 0 1

22


(
P
P
n0 + 1 ni=1 xi = ni=1 yi
P
P
P
(1.2)
0 ni=1 xi + 1 ni=1 x2i = ni=1 xi yi
.
. (1.2) n:
(
0 + 1 x = y
0 x + 1 x2 = xy
0
0 = y 1 x
:
 
(
y 1 x)
x + 1 x2 = xy.
()
v
u
u Var(y)
d

by
cov(x,
c
y)
xy

1 =  
= corr(x,
d y)t
= corr(x,
d y)
=
d
d

bx
Var(x)
Var(x)
x2 (
x)2

0 = y 1 x.
q

q
d
d

bx = Var(x)
by = Var(y)
x y .
, S(0 , 1 ) . , (1.2)
S(0 , 1 ). ,

y = 0 + 1 x
. (1.2) ,
y = 0 + 1 x,
.. (
x, y).
23

. ,
d
(1.2) , Var(x)
6= 0, ..
xi .
.
, . .

.

1.3.

y x, y , x ( ).
, y x. ,
, ( , , , .).
, , y x
(,
, ?). x
y.
. ,

yi = 0 + 1 xi + i , i = 1, . . . , n
(1.3)
yi i , xi () , i . y
(dependent variable), x
(explanatory variable). 1 (slope), 0 , (intercept).
24

(1.3) , i .
, y x. , (1.3)
.

, :
1. Mi = 0, i = 1, . . . , n ( );
2. Var(i ) = 2 i.
3. cov(i , j ) = 0 i 6= j (
).
4. i N (0, 2 ), i = 1, . . . , n ( ).
Mi = 0 ,
Myi = 0 + 1 xi ,
.. y xi 0 +
1 xi . : .
Var(yi ) = Var(i ) (.. xi ). ,
yi . , Var(yi ) yi ( ) Myi = 0 + 1 xi .
,
: . (homoskedasticity) ,
.
, .
25

( )
: , ,
. (cross-sectional data) .
.

1.3.1.

, , y x (1.3), 0 , 1
2 .
.
, yi . 7 . BLUE (BLUE = Best
Linear Unbiased Estimators) .

( ).
yi = 0 + 1 xi + i , i = 1, . . . , n
1. 3. i . OLS-
0 1 0 1 BLUE, ..
( yi ) .
. OLS-.
1 .
Pn
Pn
xy

(x

)(y

)
(xi x)yi
i
i

= i=1 
= Pi=1
.
1 =
n
2
(x

)
2
2
x2 (
x)2
i
i=1
n x (
x)
7

26

xi Myi = 0 + 1 xi ( 1.
),
P
P
(xi x)(0 + 1 xi )
(x

)My
i
i
P
=
M1 = P
(xi x)2
(xi x)2
P
P
(xi x)
(xi x)xi
P
= 0 P
+

= 1 .
1
(xi x)2
(xi x)xi

X
X
X
(xi x) = 0,
(xi x)2 =
(xi x)xi .
,
M (
y) = M

n
1X

i=1

!
yi

1X
1X
=
Myi =
(0 + 1 xi ) = 0 + 1 x,
n i=1
n i=1

0
 
 

y ) M 1 x =
0 = y 1 x = M 0 = M (
 
0 + 1 x x M 1 = 0 + 1 x 1 x = 0
, 0 1 (unbiased) 0 1
.
0 1 . , 2. 3. ,
Var(yi ) = 2 cov(yi , yj ) = 0 i 6= j. ,
, 1 :
P

 
(x

)y
i
i
Var 1 = Var P
=
2
(xi x)
P
P
Var ( ni=1 (xi x)yi )
(xi x)2 Var(yi )
=
=
P
P
( (xi x)2 )2
( (xi x)2 )2
P
P
(xi x)2 2
(xi x)2
2
2
P
=

=
.
P
P
(xi x)2
( (xi x)2 )2
( (xi x)2 )2
27

0

n
n 
X
X
1
x

i
P
0 = y 1 x =
yi
yi x
2
(x

)
n
i
i=1
i=1

n 
X
x(xi x)
1
yi .
P
=
2
(x

)
n
i
i=1
,
 !
n 
 
X
1
x(xi x)
Var 0 = Var
P
yi =
2
n
(x

)
i
i=1
2
n
X1
x(xi x)
P
Var(yi ) =
2
n
(x

)
i
i=1
2

x(xi x)
(
x) (xi x)
1
P

2
+
=
P
2
2
2 )2
n
n
(x

)
(
(x

)
i
i
i=1
!
P
P
n
n
2
n
2
X
2
x i=1 (xi x) (
x)
)
1
i=1 (xi x
P

+
=
P
2
2
2
2)
n
n
(x

)
(
(x

)
i
i
i=1
!
P
1
(
x)2
2 x2i
2 x2
2

+P
= P
=P
.
n
(xi x)2
n (xi x)2
(xi x)2

2
2

n
X

,
P
. e1 =
ci yi (
yi ) 1 . P
P
ci ci = i +i , 1 = i yi (i = (xi x)/ (xi x)2 ).
Me1 = M1 = 1 ,


e

0 = M1 M1 = M 1 1
 X
X
=M
i yi =
i Myi
X
X
X
=
i (0 + 1 xi ) = 0
i + 1
i xi .
0 1 , ,
X
X
i = 0
i xi = 0.
28

,
 
X
 X
e
Var 1 = Var
ci yi =
c2i Var(yi )
X
X
X
X 
2
2
2
2
=
(i + i ) =
i + 2
i i +
i2 .
i

P
i = (xi x)/( (xi x)2 ),
X
X (xi i xi ) P xi i x P i
P
i i =
= P
= 0.
(xi x)2
(xi x)2
 
P
Var 1 = 2 i2 ,
 
X
X 
X
X
2
2
2
2
2
2
e
Var 1 =
+
i =
i +
i2
 
 
X
2
2

= Var 1 +
i > Var 1 .
 
 
e
, Var 1 > Var 1 .
,

 
 
e0 0 Var e0 > Var 0 . .
. , OLS 1. .
. ,

2 x

cov 0 , 1 = P
(xi x)2


. , y 0 1 (..
) OLS-. 0 1 ,
OLS-.

2 .
ybi = 0 + 1 xi
29

y xi . ybi (fitted value)


.
. (residual)
ei = yi ybi .
i ei . ,
( ), .
,
Pn
i=1 ei = 0,
(1.2), .. ,
i . , , ,

.
.
:
RSS =

n
X

e2i

i=1

n
X

(yi ybi )2 .

i=1

RSS (residual
sum of squares) . ,
M(RSS) = (n 2) 2 .
,
n

1 X 2
RSS
=
e
s =
n 2 n 2 i=1 i
2

. SER (Standard Error of Regression)



r

RSS
SER = s = s2 =
.
n2
30

1.3.2.

OLS-


0 1 .
2 , . 0 1 :
 
s2 x2

d
Var 0 = P
,
(xi x)2
 
s2

d
,
Var 1 = P
(xi x)2


s2 x

cov
c 0 , 1 = P
.
(xi x)2
2
s2 .

s
r
 
s2 x 2

d
s0 = Var 0 = P
(xi x)2
s
r
 
2
d 1 = P s
s1 = Var
(xi x)2
. .
OLS- . 1.
3. .
( )
0 1 .
31

4. ,
yi N (0 + 1 xi , 2 )

cov(yi , yj ) = 0, i 6= j.

, 0 1 , yi . ,

. 4. ,
0 1
P 2 !
2

x
0 N 0 , P
(xi x)2


2

1 N 1 , P
(xi x)2
2
, ,
.

. 1. 4. ,
1. s2 ( ) 0 1 ;
2. (n 2)s2 / 2 2n2 .




1 N 1 , Var(1 ) =



1 1 N 0, Var(1 ) =
1
q1
N (0, 1).
Var(1 )
, 1
s
r
 
2
d 1 = P s
s1 = Var
.
(xi x)2
32


1
1 1
1 1

t1 =
=q
s1
s/
Var(1 )
tn2 ,
r
1
s

2n2 .

n2
,
t0 =

0 0
tn2
s0

,
. 1. 4. ,
t-
1 1
0 0
, t1 =
t0 =
s0
s1
tn2 .

1.3.3.

1. .
1 . , 1. 4. t1 tn2 . t = t (; n 2) tn2
= 1 .
P(|t1 | > t ) = = P(|t1 | < t ) = 1 = .

1 1
< t
s1
t s1 < 1 1 < t s1 1 t s1 < 1 < 1 + t s1 .

|t1 | < t t < t1 < t t <

33

, 1




P 1 t s1 < 1 < 1 + t s1 = .
, 0



P 0 t s0 < 0 < 0 + t s0 = .
2.
H0 : 1 = 0
(0 )
H1 : 1 6= 0 .
, .
t=

1 0
s1

tn2 . t = t(; n 2) tn2


. H0 , P(|t| >
t ) = . :
|t| > t , H0
H1 ( ,
, ); ,
0
|t| < t ,
; ,
0 .
. , |t| < t ,
0 1 1 . ,
:
34

H0
0 ,
1 .
, ..
.
, ..

H0 : 1 = 0
t-
1
t=
s1
. 1 ( ) |t| > t .
3.
H0 : 1 = 0
(0 )
H1 : 1 > 0 .
t0 = t(; n 2) 8 tn2 . H0 ,
t-
1 0
t=
tn2
s 1 H0
P(t > t0 ) = .
:
t > t0 , H0
H1 ( ,
, );
8

, P(tn2 > t0 ) =

35

t < t0 ,
.
H0 H1 : 1 < 0 .

1.3.4.

R2

P
1. (yi y)2 () y y. ,
y
X
X
X
X
X
(yi y)2 =
(
yi y)2 +
(yi yi )2 =
(
yi y)2 +
e2i .
:
P
TSS =
(yi y)2 y
( , Total Sum of Squares);
P
ESS =
(
yi y)2 , ( , Explained Sum of
Squares);
P
P
RSS = (yi yi )2 = e2i y ( , Residual Sum of Squares).

y
TSS = ESS + RSS .
. 9 R2

ESS
RSS
R2 =
=1
.
TSS
TSS
, 0 6 R2 6 1.
, R2 .
9

R2

36

R2 = 0 ESS = 0 yi = y 1 = 0, ..
x y
yi = y.
R2 = 1 RSS = 0 ei = 0 yi = yi , .. : x
y.
, R2 1,
R2 (goodness-of-fit) .
,

2
2
R = corr(x,
d y) ,

.
2. R2 .


2
(n 2)s2

,
2n2 ,
1 N 1 , P
2
2
(xi x)

pP
(1 1 )
(xi x)2
N (0, 1),

, F-
F=

P
x)2
(1 1 )2 (xi
2
RSS
1
2 n2

RSS
2n2
2

P
(1 1 )2 (xi x)2 n 2
=

F1,n2
RSS
1

(1, n 2). ,
12

(xi x) =

2

1 (xi x) =

X

X
X

(
yi y)2 = ESS .
|y {z1 x} +1 xi y =
0

37

, 1 = 0, F-
:
P
12 (xi x)2 n 2
ESS n 2
F =

=
RSS
1
RSS
1
ESS / TSS n 2
R2
n2

.
RSS / TSS
1
1 R2
1
, F - 1 , ..
H0 : 1 = 0.


F F1,n2 ,
H0

H0 F -.
, H0

H1 : 1 6= 0
F > F = F (; 1, n 2).
. F - ,
12
2
F =t = 2
s1

1.4.

(BLUE)

. : y
(). . , .
y.
38

, (xi , yi )ni=1
xn+1 ,


yn+1 = 0 + 1 xn+1 + n+1
1. 4.
yn+1 (xi , yi )ni=1 xn+1 .
1. , 0 , 1 2 .
yn+1 yn+1

yn+1 = M(yn+1 ) = 0 + 1 xn+1 .



M (yn+1 yn+1 )2 = M2n+1 = 2 .

yn+1 yn+1 = n+1 N (0, 2 ),

P (
yn+1 z < yn+1 < yn+1 + z ) = ,
z (1 )

1+
.
(z ) =
2
2. . OLS-:
yn+1 = 0 + 1 xn+1 .
OLS- ,
M
yn+1 = M0 + M(1 xn+1 ) = 0 + 1 xn+1 = Myn+1 .
39

, OLS-
yi , yn+1 y1 , . . . , yn .
,
.
. y ( y1 , . . . , yn )
M
yn+1 = Myn+1 = 0 + 1 xn+1 .
M (
yn+1 yn+1 )2 > M (
yn+1 yn+1 )2 .
. ,
yn+1
M (
yn+1 yn+1 )2 = 2

(xn+1 x)
1
1 + + Pn
)2
n
i=1 (xi x


.

2 OLS- s2
s
=

s2


1 (xn+1 x)2
1+ + P
.
n
(xi x)2

, (
yn+1 yn+1 )/ tn2 . ,


P (
yn+1 t < yn+1 < yn+1 + t ) = ,
t tn2 (1 ).
, xn+1 yn+1 , . ..
2t ,
(xn+1 x)2 , .
, xn+1 x, .
40

1.5.

1. , ..
,
y = x.
.

S=

n
X

(yi xi )2 min .

i=1

S
n

X
X
X
dS
=0
2(yi xi )(xi ) = 0
yi x i +
x2i = 0.
d
i=1
i=1
i=1
, OLS-
Pn
yi xi
= Pi=1
n
2 .
i=1 xi
,
(
y = x
x, y),
.
2. . ,
.
,
yi = xi + i ,
xi () , yi i .
1. 4.
.
Myi = xi ,

Var(yi ) = 2 .
41

( ).
yi = xi + i ,

(1.4)

1. 3. . OLS-
BLUE , .. ( ).
. OLS-:
Pn
Pn 2
Pn
x
(x
)
x
My
i
i
i=1 i
i=1 xi
i=1 i
P
P
=
=

M = P
n
n
n
2
2
2 = .
x
x
x
i=1 i
i=1 i
i=1 i
(1.3).
. , OLS (1.4) Mi = 0 .

3. .
, 1. 4.

yi N (xi , 2 ) cov(yi , yj ) = 0 (i 6= j),

Pn 2 2
  Pn x2 Var(y )
2
i
i
i=1
i=1 xi

P
Var =
= Pn
P
n
2
2 =
2.
( ni=1 x2i )
( i=1 x2i )
i=1 xi

,
N

, Pn

2
i=1 xi


.

i (fitted) yi = x
.
ei = yi Pyi . ,
i ei 6= 0.
P 2 P
RSS =
ei = (yi yi )2 . ,
M(RSS) = (n 1) 2 .
42

,
n

RSS
1 X 2
s =
=
e
n 1 n 1 i=1 i
2

2 .
= Pns
d )
Var(

2
i=1 xi


s
q
2
= Pns
d )
s1 = Var(

2
i=1 xi

. 1. 4. ,
1. s2 ;
2. (n 1)s2 / 2 2n1 .
,
N

, Pn

2
i=1 xi


= p
N (0, 1).
P
2 / ni=1 x2i




1
p
t=
=

P
s1
2 / ni=1 x2i s/
tn1 ..
r
s
1

2n1

n1
,
. 1. 4. ,


t=
s1
tn1 .
43

4. c . t = t (, n 1)
tn1
= 1 .
P(|t| > t ) = = P(|t| < t ) = 1 = .

|t| < t







< t s1 t < < + s1 t .
s1

,




P s1 t < < + s1 t = .
5.
H0 : = 0
(0 )
H1 : 6= 0 .

t=

0
tn1
s1 H0

. t = t(; n 1) tn1 . H0 ,
P(|t| > t ) = . :
|t| > t , H0
H1 ( ,
, );
|t| < t ,
.
44

. , |t| < t ,
0 1 . ,
:
H0
0 ,
1 .
, ..
H0 : = 0
t-

t=
s1
.
( ) |t| > t .
6. (1.3) (TSS), (ESS) (RSS) .
(1.4)
TSS 6= ESS + RSS
R2 .


R2 ,
P 2
P 2
ybi
e
2
R = P 2 = 1 P i2 .
yi
yi

1.6.

, y x
yi = 0 + 1 xi + i .
45

1. ,
Myi = 0 + 1 xi ,
.. 10 y
x.
x 4x y 1 4x x. ,
x
1 . , () y
x 1 .
(Wage equation [29]). wage ( $)
educ ( ):
wage
[ = 0.62 + 0.45educ.
0.45 , ( ) $0.45 , , , .
0.62 , ,
, -$0.62 .
,
( ).
( ) () .
y = a0 xa1 ; y = a0 ax1 .
,
ln y = 0 + 1 ln x;

ln y = 0 + 1 x.

: -.
10

46


ln yi = 0 + 1 xi + i ,

n = 1, . . . , n.

, . (BLUE-) OLS- (
.)
, .. Mi = 0,
M(ln yi ) = 0 + 1 xi .
x 4x :
M(ln y 0 ) = 0 + 1 x,

M(ln y 00 ) = 0 + 1 (x + 4x ).

(.. ) ln y
4M ln y = M(ln y 00 ) M(ln y 0 ) = 1 4x
,
y 00
= exp (1 4x ) ,
y0
.. y exp (1 4x ) .
(1 4x ) , exp (1 4x ) 1 + 1 4x ,
y 00 = y 0 exp (1 4x ) y 0 (1 + 1 4x ),
.. 4x
y (1 4x ) 100% .
(log-Wage equation [29]).
wage ( $)
educ ( )
ln\
wage = 0.584 + 0.083educ.
47

( !) 8.3%. ,
exp(0.083) 1.08654 , .. 8.654%. ,

exp(0.584) 1.793.
-
ln yi = 0 + 1 ln xi + i ,

n = 1, . . . , n.

, . (BLUE-) OLS- (
.)
, .. Mi = 0,
M(ln yi ) = 0 + 1 ln xi .
x p (p > 0):
M(ln y 0 ) = 0 + 1 ln x,
M(ln y 00 ) = 0 + 1 ln(px) = 0 + 1 ln x + 1 ln p
() ln y
4M ln y = M(ln y 00 ) M(ln y 0 ) = 1 ln p
,
y 00
= p 1 ,
y0
.. y p1 .
p = 1 + r r , p1 1 + r1 , ..
x r 100%, y
(r1 ) 100%.
48

- 1
y x. ,
Ex =

d(ln y)
dy x
=
= 1 .
dx y
d(ln x)

, - .
(Salary and Firm Sales [29]). - CEO
\ = 5.267 + 0.136 ln(Sales).
ln(Salary)
, Sales 1%
Salary ( !) (0.136
1)% = 0.136%

1.7.

x (). x . , .
.
.
,
y = 0 + 1 x + u,

(1.5)

y, x, u , y x , u
. u (), ,
, .
u
:
1) M(u|x) = 0,
2) M(u2 |x) = 2 ,
49

3) u|x N (0, 2 ).
1)
M(y|x) = 0 + 1 x.
. 1) 2),
a) Var(u|x) = 2 ,
b) Mu = 0 Var(u) = 2 ,
c) cov(x, u) = 0.
.
2
Var(u|x) = M(u2 |x) M(u|x) = 2 .


Mu = Mx M(u|x) = 0

Var(u) = Mx Var(u|x) = 2 .
, M(xu|x) = xM(u|x) = 0, M(xu) = Mx (M(xu|x)) = 0.
,
cov(x, u) = M(xu) Mu Mx = 0.

. (1.5)
1) 2)
0 = My 1 Mx,

1 =

cov(y, x)
Var(x)

(Var(x) 6= 0).

. Mu = 0,
My = M(0 + 1 x + u) = 0 + 1 Mx + Mu = 0 + 1 Mx
. , cov(x, u) = 0,
cov(y, x) = cov(0 + 1 x + u, x) =
1 cov(x, x) + cov(x, u) = 1 Var(x).

50

. , Var(x) 6= 0.
. (1.5) 1)
2)
y
1 = corr(x, y) ,
x
p
p
x = Var(x) y = Var(y)
x y .
0 , 1 2 (xi , yi ).
.
( ). (1.5) 1) 2) (xi , yi ) . OLS 0 1 0 1
11 , .. BLUE .
, 12 , ..
0 0 ,
P

1 1 (n +).
P

. 1. OLS-.
Pn
Pn
(x

)y
x)(0 + 1 xi + ui )
i
i
i=1
i=1 (xiP
1 = Pn
=
=
n
(xi x)2
(xi x)2
i=1
i=1
P
P
P
0 ni=1 (xi x) + 1 ni=1 (xi x)xi + ni=1 (xi x)ui
Pn
=
)2
i=1 (xi x
Pn
(xi x)ui
1 + Pi=1
n
)2
i=1 (xi x

M(1 |x1 , . . . , xn ) = 1 +

Pn

x)M(ui |x1 , . . . , xn )
i=1 (xiP
n
)2
i=1 (xi x

= 1 .

, M(1 ) = M(M(1 |x1 , . . . , xn )) = 1 .


11

Var(|x1 , . . . , xn )
, : j j
P





c > 0 P j j > c 0 n +
12

51

, 0 = y 1 x,
M(0 |x1 , . . . , xn ) = M(
y |x1 , . . . , xn ) xM(1 |x1 , . . . , xn ) =
1X
M(yi |x1 , . . . , xn ) 1 x =
n
1X
(0 + 1 xi ) 1 x = 0 + 1 x 1 x = 0
n
M(0 ) = M(M(0 |x1 , . . . , xn )) = 0 .
2.
x , y OLS


2 x

,
Var 0 x1 , . . . , xn = Pn
)2
i=1 (xi x


2

.
Var 1 x1 , . . . , xn = Pn
)2
i=1 (xi x


3. OLS-.
Pn
Pn
1
)(yi y) cov(x,
c
y)
(x

)(y

)
i
i
i=1 (xi x
i=1
n
Pn
P
=
=
.
1 =
n
1
2
d
)2
(x

)
i
Var(x)
i=1 (xi x
i=1
n
cov(x,
c
y) cov(x, y) ( P

d
) Var(x)
Var(x) n +,
P


cov(x, y)
cov(x,
c
y)
1 =

= 1 .
d
P
Var(x)
Var(x)
y My x Mx,
P

0 = y 1 x My 1 Mx = 0
P

xi
yi = 0 + 1 xi ,
52

TSS, ESS RSS .



TSS = ESS + RSS .
R2
R2 =

RSS
ESS
=1
= corr
d 2 (x, y).
RSS
TSS

. 1), 2) 3) OLS- xi .
. , : t1 |x1 . . . , xn tn2 ..

1.8.

1. 27 : r = 0.26.

( 2%)?
98%.
2. 24 :
r = 0.37. ( 0.1%)?
99.9%.
3. 27
: r = 0.62.
( 10%)?

90%.
4. 25 : r = 0.42.
(
53

1%)? 99%.
5. NASDAQ DAX .
99%. 1%. MS Excel.
6. Dow Jones Nikkei.
98%. 2%. MS Excel.
7. Dow Jones FTSE.
90%. 10%. MS Excel.
8. .
.
, . . ?
.
9. . ,
, .

:
1. = 0.6;
2. = 0.9;
3. = 0.5;
54

4. = 0.3?
.
10. ( ) 5% , n = 38?
11. , S(0 , 1 ) .
12.
X
X
X
2
(xi x) = 0,
(xi x) =
(xi x)xi .
13. (1.3)
X
X
X
(yi y)2 =
(
yi y)2 +
(yi yi )2
14. 10 x y
:
X
X
X
xi = 1700,
yi = 1100,
xi yi = 204400
X
X
x2i = 316000,
yi2 = 135000
(1.3)
1. OLS- ;
2. SER =

s2 ;

3. ;
4. ;
5. 1 1?
15.
(1.4)
1. OLS- ;
2. SER =
55

s2 ;

3. ;
4. ;
5. 1?
16. n = 18
( $100)
\ = 32.2 2.2P rice,
Sales

s1 = 0.02.

.
1 (2) 1%? 2%? 5%? 10%?
$96, $107, $102, $92?
17. 20
yb = 2.3 + 0.7x, s0 = 0.02, s1 = 0.2.

95%, 98%, 90%, 99%.
18. 40 ( )
\
ln(W
age) = 2.2 + 0.1 Edu,
(0.02)

(0.04)

Edu ( ), W age
.
.

10%? 5%? 1%?

? ?
56

19.
( $)
\ = 0.91 1.21 ln(P rice) n = 25
ln(Sales)
(0.07)

(0,2)

( ).
. ?
$2? $1.5?

90%, 95%, 98%, 99%.
(1) 10%? 5%? 2%? 1%?
20. 20 :
1
= 6.48.
y = 3 + 2x, t =
s1
R2 .
21.
(midterm) (exam) 12-

1 2 3 4 5 6 7 8 9 10 11 12
midterm 62 36 82 97 77 55 93 48 72 83 75 96
exam
70 30 79 99 76 47 95 51 76 90 67 99
OLS- exam
midterm. .
SER.
.
(
1%, 5%, 10%).
57

1?
1%, 5%, 10%.
R2 .
,
92? 75?
, 80,
75, 96. 90%,
95%, 99%.
MS Excel, EViews STATA.
22.
(midterm) (exam) 15-

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
midterm 62 36 82 97 77 55 93 48 72 83 75 96 21 9 18
exam
70 30 79 99 76 47 95 51 76 90 67 99 25 11 16
exam midtrem
exami = midtermi + i
.

90%.
10%?
1
5%.
2
R

85 . ?
MS Excel, EViews STATA.
58

23. 10 VW Golf ( $1000)


Age
1
1
2
3
3
4
4
5
6
6
P rice 18.0 16.5 15.0 15.6 16.0 14.0 13.9 11.0 11.3 10.8
.
OLS- .
?
?
( 90%, 95%,
99%).
MS Excel, EViews STATA.
24.
.
?
?
( 90%, 95%,
99%).
MS Excel, EViews STATA.
25. OLS-
y x, OLS- x y.

1
= ?

59

26. b1 OLS-
y x,
b1 OLS- x y. ,

1
R2 = 1.

b1 =
b1
27. b0 , b1 OLS- y x, e0 , e1 OLS- (c1 y)
(c2 x) (c1 , c2 6= 0). ,
c1
e1 = b1 ,
c2

e0 = c1 b0 .

28. b0 , b1 OLS- y x, e0 , e1 OLS- (y + c1 )


(x + c2 ). ,
e1 = b1 ,

e0 = b0 + c1 c2 b1 .

29. b0 , b1 OLS- ln(y) x, e0 , e1 OLS- ln(cy)


x (c > 0). .
30. b0 , b1 OLS- y ln x, e0 , e1 OLS- y ln(cx) (c > 0).
.
31. (1.3) 1
n

b10

1 X yi y
=
.
n i=1 xi x


1. y;
2. ;
3. ( )?
 
Var b10 .
60

32. (1.3) 1
P
(i ) yi
b100 = P
.
(i ) xi
({i }n1 ).
1. y;
2. ;
3. ( )?
 
Var b100 .
33. (1.4)

P
yi
0 = P .
xi

1. y;
2. ;
3. ( )?
 
Var b0 .
34. (1.4)

P
i yi
00
= P
i x i
({i }n1 ).
1. y;
2. ;
61

3. ( )?
 
Var b00 .
35. yi
(1.3). OLS-
yi = 0 + 1 yi + error .
36. y = x + u OLS- b
, b
y = + x + w ( )?
37. 100
\ = 0.87 1.23 ln(P rice)
ln(Q)
(0.04)

(0.2)

(1)? 10%, 5%, 1%.


38. 100
\ = 2.87 1.12 ln(P )
ln(Q)
(0.04)

(0.2)


H0 : 1 = 1

H1 : 1 < 1.
10%, 5%, 1%.
.
39 ([29]). 1960 2005 .
() , inft
unemt :
d t = 2.34 0.23unemt s1 = 0.04 R2 = 0.12
inf

H0 : 1 = 0

H1 : 1 < 0
1%.
.
62

40. y = 0 +1 x R2 , t- t1 = 1 /s1 ?
41. y = 6.7 + 0.6x 27.
x = 6
y = 9.
( 1%) .
42. 22
corr(x,
d y) = 0.5.
x = 4

y = 10. 1
? 1
10% .
43.
\
AW
E = 696.7 + 9.6Age R2 = 0.023 s = 624.1
(AW E, $)
(Age, ) 25 65- .
.
, , 25- ? 45-?

99- ?
41.6 . AW E?
( ) s R2 ?
44.
( ) . 400
, 90
63

, 120 . (
). Score , T ime
(T ime = 90 120)

\ = 49 + 0.24T ime
Score
Mi = 0 .
, 90 , 120 ,
150 ?
,
10 ?

64


,
y.

yi = 0 + 1 xi1 + + k xik + i ,

i = 1, . . . , n

(2.1)

y , x1 , . . . , xk ,
, , 0 , . . . , k
, i . m
(m = k + 1). () , y
.
(2.1) .



1
0
xi1


, = .1 .
x
xi =
i2
.
..
..
k
xik
(2.1)
yi = 0 xi + i = x0i + i ,
65

i = 1, . . . , n,

1
y1
1 x11 x12 x1k
2
y2
1 x21 x22 x2k

=
y=
,
X
=
.. . . . ..
..
...
... ...
.
.
yn
1 xn1 xn2 xnk
n
, X n m,
X x01 , x02 ..
(2.1)
y = X + .

2.1.


y x1 , . . . , xk .

. , {yi , xi1 , xi2 }
y = 0 + 1 x1 + 2 x2 ,
.
S = S(0 , 1 , 2 ) =

n
X

2
yi (0 + 1 xi1 + 2 xi2 ) min .

i=1

X
S
= (2)
(yi 0 1 xi1 2 xi2 ) = 0
0
i
X
S
= (2)
(yi 0 1 xi1 2 xi2 )xi1 = 0
1
i
X
S
= (2)
(yi 0 1 xi1 2 xi2 )xi2 = 0
2
i
66

, :

P
P
P

n
+

x
+

x
=
0
1
i1
2
i2
P
i
i yi
P 2 i P
P
0 i xi1 + 1 i xi1 + 2 i xi1 xi2 = i yi xi1

P x + P x x + P x2 = P y x
0
1
2
i i2
i i1 i2
i i2
i i i2
, S() (
). , .
.

S(0 , . . . , k ) =

(yi x0i )2 = (y X)0 (y X).


S(0 , . . . , k ) min .


grad S =

S
S S
,
,...,
0 1
k

= 2(X0 X X0 y)0 = 0


(X0 X) = X0 y.
det(X0 X) 6= 0 OLS
bOLS = (X0 X)1 (X0 y).
, (X0 X) > 0. S() 2 S = 2(X0 X) > 0, S() . ,
S().
67

2.2.

.
:
1. Mi = 0 i = 1, . . . , n,
2. Var(i ) = 2 i.
3. cov(i , j ) = 0 i 6= j (
).
4. i N (0, 2 ), i = 1, . . . , n ( ).
1. 3.

M = 0, Var() = 2 I,
I m m , Var() (n n) .
4. , N (0, 2 I), ..

2 I.
1. ( i)
My = 0 + 1 x1 + + k xk = x0 .
xj j
My = j j . j , ,
xj ,
.. ( ). 2. 3. ,
Var(yi ) = 2 ,

cov(yi , yj ) = 0 (i 6= j)

Var(y) = 2 I.
68

, OLS- bOLS , BLUE (Best Linear Unbiased Estimator).


( ). 1. 3.
y = X + .
OLS- BLUE .
. 1. . , ,



b
M OLS = M (X0 X)1 X0 y = (X0 X)1 (X0 My) =
(X0 X)1 X0 M(X + ) = (X0 X)1 (X0 X) = .
2. OLS-. m m OLS-



b
Var OLS = Var (X0 X)1 X0 y
= (X0 X)1 X0 Var(y)X(X0 X)1 = (X0 X)1 X0 ( 2 I)X(X0 X)1
= 2 (X0 X)1 X0 X(X0 X)1 = 2 (X0 X)1 .
e , yi .

e = bOLS + Qy,
Q m n. ,
Me = MbOLS + QMy = + QX.
e (Me = ), QX = 0.
[3],
 


e
b
Var = Var OLS + 2 QQ0 .
, OLS-
.
69

. , OLS Mi = 0 .
1. 3. 4. , yi


yi N 0 + 1 xi1 + + k xik , 2
y N (X, 2 I).
, OLS- bOLS ()

bOLS N , 2 (X0 X)1 .




b
Var OLS = cov(i , j ) = 2 (X0 X)1
bj (j = 0, . . . , k)
(X0 X)1 :

b0
?

b1
.
(X0 X)1 =
...

?
bk
OLS- j j

j N (j , 2 bj ).
2 .

yi = 0 + 1 xi1 + + k xik = x0i bOLS
(fitted) y.
b = X bOLS .
y
. (residual) (2.1)
ei = yi yi .
70

i ei . ,
( ), P
. ,
ni=1 ei = 0, (..
0 ), .. ,
i . , ,
.
.

RSS =

n
X

e2i

i=1

n
X

(yi yi )2

i=1

. ,
M(RSS) = (n m) 2 .
,
n

1 X 2
RSS
=
e
s =
n m n m i=1 i
2

. SER = s = s2 (Standard Error of Regression).

2.3.

OLS-.

1. , OLS- j
2 bj ,
2 .
OLS-


b
Var OLS = 2 (X0 X)1 .
71

s2 . OLS-, ,
 
d
Var j = s2 bj (j = 0, . . . , k),
bj
r
  q
p
d
sj = Var j = s2 bj = s bj .

.



b
d
Var OLS = s2 (X0 X)1
s2j (j = 0, 1, . . . , k).

. 1. 4. .

a) s2 bOLS ,
b) (n m)s2 / 2 2nm ,
c) tj = (bj j )/sj tnm .
.
2. .
1. 4. tj
tnm . t = t(; nm)
tnm = 1 .
P(|tj | > t ) = = P(|tj | < t ) =
( )
|tj | < t bj t sj < j < bj + t sj ,
72

j :


b
b
P j t sj < j < j + t sj = .
3.
H0 : j = 0
(0 )
H0 : j 6= 0 .

t=

bj 0
sj


t tnm .
H0

t = t(, nm) tnm . H0 P(|t| > t ) = .


:
|t| > t , H0 H1 . ,
0 ;
|t| < t , (
) . , 0 .
. , |t| < t ,
0 j 1 . ,
:
H0
0 ,
1 .
73

, .. .
, ..

H0 : j = 0
( xj )
t-
tj =

bj
sj

. j ( ) |tj | > t .
4.
H0 : j = 0
(0 )
H1 : j > 0 .
t0 = t(; n m) 1 tnm . H0 ,

bj 0
t=
tnm
H0
sj
P(t > t0 ) = .

:
t > t0 , H0
H1 ;
t < t0 ,
.
H0 H1 : 1 < 0 .
1

P(tnm > t0 ) =

74

2.4.

R2.

1.
P
TSS =
(yi y)2 y
(Total Sum of Squares, );
P
ESS =
(
yi y)2 , (Explained Sum of Squares,
);
P
P 2
RSS =
(yi yi )2 =
ei (Residual Sum of Squares,
).
0
TSS = ESS + RSS .
. 2 R2
:
RSS
ESS
=1
.
R2 =
TSS
TSS
, 0 6 R2 6 1.
,
R2 = 0 ESS = 0 yi = y 1 = = k = 0, ..
y
R2 = 1 RSS = 0 ei = 0 yi = yi , ..
.
, R2 (goodness-of-fit) :
R2 1,
.
:
2

R2

75

1. ( );
2. .
.
0 ,
, R2 = 1. ,
.
R2
(adjusted)
R2
2
2 = 1 RSS /(n m) .
Radj
=R
TSS /(n 1)

RSS / TSS = 1 R2 ,
2
Radj
= 1 1 R2

 n1
.
nm

, ,
2
Radj
6 1,

, R2 , 2
Radj
. ,
,
2
Radj
6 R2 .
2.
H0 : 1 = = k = 0
.. ( y). .
H1 : 12 + + k2 > 0
76

( ).
R2
nm
ESS n m
F =

.
2
1R m1
RSS m 1
F -
F Fm1,nm .
H0

F = F (; m 1, n m)
Fm1,nm . :
F > F ,
(
). , ;
F < F ,
. ,
.
. ,
( ).
( )
.

. , , .
3. ,
.. ,
y. q , . q :
H0 : kq+1 = = k = 0
77


2
H1 : kq+1
+ + k2 > 0

( ).
2
R2 RSSur
Rur
(ur=unrestricted
)
yb = 0 + 1 x1 + + k xk .
Rr2 R2 RSSr
(r = restricted
), , q (
xkq+1 , . . . , xk ):
yb = 0 + 1 x1 + + kq xkq .
( ) ( )
,
2
Rur
> Rr2 ,

RSSur 6 RSSr .

(n , m
)
2
Rur
Rr2 n m RSSr RSSur n m
F =

.
2
1 Rur
q
RSSur
q

F -
F Fq,nm .
H0

F = F (; q, n m)
Fq,nm . :
F > F , H0
;
F < F ,
.
78

(Wage-equation). ln(W age) Edu, Age


F edu, M edu ( )
\
ln(W
age) = 0 + 1 Edu + 2 Age + 3 Age2 + 4 F edu + 5 M edu.

H0 : 4 = 5 = 0
( )
Rr2 RSSr , , F edu M edu (
)
\
ln(W
age) = 0 + 1 Edu + 2 Age + 3 Age2 .
q = 2 (
, )
m = 6 ( ).
4.
. q
(q 6 m).
R = r, R q m, r - q 1.

H0 : R = r

H1 : R 6= r.
2
Rur
R2 RSSur
(ur = unrestricted)
.
Rr2 R2 RSSr
(r = restricted),
.

79

,
2
Rur
> Rr2 ,

RSSur 6 RSSr .

(n , m
)
2
Rur
Rr2 n m RSSr RSSur n m
=
.
F =

2
1 Rur
q
RSSur
q

(2.2)

F -
F Fq,nm .
H0

F = F (; q, n m)
Fq,nm . :
F > F , H0
;
F < F ,
.
(Wage-equation). ln(W age) Edu, Age
F edu, M edu ( )
\
ln(W
age) = 0 + 1 Edu + 2 Age + 3 Age2 + 4 F edu + 5 M edu.

H0 : 4 = 5
Rr2 RSSr ,

\
ln(W
age) = 0 + 1 Edu + 2 Age + 3 Age2 + 4 (F edu + M edu).
q = 1 ( ) m = 6 (
).
80

, F - :
, , (
). F -

0 h


i1 

1 b
0
b
b
d
ROLS r R Var OLS R
ROLS r =
F =
q
0 h
i1 

1  b
1
0
0
b
ROLS r R (X X) R
ROLS r .
qs2
(Chows test) , ,
.
y, x1 , . . . , xk n1
n2 y

yi = x0i + i ,
yi = x0i + i ,

Var(i ) = 12
Var(i ) = 22

i = 1 . . . n1 ,
i = n1 + 1 . . . n1 + n2 .

RSS1 RSS2 ,
.
RSS ,
n1 + n2 .
()

H0 : = , 12 = 22
F -
F =

RSS (RSS1 + RSS2 ) n1 + n2 2m

RSS1 + RSS2
m


F Fm,n1 +n2 2m
H0

,
F > F , F = F (; m, n1 + n2 2m)
81

2.5.

.
.
, (xi , yi )ni=1
xn+1 ,

(2.1)
yn+1 = 0 + 1 x(n+1)1 + + k x(n+1)k + n+1 = x0n+1 + n+1
1. 4.
yn+1 (xi , yi )ni=1 xn+1 .
1.
, 0 , . . . , k 2
. yn+1 yn+1

yn+1 = M(yn+1 ) = 0 + 1 x(n+1)1 + + k x(n+1)k = x0n+1 ,

M (yn+1 yn+1 )2 = M2n+1 = 2 .

yn+1 yn+1 = n+1 N (0, 2 ),

P (
yn+1 z < yn+1 < yn+1 + z ) = ,
z (1 )

1+
(z ) =
2
82

2. .
OLS-:
yn+1 = 0 + 1 x(n+1)1 + + k x(n+1)k = x0n+1 bOLS .
OLS- ,
M
yn+1 = 0 + 1 x(n+1)1 + + k x(n+1)k = Myn+1 .
, OLS-
y, yn+1 y.

.
. ye ( y1 , . . . , yn )
Me
yn+1 = Myn+1 = x0n+1 .
M (e
yn+1 yn+1 )2 > M (
yn+1 yn+1 )2 .
.
.

M (
yn+1 yn+1 )2 = 2 1 + x0n+1 (X0 X)1 xn+1
2 s2
q

= s2 1 + x0n+1 (X0 X)1 xn+1
, (
yn+1 yn+1 )/ tnm . ,

P (
yn+1 t < yn+1 < yn+1 + t ) = ,
t tnm (1 ).
, xn+1 yn+1 , , .
83

2.6.


:
yi = 1 xi1 + + k xim + i ,

i = 1, . . . , n

(2.3)

y , x1 , . . . , xm
, , 1 , . . . , m
, i . m . ().
(2.3) .



xi1
1
xi2

... .
xi =
... , =
m
xik
(2.3)
yi = 0 xi + i = x0i + i ,

i = 1, . . . , n.


y1
y2

y=
... ,
yn

x11 x12
x21 x22
X=
..
...
.
xn1 xn2

x1k
x2k
. . . ...
,
xnk


1
2

=
...
n

, X nm, X x01 , x02 ..


(2.3)
y = X + .
1. . (2.1)
X
S=
(yi x0i )2 = (y X)0 (y X).
i

84

(
j ) ,
(X0 X) = X0 y.
, S() . , .
det(X0 X) 6= 0 OLS- (2.3)

bOLS = (X0 X)1 X0 y.


2. . , OLS-
bOLS ,
, .. BLUE (Best Linear Unbiased Estimator).
( ). 1. 3.
y = X + .
OLS- BLUE .
. (2.1) .

1. 3. 4. , OLS-
bOLS ()

bOLS N , 2 (X0 X)1 .



b
Var OLS = 2 (X0 X)1 .
85

bj (j = 1, . . . , m)
(X0 X)1 :

b1
..
.
(X0 X)1 = .
..
?

?
..
.
.
..
.
bm

b2
...

j j
j N (j , 2 bj ).
2 .

yi = 1 xi1 + + m xim
(fitted) .
b = XbOLS .
y
. (2.3)
ei = yi yi .
.
P , (2.3)

ei 6= 0,
0 .
(2.1)
RSS =

n
X

e2i

i=1

n
X

(yi yi )2 .

i=1

. ,
M(RSS) = (n m) 2 .
,
n

1 X 2
RSS
s =
=
e
n m n m i=1 i
2

.
86

3. OLS- . OLS-
 
d
Var j = s2 bj (j = 1, . . . , m),

r
  q
p
d
sj = Var j = s2 bj = s bj .
OLS-



b
d
Var OLS = s2 (X0 X)1 .
s2j (j = 1, . . . , m).
. 1. 4. .

a) s2 bOLS ,
b) (n m)s2 / 2 2nm ,
c) tj = (bj j )/sj tnm .
,
H0 : j = 0
0 .
4. (2.3)
TSS 6= ESS + RSS
.
87

R2 ,
P 2
P 2
y
b
e
i
2
R
= P 2 = 1 P i2
yi
yi
, .. , y. q < m ,
. q :
H0 : mq+1 = = m = 0.

2
2
H1 : mq+1
+ + m
> 0.

( ).
RSSur (ur = unrestricted )
y = 1 x1 + + m xm ,
RSSr (r = restricted ),
, xmq+1 , . . . , xm :
y = 1 x1 + + mq xmq .
( ) ( )
,
RSSur 6 RSSr .
(n , m
)
F =

RSSr RSSur n m

.
RSSur
q
88

F -
F Fq,nm .
H0

F = F (; q, n m)
Fq,nm . :
F > F , H0
;
F < F ,
.

H0 : R = r

H1 : R 6= r.
q .

2.7.

, y
(2.1). 1.
,
M(yi ) = 0 + 1 xi1 + + k xik
.. y .
xj
4j y j 4j xj . ,
() xj j . , ()
j .

() .
.
89


ln yi = 0 + 1 xi1 + + k xik + i
, . (BLUE-)
OLS- ( .). ,
Mi = 0,
M(ln yi ) = 0 + 1 xi1 + + k xik .
xj 4j , ln y
4M(ln y) = j 4j
(. ), y exp (j 4j ) .
(j 4j ) , exp (j 4j ) 1 + j 4j , , y
( ) (j 4j ) 100% .
-
ln yi = 0 + 1 ln xi1 + + k ln xik + i
, . (BLUE-)
OLS- ( .). ,
Mi = 0,
M(ln yi ) = 0 + 1 ln xi1 + + k ln xik .
xj pj (pj > 0), ln y
4M(ln y) = j ln pj
90

(. - ),

y pj j .

pj = 1 + rj rj , pj j 1 + rj j , ..
xj rj 100% , x
( ) (j rj ) 100% .
- j
y xj . ,
Exj =

(ln y)
y xj

=
= j
xj y
(ln xj )

, y ln y
x ln x.
,
.
,
.

y .

(Wage-equation).
wage age.
ln(wage).
ln(wage) = 0 + 1 age +
(
1 > 0), :
, . , .
age2 :
ln(wage) = 0 + 1 age + 2 age2 + .
, b2 .
91

, ( !) :
b1
agemax =
.
2b2
.
3.

2.8.

,

().
. ,
.
.

y = 0 + 1 x1 + + k xk + u

(2.4)

y, x1 , . . . , xk , u , y xj , u . () u
, .



x1
1
x2
2


x=
... , = ... .
xk
k
(2.4)
y = 0 + x0 + u.
u
:
1) M(u|x1 , . . . , xk ) = 0 ( M(u|x) = 0),
2) M(u2 |x1 , . . . , xk ) = 2 ( M(u2 |x) = 2 ),
92

3) u|x1 , . . . , xk N (0, 2 ) ( u|x N (0, 2 )).


1)
M(y|x1 , . . . , xk ) = M(y|x) = 0 + 1 x1 + + k xk = 0 + x0 .
. 1) 2),
a) Var(u|x1 , . . . , xk ) = 2 ,
b) Mu = 0 Var(u) = 2 ,
c) cov(xj , u) = 0, j = 1, . . . , k.
. .
x k k:

Var(x1 ) cov(x1 , x2 ) cov(x1 , xk )


cov(x2 , x1 ) Var(x2 ) cov(x2 , xk )
k

x = cov(xi , xj ) i,j=1 =
..
..
..
...

.
.
.
cov(xk , x1 ) cov(xk , x2 )
Var(xk )
. ,
det x > 0.
. (2.4)
1) 2)
0 = My 1 Mx k Mxk ,
1 , . . . , k

Var(x1 )1 + cov(x2 , x1 )2 + + cov(xk , x1 )k = cov(y, x1 )

cov(x , x ) + Var(x ) + + cov(x , x ) = cov(y, x )


1 2 1
2 2
k
2 k
2

cov(x1 , xk )1 + cov(x2 , xk )2 + + Var(xk )k = cov(y, xk )


. Mu = 0,
My = M(0 + 1 x1 + + k xk + u) =
0 + 1 Mx1 + + k Mxk + Mu = 0 + 1 Mx1 + + k Mxk
93

. , cov(xj , u) = 0 j =
1, . . . , k,
cov(y, xj ) = cov(0 + 1 x1 + + k xk + u, xj ) =
1 cov(x1 , xj ) + 2 cov(x2 , xj ) + + k cov(xk , xj ).

. 1 , . . . , k

cov(y, x1 )
cov(y, x2 )
.
x =
..

.
cov(y, xk )
,
det x 6= 0 ( det x > 0).


cov(y, x1 )
1
cov(y, x2 )
2

.
= 1

=
..
.
x

..
.
cov(y, xk )
k
. det x = 0 , () .

.
0 , . . . , k 2 . {yi , xi1 , . . . , xik }ni=1 .

x0i = xi1 xi2 xik , i = 1, . . . , n.
OLS- :

bOLS

0 = y 1 x1 k xk

1
cov(y,
c
x1 )

cov(y,
c
x2 )
2 b 1

,
= .. =

..
x

.
.
cov(y,
c
xk )
k
94

b x .

.
( ). (2.4) 1) 2), det x 6= 0 (yi , xi ) .
OLS- 0 , . . . , k 0 , . . . , k 3 , ..
BLUE . , , ..
j j ,

j = 0...,k

n +
. 1. ,



M j x1 , . . . , xk = j , j = 0, . . . , k,

 

 

= j .
M j = M M j x1 , . . . , xk
, OLS
y .
2. OLS- . n + (j = 1, . . . , k,)
cov(y,
c
xj ) cov(y, xj ),
P

d j ) Var(xj ),
Var(x
P

b x x . ,

P

cov(y,
c
x1 )
cov(y, x1 )
cov(y,

c
x2 )
1 cov(y, x2 )
b 1

b =

.
.
x
x

P
=
..
..
cov(y,
c
xk )
cov(y, xk )
y My xj Mxj ,
P

0 = y 1 x1 k xk My 1 Mx k Mxk = 0
P

Var(|x1 , . . . , xn )

95


yi , , TSS, ESS
RSS .
TSS = ESS + RSS .
R2
RSS
ESS
=1
.
RSS
TSS
. 1), 2) 3) OLS- .
R2 =

. , : tj |x1 . . . , xn tnm ..

2.8.1.

OLS-

OLS- 1) 2) ,
OLS- ( , ..).
. ,
.
.
1) 2) .
t=

j j
N (0, 1) (n +).
sj

1. , ( ) j
:



P j sj z < j < j + sj z ,
96

z
(z ) =

1+
,
2

() .
2.
H0 : j = 0

H1 : j 6= 0
t-
j 0
.
t=
sj
:
H0
|t| > z ,
z

(z ) = 1 .
2
3.
H0 : j = 0

H1 : j > 0
t-
t=

j 0
.
sj


:
97

H0
0
t > z
,
0
z

0
(z
) = 1 .

4.

H0 : R = r
F - (2.2) 4 , :
H0
qF > 2 ,
q , 2 2q . ,

0 h


i1 

0
b
b
b
d
qF = ROLS r R Var OLS R
ROLS r =
0 h
i1 

1  b
1
0
0
b
ROLS r R (X X) R
ROLS r
s2


2.9.

, b x 6= 0.
det(X0 X) 6= 0 det
b x = 0), , det(X0 X) = 0 ( det
. ,
OLS-
.
4

qFq,N 2q N >> 1

98

. . .

.

. OLS-
 
2
(j = 1, . . . , k),
(2.5)
Var bj =
(1 Rj2 ) TSSj

TSSj =

n
X

(xij xj )2

i=1

xj , Rj2 xj
.
. , Rj2 , xj .
.
 
s2
2
d bj =
sj = Var
(j = 1, . . . , k)
(1 Rj2 ) TSSj
, Rj2 (.. )
( ) j , , . , ,
. , ,
, .
, - OLS- .
99

. (2.5) ,
TSSj .
.
y = 0 + 1 x1 + 2 x2 + u.
R12
x1 = 0 + 1 x2 + error,
R22
x2 = 0 + 1 x1 + error

R12 = R22 = corr
d 2 (x1 , x2 ).
, (.. corr(x
d 1 , x2 )),
(
).
, , . ,
Rj2
? ,
, ?
. V IFj = 1/(1 Rj2 ) (Variance Inflation Factor)
, xj ,
V IFj > 20 (. [21], . 4.9.1 ). [29]
. 3.4 10 V IFj .
V IFj .
OLS- : (, , )
100

, . (micronumerosity), ..
Rj2 ( V IFj ), (.
[29] . 3.4 )
, . ,
.
:
1.
(

!).
2. , (, , ).
3. , .
, .. (omitted variable problem, . 3).
4. .
5. (, ).

2.10.

1.
y = 0 + 1 x1 + 2 x2 + u
101

, u. ,
cov(y, x1 ) Var(x2 ) cov(x1 , x2 ) cov(y, x2 )
,
Var(x1 ) Var(x2 ) cov2 (x1 , x2 )
cov(y, x2 ) Var(x1 ) cov(x1 , x2 ) cov(y, x1 )
2 =
.
Var(x1 ) Var(x2 ) cov2 (x1 , x2 )

1 =

OLS- 1 2 .
2.
y = 0 + 1 x1 + 2 x2 + u
, u. , OLS-
 
Var bj =

2
2 ) TSS
(1 r12
j

(j = 1, 2)

TSSj xj r12 = corr(x


d 1 , x2 )
3.
y = 0 + 1 x1 + 2 x2 + u
, M(u|x1 , x2 ) = 0. , OLS- 1
:
1. x1 x1 = 0 + 2 x2 ,
2. OLS- d1 y = 0 + 1 x1 .
4. ,
2
k > 1 Radj
< R2 .
5.

(A) : yb = 0 + 1 x
(B) : yb = 0 + 1 x + 2 z
102

,

b
2
2
2

RB > RA |t2 | = > 1


s2
6. ,
R2 = corr
d 2 (y, y)
7. 50 Hours ( )
W age ( $100):
\ = 11.3 + 2.4 W age 1.1 W age2 .
Hours
(2.3)

(1.2)

(0.24)

. 10%, 5%, 1%.


8. 1000 W age
Age:
ln\
W age = 1.2 + 0.0214Age 0.0004Age2 .
(0.0031)

(0.0003)

ln W age .
10%, 5%, 1%.
9. w edu age
d
ln
w = 1.2 + 0.02edu + 0.01 age 0.0001age2 n = 21.
(0.01)

(0.016)

(0.0002)

1 .
3 90%.
10%.
10.
exam midterm
time, ( )
e\
xam = 0.98midterm + 0.001 time,
(0.3)

(0.0006)

103

n = 29.

2 .
1 99%.
1 1%?
11 ([29]). CEO (Salary) (sales),
(roe, return on equity) (ros, return on stock)
ln\
Salary = 5.21 + 0.27 ln(sales) + 0.0201 roe + 0.00052ros
(0.12)

(0.016)

(0.00023)

(0.000094)

n = 316 R = 0.132
.

H0 : 3 = 0

H1 : 3 > 0
5%. .
12. W age
Edu Age (,
)
ln\
W age = 1.2 + 0.02Edu + 0.01 Age 0.0001Age2
(0.01)
2

(0.016)

(0.0002)

R = 0.23 n = 21.
1 .

H0 : 3 = 0

H1 : 3 < 0
5%. .
104

13. 32 ( ):
Yb = 0.4 + 3.2 X1 + 2.5 X2 + 0.1 X3 0.3 X4 .
(0.06)

(0.1)

(0.001)

(0.1)

10% .
2 3 (
10%)? .
14. 19
( ):
Yb = 1.2 + 2.2 X1 5.1 X2 + 1.1 X3
(0.02)

(0.03)

ESS = 110.9

(0.8)

RSS = 40.5.

R2 ? ( 5%) 2.
. R
15. 25
( ):
Yb = 10.4 + 3.2 X1 + 2.5 X2 0.6 X3 R2 = 0.55
(0.6)

(0.1)

(0.1)


99%. ,
Y ( 1%)? .
16. 19 ( ):
Yb = 1.2 + 3.2 X1 0.9 X2 .
(0.1)

(0.03)

0.1% .
2 (1) ( 0.2%)? .
105

17. 25
(ln w) (edu,
) (age):
d
ln
w = 1.7 + 0.5edu + 0.06age 0.0004age2
ESS = 90.3 RSS = 60.4.
f edu medu,
, ESS 110.3.
.
( 5%).
18. 50 (ln w)
(edu, ), (age):
d
ln
w = 1.7 + 0.5edu + 0.04age 0.0003age2
ESS = 75.8 RSS = 61.3.
f edu medu, , ESS
82.7.
.
R2 .
?
19. H (K , L )
\ = 1.4 + 0.46 ln(L) + 0.27 ln(H) + 0.23 ln(K)
ln(Q)
ESS = 170.4 RSS = 80.3 n = 21.
R2 ? . 1%.
20 ([26]). 300 .
P rice ( $1000), BDR , Bath , Hsize , Lsize
106

, Age ( ), P oor
, 1,
.
\
P
rice = 134.3 + 0.369BDR + 22.7Bath + 0.134Hsize
2

+ 0.00036Lsize + 0.016Age 23.4P oor,

R = 0.63,

SER = 6.5


( ) . ?
,
102 .
?
R2 .
21 ([26]).

\
P
rice = 134.3 + 0.369BDR + 22.7Bath + 0.134Hsize
(23.9)

(2.13)

(8.94)

(0.014)

+ 0.00036Lsize + 0.016Age 23.4P oor,


(0.000048)

(0.311)

R = 0.63, SER = 6.5

(9.5)

BDR ?
1%, 2%, 5%, 10%.
, . ? .
2000 2 .
99% .
F - () BDR Age
F = 0.782. BDR Age
? 1%,
5%, 10%.
107

22.
(math, 100- )
(agebirth), (mothabil), (school), (income,
$1000) married, 1,
0 . :
[ = 30.741 + 0.068agebirth + 6.775mothabil + 1.607school
math
(3.439)

(0.108)

(0.571)

(0.256)
2

+ 4.109married 0.005income R = 0.151, n = 2524


(1.081)

(0.005)


? 1%, 5%, 10%.

? 1%, 5%, 10%.
. 90%, 95%, 99%.
. 90%, 95%, 99%.
23.

[ = 33.019 + 0.072agebirth + 6.936mothabil


math
(3.299)

(0.106)

(0.569)

+ 1.646school R2 = 0.1461 n = 2524


(0.253)

() ?
. 1%, 5%, 10%.
24. ln(W age) edu,
108

experience, experience2 f edu medu


\
ln(W
age) = 0 + 1 edu + 2 experience + 3 experience2
+ 4 f edu + 5 medu, n = 500 R2 = 0.273
a)
H0 : 4 = 5 .
b) . a).
c) . a) Rr2 = 0.262.
5%.
d) R2 .
25.
(CobbDouglas production function)
\ = 2.4 + 0.35 ln(K) + 0.71 ln(L) R2 = 0.89 n = 20
ln(Q)
(0.08)

(0.21)

(0.42)

a) 1 2 (
5%).
b) (
5%).
c) corr(ln(K),
d
ln(L)) = 0.96.
. a) b)?
d)
H0 : 1 + 2 = 1.
e) .
f) Rr2 = 0.79.
1%.
26. H (K , L )
\ = 1.4 + 0.46 ln(L) + 0.27 ln(H) + 0.23 ln(K)
ln(Q)
(0.31)
2

(0.12)

R = 0.86 n = 20
109

(0.14)

a) ( 1%);
b) (
1%);
c)
H0 : 1 + 2 + 3 = 1.
d) .
e) Rr2 = 0.72.
1%.
27. P rice (
$1000) Hsize ( 2 ), Lsize ( 2 ),
Bath BDR
\
P
rice = 0 + 1 Hsize + 2 Lsize + 3 Bath + 4 BDR
R2 = 0.218 n = 23

H0 : 3 = 204 . . Rr2 =
0.136. 5%.
28.
w educ, age f athedu, mothedu
d
ln
w = 0 + 1 educ + 2 age + 3 age2 + 4 f athedu + 5 mothedu
n = 27 R2 = 0.341

H0 : 5 = 24 . . Rr2 =
0.296. 5%.
29. P ( $1000)
Hsize ( 2 ), Lsize ( 2 ), Bath BDR
Pb = 0 + 1 Hsize + 2 Lsize + 3 Bath + 4 BDR R2 = 0.218 n = 23
110


H0 : 2 = 0, 3 = 4 .
.
Rr2 = 0.136. 5%.
30. S ( .) Inc ( .) W (
.)
Sb = 0 + 1 Inc + 2 W R2 = 0.121 n = 26

H0 : 1 = 2 . . Rr2 =
0.062. 5%.
31. ln(W age) edu,
experience, experience2 f edu medu
\
ln(W
age) = 0 + 1 edu + 2 experience + 3 experience2
+ 4 f edu + 5 medu
35 23
RSS = 34.4 RSS = 23.4. ,
, 70.3.

. 5%.
32.
y = 0 + 1 x1 + 2 x2 + u,
.
F -
H0 : 1 = 2 = 0,
H0 : 1 = 2 ,
H0 : 1 + 2 = 1.
d 1 ), Var(
d 2 ) cov(
Var(
c 1 , 2 ).
111

3.1.

, . ,
, . ,
.

, , . ,
. () (dummy variable), :
1, ;
0, .
(Wageequation). , wage age:
\ = 0 + 1 age + 2 age2 .
ln(wage)

112


(
1,
male =
0,

\ = 0 + 1 age + 2 age2 + 3 male.
ln(wage)

\ = 0 + 1 age + 2 age2 ,
ln(wage)

\ = 0 + 1 age + 2 age2 + 3 .
ln(wage)
, 3 ()
. 3
H0 : 3 = 0
.
. male, ( 0 1).
3 .

, .
(Wageequation). , ( hedu, 1 )
( wage):
ln\
wage = 0 + 1 hedu.
0 ()
, 1 () (
113

, 1 > 0).
.
male,
,
ln\
wage = 0 + 1 hedu + 2 male.
()
2 . () ,
1 , ..
.

ln\
wage = 0 + 1 hedu + 2 male + 3 (hedu male)
() 2 .
( ) 1 , 1 + 3 .
, ,
. 3 ,

.
.
: l ,
l 1 ,
- l 1 . , , . .
.
ln(Q) = 0 + 1 ln(P ) + error .
,
, .. () . ,
114

, : Spr (), Summ () F all


().
ln(Q) = 0 + 1 ln(P ) + 2 Spr + 3 Summ + 4 F all + error
\ = 0 + 1 ln P , ln(Q)
\ =
ln(Q)
0 + 1 ln P + 2 . ,
( ) 2 .
3 4 .
.
H0 : 2 = 4
, ,
, .
. ,
, .
, .
-
.
.
. l ()
l , ,
1. ,

, .. OLS- .

- , , ,
.
.

yt = 0 + 1 xt + error,
115

t = 1, . . . , n

t0 (1 < t0 < n) ,
, , , ?

(
0, t = 1, . . . , t0 1
dt =
1, t = t0 , . . . , n
:
yt = 0 + 1 xt + 2 dt + 3 (xt dt ) + error .

yt = 0 + 1 xt t = 1, . . . , t0 1,

yt = 0 + 2 + (1 + 3 )xt t = t0 , . . . , n.
2 3 , , ,

.

3.2.

OLS-
,
,
( ).

.

OLS- . .
116

3.2.1.

: (true
model)
y = 0 + 1 x + 2 z + u
u .
, z:
y = 0 + 1 x + w,
w = 2 z + u.

. OLS- 1

cov(x,
c
y)
.
1 =
d
Var(x)
n +
cov(x, y)
1
.
P
Var(x)

(cov(x, u) = 0)
cov(y, x) = cov(0 + 1 x + 2 z + u, x) =
1 cov(x, x) + 2 cov(z, x) + cov(u, x) = 1 Var(x) + 2 cov(z, x).
,
cov(z, x)
1 1 + 2
.
P
Var(x)
, 2 cov(z, x) 6= 0, OLS- 1
. ,
1 , , .
117

OLS- 0
.
(Omitted variable problem). y
x z
y = 0 + 1 x + 2 z + u,

(3.1)

u -.
0 1 OLS- 0 1 ,

y = 0 + 1 x + w.

(3.2)

1. 2 cov(z, x) 6= 0, 0 1
.
2. 0 1 , (3.2) ,
(3.1).
3. Ms2 > 2 , .. s2 (3.1).
. , .. (3.2), t- F
. ,
, , .
.
, ,
( . [3, 21]).

3.2.2.

. (true model)
y = 0 + 1 x + u,
118

u . 1 = cov(y, x)/ Var(x).


, ()
y = 0 + 1 x + 2 z + w,

(3.3)

(irrelevant) z,
x y (.. cov(x, z) = cov(y, z) = 0).
cov(y, x) Var(z) cov(x, z) cov(y, z) cov(y, x)
=
= 1
Var(x) Var(z) cov2 (x, z)
Var(x)
cov(y, z) Var(x) cov(x, z) cov(y, x)
= 0.
2 =
Var(x) Var(z) cov2 (x, z)

1 =

w = u, .. (3.3)
.
- OLS- 1 2 ,
1 1 = 1
2 = 0 (3.3).
1 2
.
, OLS- 1 ( ) OLS- 1 (3.3), .. 1 . , 1
,
1 = 1 (3.3) () z. , 1 (
), 1 .

(Overspecification problem). , , OLS- , , ( ). OLS
.
1

119

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

3.2.3.


(nested models)
(A) : y = 0 +

k
X

j xj + u

j=1

(B) : y = 0 +

k
X

j xj +

j=1

l
X

j zj + w.

j=1

, (B) (A) z1 , . . . , zl .
2
2
RA
6 RB
,
2
R .
:
a) R2 :
2 .
, R
b) z1 , . . . , zl , .. (B)
H0 : 1 = = l = 0.
, (B).
, (A).
c) Akaike
Shwarz ( . 2).
120

3.2.4.


(non-nested models) .
(A) : y = 0 +

k
X

j xj + u

j=1


(B) : y = 0 +

l
X

j zj + w,

j=1

.
2 , R
R2 .
(B)
Davidson MacKinnon [7, 8, 20] ybi (B).
y = 0 +

k
X

(B)

j xj + B ybi

+ error

j=1

B . , (A).
(A)
, ybi (A).

y = 0 +

l
X

(A)

j zj + A ybi

+ error

j=1

A , (B).
. Davidson MacKinnon :
1. ,
(A) (B) ;
2. (A) (B)
.
2 R
(Akaike Shwarz).
121

3.2.5.

.

y vs .

( )
H0 : y = 0 + 1 x1 + + k xk + u
RESET- (Regression Equation Specification Error
Test, Ramsey [24])
yi ,
.
( M > 2 )
y = 0 + 1 x1 + + k xk + 2 yb2 + + q ybM + error

H00 : 2 = = M = 0.
H00 .
. RESET- M = 2, 3, 4 ( ). M = 3, 4 [29].
. RESET- .
y ln y ?

Myi . j
xj .
122

, y vs xj y
. . , .
. P rice Age. ( )
,
P rice = 0 + i Age +
1 < 0 ( ).

\
P
ricei < 0 ( Agei >> 1). , ,
: +1 10-
( ) . ,
.
-
(
, ), - . dy i

(.. ln


dy i > 0).
ybi = exp ln
- . :
, xj 1% ( )
j 100%.
,
xj exp(j ) .
123

, - .
1.
ln y = 0 + 1 x1 + + k xk + u
-
ln y = 0 + 1 ln x1 + + k ln xk + w
2 ,
, R
Davidson MacKinnon, .
2.
(Linear) : y = 0 + 1 x1 + + k xk + u
-
(Loglin) : ln y = 0 + 1 ln x1 + + k ln xk + w
2
Davidson MacKinnon, R
, . .
dy i PE- (MacKinnon, White, Davidson) yi ln
(Linear) (Loglin) .



d
y = 0 + 1 x1 + + k xk + Lin ln (
y ) ln y + error
Lin . , (Linear).
,

 
dy + error
ln y = 0 + 1 ln x1 + + k ln xk + Log y exp ln
Log . , (LogLin).
124

3.3.

. 2 (heteroskedasticity)

Var(i ) 6= const

Var(u|x1 , . . . , xk ) 6= const,

,
(
) .
. (homoskedasticity)
.
,

, .
.
. . ,
, .. ,
. ,
.
OLS- .
. Var(i ) 6= const ( Var(u|x) 6= const), OLS-

( ), (
BLUE ).
2

125

, t- F - .
. , OLS- - , , .. . ,
,
t- F - . ,

:
.

3.3.1.


. ,
.
.
:
1. : e vs y;
2. :
e vs x;
3. : et vs t (
).
. ,
xj
, , .
126

Goldfeld Quandt [17] ,



3 (, xj )
i2 = 2 x2ij .
, ,
.

H0 : 12 = = n2

H1 : i2 = 2 x2ij (i = 1, . . . , n),
Var(i ) = i2 .
xj . r
, , . . n1 ( ), n2 ( ). ,
n1 = n2 = (n r)/2
, . RSS1 RSS2 , SER1 SER2 .
F -
RSS2 /(n2 m) RSS2
SER22
=
=
.
F =
RSS1 /(n1 m) RSS1
SER21
F -
F F (n1 m, n2 m).
H0

, H0 F > F (.. ),
F = F (; n1 m, n2 m).
3

,
.

127

. r
.
r = 0, [17].
. , , ..
.
. Goldfeld Quandt ,
.

4 ( , ) n1 n2 (n1 + n2 = n). RSS1 < RSS2 . F -

RSS2 /(n2 m)
SER22
.
=
F =
RSS1 /(n1 m)
SER21
White [28] , .
H0 : Var(u|x1 , . . . , xk ) 2

H1 : Var(u|x1 , . . . , xk ) = 2 (x1 , . . . , xk ).

H0 : 12 = = n2
White (1980)
:
1. OLS- {ei }ni=1 ;
4

128

2. R02 e2i
, , :
2

e = 0 +

k
X
i=1

i x i +

k
X

ij xi xj + error =

i6j

0 + 1 x1 + + 11 x21 + + 12 x1 x2 + + error (3.4)



nR02
(3.4) (.. )
-
nR02 2K ,
H0

K (3.4). , ()
nR02 > 2 , 2 = 2 (; K).
, K = (k 2 + 3k)/2, k, ,
.
. , (3.4)
,
R02 .
White , :

, ,
( ) , ;
,
(
2 (x)).
.
129

. (3.4)
F -,
.
(3.4) ( ) ,
White [29]:
1. {ei }ni=1 yi
;
2. e2i yi yi2 :
e2i = 0 + 1 yi + 2 yi2 + error

(3.5)

R02 .

nR02
(3.5) (.. )
-
nR02 22
H0

, ()
nR02 > 2 ,
2 = 2 (; 2).
Breusch Pagan [6] , ,
z0 = (z1 , . . . , zp )
i2 = f (0 + z0i ) = f (0 + zi1 1 + + zip p )

(3.6)

f () > 0.

H0 : i2 2 = f (0 )

H1 : i2 = f (0 + z0i ).
130

, (3.6)

H00 : 1 = = p = 0.
BreuschPagan :
1. OLS- ei
n
1X 2
2

b =
e.
n i=1 i
2. ESS
 2
ei
= 0 + z0i + error = 0 + zi1 1 + + zip p + error .
2

b
(..
(3.6)) LM -5
LM = ESS /2
-
LM 2p .
H0

, LM > 2 , 2 = 2 (; p).
. BreuschPagan, . nR02 , R02
e2i = 0 + zi1 1 + + zip p + error .
nR02 -
nR02 2p .
H0

LM = Lagrange Multiplier,

131

,
. . , ,
(, ).
.

3.3.2.

,
OLS- , , , t- F -,
.
.


yi = 0 + 1 xi1 + + k xik + i
,
Mi = 0;
cov(i , j ) = 0 i 6= j;
Var(i ) = i2 i2 .
, () .
i :


1
xi1
xik

yi
i
= 0 + 1
+ + k
+ 0i
0i =
.
i
i
i
i
i
132

0i
,
 
1
i
Var(0i ) = Var
= 2 Var(i ) = 1.
i
i
. ,
,
.
,
, , (BLUE
) OLS-,
:
2
n 
X
1
xi1
xik
yi
0 1
k
=
S=

i
i
i
i
i=1
n
X
1
(yi 0 1 xi1 k xik )2 min
2

i=1 i

. {wi }ni=1 ().


,
n
X

wi (yi 0 1 xi1 k xik )2 min,

i=1

WLS- (WLS = Weighted Least Squares) .


,
.

(BLUE) WLS- wi = 1/i2 .
.
,

, . R2 .
133

, WLS- .
i2
.
n

. .


,
2 :
Var(i ) = 2 h(x1 , . . . , xk ),

(3.7)

h(x) = h(x1 , . . . , xk ) > 0 .


p
h(xi ):
!
1
xi1
xik
y
i
p i
= 0 p
+1 p
+ +k p
+0i 0i = p
.
h(xi )
h(xi )
h(xi )
h(xi )
h(xi )
0i
,
!
i
1
Var(0i ) = Var p
=
Var(i ) = 2 .
h(xi )
h(xi )
,
. (3.7)
(BLUE ) WLS- wi =
1/h(xi ).
134

. , , . R2
.
. h()

e vs xj .
h() = xj > 0 (
).

h() .
h() . h() i h(xi )
, h
WLS- .
(FWLS = Feasible Weighted Least Squares).

FWLS- , OLS-.
, .
. FWLS
,

Var(u|x1 , . . . , xk ) = 2 h(x) = 2 exp(1 x1 + + k xk )

(3.8)

1 , . . . , k 2 . (3.8)


ln Var(u|x1 , . . . , xk ) = 0 + 1 x1 + + k xk .
FLWS :
135

1. OLS- ei ;
2.

ln e2 = 0 + 1 x1 + + k xk + error
gi .
3. WLS
i , h
i = exp(
wi = 1/h
gi ).
.
(3.8) ,
Var(u|x1 , . . . , xk ) = 0 + 1 x1 + + k xk

Var(u|x1 , . . . , xk ) = 2 x11 xkk .
, i .
wi = 1/h

, OLS-
, , t- F .
H. White [28] (heteroskedasticityrobust standard errors) . t-, ,
() .
1. White

y = 0 + 1 x + u.
ei OLS- . 1 , ,
136

( OLS ):
P
 
)2 e2i
i (xi x

d
Varw 1 = P
2 .
2
)
i (xi x

H0 : 1 = 0

1 0
t=r
 ,
d w 1
Var
(), ,
tn2 . White
.
2. (
) ,
, bOLS OLS- ,

!
1
1
n
 1 1

X
1
1
d w bOLS =
X0 X
e2i xi x0i
X0 X
,
Var
n n
n i=1
n
ei OLS- .

  Pn e2 u2
d w j = i=1 i ij ,
Var
RSSj
uij xj , RSSj .
.
White.
137

3.

H0 : R = r


i1 


0 h
1 b
0
b
b
d
ROLS r ,
F =
ROLS r R Varw OLS R
q
.

F Fq,nm ,
H0

q .
H0
F > F , F = F (; q, n m).
2 = qF 2q . ,
2 > 2 ,
2 = 2 (; q).

3.4.


. , . (crosssectional data) .

.
, ,
(.. ).
138

. (serial correlation) p
t = 1 t1 + + p tp + ut ,
ut .
, OLS , . , t- F - . , (
) , , . , OLS , .

3.4.1.


t = t1 + ut ,

|| < 1

(3.9)

{ut } .
,
cov(t , tl ) = l Var(u),

l = 0, 1, 2, . . .

,
corr(t , t1 ) =

cov(t , t1 )
= .
Var(u)

:
.

. e1 , . . . , en
, .
139

. (3.9) ()
AR(1). || < 1 , AR(1) (
. 4)

.
(3.9)
H0 : = 0

H1 : 6= 0.
Durbin Watson [11, 12]
Pn
(et et1 )2
t=2P
, 0 6 DW 6 4.
DW =
n
2
t=1 et
,
DW 2(1 ).
P

, , DW 2. ,
DW. , , n k du > dl ( , u=upper, l=low).
:
du < DW < 4 du
;
DW < dl H0 H1 , ;
4 dl < DW < 4 H0 H1 ,
;
140

dl < DW < du 4du < DW < 4dl ,


H0 , H1 .
,
. ,
DW .
Durbin Watson:
1. 0 ;
2. (strictly exogenous),
.
Durbin Watson, . :
1. OLS- et ;
2. et ,
et1
et = 0 + 1 et1 +

n
X

j xj + error

(3.10)

j=1

m- Durbin t- et1 (3.10): , H0


.
(LM -test)
LM = (n 1)R02 ,
R02 (3.10).


LM 21 .
H0

141

,
LM > 2 , 2 = 2 (; 1)
21 .
.
Breusch Godfrey .
. , () . , .

(3.9)
yt = 0 + 1 xt + t .
t1
, t (3.9) :
yt yt1 = 0 (1 ) + 1 (xt xt1 ) + ut
p t = 1
1 2 :
p
p
p
p
1 2 y1 = 1 2 0 + 1 2 1 x1 + 1 2 1

(
yt yt1 , t = 2, . . . , n
yt = p
1 2 y1 , t = 1.
(
xt xt1 , t = 2, . . . , n
xt = p
1 2 x1 , t = 1.
(
1 ,
t = 2, . . . , n
zt = p
1 2 , t = 1.
142


yt = 0 zt + 1 xt + ut ,

t = 1, . . . , n

. , OLS- 0 1 BLUE-
.
Prais Winsten (1954),
Prais Winsten.
. t =
1, ..
yt yt1 = 0 (1 ) + 1 (xt xt1 ) + ut ,

t = 2, . . . , n,

Cochrane
Orcutt (1949). , ,
. , .
,
Cochrane Orcutt.

, ,
.
1. OLS- et et =
et1 + error:
Pn
t=2 et et1
b = P
n1 2 ;
t=1 et
2. Prais Winsten
Cochrane Orcutt = b OLS-
;
3. , . 1.
143


.
. , (FWLS) .
.
.

3.4.2.

p:
t = 1 t1 + + p tp + wt ,

(3.11)

, ut .
(3.11) AR(p) p
(3.11)
, t (. 4).
:
.

(3.11) (
p )
H0 : 1 = = p = 0

H1 : 21 + + 2p > 0
p
144

1. OLS- et ;
2. et ,
et1 , . . . , etp
et = 0 + 1 et1 + + p etp +

k
X

j xj + error

(3.12)

j=1

F- et (3.12), ..

H00 : 1 = = p = 0.
H0 H00 .
Breusch Godfrey

LM = (n p)R02 ,
R02 R2 (3.12).

-
LM 2p .
H0

, p LM > 2 , 2 =
2 (; p).
. , () . , .
,
.
145



yt = 0 + 1 xt + t
t = 1 t1 + 2 t2 + ut
, 1 2 .


2 > 1,

2 1 < 1,

1 + 2 < 1.

t > 2

yt 1 yt1 2 yt2 = 0 (1 1 2 )
+ 1 (xt 1 xt1 2 xt2 ) + ut t = 3, . . . , n (3.13)

2 yt2 ,
t = 3, . . . n

t 1 yt1 
yp

p
1 22 y2 1 1 21 /(1 2 ) y1 , t = 2
yt =

p(1 + )[(1 )2 2 ]/(1 )y ,


t=1
2
2
2 1
1

2 xt2 ,
t = 3, . . . n

t 1 xt1 
x

p
p
xt =
1 22 x2 1 1 21 /(1 2 ) x1 , t = 2

p(1 + )[(1 )2 2 ]/(1 )x ,


t=1
2
2
2 1
1

1p 1 2 , p
 t = 3, . . . n
1 22 1 1 21 /(1 2 ) , t = 2
zt =

p(1 + )[(1 )2 2 ]/(1 ), t = 1


2

, ,
yt = 0 zt + 1 xt + ut t = 1, . . . , n
146

(3.14)

(3.14)
. , OLS- 0 1 (3.14) BLUE .
.
, (3.13)
1 2 ,
(et OLS-
)
et = 1 et1 + 2 et2 + error,
(3.13) (3.14).
.
. . .

,
MA(Q) Q
t = ut + 1 ut1 + + q utQ ,
{ut } .
cov(t , tl ) = 0 l > Q.
, .
147

3.5.

1. , ,
OLS , , t- F -. OLS-
( ) .
. ( )
, . ,
, OLS-

. ,

. ,
.
, .
, ,
White. OLS- (
, ), t- F -, () .
2. . ,
148


cov(t , tj ) = 0 j > Q

(3.15)

( M(t ts ) = 0 j > Q). , , . Var(bOLS ) OLS-



1
b
d
Var OLS = n (X0 X) Sbn (X0 X)1 ,
(3.16)

Sbn =

n
1X

t=1

e2t xt x0t +

Q
1X

wj

n
X

j=1

!
et etj (xt x0tj + xtj x0t )

j+1

wj ( ).



d bOLS .
Var
. (3.16) OLS-
Newey West,
( ) Newey West.
, Newey West ( b
{wj }!) Var(),
(3.15) (heteroskedasticity and autocorrelation consistent standard errors, HAC standard errors)).
[23] (3.16)
..
wj = 1

j
Q

j = 1, . . . , Q.

..

2
3
1 6j 2 + 6j 3 , 1 6 j 6 1+Q
(1+Q)
(1+Q)
2

2
wj =
1+Q
2 1 j
,
1+Q
2 6j 6Q
149

. , wj = 0 White,
.
, (3.15) ,
() NeweyWest.

H0 : R = r

0 h


i1 

1 b
0

b
d
ROLS r R Var OLS R
ROLS r .
F =
q
q .
F -
F Fq,nm ,
H0

H0 F > F , F = F (; q, n m).
2 = qF - 2q .
H0 2 > 2 ,
2 = 2 (; q).
3. (3.11) p, (3.15) . [23] , (3.16)
, Q = Q(n)
, Q(n)

4
, Q(n)/ n 6 .

3.6.

1.
WLS {wi }.

, Q = Q(n) + Q(n)/ 4 n 0
n +.
6

150

2. ,
y = 0 + 1 x + u,
M(u|x) = 0 Var(u|x) = 2 x2 .
1 OLS- 1 . M1 ,
1 ?
3.
yi = xi + ui
M(ui ) = 0, cov(ui , uj ) = 0
(i 6= j) Var(ui ) = 2 x2i .
OLS- .

. -?
4. y = 0 + 1 x + u
( ). u = z +
x z. OLS- 0 1 .
5. 2003 2008
,
yt :
ybt = 3.5 + 0.4 xt + 1.1 wt ;
(0.001)

ESS = 70.4;

RSS = 40.5.

(0.01)

, , ESS
86.4. . ( 5%).
6. 2001 2008
,
yt :
ybt = 9.5 + 0.2 xt + 0.6 wt + 0.7 zt ;
(0.01)

(0.002)

(0.02)

151

ESS = 62.5

RSS = 44.7.

, , ESS
76.4. .
.
?
7. Spr (), Summ () F all ():
\ = 0 +1 ln(P )+2 Spr +3 Summ+4 F all R2 = 0.367 n = 20
ln(Q)

H0 : 2 = 4 . .
Rr2 = 0.238. 5%.
8. Spr (), Summ () F all ():
\ = 0 +1 ln(P )+2 Spr +3 Summ+4 F all R2 = 0.247 n = 24
ln(Q)

H0 : 2 = 0, 3 = 4 . .
Rr2 = 0.126. 5%.
9.
\ = 0 + 1 ed + 2 age + 3 age2 + 4 imm,
ln(wage)
ed , age , imm , 1 .
4 = 0.11. .
s4 = 0.09. ? 1%, 5%, 10%. n = 2003.
152


\ = 1.154 + 0.0493ed + 0.069age 0.0007 age2
ln(wage)
(0.149)

(0.003)

(0.007)

(0.00008)

+ 0.0963imm 0.0314(ed imm) R2 = 0.209


(0.0803)

(0.0073)


?
10 ?
10.
(ln P rice) (Square), (Dist)
(F loor). , .
19 19
( 45 ) RSS1 = 11.7 RSS2 = 25.4.
? 5%.
11.
(ln P rice) (Square), (Dist), (LSize) (F loor).
, . 42
42 ( 100
) RSS1 = 11.2
RSS2 = 27.2 .
1. .
2. ? 10%.
12.
(ln P rice) (Square) (Dist)
800 . White.
153

Whitea
.
R02 = 0.075.
?
1%.
13. . union , , wage
.

.
,
.
(
) .
14.
(ln w) (edu, )
( union, 1
). ,
.
15.
(ln w) (edu, ) ( male, 1 ).
, , .
16.
(ln w) (edu, ), IQ (iqscore) ( D).
, IQ .
154

17.
(ln w) (edu, ) ( smsa, 1
1.). ,
, .
18. ln(W age) edu, age,
age2 , city ( , 1 ) male
\
ln(W
age) = 0 +1 edu+2 age+3 age2 +4 male+5 city+6 (citymale)
35 23 RSSimm = 40.2 RSSnative = 60.2.
, , 140.6.
. 5%.
19. 250
280
\
W
age = 12.52 + 2.12 M ale R2 = 0.06 SER = 4.2
(0.23)

(0.36)

W age , M ale () , 1 .
?

? 1%.
95%
.
? ?
155

20. F emale, 1
\
W
age = 0 + 1 F emale.
0 1 ?
R2 SER ?
21. : ( 24 ,
15) . SmallClass
, 1 .
\ = 918.0 + 13.9 SmallClass R2 = 0.01 n = 200
T estScore
(1.6)

(2.5)

?

? . 5%.
99%
.
22.
W age (educ, ),
( f emale) ( heduc)
\
W
age = 12.3 + 0.0023educ 0.23f emale+
(0.0008)

(0.09)

2.3 heduc 0.93(heduc f emale) n = 27.


(0.78)

(0.78)

? ?
?
?
? 5%.
156

23.
W age educ, male ( ), smsa ( ,
1 ) imm (1, )
\
W
age = 11.4 + 0.002 educ + 0.4 male + 0.6 (male smsa)
(1.2)

(0.0006)

(0.17)

(0.78)

2.3 imm + 1.34 smsa n = 33.


(1.04)

(0.078)

? ?
,
? ? , ?
5%.
24. Y earSch . : HighAb , ,
F unsk , , , Ref orm ,
, F emale ,
, City , . 11174

Y\
earsch = 12.3994 + 1.9361HighAb
(0.1332)

(0.0608)

+ 0.1519F emale 0.5721(F emale City)


(0.0686)

(0.1112)

2.2345F unsk + 0.5121Ref orm + 0.6921City,


(0.0735)

(0.0747)

R2 = 0.1998

(0.1290)


? ?
?
,
. 157

1%. ,
?
25. / ( City F emale City)
Y\
earsch = 12.7108 + 1.9408HighAb 0.0780F emale
(0.0941)

(0.0613)

(0.0592)

2.2898F unsk + 0.5121Ref orm,


(0.0812)

R2 = 0.1938

(0.0747)


.
26. xi
yi = 0 + 1 xi + i .
n1 0 n2 1
(n1 + n2 = n). y(p)
bp2
, xi = p
(p = 0, 1). y ,
b2
y ( ).
0 1 n1 , n2 ,
y(0) , y(1) , y,
b02 ,
b12 ,
b2 .
2?
12 ,
02 ,
s21 n1 , n2 , y(0) , y(1) , y,
[
27. IN
F = 0 + 1 U N EM (IN F ) (U N EM ).
[
IN
F = 0 + 1 U N EM + 2 N,
N .
1 1 ?
s1 < s1 ?
.
158

28. 2002 2008 ,


(yt ), (ut ) (zt )
dy t = 3.4 + 0.3 ln(ut ) + 0.03 ln(zt ) R2 = 0.69
ln

DW = 3.22.

(
)? , ?
29. 2002 2007
Q
IN V
d
ln
Qt = 34.2 + 0.23 ln(IN Vt ) R2 = 0.59;

DW = 1.89

(
)? , ?
30. 2000 2005 ,
(yt ), (ut ), (zt ) (popt ):t
dy t = 3.4 + 0.3 ln(ut ) + 0, 03 ln(zt ) + 0.003 ln(popt )
ln
R2 = 0.87 DW = 1.02.
(
)? , ?
31. 2003 2008
Q
IN V P rice
d
ln
Qt = 34.2 + 0.23 ln(IN Vt ) 0.3 ln(P ricet ) R2 = 0.82

DW = 0.97.

(
)? , ?
159

32. (static
Phillips curve), inf unem:
d t = 1.34 + 0.34unemt R2 = 0.078 n = 50.
inf
a)

.
b) R02 = 0.32.
( ) ? 1%.
c)

Durbin Watson ?
33. (Phillips curve) , inf c unem unemt1 :
d t = 0.78 0.24unemt 0.02unemt1 R2 = 0.097 n = 57.
inf
a) .
b) R02 = 0.16.
( ) ? 5%.
c)

Durbin Watson ?
34. , inft unemt , unemt1
inft1
d t = 1.23 + 0.12inft1 0.12unemt 0.002unemt1
inf
R2 = 0.12 n = 60.
160

a)

.
b) R02 = 0.17. ( )
? 10%.
c)

Durbin Watson ?
35 ([29]). i3 (3-
T-bill rate) inf (
consumer price index CPI) def (
GDP), 1948 2003
\t ) = 1.733 + 0.606 ln(inft ) + 0.513 ln(deft )
ln(i3
R2 = 0.602 DW = 0.716
a) .
b) R02 = 0.371. ( )
? 5%.
c)

DurbinWatson ? , .

161



:
,
.. ,
( );
( );

. ,
.

4.1.


yt = 0 + 1 xt1 + + k xtk + ut ,

t = 1, . . . , n

(4.1)


{yt , xt1 , . . . , xtk }. (cross-section
data) , , , . ,
.
162



xt1
xt = ... (t = 1, . . . , n),
xtk


1
= ...
k

(4.1)
yt = 0 + x0t + ut .
:
1. M(ut |x1 , . . . , xn ) = 0;
2. Var(ut |x1 , . . . , xn ) = Var(ut ) = 2 ;
3. cov(ut , us |x1 , . . . , xn ) = 0;
4. ut |x1 , . . . , xn N (0, 2 ).
. ,
x1 , . . . , xn , .. .
. 1. 3.
. OLS- (4.1)
BLUE-.
. OLS- 1. .
. 4.
. OLS-
(4.1) .
(4.1) .

:
163

(static model) , ,
. - , inf
unem
inft = 0 + 1 unemt + ut
() (finite distributed lag,
FDL model) .
. , , 1. 3. .
.

4.2.

(
) .

,
.

yt = 0 + 1 t + ut ,

t = 1, . . . , n.

, {ut } .
. ,
Myt t:
Myt = 0 + 1 t.
1 :

4Myt = Myt Myt1 = 1 .
, ,
1 > 0 ,
164

1 < 0 ,

.

ln(yt ) = 0 + 1 t + ut .
, {ut } .
. ,
t
M ln(yt ) = 0 + 1 t.
1 :


yt
= 1
4M ln(yt ) = M ln(yt ) M ln(yt1 ) = M ln
yt1
, ( ) yt exp(1 ) .
1 , exp(1 ) 1 + 1
yt ( ) 1 100%.
. . , ,
yt = 0 + 1 t + 2 t2 + ut .
.

. . ,
1 6= 0,
1 6= 0,

yt = 0 + 1 t + ut ,
xt = 0 + 1 t + vt ,
165


yt = 0 + 1 xt + error .
( xt ), t.
OLS- , 1 , . (spurious regression problem).
( )
yt = 0 + 1 xt + 2 t + error .
(Housing investment & Prices [29]).
1947 1988 (n = 42) - (invpc)
(price, 1 1982 .):
\ = 0.550 + 1.241 ln(price)
ln(invpc)
s0 = 0.043, s1 = 0.382, R2 = 0.208.
, invpc price . :
\ =
ln(invpc)
0 + 0.0081t,
t
\ = 0 + 0.0044t,
ln(price)
t

s1 = 0.0018
s1 = 0.0004.



\ = 0.913 0.381 ln(price) + 0.0098t
ln(invpc)
s0 = 0.136, s1 = 0.697, s2 = 0.0035, R2 = 0.307
.
invpc
0.98%.
. .
166

,
:
1. : y t x t
yt = 0 + 1 t + ut
xt = 0 + 1 t + vt ,
;
2.
y t = 0 + 1 x t + error
0 1 yt xt , t y t x t .

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

.
. , (seasonally adjusted), . , U.S. GDP .
167

4.3.

, (finite distributed
lag, FDL model)
. .

FDL(2)
yt = 0 + 1 xt + 2 xt1 + 3 xt2 + ut
t .
t
4Myt = 1 ,

4Myt+1 = 2 , 4Myt+2 = 3 ,
4Myt+l = 0, l > 3
1 (impact multiplier).
t .

4Myt = 1
4Myt+1 = 1 + 2
4Myt+l = 1 + 2 + 3 ,

l > 2.

(long-run
multiplier) FDL(2) 1 + 2 + 3 .

y = 0 + (1 + 2 + 3 )x .
FDL.
168

4.4.

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

.

4.4.1.

. yt ( ),
Myt const,

cov(yt , yt+h ) = (h) (h = 0, 1, 2 . . .)

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

, .
(0) = cov(yt , yt ) = Var(yt ),

.
. (h) ,
.
,
h.
(h) = cov(yt , yth ) = cov(yth , yt ) = cov(y , y +h ) = (h),
169

(h) . t s

cov(yt , ys ) = (t s)
h:
(h)
(h)
cov(yt , yt+h )
=p
=
.
corr(yt , yt+h ) = p
(0)
Var(yt ) Var(yt+h )
(0) (0)
,
.
. (h) = corr(yt , yt+h ) (autocorrelation function, ACF)
.
, (0) = 1. :
corr(ys , yt ) = (s t).
.

lim (h) = 0.

,
. : t , corr(ys , yt ) = (t s) 0
t + s .
. (h).
. . {yt } ,
170

. () (white noise). , ACF



(
1, h = 0
(h) =
0, h 6= 0
.. .
. , ()

.

4.4.2.

.
. 1 AR(p) p
:
yt = + 1 yt1 + + p ytp + t ,

p 6= 0,

(4.2)

t .
. .
(4.2), yt
p t , t.
, (4.2), . .
AR(p) p
(z) = 1 1 z p z p .
1

AR = AutoRegression

171

( ). ,
(4.2), , (z) ( )
. AR(1),
yt = + 1 yt1 + t ,

1 6= 0.

(z) = 11 z
z0 = 1/1 . , AR(1)
,
|z0 | > 1 |1 | < 1.
1 = 1 = 0

yt = 1 + t1 + + t =

t
X

s ,

s=1

(random walk), ,
, Myt = 0, Var(yt ) = t Var(), ..
.
. AR(2),
yt = 3 + 2yt1 yt2 + t .
(z) = 1 2z + z 2
z0 = 1 . ,
.
,
(4.2). :
Myt = + 1 Myt1 + + p Mytp + Mt .
Mt = 0 Myt const,

.
Myt =
1 1 p

172

.
cov(t , yth ) = 0,

h > 0,

..

ACF. :
(h) = (h) = cov(yt , yth ) =
cov( + 1 yt1 + + p ytp + t , yth ) =
1 cov(yt1 , yth ) + + p cov(ytp , yth ) + cov(t , yth ) =
1 1 (h 1) + + p p (h p).
(0)
(h) = 1 (h 1) + 2 (h 2) + + p (h p).
h = 1, . . . , p (h), , k (h):

(1) = 1 (0) + 2 (1) + + p (p 1)

(2) = (1) + (0) + + (p 2)


1
2
p
..

(p) = 1 (p 1) + 2 (p 2) + + p (0)
AR(1)

yt = + 1 yt1 + t .
,
|1 | < 1.
AR(1)
(1) = 1 (0),
173

(0) = 1, (1) = 1 .
, (h) = 1 (h 1),
(h) = 1 (h 1) = 12 (h 2) = = 1h (0) = 1h ,

h>0

, ACF AR(1)
h.

|h|
(h) = 1 .

: 1 .
1 > 0 , corr(yt , yt+1 ) = (1) = 1 > 0, ..
.
,
:

( ):
, ,
,


( = 0): ,
( ), .
1 < 0 , corr(yt , yt+1 ) = (1) = 1 < 0, ..
.
,
:

( ):
, ,
,
.
174

( = 0) : ,
.

4.4.3.

. , .. ,
.
n.

yn+1 = + 1 yn + 2 yn1 + + p ynp+1 + n+1
n+1

corr(n+1 , ynh ) = 0 (h > 0),

ybn+1 = + 1 yn + 2 yn1 + + p ynp+1 ,
. n+1 ( ) .
, ,
M |b
yn+1 yn+1 |2 = M2n+1 = Var()
. ( - ) n + 2 ( )
ybn+2 = + 1 ybn+1 + 2 yn + + p ynp+2 ;
175

n + 3 ( ) -
ybn+3 = + 1 ybn+2 + 2 ybn+1 + + p ynp+3
.. :
,
t yt
,
.
.
yt = 0 + 1 yt1 + t .

ybn+1 = 0 + 1 yn .
l > 1
ybn+l = 0 + 1 ybn+l1 .
.
yt = 0 + 1 yt1 + 2 yt2 + t .

ybn+1 = 0 + 1 yn + 2 yn1 .

ybn+2 = 0 + 1 ybn+1 + 2 yn .

ybn+l = 0 + 1 ybn+l + 2 ybn+l2 ,

l > 2.

.
yt = 0 + 1 yt1 + 2 yt2 + 3 yt3 + t
176


ybn+1 = 0 + 1 yn + 2 yn1 + 3 yn2

ybn+2 = 0 + 1 ybn+1 + 2 yn + 3 yn1 ,
:
ybn+3 = 0 + 1 ybn+2 + 2 ybn+1 + 3 yn

ybn+l = 0 + 1 ybn+l1 + 2 ybn+l2 + 3 ybn+l3 ,

(l > 3).


.
ybn+l Myt (l +)
P

, , ( ). ,
.

4.4.4.

.

: p .
: .
: ( ).
177

( ,
n )
nh

1 X
(yt y) (yt+h y) .
(h) =
n h t=1
ACF
(h)
r(h) =
(0)
(Eviews, SPSS
.) ACF .
, p.
. t -, (BLUE) , 1 , . . . , p
OLS-.
1 , . . . , p

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

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


1
2
p
..

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






m = y 1 1 p
.


1 = r(1), m = y 1 1 = y 1 r(1)
,

yt = y 1 r(1) + r(1)yt1 .
178

. y = 1.3 r(1) = 0.7.




yt = 1.3 1 (0.7) + (0.7)yt1 = 2.21 0.7yt1
. ( r(0) = 1)
-

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

r(1) r(1)r(2)
,
1 =
1 r2 (1)

r(2) r2 (1)

2 =
.
1 r2 (1)





yt = y 1 1 2 + 1 yt1 + 2 yt2 .
. y = 2.1, r(1) = 0.6
r(2) = 0.2.
0.6 0.6(0.2)
1 =
= 1.125,
1 0.62

0.2 0.62
2 =
= 0.875
1 0.62



yt = 2.1 1 1.125 (0.875) + 1.125yt1 + (0.875)yt2

k OLS-:
ybn+1 = m + 1 yn + 2 yn1 + + p ynp+1
ybn+2 = m + 1 ybn+1 + 2 yn + + p ynp+2
( ..), Durbin
Watson (.. ).
179


, .. . ,
. (
MA ARMA).

:

. ,
.
(Akaike, 1973) p
AIC(m) = ln s2 (m) +

2m
min .
n

s2 (m) - AR(m).
. ,

(Shwarz [25] 1978) p
SIC(m) = ln s2 (m) +

m ln n
min .
n

- (Hannan, Quinn
[16], 1979) p
HQ(m) = ln s2 (m) + 2c

m ln(ln n)
min,
n

c > 1.

180

. n = 100 :
s2 (1) = 0.9, s2 (2) = 0.7, s2 (3) = 0.5, s2 (4) = 0.46.

Shwarz. SIC :
1 ln 100
1 ln n
= ln 0.9 +
0.059
n
100
2 ln n
2 ln 100
SIC(2) = ln s2 (2) +
= ln 0.7 +
0.265
n
100
3 ln n
3 ln 100
SIC(3) = ln s2 (3) +
= ln 0.5 +
0.555
n
100
4 ln n
4 ln 100
SIC(4) = ln s2 (4) +
= ln 0.46 +
0.592
n
100
, ,
.
.
AIC :
21
2
AIC(1) = ln s2 (1) +
= ln 0.9 +
0.085
n
100
4
22
= ln 0.7 +
0.317
AIC(2) = ln s2 (2) +
n
100
23
6
AIC(3) = ln s2 (3) +
= ln 0.5 +
0.633
n
100
24
8
AIC(4) = ln s2 (4) +
= ln 0.46 +
0.697
n
100
,
, .
SIC(1) = ln s2 (1) +


, ..
, ,
181

. , .
, DurbinWatson . DW
.
,
(Box, Ljung [5]) Q-. re (h)
et AR(p). Q-
M
X
re2 (h)
,
Q = n(n + 2)
nh

M = 1, 2, . . .

h=1

Q- 2M p .
, ( ) Q > 2 , 2 = 2 (; M p).
. n = 100
(p = 2)

re (1) = 0.001 re (2) = 0.001 re (3) = 0.0006


re (4) = 0.0004 re (5) = 0.0003.
. Q- M = 5:
 2

re2 (2)
re2 (3)
re2 (4)
re2 (5)
re (1)
Q = n(n + 2)
+
+
+
+
=
n1 n2 n3 n4 n5


0.0012
0.00062 0.00042 0.00032
0.0012
100 102
+
+
+
+

100 1 100 2 100 3 100 4 100 5


0.00027
- M p = 5 2 = 3
5%-
2 = 2 (5%; 3) 7.875.
182

Q < 2 ,
AR(2).

4.5.

ADL (autoregression distributed lags)


( , , ):
yt = + 1 yt1 + + p ytp + 1 zt1 + + k ztk + ut .

(4.3)

1. ,
. ,
, .. .



zt1
1
.
zt = .. , = ...
k
ztk

yt = + 1 yt1 + + p ytp + z0t + ut
.
zt () ;
ut , Mut = 0, Var(ut ) = 2 ;
cov(ut , ztj ) = 0, j = 1 . . . , k;
cov(ut , yts ) = 0, s = 1, . . . , p;
(z) = 1 1 z p z p
( );
( )
1 0
zt z ,
n t P
183

det 6= 0

OLS- (4.3) .
, , .
. , DW Durbin
Watson .
2. ADL
yt = + 1 yt1 + + p ytp + +0 xt + + q xtq + ut
. , FDL, ,

y = 0 + 1 x ,

0 + + q

=
, 1 =
0 =
1 1 p
(1)
1 1 p
1 (longtime multiplier).

4.6.

1. FDL

1. ybt = 0 + 1 xt + 2 xt1 + 3 xt2 + 4 xt3 ;
2. ybt = 0 + 1 xt + 2 xt1 + 3 zt + 4 zt1 ;
3. ybt = 0 + 1 xt + 2 xt1 + 3 xt2 + 4 zt + 5 zt1 + 6 zt2 ;
4. ybt = 0 + 1 xt + 2 zt + 3 zt1 + 4 zt2 + 5 wt + 6 wt1 .
2. , , ?
184

1. yt = 7 + 0.5yt1 + t .
2. yt = 10 + 0.25yt2 + t .
3. yt = 10 + yt1 0.25yt2 + t .
4. yt = 23 yt1 43 yt2 + 18 yt3 + t .
5. yt = 3 + 0.4yt1 0.04yt2 + t .
6. yt = 5 3yt1 3yt2 yt3 + t .
7. yt = 2yt1 + 1.25yt2 0.25yt3 + t .
3.
1. l = 3 yt = 5 + 0.5yt1 + t .
2. l = 4 yt = 2 + 0.25yt2 + t .
3. l = 3 yt =

1
27 yt3

+ t .

4. l = 5 yt = 0.5yt2 0.05yt3 +0.001yt4 +t .


5. l = 6 yt = 0.5yt3 + 0.001yt4 + t .
4.
AR(2), AR(3) AR(4).
5. n = 60
:
1. yt = 2 + 0.7yt1 , s2 = 2.1;
2. yt = 2.3 + 0.6yt1 0.3yt2 , s2 = 1.9;
3. yt = 1.8 + 0.55yt1 0.25yt2 + 0.01yt3 , s2 = 1, 85.
?
6.

(1) = 0.7;

(2) = 0.4;

(3) = 0.2

y = 1.7.

185

1. AR(1);
2. AR(2);
3. AR(3).
7. n = 50 .
1. re (1) = 0.001; re (2) = 0.0006; re (3) = 0.0002; re (4) = 0.001
AR(2).
2. re (1) = 0.04; re (2) = 0.02; re (3) = 0.006 AR(1).
3. re (1) = 0.02; re (2) = 0.0008; re (3) = 0.003; re (4) = 0.001
AR(3).

186


MS Excel OpenOffice

MS Excel ()

MS Excel (Eng)
OpenOffice
N (0, 1)
(1 /2) NORMSINV(1 /2)
N (0, 1)
(1 )
NORMSINV(1 )
2
k (-)
2(; k)
CHIINV(; k)
tk ()
(; k)
TINV(; k)
tk () (2; k)
TINV(2; k)
Fk1 ,k2
F(; k1 ; k2 )
FINV (; k1 ; k2 )

A.1:

two-side 0.400 0.200 0.100 0.050 0.020 0.010
one-side 0.200 0.100 0.050 0.025 0.010 0.005
z
0.842 1.282 1.645 1.960 2.326 2.576

187

0.005 0.002 0.001


0.0025 0.001 0.0005
2.807 3.090 3.291

A.2: 2k

k
0.100
0.050
0.025
0.020
0.010
1
2.706
3.841
5.024
5.412
6.635
2
4.605
5.991
7.378
7.824
9.210
3
6.251
7.815
9.348
9.837
11.345
4
7.779
9.488
11.143 11.668 13.277
5
9.236
11.070 12.833 13.388 15.086
6
10.645 12.592 14.449 15.033 16.812
7
12.017 14.067 16.013 16.622 18.475
8
13.362 15.507 17.535 18.168 20.090
9
14.684 16.919 19.023 19.679 21.666
10 15.987 18.307 20.483 21.161 23.209
11 17.275 19.675 21.920 22.618 24.725
12 18.549 21.026 23.337 24.054 26.217
13 19.812 22.362 24.736 25.472 27.688
14 21.064 23.685 26.119 26.873 29.141
15 22.307 24.996 27.488 28.259 30.578
16 23.542 26.296 28.845 29.633 32.000
17 24.769 27.587 30.191 30.995 33.409
18 25.989 28.869 31.526 32.346 34.805
19 27.204 30.144 32.852 33.687 36.191
21 29.615 32.671 35.479 36.343 38.932
22 30.813 33.924 36.781 37.659 40.289
23 32.007 35.172 38.076 38.968 41.638
24 33.196 36.415 39.364 40.270 42.980
25 34.382 37.652 40.646 41.566 44.314
30 40.256 43.773 46.979 47.962 50.892
40 51.805 55.758 59.342 60.436 63.691
50 63.167 67.505 71.420 72.613 76.154
60 74.397 79.082 83.298 84.580 88.379
70 85.527 90.531 95.023 96.388 100.425
80 96.578 101.879 106.629 108.069 112.329
90 107.565 113.145 118.136 119.648 124.116
100 118.498 124.342 129.561 131.142 135.807

188

0.005
7.879
10.597
12.838
14.860
16.750
18.548
20.278
21.955
23.589
25.188
26.757
28.300
29.819
31.319
32.801
34.267
35.718
37.156
38.582
41.401
42.796
44.181
45.559
46.928
53.672
66.766
79.490
91.952
104.215
116.321
128.299
140.169

0.001
10,828
13.816
16.266
18.467
20.515
22.458
24.322
26.124
27.877
29.588
31.264
32.909
34.528
36.123
37.697
39.252
40.790
42.312
43.820
46.797
48.268
49.728
51.179
52.620
59.703
73.402
86.661
99.607
112.317
124.839
137.208
149.449

A.3: tk (
)
k
two-side
one-side
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
70
80
90
100
120
200
300
500

0.100
0.050
6.314
2.920
2.353
2.132
2.015
1.943
1.895
1.860
1.833
1.812
1.796
1.782
1.771
1.761
1.753
1.746
1.740
1.734
1.729
1.725
1.721
1.717
1.714
1.711
1.708
1.706
1.703
1.701
1.699
1.697
1.684
1.676
1.671
1.667
1.664
1.662
1.660
1.658
1.653
1.650
1.648
1.645

0.050
0.0250
12.706
4.303
3.182
2.776
2.571
2.447
2.365
2.306
2.262
2.228
2.201
2.179
2.160
2.145
2.131
2.120
2.110
2.101
2.093
2.086
2.080
2.074
2.069
2.064
2.060
2.056
2.052
2.048
2.045
2.042
2.021
2.009
2.000
1.994
1.990
1.987
1.984
1.980
1.972
1.968
1.965
1.960


0.025
0.010
0.005
0.0125 0.0050 0.0025
25.452 63.657 127.321
6.205
9.925
14.089
4.177
5.841
7.453
3.495
4.604
5.598
3.163
4.032
4.773
2.969
3.707
4.317
2.841
3.499
4.029
2.752
3.355
3.833
2.685
3.250
3.690
2.634
3.169
3.581
2.593
3.106
3.497
2.560
3.055
3.428
2.533
3.012
3.372
2.510
2.977
3.326
2.490
2.947
3.286
2.473
2.921
3.252
2.458
2.898
3.222
2.445
2.878
3.197
2.433
2.861
3.174
2.423
2.845
3.153
2.414
2.831
3.135
2.405
2.819
3.119
2.398
2.807
3.104
2.391
2.797
3.091
2.385
2.787
3.078
2.379
2.779
3.067
2.373
2.771
3.057
2.368
2.763
3.047
2.364
2.756
3.038
2.360
2.750
3.030
2.329
2.704
2.971
2.311
2.678
2.937
2.299
2.660
2.915
2.291
2.648
2.899
2.284
2.639
2.887
2.280
2.632
2.878
2.276
2.626
2.871
2.270
2.617
2.860
2.258
2.601
2.839
2.253
2.592
2.828
2.248
2.586
2.820
2.241
2.576
2.807

189

0.001
0.0005
636.619
31.599
12.924
8.610
6.869
5.959
5.408
5.041
4.781
4.587
4.437
4.318
4.221
4.140
4.073
4.015
3.965
3.922
3.883
3.850
3.819
3.792
3.768
3.745
3.725
3.707
3.690
3.674
3.659
3.646
3.551
3.496
3.460
3.435
3.416
3.402
3.390
3.373
3.340
3.323
3.310
3.291

A.4: 5% Fk1 ,k2 ( )


k1
k2
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
100
120
500

1
18.513
10.128
7.709
6.608
5.987
5.591
5.318
5.117
4.965
4.844
4.747
4.667
4.600
4.543
4.494
4.451
4.414
4.381
4.351
4.325
4.301
4.279
4.260
4.242
4.225
4.210
4.196
4.183
4.171
4.085
4.034
4.001
3.936
3.920
3.860
3.841

2
19.000
9.552
6.944
5.786
5.143
4.737
4.459
4.256
4.103
3.982
3.885
3.806
3.739
3.682
3.634
3.592
3.555
3.522
3.493
3.467
3.443
3.422
3.403
3.385
3.369
3.354
3.340
3.328
3.316
3.232
3.183
3.150
3.087
3.072
3.014
2.996

3
19.164
9.277
6.591
5.409
4.757
4.347
4.066
3.863
3.708
3.587
3.490
3.411
3.344
3.287
3.239
3.197
3.160
3.127
3.098
3.072
3.049
3.028
3.009
2.991
2.975
2,960
2.947
2.934
2.922
2.839
2.790
2.758
2.696
2.680
2.623
2.605

4
19.247
9.117
6.388
5.192
4.534
4.120
3.838
3.633
3.478
3.357
3.259
3.179
3.112
3.056
3.007
2.965
2.928
2.895
2.866
2.840
2.817
2.796
2.776
2.759
2.743
2.728
2.714
2.701
2.690
2.606
2.557
2.525
2.463
2.447
2.390
2.372

5
19.296
9.013
6.256
5.050
4.387
3.972
3.687
3.482
3.326
3.204
3.106
3.025
2.958
2.901
2.852
2.810
2.773
2.740
2.711
2.685
2.661
2.640
2.621
2.603
2.587
2.572
2.558
2.545
2.534
2.449
2.400
2.368
2.305
2.290
2.232
2.214

190

6
19.330
8.941
6.163
4.950
4.284
3.866
3.581
3.374
3.217
3.095
2.996
2.915
2.848
2.790
2.741
2.699
2.661
2.628
2.599
2.573
2.549
2.528
2.508
2.490
2.474
2.459
2.445
2.432
2.421
2.336
2.286
2.254
2.191
2.175
2.117
2.099

7
19.353
8.887
6.094
4.876
4.207
3.787
3.500
3.293
3.135
3.012
2.913
2.832
2.764
2.707
2.657
2.614
2.577
2.544
2.514
2.488
2.464
2.442
2.423
2.405
2.388
2.373
2.359
2.346
2.334
2.249
2.199
2.167
2.103
2.087
2.028
2.010

8
19.371
8.845
6.041
4.818
4.147
3.726
3.438
3.230
3.072
2.948
2.849
2.767
2.699
2.641
2.591
2.548
2.510
2.477
2.447
2.420
2.397
2.375
2.355
2.337
2.321
2.305
2.291
2.278
2.266
2.180
2.130
2.097
2.032
2.016
1.957
1.938

9
19.385
8.812
5.999
4.772
4.099
3.677
3.388
3.179
3.020
2.896
2.796
2.714
2.646
2.588
2.538
2.494
2.456
2.423
2.393
2.366
2.342
2.320
2.300
2.282
2.265
2.250
2.236
2.223
2.211
2.124
2.073
2.040
1.975
1.959
1.899
1.880

10
19.396
8.786
5.964
4.735
4.060
3.637
3.347
3.137
2.978
2.854
2.753
2.671
2,602
2.544
2.494
2.450
2.412
2.378
2.348
2.321
2.297
2.275
2.255
2.236
2.220
2.204
2.190
2.177
2.165
2.077
2.026
1.993
1.927
1.910
1.850
1.831

A.5: 5% Fk1 ,k2 ( )


k2
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
100
120
500

15
19.429
8.703
5.858
4.619
3.938
3.511
3.218
3.006
2.845
2.719
2.617
2.533
2.463
2.403
2.352
2.308
2.269
2.234
2.203
2.176
2.151
2.128
2.108
2.089
2.072
2.056
2.041
2.027
2.015
1.924
1.871
1.836
1.768
1.750
1.686
1.666

20
19.446
8.660
5.803
4.558
3.874
3.445
3.150
2.936
2.774
2.646
2.544
2.459
2.388
2.328
2.276
2.230
2.191
2.155
2.124
2.096
2.071
2.048
2.027
2.007
1.990
1.974
1.959
1.945
1.932
1.839
1.784
1.748
1.676
1.659
1.592
1.571

25
19.456
8.634
5.769
4.521
3.835
3.404
3.108
2.893
2.730
2.601
2.498
2.412
2.341
2.280
2.227
2.181
2.141
2.106
2.074
2.045
2.020
1.996
1.975
1.955
1.938
1.921
1.906
1.891
1.878
1.783
1.727
1.690
1.616
1.598
1.528
1.506

30
19.462
8.617
5.746
4.496
3.808
3.376
3.079
2.864
2.700
2.570
2.466
2.380
2.308
2.247
2.194
2.148
2.107
2.071
2.039
2.010
1.984
1.961
1.939
1.919
1.901
1.884
1.869
1.854
1.841
1.744
1.687
1.649
1.573
1.554
1.482
1.459

k1
40
19.471
8.594
5.717
4.464
3.774
3.340
3.043
2.826
2.661
2.531
2.426
2.339
2.266
2.204
2.151
2.104
2.063
2.026
1.994
1.965
1.938
1.914
1.892
1.872
1.853
1.836
1.820
1.806
1.792
1.693
1.634
1.594
1.515
1.495
1.419
1.394

191

50
19.476
8.581
5.699
4.444
3.754
3.319
3.020
2.803
2.637
2.507
2.401
2.314
2.241
2.178
2.124
2.077
2.035
1.999
1.966
1.936
1.909
1.885
1.863
1.842
1.823
1.806
1.790
1.775
1.761
1.660
1.599
1.559
1.477
1.457
1.376
1.350

60
19.479
8.572
5.688
4.431
3.740
3.304
3.005
2.787
2.621
2.490
2.384
2.297
2.223
2.160
2.106
2.058
2.017
1.980
1.946
1.916
1.889
1.865
1.842
1.822
1.803
1.785
1.769
1.754
1.740
1.637
1.576
1.534
1.450
1.429
1.345
1.318

100
19.486
8.554
5.664
4.405
3.712
3.275
2.975
2.756
2.588
2.457
2.350
2.261
2.187
2.123
2.068
2.020
1.978
1.940
1.907
1.876
1.849
1.823
1.800
1.779
1.760
1.742
1.725
1.710
1.695
1.589
1.525
1.481
1.392
1.369
1.275
1.243

120
19.487
8.549
5.658
4.398
3.705
3.267
2.967
2.748
2.580
2.448
2.341
2.252
2.178
2.114
2.059
2.011
1.968
1.930
1.896
1.866
1.838
1.813
1.790
1.768
1.749
1.731
1.714
1.698
1.683
1.577
1.511
1.467
1.376
1.352
1.255
1.221

A.6: 10% Fk1 ,k2 ( )


k1
k2
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
100
120
500

1
8.526
5.538
4.545
4.060
3.776
3.589
3.458
3.360
3.285
3.225
3.177
3.136
3.102
3.073
3.048
3.026
3.007
2.990
2.975
2.961
2.949
2.937
2.927
2.918
2.909
2.901
2.894
2.887
2.881
2.835
2.809
2.791
2.756
2.748
2.716
2.706

2
9.000
5.462
4.325
3.780
3.463
3.257
3.113
3.006
2.924
2.860
2.807
2.763
2.726
2.695
2.668
2.645
2.624
2.606
2.589
2.575
2.561
2.549
2.538
2.528
2.519
2.511
2.503
2.495
2.489
2.440
2.412
2.393
2.356
2.347
2.313
2.303

3
9.162
5.391
4.191
3.619
3.289
3.074
2.924
2.813
2.728
2.660
2.606
2.560
2.522
2.490
2.462
2.437
2.416
2.397
2.380
2.365
2.351
2.339
2.327
2.317
2.307
2.299
2.291
2.283
2.276
2.226
2.197
2.177
2.139
2.130
2.095
2.084

4
9.243
5.343
4.107
3.520
3.181
2.961
2.806
2.693
2.605
2.536
2.480
2.434
2.395
2.361
2.333
2.308
2.286
2.266
2.249
2.233
2.219
2.207
2.195
2.184
2.174
2.165
2.157
2.149
2.142
2.091
2.061
2.041
2.002
1.992
1.956
1.945

5
9.293
5.309
4.051
3.453
3.108
2.883
2.726
2.611
2.522
2.451
2.394
2.347
2.307
2.273
2.244
2.218
2.196
2.176
2.158
2.142
2.128
2.115
2.103
2.092
2.082
2.073
2.064
2.057
2.049
1.997
1.966
1.946
1.906
1.896
1.859
1.847

192

6
9.326
5.285
4.010
3.405
3.055
2.827
2.668
2.551
2.461
2.389
2.331
2.283
2.243
2.208
2.178
2.152
2.130
2.109
2.091
2.075
2.060
2.047
2.035
2.024
2.014
2.005
1.996
1.988
1.980
1.927
1.895
1.875
1.834
1.824
1.786
1.774

7
9.349
5.266
3.979
3.368
3.014
2.785
2.624
2.505
2.414
2.342
2.283
2.234
2.193
2.158
2.128
2.102
2.079
2.058
2.040
2.023
2.008
1.995
1.983
1.971
1.961
1.952
1.943
1.935
1.927
1.873
1.840
1.819
1.778
1.767
1.729
1.717

8
9.367
5.252
3.955
3.339
2.983
2.752
2.589
2.469
2.377
2.304
2.245
2.195
2.154
2.119
2.088
2.061
2.038
2.017
1.999
1.982
1.967
1.953
1.941
1.929
1.919
1.909
1.900
1.892
1.884
1.829
1.796
1.775
1.732
1.722
1.683
1.670

9
9.381
5.240
3.936
3.316
2.958
2.725
2.561
2.440
2.347
2.274
2.214
2.164
2.122
2.086
2.055
2.028
2.005
1.984
1.965
1.948
1.933
1.919
1.906
1.895
1.884
1.874
1.865
1.857
1.849
1.793
1.760
1.738
1.695
1.684
1.644
1.632

10
9.392
5.230
3.920
3.297
2.937
2.703
2.538
2.416
2.323
2.248
2.188
2.138
2.095
2.059
2.028
2.001
1.977
17956
1.937
1.920
1.904
1.890
1.877
1.866
1.855
1.845
1.836
1.827
1.819
1.763
1.729
1.707
1.663
1.652
1.612
1.599

A.7: 10% Fk1 ,k2 ( )


k2
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
100
120
500

15
9.425
5.200
3.870
3.238
2.871
2.632
2.464
2.340
2.244
2.167
2.105
2.053
2.010
1.972
1.940
1.912
1.887
1.865
1.845
1.827
1.811
1.796
1.783
1.771
1.760
1.749
1.740
1.731
1.722
1.662
1.627
1.603
1.557
1.545
1.501
1.487

20
9.441
5.184
3.844
3.207
2.836
2.595
2.425
2.298
2.201
2.123
2.060
2.007
1.962
1.924
1.891
1.862
1.837
1.814
1.794
1.776
1.759
1.744
1.730
1.718
1.706
1.695
1.685
1.676
1.667
1.605
1.568
1.543
1.494
1.482
1.435
1.421

25
9.451
5.175
3.828
3.187
2.815
2.571
2.400
2.272
2.174
2.095
2.031
1.978
1.933
1.894
1.860
1.831
1.805
1.782
1.761
1.742
1.726
1.710
1.696
1.683
1.671
1.660
1.650
1.640
1.632
1.568
1.529
1.504
1.453
1.440
1.391
1.375

30
9.458
5.168
3.817
3.174
2.800
2.555
2.383
2.255
2.155
2.076
2.011
1.958
1.912
1.873
1.839
1.809
1.783
1.759
1.738
1.719
1.702
1.686
1.672
1.659
1.647
1.636
1.625
1.616
1.606
1.541
1.502
1.476
1.423
1.409
1.358
1.342

k1
40
9.466
5.160
3.804
3.157
2.781
2.535
2.361
2.232
2.132
2.052
1.986
1.931
1.885
1.845
1.811
1.781
1.754
1.730
1.708
1.689
1.671
1.655
1.641
1.627
1.615
1.603
1.592
1.583
1.573
1.506
1.465
1.437
1.382
1.368
1.313
1.295

193

50
9.471
5.155
3.795
3.147
2.770
2.523
2.348
2.218
2.117
2.036
1.970
1.915
1.869
1.828
1.793
1.763
1.736
1.711
1.690
1.670
1.652
1.636
1.621
1.607
1.594
1.583
1.572
1.562
1.552
1.483
1.441
1.413
1.355
1.340
1.282
1.263

60
9.475
5.151
3.790
3.140
2.762
2.514
2.339
2.208
2.107
2.026
1.960
1.904
1.857
1.817
1.782
1.751
1.723
1.699
1.677
1.657
1.639
1.622
1.607
1.593
1.581
1.569
1.558
1.547
1.538
1.467
1.424
1.395
1.336
1.320
1.260
1.240

100
9.481
5.144
3.778
3.126
2.746
2.497
2.321
2.189
2.087
2.005
1.938
1.882
1.834
1.793
1.757
1.726
1.698
1.673
1.650
1.630
1.611
1.594
1.579
1.565
1.551
1.539
1.528
1.517
1.507
1.434
1.388
1.358
1.293
1.277
1.209
1.185

120
9.483
5.143
3.775
3.123
2,742
2.493
2.316
2.184
2.082
2.000
1.932
1.876
1.828
1.787
1.751
1.719
1.691
1.666
1.643
1.623
1.604
1.587
1.571
1.557
1.544
1.531
1.520
1.509
1.499
1.425
1.379
1.348
1.282
1.265
1.194
1.169

A.8: 1% Fk1 ,k2 ( )


k1
k2
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
100
120
500

1
98.503
34.116
21.198
16.258
13.745
12.246
11.259
10.561
10.044
9.646
9.330
9.074
8.862
8.683
8.531
8.400
8.285
8.185
8.096
8.017
7.945
7.881
7.823
7.770
7.721
7.677
7.636
7.598
7.562
7.314
7.171
7.077
6.895
6.851
6.686
6.635

2
99.000
30.817
18.000
13.274
10.925
9.547
8.649
8.022
7.559
7.206
6.927
6.701
6.515
6.359
6.226
6.112
6.013
5.926
5.849
5.780
5.719
5.664
5.614
5.568
5.526
5.488
5.453
5.420
5.390
5.179
5.057
4.977
4.824
4.787
4.648
4.605

3
99.166
29.457
16.694
12.060
9.780
8.451
7.591
6.992
6.552
6.217
5.953
5.739
5.564
5.417
5.292
5.185
5.092
5.010
4.938
4.874
4.817
4.765
4.718
4.675
4.637
4.601
4.568
4.538
4.510
4.313
4.199
4.126
3.984
3.949
3.821
3.782

4
99.249
28.710
15.977
11.392
9.148
7.847
7.006
6.422
5.994
5.668
5.412
5.205
5.035
4.893
4.773
4.669
4.579
4.500
4.431
4.369
4.313
4.264
4.218
4.177
4.140
4.106
4.074
4.045
4.018
3.828
3.720
3.649
3.513
3.480
3.357
3.319

5
99.299
28.237
15.522
10.967
8.746
7.460
6.632
6.057
5.636
5.316
5.064
4.862
4.695
4.556
4.437
4.336
4.248
4.171
4.103
4.042
3.988
3.939
3.895
3.855
3.818
3.785
3.754
3.725
3.699
3.514
3.408
3.339
3.206
3.174
3.054
3.017

194

6
99.333
27.911
15.207
10.672
8.466
7.191
6.371
5.802
5.386
5.069
4.821
4.620
4.456
4.318
4.202
4.102
4.015
3.939
3.871
3.812
3.758
3.710
3.667
3.627
3.591
3.558
3.528
3.499
3.473
3.291
3.186
3.119
2.988
2.956
2.838
2.802

7
99.356
27.672
14.976
10.456
8.260
6.993
6.178
5.613
5.200
4.886
4.640
4.441
4.278
4.142
4.026
3.927
3.841
3.765
3.699
3.640
3.587
3.539
3.496
3.457
3.421
3.388
3.358
3.330
3.304
3.124
3.020
2.953
2.823
2.792
2.675
2.639

8
99.374
27.489
14.799
10.289
8.102
6.840
6.029
5.467
5.057
4.744
4.499
4.302
4.140
4.004
3.890
3.791
3.705
3.631
3.564
3.506
3.453
3.406
3.363
3.324
3.288
3.256
3.226
3.198
3.173
2.993
2.890
2.823
2.694
2.663
2.547
2.511

9
99.388
27.345
14.659
10.158
7.976
6.719
5.911
5.351
4.942
4.632
4.388
4.191
4.030
3.895
3.780
3.682
3.597
3.523
3.457
3.398
3.346
3.299
3.256
3.217
3.182
3.149
3.120
3.092
3.067
2.888
2.785
2.718
2.590
2.559
2.443
2.407

10
99.399
27.229
14.546
10.051
7.874
6.620
5.814
5.257
4.849
4.539
4.296
4.100
3.939
3.805
3.691
3.593
3.508
3.434
3.368
3.310
3.258
3.211
3.168
3.129
3.094
3.062
3.032
3.005
2.979
2.801
2.698
2.632
2.503
2.472
2.356
2.321

A.9: 1% Fk1 ,k2 ( )


k2
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
40
50
60
100
120
500

15
99.433
26.872
14.198
9.722
7.559
6.314
5.515
4.962
4558
4.251
4.010
3.815
3.656
3.522
3.409
3.312
3.227
3.153
3.088
3.030
2.978
2.931
2.889
2.850
2.815
2.783
2.753
2.726
2.700
2.522
2.419
2.352
2.223
2.192
2.075
2.039

20
99.449
26.690
14.020
9.553
7.396
6.155
5.359
4.808
4.405
4.099
3.858
3.665
3.505
3.372
3.259
3.162
3.077
3.003
2.938
2.880
2.827
2.781
2.738
2.699
2.664
2.632
2.602
2.574
2.549
2.369
2.265
2.198
2.067
2.035
1.915
1.878

25
99.459
26.579
13.911
9.449
7.296
6.058
5.263
4.713
4.311
4.005
3.765
3.571
3.412
3.278
3.165
3.068
2.983
2.909
2.843
2.785
2.733
2.686
2.643
2.604
2.569
2.536
2.506
2.478
2.453
2.271
2.167
2.098
1.965
1.932
1.810
1.773

30
99.466
26,505
13.838
9.379
7.229
5.992
5.198
4.649
4.247
3.941
3.701
3.507
3.348
3.214
3.101
3.003
2.919
2.844
2.778
2.720
2.667
2.620
2.577
2.538
2.503
2.470
2.440
2,412
2.386
2.203
2.098
2.028
1.893
1.860
1.735
1.696

k1
40
99.474
26.411
13.745
9.291
7.143
5.908
5.116
4.567
4.165
3.860
3.619
3.425
3.266
3.132
3.018
2.920
2.835
2.761
2.695
2.636
2.583
2.535
2.492
2.453
2.417
2.384
2.354
2,325
2.299
2.114
2.007
1.936
1.797
1.763
1.633
1.592

195

50
99.479
26.354
13.690
9.238
7.091
5.858
5.065
4.517
4.115
3.810
3.569
3.375
3.215
3.081
2.967
2.869
2.784
2.709
2.643
2.584
2.531
2.483
2.440
2.400
2.364
2.330
2.300
2,271
2.245
2.058
1.949
1.877
1.735
1.700
1.566
1.523

60
99.482
26.316
13.652
9.202
7.057
5.824
5.032
4.483
4.082
3.776
3.535
3.341
3.181
3.047
2.933
2.835
2.749
2.674
2.608
2.548
2.495
2.447
2.403
2.364
2.327
2.294
2.263
2.234
2.208
2.019
1.909
1.836
1.692
1.656
1.517
1.473

100
99.489
26.240
13.577
9.130
6.987
5.755
4.963
4.415
4.014
3.708
3.467
3.272
3,112
2.977
2.863
2.764
2.678
2.602
2.535
2.475
2.422
2.373
2.329
2.289
2.252
2.218
2.187
2.158
2.131
1.938
1.825
1.749
1.598
1.559
1.408
1.358

120
99.491
26.221
13.558
9.112
6.969
5.737
4.946
4.398
3.996
3.690
3.449
3.255
3.094
2.959
2.845
2.746
2.660
2.584
2.517
2.457
2.403
2.354
2.310
2.270
2.233
2.198
2.167
2,138
2.111
1.917
1.803
1.726
1.572
1.533
1.377
1.325

A.10: 1% DurbinWatson
k=1
n
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
45
50
55
60
65
70
75
80
85
90
95
100
150
200

dL
0.390
0.435
0.497
0.554
0.604
0.653
0.697
0.738
0.776
0.811
0.844
0.873
0.902
0.928
0.952
0.975
0.997
1.017
1.037
1.055
1.072
1.088
1.104
1.119
1.134
1.147
1.160
1.171
1.184
1.195
1.205
1.217
1.227
1.237
1.246
1.288
1.324
1.356
1.382
1.407
1.429
1.448
1.465
1.481
1.496
1.510
1.522
1.611
1.664

dU
1.142
1.036
1.003
0.998
1.001
1.010
1.023
1.038
1.054
1.070
1.086
1.102
1.118
1.133
1.147
1.161
1.174
1.186
1.199
1.210
1.222
1.232
1.244
1.254
1.264
1.274
1.283
1.291
1.298
1.307
1.315
1.322
1.330
1.337
1.344
1.376
1.403
1.428
1.449
1.467
1.485
1.501
1.514
1.529
1.541
1.552
1.562
1.637
1.684

k=2
dL

0.294
0.345
0.408
0.466
0.519
0.569
0.616
0.660
0.700
0.738
0.773
0.805
0.835
0.862
0.889
0.915
0.938
0.959
0.981
1.000
1.019
1.036
1.053
1.070
1.085
1.100
1.114
1.128
1.141
1.153
1.164
1.176
1.187
1.197
1.245
1.285
1.320
1.351
1.377
1.400
1.422
1.440
1.458
1.474
1.489
1.502
1.598
1.653

dU

1.676
1.489
1.389
1.333
1.297
1.274
1.261
1.254
1.252
1.253
1.255
1.259
1.264
1.270
1.276
1.284
1.290
1.298
1.305
1.311
1.318
1.325
1.332
1.339
1.345
1.351
1.358
1.364
1.370
1.376
1.383
1.388
1.392
1.398
1.424
1.445
1.466
1.484
1.500
1.514
1.529
1.541
1.553
1.563
1.573
1.582
1.651
1.693

k=3
dL

0.229
0.279
0.340
0.396
0.449
0.499
0.547
0.591
0.633
0.672
0.708
0.742
0.774
0.803
0.832
0.858
0.881
0.906
0.928
0.948
0.969
0.988
1.006
1.022
1.039
1.055
1.070
1.085
1.098
1.112
1.124
1.137
1.149
1.201
1.245
1.284
1.317
1.346
1.372
1.395
1.416
1.434
1.452
1.468
1.482
1.584
1.643

196

dU

2.102
1.875
1.733
1.640
1.575
1.526
1.490
1.465
1.447
1.432
1.422
1.416
1.410
1.408
1.407
1.407
1.407
1.408
1.410
1.413
1.414
1.418
1.421
1.425
1.428
1.432
1.436
1.439
1.442
1.446
1.449
1.452
1.456
1.474
1.491
1.505
1.520
1.534
1.546
1.557
1.568
1.577
1.587
1.596
1.604
1.665
1.704

k=4
dL

0.183
0.230
0.286
0.339
0.391
0.441
0.487
0.532
0.574
0.614
0.650
0.684
0.718
0.748
0.777
0.805
0.832
0.855
0.878
0.901
0.921
0.941
0.960
0.978
0.995
1.012
1.028
1.043
1.058
1.072
1.085
1.098
1.156
1.206
1.246
1.283
1.314
1.343
1.368
1.390
1.411
1.429
1.446
1.461
1.571
1.633

dU

2.433
2.193
2.030
1.913
1.826
1.757
1.705
1.664
1.631
1.604
1.583
1.567
1.554
1.543
1.535
1.527
1.521
1.517
1.514
1.512
1.511
1.510
1.509
1.509
1.510
1.511
1.512
1.513
1.514
1.515
1.517
1.518
1.528
1.537
1.548
1.559
1.568
1.577
1.586
1.595
1.603
1.611
1.618
1.625
1.679
1.715

k=5
dL

0.150
0.193
0.244
0.294
0.343
0.390
0.437
0.481
0.522
0.561
0.598
0.634
0.666
0.699
0.728
0.756
0.782
0.808
0.832
0.855
0.877
0.897
0.917
0.935
0.954
0.971
0.987
1.004
1.019
1.033
1.047
1.111
1.164
1.209
1.248
1.283
1.313
1.340
1.364
1.386
1.406
1.425
1.441
1.557
1.623

dU

2.690
2.453
2.280
2.150
2.049
1.967
1.901
1.847
1.803
1.767
1.736
1.712
1.691
1.674
1.659
1.645
1.635
1.625
1.618
1.611
1.606
1.601
1.597
1.594
1.591
1.589
1.587
1.585
1.584
1.583
1.583
1.583
1.587
1.592
1.598
1.604
1.611
1.617
1.624
1.630
1.636
1.641
1.647
1.693
1.725

A.11: 1% DurbinWatson
k=6
n
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
45
50
55
60
65
70
75
80
85
90
95
100
150
200

dL

0.124
0.164
0.211
0.257
0.303
0.349
0.393
0.435
0.476
0.515
0.552
0.587
0.620
0.652
0.682
0.711
0.738
0.764
0.788
0.812
0.834
0.856
0.876
0.896
0.914
0.932
0.950
0.966
0.982
0.997
1.065
1.123
1.172
1.214
1.251
1.283
1.313
1.338
1.362
1.383
1.403
1.421
1.543
1.613

dU

2.892
2.665
2.490
2.354
2.244
2.153
2.078
2.015
1.963
1.918
1.881
1.849
1.821
1.797
1.776
1.759
1.743
1.729
1.718
1.707
1.698
1.690
1.683
1.677
1.671
1.666
1.662
1.658
1.655
1.652
1.643
1.639
1.638
1.639
1.642
1.645
1.649
1.653
1.657
1.661
1.666
1.670
1.708
1.735

k=7
dL

0.105
0.140
0.183
0.226
0.269
0.313
0.355
0.396
0.436
0.474
0.510
0.545
0.578
0.610
0.640
0.669
0.696
0.723
0.748
0.772
0.794
0.816
0.837
0.857
0.877
0.895
0.913
0.930
0.946
1.019
1.081
1.134
1.179
1.218
1.253
1.284
1.312
1.337
1.360
1.381
1.400
1.530
1.603

dU

3.053
2.838
2.667
2.530
2.416
2.319
2.238
2.169
2.110
2.059
2.015
1.977
1.944
1.915
1.889
1.867
1.847
1.830
1.814
1.800
1.788
1.776
1.766
1.757
1.749
1.742
1.735
1.729
1.724
1.704
1.692
1.685
1.682
1.680
1.680
1.682
1.683
1.685
1.687
1.690
1.693
1.722
1.746

k=8
dL

0.090
0.122
0.161
0.200
0.241
0.282
0.322
0.362
0.400
0.437
0.473
0.507
0.540
0.572
0.602
0.630
0.658
0.684
0.710
0.734
0.757
0.779
0.800
0.821
0.841
0.860
0.878
0.895
0.974
1.039
1.095
1.144
1.186
1.223
1.256
1.285
1.312
1.336
1.358
1.378
1.515
1.592

197

dU

3.182
2.981
2.817
2.681
2.566
2.467
2.381
2.308
2.244
2.188
2.140
2.097
2.059
2.026
1.997
1.970
1.947
1.925
1.906
1.889
1.874
1.860
1.847
1.836
1.825
1.816
1.807
1.799
1.768
1.748
1.734
1.726
1.720
1.716
1.714
1.714
1.714
1.714
1.715
1.717
1.737
1.757

k=9
dL

0.078
0.107
0.142
0.179
0.216
0.255
0.294
0.331
0.368
0.404
0.439
0.473
0.505
0.536
0.566
0.595
0.622
0.649
0.674
0.698
0.722
0.744
0.766
0.787
0.807
0.826
0.844
0.927
0.997
1.057
1.108
1.153
1.192
1.227
1.259
1.287
1.312
1.336
1.357
1.501
1.582

dU

3.287
3.101
2.944
2.811
2.697
2.597
2.510
2.434
2.367
2.308
2.255
2.209
2.168
2.131
2.098
2.068
2.041
2.017
1.995
1.975
1.957
1.940
1.925
1.911
1.899
1.887
1.876
1.834
1.805
1.785
1.771
1.761
1.754
1.748
1.745
1.743
1.741
1.741
1.741
1.752
1.768

k=10
dL
dU

0.068 3.374
0.094 3.201
0.127 3.053
0.160 2.925
0.196 2.813
0.232 2.174
0.268 2.625
0.304 2.548
0.340 2.479
0.375 2.417
0.409 2.362
0.441 2.313
0.473 2.269
0.504 2.229
0.533 2.193
0.562 2.160
0.589 2.131
0.615 2.104
0.641 2.080
0.665 2.057
0.689 2.037
0.711 2.018
0.733 2.001
0.754 1.985
0.774 1.970
0.749 1.956
0.881 1.902
0.955 1.864
1.018 1.837
1.072 1.817
1.120 1.802
1.162 1.792
1.199 1.783
1.232 1.777
1.262 1.773
1.288 1.769
1.313 1.767
1.335 1.765
1.486 1.767
1.571 1.779

A.12: 5% DurbinWatson
k=1
n
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
45
50
55
60
65
70
75
80
85
90
95
100
150
200

dL
0.610
0.700
0.763
0.824
0.879
0.927
0.971
1.010
1.045
1.077
1.106
1.133
1.158
1.180
1.201
1.221
1.239
1.257
1.273
1.288
1.302
1.316
1.328
1.341
1.352
1.363
1.373
1.383
1.393
1.402
1.411
1.419
1.427
1.435
1.442
1.475
1.503
1.528
1.549
1.567
1.583
1.598
1.611
1.624
1.635
1.645
1.654
1.720
1.758

dU
1.400
1.356
1.332
1.320
1.320
1.324
1.331
1.340
1.350
1.361
1.371
1.381
1.391
1.401
1.411
1.420
1.429
1.437
1.446
1.454
1.461
1.469
1.476
1.483
1.489
1.496
1.502
1.508
1.514
1.519
1.525
1.530
1.535
1.540
1.544
1.566
1.585
1.601
1.616
1.629
1.641
1.652
1.662
1.671
1.679
1.687
1.694
1.747
1.779

k=2
dL

0.467
0.559
0.629
0.697
0.758
0.812
0.861
0.905
0.946
0.982
1.015
1.046
1.074
1.100
1.125
1.147
1.168
1.188
1.206
1.224
1.240
1.255
1.270
1.284
1.297
1.309
1.321
1.333
1.343
1.354
1.364
1.373
1.382
1.391
1.430
1.462
1.490
1.514
1.536
1.554
1.571
1.586
1.600
1.612
1.623
1.634
1.706
1.748

dU

1.896
1.777
1.699
1.641
1.604
1.579
1.562
1.551
1.543
1.539
1.536
1.535
1.536
1.537
1.538
1.541
1.543
1.546
1.550
1.553
1.556
1.560
1.563
1.567
1.570
1.574
1.577
1.580
1.584
1.587
1.590
1.594
1.597
1.600
1.615
1.628
1.641
1.652
1.662
1.672
1.680
1.688
1.696
1.703
1.709
1.715
1.760
1.789

k=3
dL

0.367
0.455
0.525
0.595
0.658
0.715
0.767
0.814
0.857
0.897
0.933
0.967
0.998
1.026
1.053
1.078
1.101
1.123
1.143
1.162
1.181
1.198
1.214
1.229
1.244
1.258
1.271
1.283
1.295
1.307
1.318
1.328
1.338
1.383
1.421
1.452
1.480
1.503
1.525
1.543
1.560
1.575
1.589
1.602
1.613
1.693
1.738

198

dU

2.287
2.128
2.016
1.928
1.864
1.816
1.779
1.750
1.728
1.710
1.696
1.685
1.676
1.669
1.664
1.660
1.656
1.654
1.652
1.651
1.650
1.650
1.650
1.650
1.650
1.651
1.652
1.653
1.654
1.655
1.656
1.658
1.659
1.666
1.674
1.681
1.689
1.696
1.703
1.709
1.715
1.721
1.726
1.732
1.736
1.774
1.799

k=4
dL

0.296
0.376
0.444
0.512
0.574
0.632
0.685
0.734
0.779
0.820
0.859
0.894
0.927
0.958
0.986
1.013
1.038
1.062
1.084
1.104
1.124
1.143
1.160
1.177
1.193
1.208
1.222
1.236
1.249
1.261
1.273
1.285
1.336
1.378
1.414
1.444
1.471
1.494
1.515
1.534
1.550
1.566
1.579
1.592
1.679
1.728

dU

2.588
2.414
2.283
2.177
2.094
2.030
1.977
1.935
1.900
1.872
1.848
1.828
1.812
1.797
1.785
1.775
1.767
1.759
1.753
1.747
1.743
1.739
1.735
1.732
1.730
1.728
1.726
1.724
1.723
1.722
1.722
1.721
1.720
1.721
1.724
1.727
1.731
1.735
1.739
1.743
1.747
1.751
1.755
1.758
1.788
1.809

k=5
dL

0.243
0.315
0.380
0.444
0.505
0.562
0.615
0.664
0.710
0.752
0.792
0.829
0.863
0.895
0.925
0.953
0.979
1.004
1.028
1.050
1.071
1.090
1.109
1.127
1.144
1.160
1.175
1.190
1.204
1.218
1.230
1.287
1.335
1.374
1.408
1.438
1.464
1.487
1.507
1.525
1.542
1.557
1.571
1.665
1.718

dU

2.822
2.645
2.506
2.390
2.29
2.220
2.157
2.104
2.060
2.023
1.991
1.964
1.940
1.920
1.902
1.886
1.873
1.861
1.850
1.841
1.833
1.825
1.819
1.813
1.808
1.803
1.799
1.795
1.792
1.789
1.786
1.776
1.771
1.768
1.767
1.767
1.768
1.770
1.772
1.774
1.776
1.778
1.780
1.802
1.820

A.13: 5% DurbinWatson
k=6
n
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
45
50
55
60
65
70
75
80
85
90
95
100
150
200

dL

0.203
0.268
0.328
0.389
0.447
0.502
0.554
0.603
0.649
0.691
0.731
0.769
0.804
0.837
0.868
0.897
0.925
0.951
0.975
0.998
1.020
1.041
1.061
1.079
1.097
1.114
1.131
1.146
1.161
1.175
1.238
1.291
1.334
1.372
1.404
1.433
1.458
1.480
1.500
1.518
1.535
1.550
1.651
1.707

dU

3.004
2.832
2.692
2.572
2.471
2.388
2.318
2.258
2.206
2.162
2.124
2.090
2.061
2.035
2.013
1.992
1.974
1.959
1.944
1.931
1.920
1.909
1.900
1.891
1.884
1.876
1.870
1.864
1.859
1.854
1.835
1.822
1.814
1.808
1.805
1.802
1.801
1.801
1.801
1.801
1.802
1.803
1.817
1.831

k=7
dL

0.171
0.230
0.286
0.343
0.398
0.451
0.502
0.549
0.595
0.637
0.677
0.715
0.750
0.784
0.816
0.845
0.874
0.900
0.926
0.950
0.972
0.994
1.015
1.034
1.053
1.071
1.088
1.104
1.120
1.189
1.246
1.294
1.335
1.370
1.401
1.428
1.453
1.474
1.494
1.512
1.528
1.637
1.697

dU

3.149
2.985
2.848
2.727
2.624
2.537
2.461
2.396
2.339
2.290
2.246
2.208
2.174
2.144
2.117
2.093
2.071
2.052
2.034
2.018
2.004
1.991
1.978
1.967
1.957
1.948
1.939
1.932
1.924
1.895
1.875
1.861
1.850
1.843
1.838
1.834
1.831
1.829
1.827
1.827
1.826
1.832
1.841

k=8
dL

0.147
0.200
0.251
0.304
0.356
0.407
0.456
0.502
0.546
0.588
0.628
0.666
0.702
0.735
0.767
0.798
0.826
0.854
0.879
0.904
0.927
0.950
0.971
0.991
1.011
1.029
1.047
1.064
1.139
1.201
1.253
1.298
1.336
1.369
1.399
1.425
1.448
1.469
1.489
1.506
1.622
1.686

199

dU

3.266
3.111
2.979
2.860
2.757
2.668
2.589
2.521
2.461
2.407
2.360
2.318
2.280
2.246
2.216
2.188
2.164
2.141
2.120
2.102
2.085
2.069
2.054
2.041
2.029
2.017
2.007
1.997
1.958
1.930
1.909
1.894
1.882
1.874
1.867
1.861
1.857
1.854
1.852
1.850
1.846
1.852

k=9
dL

0.127
0.175
0.222
0.272
0.321
0.369
0.416
0.461
0.504
0.545
0.584
0.621
0.657
0.691
0.723
0.753
0.782
0.810
0.836
0.861
0.885
0.908
0.930
0.951
0.970
0.990
1.008
1.089
1.156
1.212
1.260
1.301
1.337
1.369
1.397
1.422
1.445
1.465
1.484
1.608
1.675

dU

3.360
3.216
3.090
2.975
2.873
2.783
2.704
2.633
2.571
2.514
2.464
2.419
2.379
2.342
2.309
2.278
2.251
2.226
2.203
2.181
2.162
2.144
2.127
2.112
2.098
2.085
2.072
2.022
1.986
1.959
1.939
1.923
1.910
1.901
1.893
1.886
1.881
1.877
1.874
1.862
1.863

k=10
dL
dU

0.111 3.438
0.155 3.304
0.198 3.184
0.244 3.073
0.290 2.974
0.336 2.885
0.380 2.806
0.424 2.735
0.465 2.670
0.506 2.613
0.544 2.560
0.581 2.513
0.616 2.470
0.649 2.431
0.681 2.396
0.712 2.363
0.741 2.333
0.769 2.306
0.796 2.281
0.821 2.257
0.845 2.236
0.868 2.216
0.891 2.197
0.912 2.180
0.932 2.164
0.952 2.149
1.038 2.088
1.110 2.044
1.170 2.010
1.222 1.984
1.266 1.964
1.305 1.948
1.339 1.935
1.369 1.925
1.396 1.916
1.420 1.909
1.442 1.903
1.462 1.898
1.593 1.877
1.665 1.874

, R2 , , ( ). R2 .
(
2 : ) R

.
([21], . 3.5.1).
2
R
( !) .. ,
.
( H. Akaike) ( , G. Shwarz,
).
,
2 ,
R
.
, . :

.
200

AIC (Akaike Information Criteria)




2m
RSS
+
.
AIC = ln
n
n
AIC.

AICc = AIC +

2m(m + 1)
.
nm1

.
AIC
AIC = 2m ln(L),
L
, m .
( ) BIC (Bayesian Information
Criteria)


RSS
m ln n
BIC = ln
+
.
n
n
BIC.
,
, AIC.
. SIC (Shwarz Information Criteria).

201


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204

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