Бородич С.А. Вводный курс эконометрики (БГУ) PDF

330.115(075.
8)
65673
83
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2000. 354 .
ISBN 985-445-358-8
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330.115(075.8)
65673
. ., 2000
ISBN 985-445-358-8 , 2000

.. 7
.... 10
1. .... 14
1.1. , , ...... 14
1.2. ...... 16
1.3. .. 20
1.4. ... 22
1.5. .. 29
1.6. . 33
.. 40
41
2. 45
2.1. .. 46
2.2. .. 48
2.3. .... 52
.... 55
.. 56
3. : .. 59
3.1. .... 60
3.2. .. 63
3.3. .... 64
3.4. .... 70
3.5. ... 76
86
.. 87
4. ... 91
4.1. . 91
4.2. .... 93
4.3. ... 98
4.4. ... 101
. 107
.. 109
5. .. 112
5.1. .
.. 112
3
5.2.
... 115
5.3.
. 120
5.4.
. 123
5.5. 125
5.6. .
R2 ..130
.. 135
.. 136
6. .. 141
6.1. 141
6.2. c .. 145
6.3. .. 149
6.4.
c ... 152
6.5
153
6.6.
... 153
6.7. . 155
6.8. .
.... 163
173
.. 175
7. 180
7.1. (-) 181
7.2. .. 183
7.3. .. 185
7.4. 186
7.5. .. 187
7.6. ... 188
7.7. .. 189
7.8. 200
202
.. 204
8. ... 209
8.1. ... 209
8.2. .. 212
8.3. . 213
4
8.4. .. 219
222
.. 223
9. .. 227
9.1. .. 227
9.2. .. 230
9.3. 230
9.4. . 236
. 240
.. 241
10. . 245
10.1. . 245
10.2. 247
10.3. 248
10.4. ... 251
. 254
. 255
11. .. 257
11.1. 257
11.2. ANCOVA 258
11.3. ..... 263
11.4. 266
11.5. ... 267
. 272
.. 274
12. ... 277

12.1. . ..... 277
12.2. ... 278
12.3. 282
12.4. ... 287
12.5. .... 289
12.6. .
290
12.7. . 293
. 305
. 306
13. . 308
13.1. . 308
13.2. 311
5
13.3.
312
13.4. (). 315
13.5. 317
13.6. .. 319
13.7. .. 323
13.8. ... 326
. 328
. 329
... 335
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n
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2. P(A) = 1;
3. P(A) = 0;
4. , P(A+B) = P(A) + P(B);
5. A , P( A ) = 1 P(A).
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X x1 x2 xk
pi p1 p2 pk
1 < 2 < ...< xk. p1 + p2 + + pk = 1.
1.1. -
. , 100
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. 40 ,
2 . 20 , -
5 . 10 10 . 5
20 . -
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1 2 5 10 20
pi 0.25 0.40 0.20 0.10 0.05
,
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F(x), -
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F(x) = P( X < x ) . (1.2)
17
-
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:
1. 0 F(x) 1;
2. F(x) , . . (1 < x2) F(x1) F(x2);
3. lim F(x) = 0 , lim F(x) = 1 ;
x x +
4. P(a X < b) = F(b) F(a);

5. P(X x) = 1 F(x);
6. [a, b],

0, x a;
F(x) =
1, x > b.

.
1.1 F(x)
:
F(x)
1
0, x 1;
0.95
0.25, 1 < x 2;
0.65, 2 < x 5; 0.85
F(x) =
0.85, 5 < x 10;
0.65
0.95, 10 < x 20;
1, x > 20.
0.25
0 1 2 5 10 20 x
. 1.1
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0 1 (. 1.2).
( -
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18
P( x X < x + x )
f(x) = lim . (1.3)
x 0 x
4
F( x + x) - F(x)
f(x) = lim = F(x) . (1.4)
x 0 x
, -
( -
).

1. f(x) 0;
b
2. P(a X b) = f(x)dx ;
a
3.
P( a X b) = P( a < x < b) = P( a X < b) = P(a < X b);
4. f(x) ,
x
F(x) = f(t)dt ;

+
5. f(x)dx = 1 ( ).

. 1.2 1.3 -
.
F(x) f(x)
1 P(a X b)
f(m)
F(b)
F(a)
0 a m b x 0 a m b x
. 1.2 . 1.3
-
, f(m) = tg = F(x)x=m ( -
F(x) x = m).
19
f(x) .
b
S = f(x)dx = P(a X b) .
a
1 ( a X b).
, f(x) -

, . . P(a X b), .
1.3.
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k
M(X) = x i p i , (1.5)
i =1
k X.
:
+
M(X) = x f(x)dx. (1.6)

20
1.1 :
M(X) = 10.25 + 20.4 + 50.2 + 100.1 + 200.05 = 4.05.

1. () = , = const;
2. M(CX) = CM(X);
3. M(X Y) = M(X) M(Y) ;
4. M(aX + b) = aM(X) + b;
5. M(X Y) = M(X) M(Y ) .
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D(X)
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D(X) = M(X M(X)) 2 = M(X 2 ) M 2 (X) . (1.7)

k k 2
D(X) = (x i M(X)) 2 p i = x i p i M 2 (X) . (1.8)
i =1 i =1

+ +
D(X) = (x M(X)) 2 f(x)dx = x 2 f(x)dx M 2 (X). (1.9)

1.1. :
D(X) = (1 4.05)20.25 + (2 4.05)20.4 + (5 4.05)20.2 +
+ (10 4.05)20.1 + (20 4.05)20.05 = 20.4475.
21

1. D() = 0, = const;
2. D(C X) = C 2 D(X) ;
3. D(X Y) = D(X) + D(Y), X Y ;
4. D(aX + b) = a 2 D(X).
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(X)
D(X):
(X) = D(X) . (1.10)

V(X), -
:
(X)
V(X) = 100 % . (1.11)
M(X)
1.1 : () = 20,4475 = 4.5219;
V(X) = 4.5219/4,05100 % = 111.65 %.
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(x m)2
1
f(x) = e 2 .
2
(1.12)
2
,
2
(t m)

1 x
2
F(x) =
2
e
-
2 dt . (1.13)
f(x) F(x)
1 1
2
1/2
0 m m m+ x 0 m x

. 1.4
(1.12), (1.13), -
m .
m = M(X), = (X), . . D(X) = 2, = 3.14159 , = 2.71828 .
M(X) = m
(X) = , : X N(m, )
X N(m, 2). -
, m = 0 = 1.
() .
23

U (U N(0,1)), ,
2
u t
2

e
u
1 2 1
f(u) =
2
2 ; F(u) =
2
- e 2 dt . (1.14)

f(u), F(u) ,

(u) ( 1). :
2
t
u
1
(u) =
2
0 e 2 dt = F(u) 0.5. (1.15)

( N(m, )) :
bm a m b m a m
P(a X b) = F F = . (1.16)

Xm
, N(m, ), U = N(0,1).

. 1.4, -
. -
= m. -

m . , ,
. ,
. P( X M(X) < ) = 0.68; P(X M(X) < 2 ) = 0.95;
P( X M(X) < 3 ) = 0.9973. , -
( N(m, )) 99.73 %
[m 3 , m + 3].
,
-
. , N(m, ) Y N(my, y)
, Z = aX + bY N(mz, z), mz = a m + b my; 2z = a 2 2x + b 2 2y .
1.2. , -
Y B -
: X N(mx = 5, = 5),
24
Y' N(my = 10, y = 15). 100$. -
1000$.
) X Y
B?
) Z
2 : 3?
) .
) , Z
110 150?
) 1000$ 10 . -
,
=10 Y = 10Y .
mx = 10mx = 50 2x = 102 2x' = 10025 =2500; Y -
my = 10my = 150 2y = 102 2y' = 100225 = 22500; . .
X N(mx = 50, = 50), Y N(my = 150, y = 150).
) ,
B.
Z = 4X+ 6Y. , Z -
. mz = 4mx + 6my = 45 + 615 = 110;
2z = 4 2 2x' + 6 2 2y' = 1625 + 36225 = 8500; . . Z N(mz = 110, z 92.2).
)
1
2 50
f(x)
1
2 92.2
f(z)
1
2 150
f(y)
0 50 110 150
.1.5
150 110 110 110
) P(110 X 150) = = (0.4338) (0)
92.2 92.2
0.1678 0 = 0.1678.
-
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25
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(u)
1.5.1.
-
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.

. 2-,
.
1.4.2. 2(-)
Xi, i = 1, ... , n
mi
i , . . Xi N(mi, i).
Ui = (Xi mi)/i, i = 1,..., n
, ,
Ui N(0, 1).
2 - n
( 2 2n ) ,
n
2 = U i2 = U12 + U 22 + ... + U 2n . (1.17)
i =1
, (
) -
, ,
. , -
, n -
, m ,
= n m. , U2 12 .
(1.17) , 2 -
.
, 2-,

26
.
2
( . 1.6).
f(2,)
=1
M(2) = = n m, =6
D(2) = 2 = 2(n m).

=10
0 2
.1.6
X Y 2-
n k (X 2n , Y 2k ),
(X + Y) 2- -
= n + k.
2
, . -
2- (.
1.5).
1.4.3.
U N(0, 1), V U , -
2 n .
U
T = (1.18)
V
n
(t-) n
( T ~ Tn).
(1.18) , -
n .
,
, (
).
27
f(t)

M(T) = 0,
n
n
D(T) = .
n2
n=1
n=5
0 t
. 1.7

, -
n > 30 -
.
-
, .

(. 1.5).
1.4.4.
V W , 2
1 = m 2 = n .
V
F = m (1.19)
W
n
1 = m 2 = n
(F ~ Fm,n). , F
m n.
f(F)
m = 1, n = 1 n
M(F) = ( n > 2 ),
n2
m = 6, n = 60 2
2n (m + n 2)
D(F) = 2
( n > 4).
m(n 2) (n 4)
m = 10, n = 10
0 F
. 1.8
28
m n -
. , Tn2 = F1,n, n ,
= n. F1,n ,
1 = 1
2 = n.
-
, .

(. 1.5).
1.5.
C -
.
( -
) .
Y , -
. - ( ) -
+
y C Y , P(Y > y ) = f(y)dy = .
y
y y1- . -
, y1- = y.
f(y)
0 y1 y y
. 1.9
y -
Y = y , -
.
, - (
)
( ) () -
.
29
1.5.1.

-
( 1)
2
t

1 u
(u) = e 2 dt = P(0 U < u) = F(u) 0.5,
2 0
U [0,u).
1.1
U 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 .0000 .0040 .0080 .0120 .0160 .0199 .0239 .0279 .0319 .0359
0.1 .0398 .0438 .0478 .0517 .0557 .0596 .0636 .0675 .0714 .0753

3.0 .4987 .4987 .4987 .4988 .4988 .4989 .4989 .4989 .4990 .4990

5.0 .49999997
C U c
, U ( U
). (u)
u
( (u) -
). , (0.17) = 0.0675, . .
P( 0 U < 0.17 ) = 0.0675. (u)
F(u)
. 1.10.
f(u)
xm
U=

F(u) = 0,5 + (u)
0,5 (u)
(u)
0 u
. 1.10
30
, F(u)
(u) 0.5.
.
1.5.2. t-
(-
2) :
1.2
0.40 0.25 0.10 0.05 0.025 0.01
1 0.325 1.000 3.078 6.314 12.706 31.821

10 0.260 0.700 1.372 1.812 2.228 2.764

30 0.256 0.683 1.310 1.697 2.042 2.457

0.253 0.674 1.282 1.645 1.960 2.326
-
. ( )
. t, -
,
. , t0.05;10 = 1.812. ,
P( t10 > 1.812) = 0.05.
-
t , , :
P( t > t , ) = .
f(t, )
= P( t > t,)
= P( t > t , )
0 t, t , t
. 1.11
31
1.5.3. 2-
2- ( 3)
:
1.3
.975 .950 .900 .100 .050 .025

1 10-5 410-4 .016 2.71 3.84 5.02

10 3.25 3.94 4.87 15.99 18.31 20.48

30 16.79 18.49 20.60 40.26 43.77 46.98

. (
)
2 (. 1.12, ). 2, -
-
, . , 0.25;
2
10 =
2
20.48. , P( 10 > 20.48) = 0.025. ,
2
-
2 2 . ,
1 , ,
2 2
2 -

, . . (. 1.12, ).
2
f(2,) f(2,)

2 2
0 2, 2 0 2 2 2
1 , ,
2
2

. 1.12
32
1.5.4. F-
-
( )
( 4 = 0.10; =
= 0.05; = 0.01). , = 0.05 :
1.4
1 1 10 100
2
1 161 242 253 254

10 4.96 2.98 2.59 2.54

100 3.94 1.92 1.39 1.28

3.84 1.83 1.24 1.00
,
1 = m 2 = n, -
F,m,n. , F0.05; 10; 10 = 2.98 (P(F10,10 > 2.98) = 0.05).
f(F,m,n)
0 F,m,n F
. 1.13
1.6.

, , , . ,
-
;
,
, , . .
33
-
. -

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

,
.
n CB X1,X2, ... ,Xn (n- =
= (X1,X2, ... ,Xn)) :

PX1 ... X n (x1 , ..., x n ) = P(X1 = x1 , ..., X n = x n ); (1.20)

F(x1 , ..., x n ) = P(X1 < x1 , ..., X n < x n ); (1.21)

n F(x1 ,..., x n )
f(x1 ,..., x n ) = . (1.22)
x1 x n
,
,
:
2 F(x1 , x 2 )
P(X1 = x1, X2 = x2); F(x1,x2)=P(X1 < x1, X2 < x2); f(x1 , x 2 ) = .
x1x 2

, ( -
) . -
() , -
. :
P1 (X1 = x1 ) = PX1X 2 ...X n (x1 ,..., x n ) ; (1.23)

x2 xn
x1 + +
F1 (x1 ) = F(x1 , , ..., ) = f X ...X
1 n
(t, x 2 ,..., x n )dtdx 2 dx n ; (1.24)
-
34
+ +
f1 (x1 ) = f X ...X
1 n
(x1 , x 2 ,..., x n )dx 2 dx n . (1.25)

.
n- .
, , 1, , n1 -
1, , n1 , n = n
:
P(X1 = x1 ,..., X n = x n )
P(X1 = x1 ,..., X n 1 = x n 1 X n = x n ) = . (1.26)
P( X n = x n )
, Y (-
) , Y
y (Y = y), ,
P(x, y) f(x, y)
P(x y) = ; ( f( x y) = ). (1.27)
P(y) f(y)

( ) :
P(x, y) = P(X = x, Y = y) = P(x y) P(y) = P(y x) P(x) (1.28)
( f(x, y) = f( x y) f(y) = f( y x) f(x) ) .
,
, - -
.
.
X Y -
:
P(x,y) = P(x) P(y); f(x,y) = f(x) f(y); F(x,y) = F(x) F(y). (1.29)
, , -
-

. -
.
, -
,
(1.23), (1.24). ,
(X, Y) :
35
1.5
Y y1 y2 yj yn P(X = xi)
X
x1 p11 p12 p1j p1n P(X = x1)

x2 p21 p22 p2j p2n P(X = x2)

xi pi1 pi2 pij pin P(X = xi)

xm pm1 pm2 pmj pmn P(X = xm)
P(Y = yj) P(Y = y1) P(Y = y2) P(Y = yj) P(Y = yn)
pij = P(X = xi, Y = yj).

n m
P(X = xi) = pij , i = 1, 2, , m; P(Y = yj) = pij , j = 1, 2, , n.
j =1 i =1
-
.
,
.
: -
, .
k, l
x k y l P(x, y) ;
x y
m k,l = M(X k Y l ) = + + (1.30)
x y f(x, y)dxdy .
k l
, M(X) = m1,0, M(Y) = m0,1.

k, l
k,l = M((X M(X)) k (Y M(Y))l ). (1.31)
, D(X) = 2,0; D(Y) = 0,2.

X Y
1,1 (1,1), Y:
xy = COV (X, Y) = M((X M(X)) (Y M(Y)) =

= M(X Y) M(X) M(Y). (1.32)
36
( )
( (co-vary)) .
x i y j P(x i , y j ) M(X) M(Y) ,

x y
xy = + + (1.33)
x y f(x, y)dxd M(X) M(Y) .

1. y = yx;
2. xx = D(X) = 2x ;
3. Y , xy = 0;
4. xy x y ;
5. COV (a + bX, c + dY) = bdCOV (X, Y), a, b, c, d
.

( )
( ) -
-
.
. -
-
. , -
()
.
( ) -
.
Y
xy xy
xy = = . (1.34)
x y D(X) D(Y)
Y,
, . Y -
, xy = 0, xy = 0.
xy 0, X Y .
37

1. xx = 1;
2. xy = yx;
3. 1 xy 1;
4. Y , xy = 0;
5. xy = 1 , Y = a + bx (..
Y ).
, Y , Y -
. . -
-
. 1.14.
Y Y Y

xy = 1 xy = 1 xy 0.7 0.9

0 X 0 X 0 X

Y Y Y
Y = aX2 + bX + c

xy 0

xy 0 (xy < 0) xy 0
0 X 0 X 0 X

. 1.14
1.3
,
. , ,
,
:
D(X Y) = D(X) + D(Y) 2COV(X, Y), (1.35)
D(X Y) = D(X) + D(Y) 2xy x y. (1.36)
38
,
.

. 4 .
1.3. -
X Y -
( ) . -
. 1.6. -
, .
, , :
.
1.6
Y 10 5 10 PX
X
10 0.05 0.25 0.3 0.6
20 0.15 0.20 0.05 0.4
PY 0.2 0.45 0.35 1
.1.6 P(x, y)
. , P(X = 20, Y = 5) = P(20, 5) = p22 = 0.2.
Y . , P(X = 10) =
= PX(10) = 0.6. P(x|y)
, P(y|x) . , P(20Y = 5) =
= P( = 20, Y = 5) / P(Y = 5) = 0.2/0.45 = 0.444.
Y :
X 10 20 Y 10 5 10
Px 0.6 0.4 Py 0.20 0.45 0.35
P(x, y) P(x)P(y) (, P( X = 20, Y = 10) = 0.05 0.40.35 =

= 0.14 = P( X = 20)P(Y = 10)), , -
. -
X Y:
M(X) = 100.6 + 200.4 = 2; M(Y) = 100.2 + 50.45 + 100.3 = 3.5;
2 2
D(X) = M(X ) M (X) = 1000.6 + 4000.4 4 = 216;
2 2 2
D(Y) = M(Y ) M (Y) = 1000.2 + 250.45 + 1000.35 (3.25) = 55.6875;
x = 216 14.7; y = 55.6875 7.46.
.
39
2 3
xy = M(XY) M(X)M(Y) = x i y j p ij M(X)M(Y) =
i =1 j=1
= 10(10)0.05 + (10)50.25 + (10)100.3 + 20(10)0.15 + 2050.2 +

+ 20100.05 (100.6 + 200.4)(100.2 + 50.45 + 100.3) = 44.
xy 44
xy = = 0.4.
x y 14.7 7.46
, , X Y -
.
, . . .
, ,
, (D(X) = 216 > 55.6875 = D(Y)).
Z
(50:50) . , Z = 0.5X + 0.5Y.
M(Z) = M(0.5X + 0.5Y) = 0.5(M(X) + M(Y)) = 0.5(2 + 3.25) = 2.625;
D(Z) = D(0.5X + 0.5Y) = 0.25(D(X) + D(Y) + 2xyxy) =
= 0.25(216 + 55.6875 + 2( 0.4)14.77.46) 45.989.
D(Z) = 45.989 < 55.6875 = D(Y), ,

.

1. . -
? ?
2. .
3. ?
.
4. . -
.
5. , ?
6. ?
.
7. ? -
.
8. ()? ?
9. .
10. .
.
11. ? .
12. ? .
13. ?
40
14.
, ?
15. ,
.
16. , .
17. ?
18. ,
2
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19. ,
2
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21. .
22. , , -
?
23. , ,
?
24. ?
25. ? -
?

1. 80 % ,
50 %. -
, , -
60 %. ,
.
2. .
. , :
) ; ) ; ) ?
3. A, B, C. -
50 %, B 40 %, C 20%.
-
. , ?
4. 12 .
, .
. -
, 5 . -
?
41
5. . -
,
80 % ,
25 % ,
50 % . ,
, -
, .
6. 10 % 10000 .
) 5 ;
) , ,
0.9;
) : 7 ?
7. ( )
(25 ). 5 -
10 . ., 10 20 . ., 7 25 . . 3
30 . .
. -
.
8. :
1 3 5 7 9
b 2b 3b 4b 5b
) b.
) (), D(X).
) ( 3 < 7).
9.
(X).
X(%) -10 -5 0 10 20 25
P 0.05 0.15 0.25 0.30 0.20 0.05
, -
. .
10. -
:
X 100 200 300 400 500 600
P 0.05 0.15 0.25 0.30 0.20 0.05
$5,
$10 . -
.
?
42
11. , . 1/3 -
$1, 1/3 $1.5, 1/3 $2.
,
. ?
12.
-
. 5000 . 250 -
, 1500 , 2500 , 600
150 . 0,05.
, 5 -
. ?
13. (X, Y).

Y 10 0 10 20
X
10 0.25 0.10 0.15 0.00
20 0.00 0.05 0.30 0.15
) X Y.
) X Y, .
) P( X = xiY = yj) P(Y = yjX = xi).
) X Y ?
13.
X Y -
.
Y% 10 0 10 15
X%
0 0.00 0.15 0.10 0.20

10 0.02 0.05 0.05 0.08
20 0.25 0.10 0.00 0.00
)
.
) ?
) ?
) ?
15. , Y B -
. D(X) = 16, D(Y) =
= 9. (X,Y) = 0.6. , -
30% 70% -
B?
43
16. 1
2 .
X2 10 0 10
X1
-10 0.20 0.10 0.02
0 0.03 0.30 0.05
10 0.01 0.04 0.25
:
) 1 2;
) Y = (1 + 2) / 2;
) ;
) Z = 2 1.
17. , , $10,
10% -
2
16 (%) . . P1
30 . P2 10 , .
)
?
) -
0.5, .
)?
) -
, ?
) -
( = 1),
50 % 50 % ?
18. -
$1000 400. 1000 .
$1500? -
.
19. -
$1 . $ 0.25 . , -
$0.8 . $1.2 $1.5 .?
20. , () -
30. 20%
35 . ,
?
44
2.
-
-
,
. -
-
,
,
. -
. -
, -
. -
(
, ),
,
.
-
,
-
.

,
.

, -
.

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

.
45
-
-
.
, , -

.
2.1.
-
, -
. , ,
, -
. .
-
X
.
( ) -
, .

.
-
,
, .
, .
-
.
.
: , ,
, , , ,
.
-
.
.

-
. .
, -
, -
,
46
. , -
n = 1000, ,
. , -
:
, -
-
( );
-
-
( ).
,
, -
.
.
-
.
.
,
.
-
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,
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. ,

-
-
. -
, ..
. -
, , , -
.
, , -
, -
, . ,
, . -
, -
, ,
47
. , -
, - .

, . , -

(, , , . .).
, -
.
2.2.

.
-
. , -
x1, 2, , n -
, ,
. -
-
, -
. -
, ,
. .
- -
( )
x1, x2,, xn : x1 x2
xn .
.
k ( k n ) .
x1 < x2 < < xk.
xi, i = 1, 2, ,k .
xi ni , ni
n
xi, i = i -
n
xi. -
, . 2.1:
48
2.1
X x1 x2 xk
k
ni n1 n2 nk ni = n;
i =1
k n
ni n1 n2 nk i
= 1.
i =
n n n n i =1 n
-
F(x):
n
F(x) = x , (2.1)
n
nx , x ; n
. F(x) -
:
1. 0 F(x) 1;
2. x1 < x2 F(x1) F(x2);
3. F (x) = 0 x x1; F (x) = 1 x > xk.
F(x)
F(x) = P( X < x ), -
.
2.1. (%) . -
n = 100 , -
.
X 5 10 15 20 25
ni 5 20 40 25 10
ni
0.05 0.2 0.4 0.25 0.1
n
F(x)
.
0, x 5;
0.05, 5 < x 10 ;

F (x) = 0.25, 10 < x 15 ;
0.65, 15 < x 20 ;
0.90, 20 < x 25 ;
1, x > 25.
49
F(x)
1
0.90
0.65
0.25
0.05
0 5 10 15 20 25 x
. 2.1
-
(. 2.2, ) (. 2.2, ):
ni
ni
n
40 - 0.4-
25 - 0.25-
20 - 0.20-
10 - 0.10-
5- 0.05-
0 5 10 15 20 25 X 0 5 10 15 20 25 X
a
. 2.2
-
. n -
x1 , x 2 , ... , x n k -
h (h ).
ni , i- -
n
. i = i i- -
n
. :
50
2.2
[ xi-1, xi) [ x0, x1 ) [ x1, x2 ) [ xk-1, xk )
ni n1 n2 nk
ni n1 n2 nk
n n n n
-
, -
, i- -
ni
. -
nh
, -
.
2.2. ,
n = 300. k = 6 . -
-
:
[ xi-1, xi ) [ 0, 20 ) [ 20, 40) [ 40, 60) [ 60, 80) [ 80, 100) [100,120)
ni 10 50 80 100 40 20
ni
1/30 5/30 8/30 10/30 4/30 2/30
n
-
.
, ,
100 . . -
h = 20, .
:
ni/(nh)
10/600 -
8/600 -
5/600 -
4/600 -
2/600 -
1/600 -
0 20 40 60 80 100 120 x
. 2.3
51
(. 2.3) -
.
( N( m, )). -
m , -
.
2.3.

, -
, , -
.
N.
:
1 N
x = xi . (2.2)
N i =1
:
1 N 2
D =
(x i x ) . (2.3)
N i =1
-
:
= D . (2.4)
, -
. -
, ,
-
- : ,
, -
.

.
1 n
xB = xi . (2.5)
n i =1
x B -
:
1 k
x B = nixi . (2.6)
n i =1
:
52
1 k 2
D = n i (x i x B ) . (2.7)
n i =1
D :
1 n
D = (x i2 2x i x B + (x B ) 2 ) = x 2 x 2 . (2.8)
n i =1
:
1 k 2
D =
n i (x i x B ) . (2.9)
n i =1

:
1k
= D = n (x x ) 2 = x2 x 2 . (2.10)
n i =1 i i B

(2.6), (2.9), (2.10) xi -
x + xi
i- : x i = i1 .
2
2.1 :
1 5 1
xB = nixi = (5 5 + 20 10 + 40 15 + 25 20 + 10 25) = 15.75 ,
20 i =1 100
1 5 1
D = n i (x i x B ) 2 = (5 10.752 + 20 5.752 + 40 0.752 +
100 i =1 100
+ 25 4.752 + 10 9.752 ) = 27.7625,
B = 27.7625 = 5.269.
2.2 :
1 6 1
xB = ni xi = (10 10 + 50 30 + 80 50 + 100 70 +
300 i =1 300
+ 40 90 + 20 110) = 61.33,
1 6 2 1
D = n i (x i x B ) = (10 51.332 + 50 31.332 + 80 11.332 +
100 i =1 300
+ 100 8.67 2 + 40 28.67 2 + 20 48.67 2 ) = 578.22,
B = 578.22 = 24.05.
53
x B -
x .
-
. -
, 1.
V -

, :

V = 100% . (2.11)
x
,
,
.
1.6, -

. -
Sxy rxy:
1 n
Sxy = (x i x )(y i y) = xy x y , (2.12)
n i =1
Sxy
rxy = =
(X) (Y)
1 n (2.13)
(x i x)(y i y) xy x y
= n i =1 = .
1 n 2 1 n
2 2 2
x x y y 2 2
(x i x) (y i y)
n i =1 n i =1
1 n
xy = x i y i . ,
n i =1

n (X, Y): (xi, yi),
n = 1, 2, , n.
2.3
xi x1 x2 xn
yi y1 y2 yn
54

, . ,
, :
1. (-
) , rxy > 0 (rxy < 0).
2. rxy -
.
3. 1 rxy 1.
4. , rxy = 0.
5. rxy 1, -
.
.
, -
(. 2.4, ).
y rxy > 0 y rxy < 0 y rxy = 0
. : .
: N :N
. M .
:N. .QN
0 x 0 x 0 x
a
. 2.4

1. ?
2. .
3. ? ?
4. , -
.
5. ? ?
6. -
: , , ?
7. ?
8.
.
9. .
55

1. 60 .
:
5, 6, 3, 2, 7, 7, 6, 6, 10, 11, 6, 4, 5, 6, 3, 12, 9, 10, 7, 4, 6, 7, 8, 8, 10, 5, 5, 4, 3, 6,
6, 7, 7, 8, 8, 10, 6, 4, 5, 6, 12, 7, 7, 8, 11, 9, 10, 5, 6, 4, 2, 7, 11, 8, 7, 9, 5, 6, 9, 5.
:
) ;
) ;
) ;
) ;
) , ,
.
2.
.
55 ( ):
39, 60, 40, 52, 32, 68, 77, 61, 68, 60, 47, 49, 70, 55, 66,
80, 35, 67, 70, 55, 42, 52, 60, 82, 70, 55, 47, 39, 50, 58,
45, 50, 53, 33, 49, 54, 55, 70, 62, 60, 60, 40, 59, 64, 70,
55, 54, 35, 48, 52, 57, 55, 82, 70, 51, 35, 49, 60, 55, 47.
:
) , ,
;
) , 5 -
( h ?);
)
;
) -
;
) , 7 -

;
) ), ) ); -
?
3. F(x) -
, n = 100.
0, 10;
0.2, 10 < x 20;
0.5, 20 < x 30;
F(x) = 0.65, 30 < x 40;
0.9, 40 < x 50;
0.95, 50 < x 60;
1, x > 60.
56
4. . -
20 :
5, 10, 7, -5, 3, 10, 15, 10, 5, -3, -5, 3, 7, 15, 10, 10, 0, -2, 5, 10.
) ?
) ?
5. (X) . -
100
:
X% [0, 5) [5, 10) [10, 15) [15, 20) [20, 25) [25, 30)
ni 8 15 35 30 10 2
:
) () ;
) -
;
) .
6. 20 :
50, 48, 47, 55, 50, 45, 50, 52, 48, 50, 52, 48, 50, 47, 50, 48, 52, 50, 50, 48.

) ;
) ;
) -
;
) .
7. X Y :
) 1 2 3 4 5 ) 1 3 5 7 9 ) 0 1 2 3 4 5 6
Y 0 2 3 5 6 Y 10 7 8 5 3 Y 9 4 1 0 1 4 9
;
; -
( ).
8. 10 (19811990) -
() (Y) -
:
57
Y Y
1981 72500 1020 1986 82500 3000
1982 72900 1290 1987 87000 4000
1983 74150 1830 1988 86500 4200
1984 73500 2250 1989 90000 4500
1985 78350 2500 1990 89000 4000
) -
; -
?
)
; -
?
) Y. -
?
) Y , , -
, . . -
?
58
3. :

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

( n = 1000).
n
x = x i n
i =1
n
S2 = (x i x) 2 n , .
i =1
: , -
. , ,
,
.
-
. -
, .
, -
. (-
) . -
.
:
. -
( )
,
. -
.
-
. -
. -
.

. , -

.
59
-
-
, .
3.1.
-
. -
n: x1, x2, ..., xn,
* . , -

( x m) 2
1
f(x) = e 2 2
2
m -
.
*
, n.
1 n
, m () m* = x = x i
n i =1
1 n
* = = 2
(x i x ) .
n i =1
, * ,
. . * = *(1, 2, ..., n). ,
* ,
. * = *(1, 2, ..., n )
.
, - * . -

.
, ,
.
* -
-
(*) D(*). (*) -
D(*), (
). , -
: , -
.
60
* ,
: (*) =.

,
-
n
.
()
.
.
,
.
. ? ,
,
.
,
. ,
-
. * , -
D(*) -
n, . . D(*) = Dmin.
. 3.1 , -
1*
*2 .
f(*)
*
f( 1 )
*
f( 2 )

. 3.1
61
,
,
. 0.5.
, -
, . . D( n )0
n ( n n -
).
n ,
n n , . . > 0
n P( n < ) 1. , -
,

.
() -
. 3.2.
f(*)
f(*)n = 100
f(*)n = 50
f(*)n = 10

. 3.2
-
. , (, -
) -
-
(. 3.2). -
. -
-
.
62
: ( n )
D( n ) 0 n , n .
, -
, .
-
, BLUE-
(Best Linear Unbiased Estimators). ,
, -
.
-
, ,
, -
.
3.2.
-
( , . .)
. ,
, , -
.
1 n
, x = x i -
n i =1
()
.
1 n
D = (x i x B ) 2
n i =1
2
D(X) = , . .
n 1
, D = 2 .
n
n 1
. n 1,
n
D ,
D(X) :
n 1 n 1 k
S2 = D = 2
(x i x B ) =
2
n i (x i x B ) . (3.1)
n 1 n 1 i =1 n 1 i =1
63
S2 -
D(X) .
-
S:
1 n 1 k
S= S2 = 2
(x i x B ) =
2
n i (x i x B ) . (3.2)
n 1 i =1 n 1 i =1
, n > 30 D S2 ( S) -
.
.
D(X) ()
S2 S .
n
i -
n
P(X = xi). -
n
F*(x) = x ( )
n
()
F(x) = P(X < x).
3.3.
*
.
( n
-
). -
-
(1, 2), -
. -
, -
. -
,
(1, 2).
-
= 1 , 0< < 1, ,
1 2, * ,
P(1 < < 2) = 1 = . (3.3)
64
, (1, 2) -
(1 ) 100(1 )% .
1 2 , -
P( < 1 ) = P( > 2 ) = /2 .
P(1 < < 2) = 1
P( < 1)= /2 P( > 2) = /2
1 2
. 3.3
, -
, n
( = 1 ). n -
,
. ( = 1 )
. = 0.1; 0.05; 0.01,
90, 95, 99 % - .
:
1.
f(x, ) n,
* .
2. Y(), -
f(y, ).
3. .
4. Y,
1 2 ,
c2
P(c1 < Y() < c2) = f(y, )dy = 1 (3.4)
c1
1 2 , ,
P(Y() < c1) = /2; P(Y() > c2 ) = /2 .
1 < Y() < c2
< < *+ , P(* < < *+ ) = 1 .
*
65
(* , *+ ),
1 ,
.
,
.
. -
, = 1 -
, K -
n, (1 )K -
.
-
,
, .
3.3.1.

2 -
m (X (m, )). -
m.
1. m 1, 2, ..., n n.
1 n
m* = x i = x .
n i =1
xm
2. U = . , U
/ n
, . . U N(0, 1)
u2
1 2
(f(u) = e ).
2
3. .
4. -
, :
xm
P( U < u ) = P( < u ) =
/ n
2 2 (3.5)

= P( x u < m < x + u ) = 1 .
2
n 2
n

, ( x u ; x + u )
2
n 2
n
66
m 1 .

= u .
2
n
, u -
2
1
( 1) ( u ) = = .
2
2 2
f(u)
=1
/2 /2
- u 0 u u
2 2
. 3.4
3.1.
, , ,
= 10 . 25 ,
x = 244 . 95 %
?
, :
N(m, 10). 95 % - -
u = u0.025 1
2
0.95
(u 0.025) = = 0.475 . u 0.025 = 1.96.
2
(3.5) :
10 10
(244 1.96 ; 244 + 1.96 ) = (240.8; 247.92).
5 5
3.3.2.

,
, . -
67
-
,
.
N(m, 2), m 2 .
,
= 1 m.
-
n: 1, 2, ..., n.
1. m -
x ,
1 n
2 S2 = 2
(x i x ) ,
n 1 i =1
S = S2 .
2. -
xm
T = ,
S/ n
= n 1 -
m 2.
3. .
4.
P(T< t ) = P( t < T < t ) = 1 , (3.6)

, n 1 , n 1 , n 1
2 2 2
t ,
, n 1
2
( 2).
xm
( t < T < t ) = P( t < < t )=
2
, n 1
2
, n 1
2
, n 1 S/ n 2
, n 1
(3.7)
S S
= P( x t < m < x + t ) = 1 .
2
, n 1 n 2
, n 1 n
S S
, ( x t ; x + t )
2
, n 1 n 2
, n 1 n
m 1 .
68
3.3.3.
N(m, 2), m 2 . -
2 n: 1, 2, ..., n .
1. D(X) -
1 n
S2 = 2
(x i x ) ,
n 1 i =1
S = S2 .
2.
(n 1)S2
2
= 2
, 2--

= n 1
2 .
3. .
4. , 2-,
2 , 2 , -

1 , n 1 , n 1
2 2
:
P( 2 < 2 < 2 ) =1 . (3.8)
1 , n 1 , n 1
2 2
2
,
2 2 2 2 (n 1)S2
P( < < ) = P( < 2
< 2 )=

1 , n 1

, n 1

1 , n 1
, n 1
2 2 2 2
2 2
S (n 1) 2 S (n 1)
= P( < < ) =1 . (3.9)
2 2

, n 1 1 , n 1
2 2
S2 (n 1) 2 S2 (n 1)
< < 2
2

, n 1 1 , n 1
2 2
:
n 1 n 1
S 2 << S . (3.10)
2

, n 1 1 , n 1
2 2
69
S2 (n 1) S2 (n 1)
, ( , 2 )
2

, n 1 1 , n 1
2 2
2 1 . -
n 1 n 1
( S 2 ,S 2 ) 1

, n 1 1 , n 1
2 2
.
3.4.
3.4.1.

. -
, -
, -
, . -
.

.
-
. ,
, (
), : ( ) -
. , ,
, ,
-
.
, , -
. , -
0, :
= 0. , -
, , -
. .
-
. -
, -
.
70
0, , (-
). 1,
, 0. -
(). ,
0, . . 0: = 0,
:
H1(1) : 0 ; H1(2) : > 0 ; H1(3) : < 0 ; H1(4) : = 1 (1 0 ).
-
,
, -
.
(,
),
, .
,
( H 0 : = 0 , H1(4) : = 1 ). -
,
( H1(1) : 0 ; H1(2) : > 0 ; H1(3) : < 0 . ).
,
, -
. -
,
?
-
.

0. .
, .
, -
( , -
). -
-
. .
, -
.
,
, -
.
71

:
3.1

0 1
0
0
-
. , -
, . -
-
. , 0
, ,
. , -
. , -
.

.
. , -
, -
,
.

.

, . -
. -
(1 ) -
.
(-
, 0.1; 0.05; 0.01 . .), -
. , = 0.05, ,
5
100.
3.4.2. .

.
72
(, ),
. :
Z ( U) -
;
;
2 2;
F .

K.
, K, -
. -

: -
, ,
. ,
, -
. , -
, .

: K (-
) ,
. K -
, -
().
,
, .
, ,
.
.
0 K.
, K -
0 f(k|H0),
K k0. , K
(k1/2, k/2), :
k /2
P(k1 /2 < K < k /2 ) = f(k | H 0 )dk . (3.11)
k 1/2
1
() K- k1/2, k/2 :
73
k1 /2

P(K k1 /2 ) = f(k | H 0 )dk = ,
2
+ (3.12)

P(K k /2 ) = f(k | H 0 )dk = .
k /2 2
,
P(k1/2 < K < k /2 ) = 1 , P((K k1/2 ) (K k /2 ) ) = .
(0.05; 0.01), -
K (k1/2, k/2) -
. , -
, , -
0 , K -
K -
(k1/2, k/2). K -
, ,
. ,
1 0 .
k1/2, k/2 .
f(kH0)

/2 /2
k1-/2 k0 k/2
. 3.5
( , k1 /2 ) (k /2 ,+) -
. , -
: 1: 0. , -
-
.
(k, +), -
P(K > k) = . ,
: 1: > 0 (. 3.6, ).
74
(, k1), -
P( K < k1 ) = . -
, : 1: < 0 (. 3.6, ).
f(kH0) f(kH0)
P(K > k) = P(K < k1) =

k k k1 k

. 3.6

1. ( 0)
(1) ;
2. ;
3. n;
4. K 0;
5. -
;
6. K.;
7. .

.
n -

.

.
, , -
.
3.2 3.8.
75
3.5.
-
, -
, , -
.
() .
3.5.1.

,
m , 2 -
. , m = m0.
H 0 : m = m0 ,
H1(1) : m m 0 ( H1(2) : m > m 0 ; H1(3) : m < m 0 ).
H0 n: x1, x2, ... , xn

x m0
U= , (3.13)
/ n
1 n 2
x = x i , = . , 0 , -
n i =1
U
(UN(0,1)).
1)
H1(1) : m m 0 . u/2 u1/2 = u/2
( 1) -
1
(u /2 ) = .
2
x m0
U . = < u /2 0.
/ n
U . u /2 0 -
H1(1) .
2) H1(2) : m > m 0 u
1 2
(u ) = .
2
76
U. < u 0.
U. u 0 H1(2) .
3) H1(3) : m < m 0 u1 = u.
U. > u1 0.
U . u1 0 H1(3) .
3.2. 3.1 () = 250
= 0.05. , -
.
H0: m = 250;
H1: m 250.
244 250
(3.13) U = = 3.
10 / 25
.
u/2 = u 0.025 = 1.96. U.=
= 3 > 1.96 = u., H0 H1.
, . , -
(240.8; 247.92), 3.1. -
250 , -
H0.
3.5.2.

-
, m 2 -
. -
. , m = m0.
:
H 0 : m = m0 ,
H1(1) : m m 0 (H1(2) : m > m 0 ; H1(3) : m < m 0 ).
0 n: x1, x2, ... , xn; -

1 n
x = x i
n i =1
1 n
S2 = 2
(x i x) ,
n 1 i =1
S = S2 . t-:
77
x m0
T= , (3.14)
S/ n
H0 = n 1
.
3.5.1.
1) H1(1) : m m 0 -
( 2)
= n 1 -
t /2, n 1 t 1/2, n 1 = t /2,n 1 .
x m0
T. = < t /2, n 1 0.
S/ n
T. t /2, n 1 0 H1(1) .
2) H1(2) : m > m 0 t,n-1 -

.
T. < t ,n 1 0.
T. t ,n 1 0 H1(2) .
3) H1(3) : m < m 0 t1,n1 =

= t,n1 .
T. > t ,n 1 0.
T. t ,n 1 0 H1(3) .
3.3. ,
. ,
$1 . 49 :
x = $0.9 S = $1.15 .
= 0.01?
H0: m = 1;
H1: m < 1.
0.9 1
H0 T. = = 4.67.
0.15 / 7

t. = t0.01, 48 = 2.404.
T. = 4.67 < 2.404 = t., H0 H1,
, , $1 .
78
3.5.3.

, , . ,
-
, -
.

. , -

. -
.
N(m, 2); m 2 .
2 -
() 02 .
:
H 0 : 2 = 02 ,
H1(1) : 02 (H1(2) : > 02 ; H1(3) : < 02 ).
0 n: x1, x2, ... , xn; -
1 n
x = x i ,
n i =1
1 n
S2 = 2
(x i x) . 0
n 1 i =1
:
(n 1) S2
2 = . (3.15)
02
0 2 2--
= n 1 .
1) H1(1) : 2 02 2--
( 3) -
= n 1
12/2,n 1 /2,
2
n 1 .
12/2,n 1 < .
2 2
< /2, n 1 0.
2
. 12/2,n 1 .
2 2
/2, n 1 0
H1(1) .
79
2) H1(2) : 2 > 02 ,2 n 1 -
.
2. < ,2 n 1 0.
2. ,2 n 1 0 H1(2) .
3) H1(3) : 2 < 02 12 , n 1 -
.
2. > 12 , n 1 0.
2. < 12 , n 1 0 H1(3) .
3.4. -, -
, . -
2
25 () . 20
2 1 20 2 2
S = (x i x) = 30() .
20 1 i =1
, ? = 0.05.
, -
:
2
H0 : = 25;
2
H1 : > 25.
2
(3.15):
19 30
2. = = 22.8. 2. = 0.05;
2
19. = 30.14.
25
2
2. = 22.8 < 30.14 = . , H0.
, ,
.
3.5.4.

. , -
-
;
;
. -
-
X Y.
80
X N(mx, 2x ) Y N(my, 2y ), 2x 2y
(, -
). x1, x2, ... , xn y1, y2, ..., yk, -
n k
M(X) = M(Y) , . .
H 0 : M(X) = M(Y),
H1(1) : M(X) M(Y) (H1(2) : M(X) > M(Y); H1(3) : M(X) < M(Y)).
0 U:
xy
U= . (3.16)
2x 2y
+
n k
0 U N(0, 1).
1) H1(1) : M(X) M(Y) (-
1) u1/2 u/2 -

1
(u /2 ) = , u1/2 = u /2 .
2
U . < u /2 0.
U . > u /2 0 H1(1) .
2) H1(2) : M(X) > M(Y) u -

1 2
(u ) = .
2
U . < u 0.
U . u 0 H1(2) .
3) H1(3) : M(X) < M(Y) u1

u1 = u .
U . > u1 0.
U . u1 0 H1(3) .
81
3.5.5.

-
, .
X N(mx, 2x ) Y N(my, 2y ),
2x 2y . -
:
H 0 : M(X) = M(Y),
H1(1) : M(X) M(Y) (H1(2) : M(X) > M(Y); H1(3) : M(X) < M(Y)).
0 :
xy n k (n + k 2)
T= , (3.17)
(n 1) S2x + (k 1) S2y n+k
n, k x1, x2,... , xn y1, y2,... ,yk ;

1 n 2 1 n 2 1 k 2 1 k 2
x= x i , Sx = (x i x) , y = y i , S y = (y i y) .
n i =1 n 1 i =1 k i =1 k 1 i =1
0 t--
= n + k 2 .
1) H1(1) : M(X) M(Y) -
( 2) -
= n + k 2
t 1/2,n + k 2 t /2, n + k 2 ( t 1/2, n + k 2 = t /2,n + k 2 )
.
T. < t /2,n + k 2 0.
T. t /2,n + k 2 0 H1(1) .
2) H1(2) : M(X) > M(Y) t,n+k-2

.
T. < t ,n +k 2 0.
T. t , n + k 2 0 H1(2) .
82
3) H1(3) : M(X) < M(Y)
t1 , n + k 2 = t , n + k 2 .
T. > t ,n + k 2 0.
T. t , n + k 2 0 H1(3) .
3.5. -
25 . X Y
2
. : x = 400; S 2x = 300; y = 420; S y = 150.
, ? =
= 0.05.
-
:
H0 : M(X) = M(Y);
H1 : M(X) < M(Y).
(3.17) , n = k = 25:
400 420 25 25 ( 25 + 25 2)
T. = = 4.71; t.= t0.05;25+252 = 1.68.
24 300 + 24 150 25 + 25
T. = 4.71 < 1.68 = t., H0 -

H1, ,
.
3.5.6.

.
,
. -
-
. , -
. , -
, -
.
X N(mx, 2x ) Y N(my, 2y ), 2x
2y . 2x 2y :
H 0 : 2x = 2y ,
H1(1) : 2x 2y (H1(2) : 2x > 2y ).
83
x1, x2, ... , xn y1, y2, ... , yk
n k x, y, S2x S2y (
S2x S2y . -
).
0
S2x
F= 2 , (3.18)
Sy
-
. 0 , F F-
1 = n 1 2 = k 1 .
1) H1(1) : 2X 2Y -
( 4)
1 2
F/2, 1 , 2 .
F. < F/2, 1 , 2 0.
F. F/2, 1 , 2 0 H1(1) .
2) H1(2) : 2x > 2y F, 1 , 2 .
F. < F, 1 , 2 0.
F. F, 1 , 2 0 H1(2) .
, -

H1(2) .
3.6. 3.5 , -
, X Y (. .
, ).
:
2 2
H0 : x = y ,
2 2
H1 : x > y .
(3.18) F. =
= 300/150 = 2. F.= F0.05; 24; 24 = 1.98.
F. = 2 > 1.98 = F., H0 H1,
, -
.
84
3.5.7.

-

( , , -
). -
. -
X Y, -
. -
:
H 0 : xy = 0,
H1(1) : xy 0.
0 (x1, y1), (x2, y2), ... , (xn, yn) n

rxy n 2
T= , (3.19)
2
1 rxy
rxy .
0 -
= n 2 .
( 2) -
n 2
t/2,n2.
rxy n 2
T. = < t /2,n 2 , -
2
1 rxy
0. T. > t /2,n2 , 0 -
H1(1) .
H0 , , -
( ).
, X Y , . .
.
3.7.
(X) (Y) 11 .
() rxy =
= 0.34. -
( = 0.02)?
85
:
H 0 : xy = 0,
H 1(1) : xy 0.
0.34 11 2
(3.19) - . = = 3.254.
1 ( 0.34) 2
t/2;n2 =
= t0.01; 9 = 2.821. .= 3.254 > 2.821 = t., -
rxy . , xy
, (X) (Y) -
.

1. ?
2. , .
3. ?
.
4. (BLUE-
)?
5. ? ?
6. -
?
7. -
?
8. ?
9. ?
10. ?
11. ? -
.
12. ? -
.
13. .
14. ?
?
15. ?
16. ?
17. . -
?
18.
?
86

1. (%) -
10 : 2.8; 3.2; 5.1; 1.8; 0.6; 0.7; 2.1; 2.7; 4.1; 3.5.
,
.
2. (, $ .) -
. 16 -
: 8.5; 10.5; 12.25; 7.0; 17.0; 8.75; 10.0; 9.3; 8.0; 11.5; 10.0; 12.0;
9.0; 6.5; 13.0; 10.2. -
. ?
3. ,
2
m = $1000 =
2
= 40000($) . 500
x = $900.
) 90 95 %-
.
) -
$1000?
)
? ?
4.
-
7 . -
. -
( ,
, ).
I : 85.5; 92.7; 79; 68.6; 102.5; 88.3; 82.7.
II : 90.5; 77.5; 85.3; 72.5; 108.7; 80.3; 79.
) 95 %- 1)
; 2) ; 3)
.
) -
? , ?
) ,
, : 83; 90.5; 79;
68; 94.5; 85; 80.5. 95 %-
.
) , -
3 ?
5. - 250 . ,
,
87
5 . 10 -
: 245, 248, 250, 250, 252, 256, 243, 251, 244, 253.
) 95 99 %- -
.
) -
?
?
6. ()
m = 7.5 = 0.5 . -
, , my
7 . 15 -
x = 7.45; y = 7.15. -
?
7. ( ) -
.
,
.
:
: 41, 50, 35, 45, 53, 30, 57, 20, 50, 44, 36, 48, 55, 28, 40, 50.
: 40, 57, 52, 38, 25, 47, 52, 48, 55, 48, 53, 39, 46, 51, 45, 55, 43, 51, 55, 40.
)
?
) = 0.05, -
?
?
) .
) = 0.01?
8. 25 -
, 7
-
S = 2 . , ()
:
) 90 99 %-
mx x.
) , -
, 5 .
) , -
5.5 . ?
9. ,
$1000 = 100. 36
: x = $900 S = $150. -
88
, -
, ? -
?
10. 10
100 . -
, 9 100 . -
, x > 9.4.
, n = 25.
11. 25 , $1200
S = $120. , -
, :
) 90 % - m
.
) ,
m $50?
) , -
m $50 0.9?
12. $100 -
= $50. -
,
, 100 0.95? -
, ,
$6000?
13. Y 25 -
: x = 100; y = 75; (x i x) 2 = 625; x i y i =
2
= 187000; (y i y) = 484.
Y. xy ?
14. :
) rxy = 0.43, n = 60, = 0.1 H1: xy < 0;
) rxy = 0.2, n = 45, = 0.05 H1: xy 0;
) rxy = 0.35, n = 100, = 0.01 H1: xy 0.
15. (N)
(Q) . 10 -
:
N 50 61 72 43 60 65 76 55 62 40
Q 10 12 20 9 15 15 21 14 18 7
N Q.
89
16. ( .) -
2
. X N(m = 25, = 36).
25 . , -
15 30 .?
17. ( ), -
, ( Y).
450
:
xi = 25200; yi = 110500; (x i x) 2 = 72300;
2
(yi y) = 1500200; (x i x)(y i y) = 201350.
2
) -
.
) , -
?
= 0.05.
) 95%- -
. ?
) -
( = 0.01).
90
4.
4.1.
, -
,
, -
, , -
.
, -
,
. ,
, -
. , -
, .
, ,
-
.
-

. -
, .

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

; ; -
( -
, , . .);
91
,
.

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

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

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

, ; -,
, ; -,
. .
92
, ,
. ,
, -
.
,
. -
, , -
.
.
4.2.

X Y. -
, -
( ) . -

. , -
, , -
. -

,
. ,
. ,
-
, ,
.
-
(),
(). -
. ,
. .
.
. .
, -
(
) ,
. , -
( )
-
93
( ). , -
() () ()
. ,
M(Yx) = f(x), (4.1)
Y X. X -
() (), Y (-
) . -
. , -

(Yx1, x2, , xm) = f(x1, x2, , xm), (4.2)
.
( , -
) XIX -
. -
, ,
. , ,
. -
() -
. , .

-
( ) ,
()
.
, -
-
-
( ), -
, -
, ,
. ,
() -
Y = M(Yx) + , (4.3)
Y = (Yx1, x2, , xm) + , (4.4)
().
94
-
.
,
(). -
, -
.
1. .
( , ) -
.
, -
,
. -
, (Q) (P), (Ps) -
-, (Pc) , (I) -
, (N), (T), (W) . .
, -
. , , -
, ,
, , -
,
: Q = f(P, Ps, Pc, I, N, T, W, ).
, ,
-
, . ,
-
. -
, -
, , , ,

. , -
(, ),
(, , -
).
2. . -
, - -
, .
, , ,
. , -
(Y) (X)
95
Y = a + bX,
Y = aXb (0 < b < 1), .
, .
3. . -
,
, . ,

, -
, -
, -
.
.
4. . ,
-
, -
.
5. .
, . -
, . -
.
6. . -
. ,
, -
-
.
,
.
.
, -
, -
.
:
1) ;
2) ;
3)
, .

.
96
-
, -
( )
(. 4.1).
Y 1 Y 2 Y
1 1 2

. 4.1
4.1 .
4.1, X Y ,
1 .
X Y -
Y = b 0 + b1X .
4.1, X Y, -
, Y = aX 2 + bX + c ( 2),
(, 1), -
.
4.1, X Y .
,
( ) -
. , 1 2, -
,
, -
Y X.

, -
.
()
() -
.
97
4.3.
, -
. -
( )
. ,
.
,
-
I: C = Co +bI, Co -
, b (0 < b 1) .

, . .
.
, () -
. -
. 4.2.
I1 I2 I3 I4 I5 I
. 4.2
, (-
) -
M(YX =
= xi) Y X.
M(YX = xi) = 0 + 1xi. (4.5)
, -
0 1 .
98
, -
yi
, (4.5) -
i.
yi = M(YX = xi) + i = 0 + 1xi + i. (4.6)
(4.6) -
; 0 1 (-
) ; i .
, yi
(0 + 1xi) -
(i), -
4.2. -

Y = 0 + 1 + . (4.7)
-
X Y
, .
, -
, ( x i , y i ),
i = 1, 2, , n, Y:
) 0 1;
) ;
) , -
( ).
,

)
y i = b 0 + b1x i , (4.8)
)
y i M(YX = xi); b0
b1 0 1, -
. ,
yi = b0 + b1xi + ei, (4.9)

i i.
-
b0 b1
99
0 1, -
.
-
.

. 4.3.
Y
M(YX) = 0 + 1X
n
en )
Y = b 0 + b1 X

i
ei
e1
1
x1 xi xn X
. 4.3
, (xi, yi), i = 1,
2, , n, b0 b1 0 1 ,
-
. , -
)
Y = b 0 + b1X -
.
ei, i = = 1, 2, ,
n. , b0 b1 -
,
:
n n ) n
1) e i = (y i y i ) = (y i b0 b1x i ) ;
i =1 i =1 i =1
n n) n
2) e i = y i y i = y i b 0 b1x i ;
i =1 i =1 i =1
n n ) n
3) ei2 = (yi yi )2 = (yi b0 b1x i )2 .
i =1 i =1 i =1
100

,
n
( , Y = y ), e i = 0 ( -
i =1
).
-
().

, -
n
e i2 . -
i =1
(). -
. ,
, -
, .
-
() -
().
4.4.
(xi, yi), i = 1, 2, , n
b (4.8).
Y
)
Y = b 0 + b1 X
en
e5

e3 e4 .....

e2
e1

x1 x2 x3 x4 x5 .... xn X
. 4.4
-
:
101
n n ) n
Q(b 0 , b1 ) = e i2 = (y i y i ) 2 = (y i b0 b1x i ) 2 . (4.10)
i =1 i =1 i =1
, Q
b0 b1 (Q = Q(b0, b1)), x i , y i
. Q , -
(Q 0) , .

n
Q(b0, b1) = (y i b 0 b1x i ) 2
i =1
b0 b1. -
n

i =1
, , i = 1 i = n.
Q
b = 2 (y i b0 b1x i ) = 0;
0
(4.11)
Q = 2 (y b b x )x = 0.
b i 0 1 i i
1
nb0 + b1 x i = y i ;
(4.12)
b0 x i + b1 x i2 = x i y i .
(4.12) n, :
xy x y
b0 + b1x = y; b1 = 2 2
;
x x (4.13)
b0 x + b1x 2 = xy. b = y b x.
0 1
1 1 1 1
x = x i , x 2 = x i2 , y = yi , xy = x i yi .
n n n n
, b0 b1 -
(4.13).
, b1 :
(x x)(y i y) Sxy
b1 = i = 2 . (4.14)
(x i x) 2 Sx
S xy S xy S y Sy
b1 = 2 = = rxy , (4.15)
Sx Sx Sy Sx Sx
102
rxy ; Sx, Sy
. ,
, -

.
, rxy ,
b1
(4.15).
)
, Y X (Y = b 0 + b x X) ,
X Y
) 2
(X = c 0 + b y Y) , bx by rxy :
Sy Sx 2
bxby = rxy rxy = rxy . (4.16)
Sx Sy
, c0 by ,
(4.13):
xy x y
b y = 2 2
;
y y (4.17)
c = x b y.
0 y

:
1. ,
.
2. -
.
3. (4.12)
( x, y ).
4. ,
ei ,
e .
, 2 (yi b 0 b1x i ) = 0
1
(4.11) , 2 ei = 0. ei = 0. ei = 0. e = 0.
n
5. i
yi Y.
,
Y . ,
103
1 1
Sye = (yi y)(ei e) = (yi y)ei .
n n
____
, (yi y )ei = 0. i (i = 1,n ) -
(4.9), :
yi = nb0 + b1xi + ei = nb0 + b1xi (. . ei = 0).
n, :
y = b0 + b1 x .
(4.9) ,
:
yi y = b1(xi x ) + ei. (4.18)
(yi y )ei = b1(xi x )ei = b1(xi x )((yi y ) b1(xi x )) =
= b1(xi x )(yi y ) b12 (xi x )2 =
= b12 (xi x )2 b12 (xi x )2 = 0.
, Sye = 0.
6. i
xi X.
, Sxe = 0 (4.11) (-
).
i yi
Y.
.
4.1. Y (. .) -
X (. .) -
n = 12 ( ), . 4.1.
; -
Y X; -
X Y; X = 160.
4.1
i 1 2 3 4 5 6 7 8 9 10 11 12
xi 107 109 110 113 120 122 123 128 136 140 145 150
yi 102 105 108 110 115 117 119 125 132 130 141 144
104
Y
144
141
132
130
125
119
117
115
110
108
105
102
107 110 113 120 123 128 136 140 145 150 X
. 4.4
,
)
X Y : Y = b 0 + b1 X .
:
4.2
2 2 ) 2
i xi yi xi xiyi yi yi ei ei
1 107 102 11449 10914 10404 103.63 1.63 2.66
2 109 105 11881 11445 11025 105.49 0.49 0.24
3 110 108 12100 11880 11664 106.43 1.57 2.46
4 113 110 12769 12430 12100 109.23 0.77 0.59
5 120 115 14400 13800 13225 115.77 0.77 0.59
6 122 117 14884 14274 13689 117.63 0.63 0.40
7 123 119 15129 14637 14161 118.57 0.43 0.18
8 128 125 16384 16000 15625 123.24 1.76 3.10
9 136 132 18496 17952 17424 130.71 1.29 1.66
10 140 130 19600 18200 16900 134.45 4.45 19.8
11 145 141 21025 20445 19881 139.11 1.89 3.57
12 150 144 22500 21600 20736 143.78 0.22 0.05
**
1503 1448 190617 183577 176834 0 35.3

125.25 120.67 15884.75 15298.08 14736.17
105

xy x y 15298.08 125.25 120.67 184.1625
b 1 = 2 =
15884.75 (125.25) 2
=
197.1875
= 0.9339;
x x2
b = y bx = 120.67 0.9339 125.25 = 3.699.
2
, :
)
Y = 3.699 + 0.9339X .
.
) )
y i , e i = y i y i .
:
xy x y 184.1625
rxy = = = 0.9914 .
x x y y
2 2 2 2 14.04 13.23

()
X Y. .
= 160
)
y(160) 153.12.
-
. -
-
, -
, .
b1
(MPC 0.9339). -
, , -
.
b1
( -
). .
b0 -
Y ,
(. . ). -
. , -
(-
),
,
. b0 = 3.699 -
, -
3.699 . . -
106
( -
), -
. b0
-
Y.
,
b0 b1 0
1,
. -
(. . 4.2) -
.
ei. i -
.

-
. -
.
-
. -
.

1. ?
2. ?
3. -
.
4. .
5. , ?
6.
?
7. .
8. ()?
9. -
.
10.
?
11. -
, ?
12. -
.
107
13. , , ,
?
) i i .
) -
.
)
.
) -
.
) -
.
) b1
Y -
.
) b1 Y X ,
rxy.
) , -
.
) -
, . . ,
.
14. , , -
:
) ;
) ;
) ;
) ;
) ;
) .
(
), ,
, .
15. , Y
X X Y, ?
16. :
) ;
) ;
) -
;
) -
.
.
17. Y .
Y
108
.
L1 L2 (. 4.5).
2
| ei | , ei .
, , ?
.
Y
L1

L2

X
. 4.5
18. x , :
) Y -
y ;
) Y = b0 + b1X Y
y , ;
) Y = b0 + b1X Y
y ;
) i y( x ) .
?

1. P
,
.
1 2 3 4 5 6 7 8 9 10 11 12
P 10 20 15 25 30 35 40 35 25 40 45 40
Q 110 75 100 80 60 55 40 80 60 30 40 30
) -
P Q.
) -
.
) rpq.
) .
109
2. () (Y) 60
.
X Y
100 60, 65, 75, 85, 90

120 70, 70, 80, 85, 90, 100
140 90, 95, 95, 100, 100,120
160 100, 110, 115, 120, 125, 125, 130
180 110, 120, 120, 130, 135, 140, 150, 150
200 120, 125, 130, 135, 140, 150, 160, 165
220 120, 140, 145, 145, 155, 165, 180
240 150, 160, 170, 190, 200
260 140, 160, 180, 210, 220
280 180, 210, 230
) , -
(YX = xi).
) .
) ,
.
) , -
.
) . , ,
?
) ) ).
? -
.
3. 10 :
2 2
x i = 100 ; y i = 200 ; x i y i = 21000 ; x i = 12000 ; y i = 45000 .
Y X X Y.
rxy.
4. :
yt = b0 + b1xt + et, t = 1, 2, , T.
, et = 0; etxt = 0.
5. n = 10 :
2
x i = 993.4 ; y i = 531.3 ; x i y i = 53196.61 ; x i = 105004.5 ; rxy = 0.75.
Y X X Y.
110
6. , 25 :
) yt = 30 + 0.18xt (yt , xt );
) yt = 50 + 4.5t (yt , t ). -
.
?
7. -
, .
.
8. (CONS) (INC)
:
CONS = 0 + 1INC + .
) 1?
) 0?
) 100 -
:

CONS = 145.65 + 0.825 INC.
) -
?
)
$20000?
)
(MPC)?
) -
, -
(APC)?
) .
MPC APC?
111
5.
5.1. .

-
. , , -
, -
,
b0 b1 -
)
0 1, y i -
M(YX = xi),
. -
.
(4.6), i -
xi i. , Y -
, i. ,
,
i, . ,
,
, .

Y = 0 + 1 + . (5.1)
n
)
Y = b0 + b1X. (5.2)
(4.14),
S xy
b1 = , (5.3)
S2x
, b1 .
, Sxy , -
X Y.
, , Y -
i. b1 -
.
Sxy = COV(X, 0 + 1 + ) = COV(X, 0) + COV(X, 1) + COV(X, ).
Sxy = 1 S2x + COV( X, ). (5.4)
112
:
COV(X, 0) = 0, . . 0 = const, COV(X, 1) = 1COV( X, ) = 1 S2x .
,
S xy S
b1 = 2 = 1 + x2 . (5.5)
Sx Sx
1 ( -
S
), x2 .
Sx
b0. ,
, -
0 1,
.
, , -
, ,
. , -
, -
.
( )
10. i
: M(i) = 0 .
,
.
,
, .
, M(i) = 0
M(YX = = xi) = 0 + 1xi.
20. i :
D(i) = D(j) = 2 i j.
, , -

, , ,
().
-
( ).
(-
).
113
D(i) = M(i M(i))2 = M( i2 ) ,
: M( i2 ) = 2.
, -
, 8.
30. i j
i j.
, -
-
. , -
-
.
-
:
0, i j;
i j = cov( i , j ) = (5.6)
, i = j.
2
, , -
. 10 -
(5.6) : M(i j) = 0 (i j).
, -
, 9.
40. -
.
,
-
.
-
:
i xi = cov(i, xi) = M((i M(i))(xi M(xi))) = M(i(xi M(xi))) =
= M(i xi) M(i) M(xi) = M(i xi) = 0.
,
.
50. .
114
. 1 5 ,
, , :
1. , . . M(b 0 ) = 0 , M(b1 ) = 1 .
, M( i ) = 0

.
2. , . .
n :
D(b 0 ) n

0 , D(b1 ) n

0 . , -
(b0
0, b1 1).
3. , . .
-
, yi.
BLUE (Best Lin-
ear Unbiased Estimators) .
2 3 , . .
() i , j , -
, -
.
-

. :
;
;
-
;
;
.
5.2.

-
b0 b1 0 1
.
i M(b 0 ) = 0 ,
115
M(b1 ) = 1 . ,
0 1, . . D(b0) D(b1) . -
, ,
i. D(i)
D(YX = xi) Y (-
Y, X). , -
, ,
( 20) D(i) = 2 = 2.
D(b0)
D(b1) 2 i.
b
Y:
(x i x)(y i y) (x i x)y i y (x i x)
b1 = 2
= 2
2
.
(x i x) (x i x) (x i x)
(x i x)(y i y) (x i x)y i
b1 = 2
= 2
, . . (xi x ) = 0.
(x i x) (x i x)
(x i x)
ci = 2
, :
(x i x)
b1 = ciyi. (5.7)
:
yi 1
b 0 = y b1x = c i y i x = ( c i x)y i .
n n
1
di = c i x , :
n
b 0 = d iy i. (5.8)
, Y
X, ci di -
. ,
2 2 2
D(b1) = D( ciyi) = c i = 2
(5.9)
(x i x)
1 1 2c x
D(b0) = D( diyi) = 2 d i2 = 2( c i x )2 = 2 ( 2 i + c i2 x 2 ) =
n n n
116
1 x2 2 1 x2 2 x i2
= 2( 0+ ) = ( + 2
) = 2
. (5.10)
n i
(x x ) 2
n i
(x x ) n i
(x x )
(5.10), (5.11) .
b0 b1
2. , ,
.
n , .
, . . ,
.
( (i x )2) -
, .
,
, ( -
).
-
.
, i
, -
e i = y i b 0 b1x i yi
Y .
D(i) = 2
2
2 1 2 ei
S = (yi b0 b1xi) = . (5.11)
n2 n2
2 S2
D(b1 ) Sb1 = 2
, (5.12)
(x i x)
S2 x i2
D(b 0 ) S2b 0 = 2
= x 2 S2b1 . (5.13)
n (x i x)
2
ei
2
S = ( -
n2
). ,
2
ei
, . . S = , -
n2
( ).
117
S b0 = S2b0 Sb1 = S2b1 -
b0 b1,
.
-
.
b1 .
Y , (
) . -
, ( i = 0 ), -
b a -
( e i = 0 S2 = 0 Sb 0 = Sb1 = 0 ). , . 5.1, -
( e i2 = 0 ). -
. . 5.1,
,
( ),
. 5.1, . -

((1, 2), (1, 3), (2, 3)). , -
, , Sb1 -
b1 .
Y Y
3 3
2 1
X X

. 5.1
(5.12), S2b1 ,
(i x )2 xi x .
( , , S2b1 -
118
), -
X.
, . 5.2 (1, 3) (2, 3)
. (1, 3) (2, 3).
3 3, 3 (. .
), (1, 3) -
, (2, 3).
Y
1 3
0 X
. 5.2
2
xi
S2b 0 = S2b1
n
2
Sb1 . , -
, (x, y) ,
, -
OY.
, ,
x 2 . ,
X -

,
OY.
.5.3 (1, 2) (3, 4)
, OY (0, b0).
X ( -
X Y), .
1 3 ( 1, 3),
(1, 2) (3, 4) . -
119
b01 -
b0, b02 .
Y
3 4
b02 a

3
1a 2
b01

b0 1
0 X
. 5.3
5.3.

-
. -
,
. -
-
b0 b1 -
0 1 -
.
, 3.4.

H0: b1 = 1,
H1: b1 1

b 1
t= 1 , (5.14)
Sb1
H0
= n 2, n . -
, H0: b1 = 1 ,
b1 1
.= t , (5.15)
Sb1 2
,n 2
120
. (5.15) c-
, H0.

Y X. -
:
H0: b1 = 0,
H1: b1 0.

. , -
H0 , , Y -
. , b1 -
( ). H0 -
b1 , -
Y X.
, . . -
,
, .
, 1 = 0,
b1 -

Sb1 = S2b1 .
=
= n 2, n . t-
.
b b
t= 1 = 1 . (5.16)
Sb1 Sb2
1
t-
. , t = 0 b1 = 0, t -
b1.
X Y.
t- -
b0:
b b
t= 0 = . (5.17)
S b0 S2b 0
121
, -
b1, . .
-
Y.
4.1.
2
S2 ei
2
(y i b0 b1x i ) 35.3
S2b1 = = = = = 0.0023.
n( x 2 x 2 ) n(n 2)( x 2 x 2 ) n(n 2)( x 2 x 2 ) 12 10 125.25
S b1 = 0.0023 = 0.0485.
b1 0.9339
t b1 = = = 19.2557.
S b1 0.0485
= 0.05 t. = t =
,n 2
2
= t 0.025;10 = 2.228.
t b1 = 19.2557
t 0.025;0.8 . t b1 = 19.2557 > 2.228 = t.,
{t = 0}
. -
b1.
b0:
S2 x i2
S2b 0 = = S 2b1 x 2 = 0.0023 15884.75 = 36.5349 .
2 2
n( x x )
S b 0 = 36.5349 = 6.044.
b0 3.699
t b0 = = = 0.612 .
S b 0 6.044
t b 0 = 0.612 < 2.228 = t., -
b0 . , -
,
Y = b1X.

,
.

( t < 1 ), , . . -
-
0.7.
1 < t < 2,
122
() .
0.7 0.95.
2 < t < 3, -
X Y.
0.95 0.99.
, t > 3,
.
, -
. , -
. n >10
.
5.4.

5.2,
i
, . .
i N(0, 2 ) .

(), -
.
-
,
, ,
.
i -
, .
,
(, -
). , -
. , i
(i = 1, n ) M( i ) = 0 , 2 ( i ) = 2 .

(BLUE) b0 b1 0 1
, ,
.
,
b0 b1 . , -
123
,
. , (5.7),
(5.8), b1 b0 :
b1 = ci yi , b0 = di yi ,
ci, di .
, b1 b0
yi. yi (4.6) -
i ( , 0, 1 xi
). b1 b0 yi
i, . , b1 b0
.
, M(b 0 ) = 0 , M(b1 ) = 1 .
S2
D(b1 ) S2b1 = 2
,
(x i x)
S2 x i2 2
ei
D(b 0 ) S2b 0 = , S2 = .
n (x i x) 2 n2
, b0 N(0, D(b0)), b1 N(1, D(b1)).
, ,
b0 0 b 1
t b0 = , t b1 = 1 (5.18)
S(b 0 ) S(b1 )
= n 2.
100(1 )%-
-
=1
t ,
,n 2
2
P( t < t ) =1 . (5.19)
,n 2
2
(5.18) (5.19),
b 0
P( t < 0 < t ) =1 ;
2
,n 2 S(b 0 ) 2
,n 2
(5.20)
b 1
P( t < 1 < t ) =1 .
2
,n 2 S(b1 ) 2
,n 2
, , :
124
P(b 0 t S(b 0 ) < 0 < b 0 + t S(b 0 )) = 1 , (5.21)
,n 2 ,n 2
2 2
P(b1 t S(b1 ) < 1 < b1 + t S(b1 )) = 1 . (5.22)
,n 2 ,n 2
2 2
C (5.12), (5.13)
S2 x i2 S2 x i2
P(b 0 t < 0 < b 0 + t ) = 1 ; (5.23)
2
,n 2 n (x i x) 2 2
, n 2 n (x x) 2
i
S2 S2
P(b1 t 2
< 1 < b1 + t ) =1 . (5.24)
,n 2 (x i x) , n 2 (x x) 2
2 2 i
(5.23), (5.24)

b 0 t S(b 0 ); b 0 + t S(b 0 ) , (5.25)
2
,n 2
2
,n 2

b1 t S(b1 ); b1 + t S(b1 ) , (5.26)
2
,n 2
2
,n 2

(1 )
0 1.
4.1 95%- -
:
(3.699 2.2286.044; 3.699 + 2.2286.044) = (9.767; 17.165);
(0.9339 2.2280.0485; 0.9339 + 2.2280.0485) = (0.826; 1.042).
-
0 0, -
(1 ) b0 b1.
5.5.

() -
.
: -
-
( ),
-
( ).
125
.
)
y i = b 0 + b1x i , -
M(YX = xp)
)
Y X = xp. y p = b 0 + b1x p -
M(YX = xp). ,
)
y p ,
, -
.
, (1 )
xp .
)
, , Yp
. -
(5.7), (5.8), :
)
Yp = b0 + b1xp = diyi + ( ciyi)xp = (di + cixp)yi.
)
, Yp
, , .
)
M( Yp ) = M(b0 + b1xp) = M(b0) + M(b1)xp = 0 + 1xp ,
) (5.27)
2
D( Yp ) = D(b0 + b1xp) = D(b0) + D(b1) x p + 2cov(b0, b1) xp
( : D(X + Y) = D(X) + D(Y) + 2cov(X, Y);
D(cX) = c2D(X); cov(X, bY) = bcov(X, Y)).
cov(b0, b1) = M[(b0 M(b0))(b1 M(b1))] = M[(b0 0)(b1 1)] =
= M[( y b1x ( y 1x ))(b1 1)] = x M[(b1 1)(b1 1)] =
2
= x D(b1) = x 2
.
(x i x)
) 2 x i2 2 2 2
D( Yp ) = + x p 2 x xp =
n (x i x) 2 (x i x)
2
(x i x)
2
2 2

2 1 (x x p ) 2
= 2
[ x 2xx p + x p ] = + 2
. (5.28)
(x i x) n (x i x)
2
2 2 ei
S = ,
) n 2
S2( Yp ) .
126

)
Yp ( 0 + 1x p )
= ) (5.29)
S(Yp )
= n 2.
, -

= n 2 t , -
,n 2
2
P( T < t ) = 1 . (5.29) :
,n 2
2
)
Yp ( 0 + 1x p )
P ) < t = 1 . (5.30)
S( Y ) ,n 2
p 2
:
) )
P(b0 +b1xp t S( Yp )<0+1xp<b0+b1xp+ t S( Yp )) =1. (5.31)
,n 2 ,n 2
2 2
, M(YX = xp) = 0 + 1xp

:
2 2
1 (x x p ) 1 (x x p )
b0 + b1xp t S + 2
; b0 +b1xp+ t S + 2
.
2
,n 2 n (x i x ) 2
,n 2 n (x i x)
(5.32)
Y

M(YX = xp) )
Y = b 0 + b1X
)
yp
y
x xp X
. 5.4
127

0 : M(YX = xp) = yp;
1 : M(YX = xp) yp
:
M(Y X = x p ) y p
T= , (5.33)
2
1 (x x p )
S+
n (x i x) 2
=
=n2. 0 , . t (
,n 2
2
).
.
Y,
-
.
Y.
0 -
Y xp .
Y X = xp -
yp. 0 Y0, yp
Yp, ,
2

2 1 (x x p ) 2
Y0 N(0 + 1xp, ), Yp N(b0 + b1xp, + 2
).
n (x i x)
Y0 Yp , , U = Y0 Yp

2
1 (x x p ) 2
M(U) = 0 D(U) = 1 + + 2
.
n (x i x )
U Y0 Yp
, =
Su 1 (x x p )
2
S 1+ +
n (x i x) 2
= n 2.
,
128
Y0 Yp
P ( t < < t ) = 1 . (5.34)
2
2
,n 2
1 (x x p ) 2
,n 2
S 1+ +
n (x i x) 2
,
2
1 (x x p )
b0 + b1xp m t S 1 + + (5.35)
2
,n 2 n (x i x) 2
,
100 % X = xp. ,
-
( . 5.4 -
).
, ,
p = x . p -
(. . 5.4).
-
. , -
n
n .
4.1 95 %-
M(YX = xp) = 160. -
(5.32), :
1 (125.25 160) 2
3.699+ 0.9339160 2.2281.8788 + .
12 2102.1875
, Y = 160
: (149.728; 156.5193). , -
160 95 % (149.728; 156.5193).
,
95% -
= 160. (5.35).
1 (125.25 160) 2
3.699 + 0.9339160 2.2281.8788 1 + + .
12 2102.1875
, , , 95 % -
= 160, : (147.4898; 158.7082).
, -
.
129
5.6. .
R2

,
,
. , -
-
. , ,
Y X -
. -
. Y -
. -

(. 5.5).
Y X Y X Y X
Y X Y=X

. 5.5
. 5.5, Y. -
. , . 5.5, Y
.
(-
) -
R2. -
-
.
:
2
ei
R2 = 1 2
. (5.36)
( yi y )
130
. -
:
)
Y = b 0 + b1X . (5.37)
() i, i = 1, 2, , n -
)
y i ei:
)
i = y i + ei . (5.38)
(5.38) :
) )
i y = ( y i y ) + (i y i ), (5.39)
. . i y = ki + i,
(i y ) i- () -
y Y; ki i-
)
y ; i i- y i ,
.
(. . 5.6).
Y
.
.
y
ki
ei
yi
X
xi
. 5.6
(5.39)
n:
2 ) 2 ) 2
( y i y ) = ( y i y ) + 2 (( y i y ) e i ) + e i . (5.40)
)
, (( y i y ) e i ) = 0 (
). :
2 2 2
(y i y) = k i + e i . (5.41)
131
, (y i y) 2 ()
() -
)
Y y . k i2 = ( y i y ) 2
, , -
)
. e i2 = (y i y i ) 2 ()
, ,
( -
).
(5.41) , :
2 2 2 2
ki ei ki ei
1= 2
+ 2
2
= 1 2
. (5.42)
( yi y ) ( yi y ) ( yi y ) ( yi y )
2
ki
R2 = 2
,
( yi y )
(5.36). , R2 -
,
Y X.
2
ei
2
,
( yi y )
Y X.
, -
0 R2 1. -
R2 0 .
, Y -
, ei2 ,
2
( y i y ) . , , -
e i2 , Y = y
, y = b 0 + b1x . -
(5.36) ,
(, -
Y = y ). , -
R2 .
, R2 ,
, -
132
-
Y, Y = y .
, Y,
R2 (. 5.5, ). -
, R2 (. 5.5, ).
R2, . .

, Y
, - -
.
(, , , ). -
( , , )
. -
(,
) R2
.
,
, -
Y = y .
,
, R2
0.6 0.7. R2 -
,
( ,
. .).
, , R2
. (
) R2 .
, -
, . R2
.
,
Y = b jX j . , -
(), -
(. 5.7). R2 -
, -
Y = y , (),
.
133
Y
Y = bX
Y = b0 + b1X
Y= y
x X
. 5.7
. 5.7 , -
Y Y = y -
Y = bX . R2 -
Y = b jX j -
(Y = b0 + b1X, . . 5.7).

6.7.
R2
-
rxy.
2 ) 2 2
2 ki (y i y ) (b 0 + b1x i (b 0 + b1x))
R = 2
= 2
= 2
=
( yi - y ) ( yi - y ) ( yi - y )
2
(x i - x))
2
(x i x)(y i y) (x i - x)) 2
= b12 2
= 2
2
=
(y i - y ) (x i x ) (y i - y )
2
( (x i x)(y i y) )2 (x i x)(y i y)
= = = r2 .
2
(x i x) ( y i - y )
2 (x x) 2 ( y - y ) 2 xy
i i
R2 4.1.
2
2 ei 35.3
R =1 =1 = 0.983.
(yi y )
2
2108.6668

2 2 2
. R = 0.983 (0.9914) = rxy
( ).
134

1. ,
?
2. (BLUE)?
3. -
?
4. .
5. ?
6. -
.
7. -
.
8. -
?
9. ?
10. .
11. ?
12. :
) ;
) ;
) ;
) (, ) ;
) ;
) .
13. , , , .
)
.
) .
) ,
.
) , , -
ei = 0.
)
, .
) , -
.
)
.
) 90 %- -
90 %
-
.
2
) 0 R 1.
135
) -
.
14. 150 -
Y = 0 + 1X + 0 1 .
, Y .
) ,
?
) Y ,
(; ;
).
) , -
(; ; ).
) , -
, . .
.
15.
) ;
) ;
) ;
) ;
) .
(; ; . ).
16. Y = 0 + 1X +
b1 1. -
0: , ? -
.

1. 10 ( Y) :
(%) 19.2 15.8 12.5 10.3 5.7 5.8 3.5 5.2 7.3 6.7
Y (%) 20.1 18.0 10.3 12. 5 6.0 6.8 2.8 3.0 8.5 8.0
) Y = b0 + b1X + e.
) .
2
) R .
) Y = bX + u.
) b, Sb
S (
).
) b1 b?
) ?
) , -
?
136
2. -
. -
1989 1998 .
89 90 91 92 93 94 95 96 97 98
1000 1090 1150 1230 1300 1360 1400 1470 1500 1580
190 220 240 240 260 250 280 290 310 350
) , -
;
) ;
) ;
) ;
) 90 %- 95 %- -
;
) -
= 0.1 = 0.05;
) ;
) 2000 2003 .;
) 95 %- ;
)
;
)
?
) .
3.
( .):
91 92 93 94 95 96 97
( I ) 14.56 15.70 16.30 18.50 20.34 21.70 23.50
() 12.00 12.70 13.00 15.50 16.70 17.30 20.00
) C = b0 + b1X + e ;
) ;
) -
= 0.05;
) 95 %- -
;
) I = 25.00; -
;
) C = b0 + b1X + e,
;
) C = b0 + b1X + e,
(91, 92) (96, 97);
137
) , ) ), -
0, 1;
) -
;
) , 3 .
4. (POP)
(D).
81 82 83 84 85 86 87 88 89 90
POP( .) 10.0 10.3 10.4 10.55 10.6 10.7 10.75 10.9 10.9 11.0
MED(.) 12.1 12.6 13.0 13.8 14.9 16.0 18.0 20.0 21.0 22.0
)
MEDt = b0 + b1POP.
) ?
) rpop;med;
?
) 1995 . 11.5 ,
? 99 %- -
.
) 0.8 ,
?
2
) R ,
, ).
) .
5. Y:
0 0 2 2
Y 0 2 0 2
) Y = b0 + b1X + e -
.
) Y = bX + v
.
) .
) .
6. 10 Y :
xi = 1700; yi = 1100; xiyi = 204400;
x i2 = 316000; y i2 = 135000.
, ,
) b0 b1;
138
) ;
) 90 99 %- 0 1;
) -
0: 1 = 0;
) R2.
7. 15- -
:
t = 787.4723 + 8.0863M1t + e t
se = ( ) (0.2197)
2
t = (10.0) ( ), R = 0.9912.
( $), M1 .
) ;
) ;
) ;
) , -
. -
?
) ?
)
550 $. ?
) -
95 %.
8. 9 :
)
y t = 70.85 + 0.888x t ,
2
t = (5.89) (5.9), R = 0.685,
Y ; -
.
) b1 ?
) ?
) .
) b1 ?
) .
9. Y . -
:
2
x = 122.167 ; y = 125.25; (xi x ) = 2135.679;
2
(yi y ) = 2216.168; (xi x )(yi y ) = 2115.

) ;
) ;
) ;
139
) ;
)
.
10. :
)
Y = 150 + 5,
2
se = (20) (1.2), R = 0.87,
xt = zt / zt1 Z. ,
Z (%):
xt = (zt zt1) / zt1.
11. (Y)
(). 25--
:
)
Y = 250.15 + 0.2941
2
se = ( 25.832) ( ) R = 0.9215.
t = ( ) (15.275)
) .
) .
) ?
?
) , b1 0.3?
) ( ,
) ?
140
6.
6.1.
-
, . , -
, -
,
.
M(Yx) = f(x)
(Yx1, x2, , xm) = f(x1, x2, , xm). (6.1)
Y X1,
X2, ..., Xm . -

Y = f(, X) + , (6.2)
X = (X1, X2, ..., Xm) () -
; ( ); -
(); Y () .
,
f Y -
X.
-
-
.
:
Y = 0 + 1X1 + 2X2 + ... + mXm + (6.3)
i, i = 1, 2, , n:
yi = 0 + 1xi1 + 2xi2 + ... + mxim + i. (6.4)
= (0, 1, ..., m) (m + 1)
. j, j = 1, 2, , m, j- -
( ). -
Y Xj.
,
(Yx1, x2, , xm) Y -
j ,
. 0 ,
Y, , Xj .
141

.
n
X = (X1, X2, , Xm) Y:
(xi1, xi2, , xim, yi), i = 1, 2, , n.
-
0, 1, ..., m (. . -
), n m + 1. -
, -
, -
Y -
. , n = m + 1,

m + 1 :
yi = 0 + 1x i1 + 2x i2 + ... + mx im , i = 1, 2, ..., m + 1. (6.5)
,
Y = 0 + 1X1 + 2X2
(x i1,x i2, xi3, yi), i = 1, 2, 3. -
0, 1, 2
Y = 0 + 1X1 + 2X ,
. ,
-
, (x 41,x 42, x 43, y4)
(, , ).
. ,
:
, . .
n > m+1, , -
, -
, . . 0, 1, ..., m, -
.
= n m 1 -
. ,
, -
. , ( -
) , -
. , -
142
,
, , 3
.
-

(). ,
-
)
Y Y , .

,
,
.
5.1. .

10. i :
M(i) = 0 .
20. ( ).
i :
D(i) = D(j) = 2 i j.
30. .
i j
i j.
0, i j;
i j = cov(i , j ) = 2
, i = j.
40.
.
i x i = 0 .
50. .
-
.
60. .
(-
) .
70. i (i N(0, )).
143
-
.
,
j . -
(6.3) -
. -
:
Y = b0 + b1X1 + b2X2 + ... + bmXm + . (6.6)
b0, b1, ..., bm 1, 2, ..., m
( );
. :
yi = b0 + b1xi1 + + bmxim + ei. (6.7)
-
() Y.

.
n: (xi1, xi2, , xim, yi), i = 1, 2, , n
j , . .
( xij, j = 1, 2, , m -
Xj i- ).
i
b0, b1, ..., bm 1, 2, ..., m
, -
(. . BLUE-).
(6.7) i yi -
)
Y y i ,
i- (i = 1, 2, , n), -
:
ei = yi b0 b1xi1 bmxim. (6.8)
b0, b1, ..., bm -
:
n n m
Q = e i2 = (y i (b 0 + b jx ij )) 2 . (6.9)
i =1 i =1 j =1
-
bj, j = 0, 1, ..., m. , ,
. Q -
144
bj.
(6.9) -
Q n m
b = 2 i (y (b 0 + b jx ij )),
0 i = 1 j =1
Q n m (6.10)
= 2 (y i (b 0 + b jx ij ))x ij , j = 1, 2, ... , m.
b j i =1 j =1
, (m + 1)
(m + 1) :
n (y (b + m b x )) = 0,
i =1
i 0 j ij
j =1
n m (6.11)
(y i (b 0 + b jx ij ))x ij = 0, j = 1, 2, ..., m.
i =1 j =1
. -
, -
, -
.
.
(6.11) . -
-
.
6.2.
c
-
.
y1 1 x11 x12 ... x1m b0 e1
y 1 x x 22 ... x 2m b e
Y= 2
, X= 21 , B= 1
, e = 2 .
... ... ... ... ... ... ... ...
y
n 1 x n1 x n2 ... x nm b m e n
Y - n
Y; n (m + 1), i-
(i = 1, 2, , n) -
X1, X2, , Xm; -
b0; B - (m
145
+ + 1) (6.6); e - -
n () yi -
)
Y y i , -
)
y i = b0 + b1X1 + b2X2 + ... + bmXm. (6.12)
n
, Q = e i2
i =1
- eT = ( e1, e2, ... , en )
- e. - e, , -
:
e = Y XB. (6.13)

Q = eTe = (Y XB)T( Y XB) = YT Y BT XT Y YT XB +BT XT XB =
= YT Y 2BT XT Y + BTXT XB. (6.14)
eT, BT, XT, YT ,
e, B, X, Y . (6.14) -
:
(Y XB)T = YT - (XB)T; (XB)T = BTXT; BT XT Y = YT XB. (6.15)
, -
.
Q -
Q
bj,
b j
Q
j = 0, 1, , m. , -
-
B
:
Q
= 2 XT Y + 2(XT X)B. (6.16)
B
XT X -
(m + 1) (m + 1) Z.
146

z11 z12 ... z1 m+1 b 0
z
z 22 ... z 2 m+1 b1
S = B Z B = (b 0 , b1 , ..., bm) 21
T =
... ... ... ... ...

z m+11 z m +1 2 ... z m +1 m+1 bm

b0
b
m m m

= b i z i +1 1 , b i z i +1 2 , ... , b i z i +1 m +1 1 =
i=0 i=0 i=0 ...

bm
m m m m
= b j b i z i +1 j +1 = b j b i z i + 1 j +1 .
j= 0 i=0 j= 0 i = 0
S m
, = 2 b i z i +1 j + 1 .
b j i=0
S
= 2(XT X)B.
B
- TY (m + 1) R.
m
BT XT Y = BTR = a jrj +1 , rj+1
j= 0
T
(B R)
R. = R = XTY.
B
T (Y T Y)
Y Y B , = 0.
B
Q
, (6.16) . -
B
, (6.18) -
:
2 XTY + 2(XT X)B = 0
XTY = (XT X)B (6.17)
B = (XT X)1XTY. (6.18)
(XT X)1 , XT X.
147
-
m .
m = 1, m = 2.
Y = b0 + b1X + e :
y1 1 x1 e1
y 1 x e
b 0
Y= 2
X= 2
, B = , e = 2.
y3 ... ... b1 ...
y
4 1 xn e n
e1 y1 1 x1
e y 1 x b
2 = 2 2 0
(6.13) e = Y XB .
... ... ... ... b1

e n y n 1 x n
1 x1

T 1 1 ... 1 1 x 2 n xi
Z=X X= = 2.
x1 x2 ... xn ... ... x i x i

1 xn
xi
2
xi
2 2

Z 1 = (XT X)1 = n x i ( x i ) n x i2 ( x i ) 2 .
xi n
n x i ( x i )
2 2
n x i ( x i )
2 2
y1

T 1 1 ... 1 y 2 y i
R= Y= = .
x1 x2 ... xn ... x i y i

yn
2
x i yi x i x i yi
2 2
2 2
(6.18) B = (X X) X Y =
T 1 T n x i ( x i ) n x i ( x i ) =
x i yi n x i yi
+
n x i ( x i )
2 2
n x i ( x i )
2 2
x i2 y i x i x i y i
2 2 y b x b
= n x i ( x i ) = 1
= 0 (4.13)

n x i y i x i y i b1 b1
n x i2 ( x i ) 2
148
z jj Z 1 = (XT X)1
(5.12), (5.13), , S2b j = S2 z jj , j = 0, 1.
, (
) -
-
(m = 2). (6.17) -
-
b0, b1, b2:
y i = nb 0 + b1 x i1 + b 2 x i2 ,
2
x i1y i = b 0 x i1 + b1 x i1 + b 2 x i1x i2 , (6.19)
2
x i2 y i = b 0 x i2 + b1 x i1x i2 + b 2 x i2 .
:
b 0 = y b1x1 + b 2 x 2 ,
2
(xi1 x1 )(yi y) (xi2 x2 ) (xi2 x2 )(yi y) (xi1 x1 )(xi2 x2 )
b1 = 2 2 2
(xi1 x1 ) (xi2 x2 ) ((xi1 x1 )(xi2 x2 ))
2
(xi2 x2 )(yi y) (xi1 x1) (xi1 x1)(yi y) (xi1 x1)(xi2 x2 )
b2 = 2 2 2
. (6.20)
(xi1 x1) (xi2 x2 ) ((xi1 x1)(xi2 x2 ))
6.3.
-
, -
, .
-
. , -
:
10. M() = 0;
20. D() = 2I;
T
30. K() = M( ) = 2E.
149
1 1 1 0 ... 0
1 0 1 ... 0
= 2
, I = [1] n 1 = , E = E n n =
... ... ... ... ... ...

n 1 0 0 0 1
D(1 ) 12 ... 1n
D( 2 ) ... 2n
K() = 21 .
... ... ... ...

n 1 n 2 ... D( n )
, -
(6.18)
B = (XT X)1XTY.
Y = X + -
, :
B = (XT X)1XT(X + ) = (XT X)1(XTX) + (XT X)1XT =
= + (XT X)1XT.
, B = (XT X)1XT.
-
T
K() = (( B)( B)T) = [((XT X) 1XT)((XT X) 1XT) ] =
T
= M(XT X) 1XT X(XT X)1.
, j , :
T
K() = (XT X)1XT( ) X(XT X)1 = (XT X)1XT2EX(XT X)1 =
= 2(XT X)1
D(i) = 2zjj. (6.21)

, z jj j- Z 1 =
= (XT X)1.
2 -
,
2
2 ei
S = , (6.22)
n m 1
150
m . ,
(6.22) n m 1 =
= n k, k (
).
, -
:
2
ei
2
S2b j =
S zjj = zjj, j = 0, 1, , m. (6.23)
n m 1
, S = S2
. Sb j = S2b j -
.
)
, Y = b 0 + b1X1 + b 2 X 2 -
-
:
1 x 2 (xi2 x2 )2 + x22 (xi1 x1 )2 2x1x2 (xi1 x1 )(xi2 x2 ) 2
S2b0 = + 1 2 2 2 S ,
n
i1 1 i2 2
(x x ) (x x ) ( (x
i1 1 i2 2
x )(x x ))
2
(x i2 x 2 )
S2b1 = 2 2 2
S2
(x i1 x1 ) (x i2 x 2 ) ( (x i1 x1 )(x i2 x 2 ))
S2
S2b1 = 2 2
, (6.24)
(x i1 x1 ) (1 r12 )
2
(x i1 x1 )
S2b 2 = 2 2 2
S2
(x i1 x1 ) (x i2 x 2 ) ( (x i1 x1 )(x i2 x 2 ))
S2
S2b 2 = 2 2
,
(x i2 x 2 ) (1 r12 )
Sb0 = S2b0 , Sb1 = S2b1 , Sb2 = S2b2 .
r12 = rx1x 2
1 2.
:
r12 S2
Cov(b1, b2) = . (6.25)
2 2 2
(1 r12 ) (x i1 x1 ) (x i2 x 2 )
151
6.4.
c
(. 5.4) -
bj j (j = 0, 1, , m) -

.
j t-
bj j
t= , (6.26)
Sb j
=
= n m 1 (n , m -
).
100(1 )%-
j.

t ,
, n m 1
2

P( | t | < t ) = P( t < t < t )=1. (6.27)
, n m 1 , n m 1 , n m 1
2 2 2
(6.26) (6.27),
bj j
P( t < < t ) = 1 ,
2
, n m 1 Sb j 2
, n m 1
P( b j t Sb j < j < b j + t Sb j ) = 1 . (6.28)

, n m 1 , n m 1
2 2
, S b j
n
2
ei
S b j = S z jj = i =1
z jj . (6.29)
n m 1
, , -
(1 ) j, -
152
bj t Sb j < j < b j + t Sb j . (6.30)
, n m 1 , n m 1
2 2
, , -
(. 5.5)
:
) ) ) )
Yp t S(Yp ) < M(Yp X Tp ) < Yp + t S(Yp ) . (6.31)
,n m 1 ,n m 1
2 2
:
) )
Yp t S XTp (XT X)1 Xp < M(Yp XTp ) < Yp + t S XTp (XT X)1 Xp .
,nm1 ,nm1
2 2
(6.32)
6.5.

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

;
;
,
(
).
6.6.

(. 5.3, (5.16)),

153
m
t-:
bj
t= , (6.33)
Sb j
-
= n m 1 (n ). -
t-
t .
, n m 1
2
t > t , bj
, n m 1
2
.
(t < t ) bj
, n m 1
2
( ). -
, Xj -
Y. -
. - -
, -
. ,
bj , -
Xj. -
, .
-
.
t < 1 ( bj < Sb j ), .
1 < t < 2 ( bj < 2Sb j ), .
.
2 < t < 3, . -
> 20 0.05 (.
).
t > 3, . -
-
0.001.
154
6.7.

.
, ,
R2, -
:
2
2 ei
R =1 2
. (6.34)
(yi y )

Y, , -
5.6. ,
0 R2 1. , -
Y. -
R2.
-
. -
-
R2. , -
, , -
. ( -
) Y.

-
.
()
:
2
2 e i /( n m 1)
R = 1 2
. (6.35)
( y i y) /(n 1)
, ( y i y) 2 /(n 1)
-
Y y . (n 1).
y .
2
e i /( n m 1) -
( -
). (nm1).
(m + 1)
155
(m + 1) -
. , -
( -
y ) ,
:
(n 1) (n m 1) = m.
(6.35) :
n 1
R 2 = 1 (1 R 2 ) . (6.36)
n m 1
(6.36) , R 2 < R 2 m > 1. m
R 2 -
, () R2. ,
-
. , R 2 = R 2 R2 = 1.
R 2 (, R2 = 0).
, R 2 -
, t-
. -
, -
.

2
R , R 2 ,
. -
. -
, -
( ). -

, -
, .
6.7.1.

-

.
-
156

:
0: 1 = 2 = = m = 0.
, ,
m 1, 2, ,
m Y
, .
-
.
0: ( ) = ( ),
1: ( ) > ( ).
F-:
2 ) 2
k i /m (y i - y ) /m
F= 2
= ) 2 , (6.37)
e i /(n m 1) (y i - y i ) /(n m 1)
k i2 /m ; e i2 /(n m 1)
. F-

1 = = m, 2 = n m 1. , -
F. > F. = F;m;nm1 ( F;m;nm1 -
), 0 1. ,
,
,
Y. F. < F. =
= F;m;nm1, 0. ,
, -
. , -
, ,
.

-
R2:
0: R2 = 0,
0: R2 > 0.
F-
:
157
R2 n m 1
F= . (6.38)
1 R2 m
F -
H0 F-
(6.37). ,
(6.37) (y i y) 2 ,
(6.38):
2 2
k i / (y i y) (n m 1) R2 n m 1
F= 2 2
= .
e i / (y i y) m 1 R2 m
(6.38) , F R2
. F = 0, R2 = 0, Y = y
, , , Y
X1, 2, ..., Xm. H0: F= 0

F. =
F;m;nm1. , F > F.. -
, R2 > 0, . . R2 .
F ,
-
, R2 -
.

.
, , -
2 0.65 30 2 1
30 R = 0.65. F = 25.07.
0.35 2
F0.05;2;27 = 3.36; F0,01;2;27 = =
5.49. F. = 25.07 > F. 5%, 1% -
2
, . R
0.4 27
= 0.4, F = = 9 .
0.6 2
.
, -
F-
r n2
t- t = xy 2
(.
1 rxy
158
3.5.6). F- t-. -
R2 -
.
6.7.2.
-
-
, -
. F -
-
,
.
n

Y = b0 + b1X1 + b2X2 + ... + bm-kXm-k + ... + bmXm , (6.39)
R 12 .
k ( ,
, k ). -
n -
:
Y = 0 + 1X1 + 2X2 + ... + m-kXm-k, (6.40)
R 22 . ,
R 22 R 12 ,
( ) . -
: -
Y. , -
H0: R 12 R 22 = 0
R 12 R 22 n m 1
F= . (6.41)
1 R 12 k
H0 F -
1 = k , 2 = n m 1.
, (6.41)
(R 12 R 22 )/k
F= . (6.42)
(1 R 12 ) /( n m 1)
159
(R 12 R 22 ) -
k ; k -
; (1 R 12 ) /(n m 1) -
. ,
(6.37).

F. = F;m;nm1 ( ). -
F. (6.41) F., -
( -
k -
) . -
k ,
R 12 R 22 . ,

, -
.
, , F- (. . ,
F.), , R 12 R 22 . -
, , -
k
, -
.

k .
F-
R2 R2 n m 1
F = 2 21 . (6.43)
1 R2 k
F., -

. -
. , ,
, . , -
-
(6.35), . . R2
; R 2
m, .
160

, R 2 .
.
,
R2 -
,
, n .
, Y
:
Y = 0 + 1X1 + 2X2 +
- lnY = 0 + 1X1 + 2X2 + .
R 12 R 22
:
2 2
ei ei
R 12 =1 2
R 22 =1 2
.
(y i y) (lny i ln y)
-
,
.
6.7.3.

F-

. -
, .
n1 n2 .
:
Y = b0k + b1kX1 + b2kX2 + ... + bmkXm + ek, k = 1, 2. (6.44)
-

H0: bj1 = bj2, j = 0, 1, ..., m.
,
?
161
e ik2 (k = 1, 2) yi
i
S1 S2 -
.
(n1 + n2)
,
yi S0.
0 F-:
S0 S1 S2 n1 + n 2 2m 2
F= . (6.45)
S1 + S2 m +1
H0 F- -
1 = m + 1; 2 = n1 +
+ n2 2m 2 .
, F- , S0 S1 + S2 ,
,
. F < F.= F; 1 ; 2 . F >
> F., . -
, -

(. 6.1, ),
(. 6.1, ).
Y t0 t1 t2 Y t0 t1 t2

t t

. 6.1

-
-
162
-
.
6.8. .

R2
.
[3],
CONS ( . 1982) -
( .) 19311990 .
. 6.2.
CONS
3000
2500
2000
1500
1000
500 1931
100 150 200 250 300
. 6.2
, -
, :
CONS = 1817.3 + 16.7POP.
Sb0 = 84.7, Sb1 = 0.46. -
, t- t b0 = 21.4 , t b1 = 36.8. -
3, -
. R2 = 0.96 (. .
96% ).
, -
CONS ,
.
, , . -

( ),
163
( ), . . -
-
.
, t- F-
-
(, R2 = 0.96, ,
, CONS ). -
?
, -
i -
(. 6.1).
. -

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

.
, ,
, -
, -
-
. , -
, -
, -
.
, -
, -
, -
. , -
(. 6.2)
,
,
i1 i
-
164
. -
-
. -
-
- ,
.
-
.

,
,
. i
Y = 0 + 1X + -
, -
i, i = 1, 2, , n.
, -
, . -
, i.
( -
)
X ( ) i. -
, -
,
re i e i1 = i e i e i 1
( e - M(e i ))( e i 1 - M(e i 1 ))
= . (6.46)
2 2 2
i
(e M(e i )) i 1
(e M(e i 1 )) 2
e i e i 1
, M(ei) = 0, i = 1, 2, , n.

-
DW, :
2
(e i e i 1 )
DW = 2
. (6.47)
ei
,
2 2 2 2 2
(e i ei 1 ) = (e i 2ei ei 1 + e i 1 ) = e i 2 e i ei 1 + e i 1
2 e i2 2 ei e i 1 .
165
, n -
: e i2 e i21 .

2( ei2 ei e i 1 )
DW 2
= 2(1 re i e i1 ) . (6.48)
ei
, ei = ei1, re i e i1 = 1 DW = 0.
ei = ei , re i e i1 = 1, DW = 4.
0 < DW < 4 .
.
ei
ei-1, (ei ei1) (6.47) -
. , , (6.47)
, , DW -
. , CONS POP (. 6.2) DW =
= 0.045, -
( -
).
,
( ei ei1 ),
2 2
(2e i ) ei
ei ei1 2ei DW = 2
=4 2
= 4 .
ei ei
.
,
-
, . -
, ,
ei ei1, ei ei1 .
1 2
( 2e i ) 2
2 ei
DW = 2
= 0.5 4 2
= 2.
ei ei
, -
-
.
, DW 2, -
( ).
166
, , , -
. , -
, . -
-
. , R2
, ,
-
, ,
.
, DW -
?

( 6) , -
n, -
m -
( )
DW.
, n, m ( 6)
: dl du . -
-
.
DW
0 dl du 2 4du 4-dl 4

H0 0
. 6.3
.
DW < dl , -
.
DW > 4 dl , -
.
167
du < DW < 4 du -
.
dl < DW < du 4 du < DW < 4 dl , -
, .
,
, -
, 1.5 < DW < 2.5.
.

.
-
-
DINC -
DW. -
( t- 0.16)
. R2
,
, , -
() -
.
-
9.
,
, -
. -
,
,
,
.
6.1. S
10 . , st t
yt1 Y rt -
R .
. 6.1.
6.1
80 81 82 83 84 85 86 87 88 89 90
Y(. ..) 100 110 140 150 160 160 180 200 230 250 260
Z( % ) 2 2 3 2 3 4 4 3 4 5 5
S(. ..) 20 25 30 30 35 38 40 38 44 50 55
168
:
) S = 0 + 1Y + 2Z;
) -
b0, b1, b2;
) 95%- -
;
2
) R
= 0.05;
) ,
;
2
e) R -
2
R ;
) DW -
;
) ;
) MPS ,
0.5;
)
; ;
) 1991 ., -
270 . . ., 5.5.
) :
Y Z S Y2 Z2 YZ YS ZS
80 100 2 20 10000 4 200 2000 40
81 110 2 25 12100 4 220 2750 50
82 140 3 30 19600 9 420 4200 90
83 150 2 30 22500 4 300 4500 60
84 160 3 35 25600 9 480 5600 105
85 160 4 38 25600 16 640 6080 152
86 180 4 40 32400 16 720 7200 160
87 200 3 38 40000 9 600 7600 114
88 230 4 44 52900 16 920 10120 176
89 250 5 50 62500 25 1250 12500 250
90 260 5 55 67600 25 1300 14300 275
C 1940 37 405 370800 137 7050 76850 1472
176.3636 3.3636 36.8182 33709.0909 12.4546 640.9091 6986.3636 133.8182
(yi y) (z i z) (si s) (yi y)(zi z) (yi y)(si s) (z i z)(s i s )

2 2 2
28654.55 12.5455 1087.636 524.5451 5422.727 109.7272
169
(6.20):
b0 = 2.9619423 b1 = 0.124189 b2 = 3.553841
, :
s t = 2.9619423 + 0.124189 y t + 3.553841 z t .
)
st
S ei :
)
S S ei 2
ei ei ei1 (ei ei1)2
80 20 22.48852 -2.48852 6.19273

81 25 23.73041 1.269594 1.61187 3.75811 14.12339
82 30 31.00991 -1.00991 1.01992 -2.27950 5.19612
83 30 28.69796 1.30204 1.69523 2.31194 5.34507
84 35 33.49369 1.50631 2.26896 0.20427 0.04173
85 38 37.04753 0.95247 0.90719 -0.55384 0.30674
86 40 39.53131 0.46869 0.21967 -0.48378 0.23404
87 38 38.46125 -0.46125 0.21275 -0.92994 0.86479
88 44 45.74076 -1.74076 3.03024 -1.27951 1.63714
89 50 51.77838 -1.77838 3.16263 -0.03762 0.00141
90 55 53.02027 1.97973 3.91933 3.75811 14.12332
C 405 405 0 24.24058 41.87375
36,81818 36.81818
) ,
(6.24).
, (6.22):
2
2 ei 24.24058
S = = = 3.03 .
n m 1 8
S = 1.7407.
, :
2 1 31104.119 12.54545 + 11.314 28654.55 2 176.3636 3.3636 524.5451
Sb 0 = +
11 28654.55 12.54545 275147.56 3.03= 3.5832;
2 12.54545
S b1 = 3.03 = 0.00045;
28654.55 12.54545 275147.56
2 28654.55
Sb 2 = 3.03 = 1.0294.
28654.55 12.54545 275147.56
S b 0 = 1.8929; S b1 = 0.0212; S b 2 = 1.0146.
(6.33) t-:
t b 0 = 1.565; t b1 = 5.858; t b 2 = 3.503.
( ) -
. t-
, , -
.
170
. -
. . -
, -
.
: = 0.05; = 0.01. -

( 2)
t. = t : t0.025; 8 = 2.306, t0.005; 8 = 3.355.
, n m 1
2
, t b1 > t., t b 2 > t. . -
, , , Y
R S. t b0 < t., b0 -
( ),
.
. -
. ,
, -
.
) 95 %-
(6.30):
2.9619423 2.3061.8929 < 0 < 2.9619423 + 2.3061.8929;
0.124189 2.3060.0212 < 1 < 0.124189 + 2.3060.0212;
3.553841 2.3061.0146 < 2 < 3.553841 + 2.3061.0146.
-1.4031 < 0 < 7.3270; 0.0753 < 1 < 0.1731; 1.2142 < 2 < 5.8935.
2
) R (6.34):
2 24.2408
R =1 = 0.9777.
1087.636
2
R -
F- (6.38):
0.9777 8
F= = 175.3732.
1 0.9777 2
F- -
( 4):
F. = F; m; nm1 = F0.05;2;8 = 4.46.
F. = 175.3732 > F. = 4.46, F, , -
2
R . , -
Y SR S .

. .
) ,
97.77 % -
S. , -
171
-
. -
, , .
) R 2
(6.36):
2 11 1
R = 1 (1 0.9777) = 0.9721.
8
, .
) DW (6.47):
41.87375
DW = = 1.72742.
24.24058
DW -
( 5). = 0.05
n = 11 :
dl = 0.658; du = 1.604.
1.604 < DW < 2.396 (du < DW < 4 du), -
, . . ,
.
. , , , -
. -
n
, .
) -
. t-. -
2
R . . -
.
.
) MPS -
b1, ,
. , MPS = 0.124189.
, MPS 0.5,
:
H0: M(1) = 0.5,
H1: M(1) < 0.5.
(6.26),
0
= 1121 = 8.
0.124189 0.5
T= = 17.7269.
0.0212
t. = t; nm1 -
( 2): t0.05; 8 = 1.860.
172
. = 17.7269 > 1.860 = t., 0
1. 50 % -
( ) 12.4 %.
) , b2 ,
, -
( b2 ).
.
) 1991 .,
270 . . ., 5.5,
)
M(S Y = 270, RS = 5.5) = 2.9619423 + 0.124189270 + 3.5538415.5 = 56.039.

, (6.32). -
:
1.182602134 - 0.005314218 - 0.04592 1
( ) = - 0.00531422 0.000148755 - 0.00622 ; 1991 = 270 ;

1

- 0.04592002 - 0.006219683 0.339765 5 .5
X1991 = [1 270 5.5] ;
T T T 1
X1991 ( X X ) X1991 = 0.457475.
= 0.05 (6.32) :
56.039 2.3061.7407 0.457475 < M(S X1991) < 56.039 + 2.3061.7407 0.457475 ;
53.324 < M(S X1991) < 58.754.
, S 1991 .
Y = 270 SR = 5.5 95 %
(53.324; 58.754).

1. ?
2. . ?
3. ?
4. -
?
5.
.
6. -
.
7. ?
8. ?
2
9. R ?
10. ?
173
11. -
?
12. -
?
13. F- ?
14. ?
15.
?
16. ?
17. ,
:
) -
;
) -
;
)
;
)
;
)
2 2
, R = 1 R = 0;
) t- -
;
) ,
;
2
) R , -
;
2 2
) R = 1, F = 1; R = 0, F = 0;
) t-, F DW -
, ;
)
0 DW 4;
) -
(n 1) n;
2
) R
, 0.9;
)
;
)
.
18. Y = 0 + 1X1 + 2X2 + 3X3 + .
0: 1 = 2; 0: 3 = 2?
174

1. ,
) e i2 = 750; n = 50; m = 3;
) e i2 = 600; n = 25; m = 3; .
2.
Y X1 X2
) Y = 0 + 1X1+ ,
1 0 3
) Y = 0 + 2X2 + ,
3 1 1
) Y = 0 + 1X1 + 2X2 + .
5 3 0
11 4 2
) 0: 1 = 1; 0: 2 = 2?
) ?
3.
Y:
Y = 0 + 1X1+ ,
Y = 0 + 1X1 + 2X2 + .

:
) a1 = b1;
) e i2 v i2 ;
) a1 5 %- ,
b1 ;
) b1 5 %- ,
a1 .
4. , Q -
P -
W , -
:
Q = 0 + 1P + 2W2 + .
, 16 ,
:
Q 20 35 30 45 60 69 75 90 105 110 120 130 130 130 135 140
P 10 15 20 25 40 37 43 35 38 55 50 35 40 55 45 65
W 12 10 9 9 8 8 6 4 4 5 3 1 2 3 1 2
) .
175
) ,
; -
.
)
= 0.1.
.
) .
2
) R ?
) .
) .
5. 10
() (I). -
:
C( $) 8 9.5 11 12 13 14 15 16.5 17 18
I ($) 1.65 1.8 2.0 2.1 2.2 2.4 2.65 2.85 3.2 3.55
($) 14 16 18 20 23 23.5 25 26.5 28.5 30.5
) , , -

= 0 + 1I + 2C + .
) -
.
2
) R -
R 2 ; .
2
R 0.01.
) DW .
?
) .
) -
: = 22, I = 3.8. ?
6. 20 :
2 2
xi1 = 4.88; x i1 = 2.518; xi2 = 26.7; x i2 = 75.15; yi = 44.7;
xi1xi2 = 13.75; xi1yi = 22.1; xi2yi = 125.75; y i2 = 210.4; e i2 = 0.015.
) Y = 0 + 1X1 + 2X2 + .
) .
2
) R R 2 .
) 95 %- 1 2 .
) -
= 0.05.
) .
176
7. -
:
Y = 1 + 2X1 + e, R 12 = 0.2;
(t) = (2) (4)
Y = 1.5 + 3X1 + 4X2 + e, R 22 = 0.6;
(t) = (1.8) (2) (3)
. -
?
8. 25 -
2
. R = 0.8. -
25 . -
0.9, -
2.0.
?
9. 20 :
x1 = 7.3; x 2 = 420.7; y = 350.3; (y i y) 2 = 62050.35; (x i1 x1 ) 2 = 265.52;
2
(x i2 x 2 ) = 92845.072; (x i1 x1 )(x i2 x 2 ) = 4803.5;
(x i1 x1 )(y i y) = 3950.9; (x i2 x 2 )(y i y) = 75380.645.
:
) Y = 0 + 1X1 + 2X2 + ;
) ;
2
) R -
2
R ;
) .
10. , (6.18) b1 -
:
(y i y)[(x i1 x1 ) b12 (x i2 x 2 )]
b1 = =
[(x i1 x1 ) b12 (x i2 x 2 )]
2
1 Y, 2
= ,
1 , 2
b12 1 2: 1 = + b122.
11. :
: Y = 0 + 1X1 + 2X2 + .
: (Y X2) = 0 + 1X1 + 2X2 + .
) 0 0?
) 1 1?
177
) 2 2?
) , -
?
12. Y = 0 + 1X1 + 2X2 + 3X3 + .

25 :
)
y t = 4 + 7x t1 + 1.4x t2 + 4.2x t3 , R 2 = 0.978.
(t) = (1.9) (2.3) (3)
1 = 2:
)
y t = 3 + 5.8(x t1 + x t2 ) 1.3x t3 , R 2 = 0.864.
(t) = (2.7) (2.5)
) 0: 1 = 2.
?
) X2 -
R 2 ?
2
) R ?
)
Y?
13. :
Y = 1X1 + 2X2 + .
) ?
) ?
) :
e i = 0; e i x i1 = 0; e i x i2 = 0 ?
14. Y = 10 + 5X1 + 0.16X2 + . S2b1 = 2.15; S2b 2 = 0.056;

Cov(b1, b2) = 0.05.
, b1 b2
.
15. Y = 0 + 1X1 + 2X2 +

n =15:
20 32800 140 31240
= 32800 72560 290540 ; X Y = 66300920 ;
T

140 290540 1280 255430
y = 2010; x1 = 2200; x 2 = 10.
) .
) Cov(b1, b2).
) 0: 1 = 2 = 0.
178
16. 30 Y = 0 + 1X1+ 2X2 + .
, , -
-
. -
20 21 .
S0, S1, S2 ,
.
S0 = 150, S1 = 90, S2 = 40.
,
?
17.
:

( k i )
2 84320

( e i )
2
87540 19
) .
2
) R -
2
R .
) 0: 1 = 2 = 3 = 0.
)
Y?
18. 6 :
)
Y = 12.23 + 0.91 DINC 2.1 SR, R 2 = 0.976,
t = ( 3.38) (123.7) ( 3.2) DW = 1.79.
Y ; DINC ; SR -
.
) , , .
) -
?
) ?
) ,
?
) .
) F-
.
) , . )
- -
?
179
7.

-
-
.
-
.
, -
, ,
. , Y -
-
: Y = 0 + 1X . 1
Y ( ) .
,
.

(. 7.1). Y -
(, )
(. 7.4).
.
. , -
Y = A K L
( Y ; K L -
; A, ). -
-
, .
.
-
.
,
.
. -

-
.
7.1. (-)
180
-
Y = A X , (7.1)
(. . , -
).
Y
X ( < 0) (
> 0; Y (7.1) -
). (7.1) -
Y (-
), 0 < < 1, -
. -
. (7.1) -
( Y , -
Y
dY
: = A X 1 , . . ,
dX
). -
-
( e = 2.71828). -

lnY, lnX.
(7.1), :
lnY = lnA + lnX . (7.2)
lnA = 0, (7.2) :
lnY = 0 + lnX . (7.3)
-

(
):
lnY = 0 + lnX + . (7.4)
X Y, -
lnX lnY, -
0 1. Y * = lnY X * = lnX , (7.4) -
:
181
Y * = 0 + X * + . (7.5)
(7.5) , -
. 4, 5. -
(7.5) ,
-
0 .
, -
Y , . . Y
. , -
(7.4) , :
1 dY 1 dY X
= = = X (Y) . (7.6)
Y dX x dX Y
, -
, . -
-
. .
7.1.
Y ln Y
Y = AX LnY = +

0 0
. 7.1
, -
. -
(xi, yi) (lnxi, lnyi), i = 1,
2, , n. .
,
.
.
,
182
lnY = 0 + 1lnX1 + 2 lnX 2 + . (7.7)
1, 2 Y
1 2 . -
. , -

Y = A K L . (7.8)
(7.8) :
lnY = lnA + lnK + lnL . (7.9)

.
, . + = 1
( -
, ).
+ < 1 (-
).
+ > 1 (-
).
7.2.

lnY = 0 + X + , (7.10)
Y = 0 + lnX + (7.11)
.
, -
-
. , -
,
() ,
, -
. .
7.2.1. -
183
, -

Yt = Y0 (1 + r) t , (7.12)
Y0 Y (, -
); r Y (-
); Yt Y t (
t). (7.12) -
(7.10). ,
(7.12), :
lnYt = lnY0 + t ln(1 + r) . (7.13)
: lnY0 = 0 , ln(1 + r) = . (7.13) :
lnYt = 0 + t + t . (7.14)
(7.14) t
.
(7.10)
Y * = lnY .
(7.10) -
Y , . . -
Y . ,
(7.10) , :
dY
1 dY Y
= = Y = .
Y dX dX X
100, -
Y ( Y). -
(7.10)
. ,
= ln(1 + r) r Y:
1 + r = e r = e 1. (7.15)
, (7.14)
, r (7.15) ()
. .
7.2.2. -
184
-
Y = 0 + lnX + . (7.16)
X * = lnX .
Y -
(, 1%), . .
Y -
. , (7.16), :
dY 1 dY Y
= = =
dX X dX X
X
dX X
dY = Y .
X X
100,
X
Y . ,
X
1% (0.01), Y 0.01 .
(7.11) , -
-
.
, Y = GNP ( -
), X = M ( ), :
GNP = + lnM + ,
, M 1%,
0.01 .
7.3.

1
Y = 0 + 1 + (7.17)
X
. -
X * = 1 . ,
X
-
Y (
185
0). 0 1 -
:
Y 0>0 Y 0>0 Y 0<0
1>0 1<0 1>0
0
0 X
0
0
0 X 0 1/0 X 0

. 7.2
7.2, -
() (Y). 7.2,
Y
(, , -
) ( -

X = 1 ).
0
, . 7.2,
, ()
(Y).
0X
.
7.4.

Y = 0 + 1X + 2 X 2 + L + m X m + (7.18)
. -
,
Y = 0 + 1X + 2 X 2 + 3 X 3 + (7.19)
(Y)
() (. 7.3, ).

Y = 0 + 1X + 2 X 2 + (7.20)
186
()
(Y) (. 7.3, );
(. 7.3, ) . .
TC AC
TC MC AC
FC
0 Q 0 Q 0 C

. 7.3
, (7.18) -
0, 1, , m. -
, .
X X1, X2 2, , X m m, (7.18) -
m X1 , X 2 , K, X m :
Y = 0 + 1X1 + 2 X 2 + L + m X m + . (7.21)
7.5.

Y = 0eX (7.22)
.
= 2.7182818 .
, Y -
. -
t:
Y = 0et. (7.23)
(ln et = t) -
(7.14):
lnY = ln0 + t . (7.24)
187
, :
Y = 0X , (7.25)
( 1).
a
(7.22) X = ln .
, -
,
. ,
- :
Y = A K L e t . (7.26)
, :
LnY = lnA + lnK + lnL + t, (7.27)
a = lnA, k = lnK, l = lnL,
y = LnY.
7.6.
, -

. ,
i -
-
2, (i N(0, 2), ov(
i, j) = 0 i j).
, , BLUE-
, .
, , -

, , .

(7.1) Y = A X , -
. -
. :
Y = A X e , (7.28)
Y = A X , (7.29)
Y = A X + . (7.30)
188

(, ). -
, :
lnY = a + lnX + , (7.31)
lnY = a + lnX + ln, (7.32)
lnY = ln(AX + ). (7.33)
a = lnA.
(7.31) (7.28) -
, .
(7.29) (7.32) -
i lni. (7.32) -
BLUE- , i = lni
: i N(0, 2).
i
2 2 2
(i) = e 2 D(i) = e (e 1) .
(7.30) -
. -

.
, -

, -
.
7.7.
-
,
. , -
.
-
.
, -
-
. , -
, , , -
. -
189
, -
.
,
, , -
.
-
. , ,
, , -
.
, . , -
, ,
.
1. () ?
2. ,
?
3. ?
4.
() ?
7.7.1.
, . -
-
. -
,
.
-
().
(). -
. , -
, .
, ,
, -
.
. -
.
. , -
. -
190

R 2 .
.
, -
. , -
, -
R2 (, 0,7) -
. ,
, . . -

.
. -
, -
.
-
:
S
V= , (7.34)
y
2
ei
S = , y -
n m 1
. V
( )
(
DW ),
.
,
V ,
, -
, -
. -
. ,

,
Y.
, ,
, 3 ,
.
191
- -
,
.
7.7.2.
-
() -
. ,
-
, .
.
-
. -
.
1.

. , -
, :
Y = 0 + 1X 1 + 2 X 2 + . (7.35)
-
:
Y = b 0 + b1X1 + b 2 X 2 + e . (7.36)
- ( ,
. .) ,
Y 1. -
(7.37):
Y = 0 + 1X + . (7.37)
-
2, .
, -
(7.37), :
Y = g 0 + g1X 1 + v . (7.38)
. , -
(7.38),
(M(g0) 0, M(g1) 1)
192
. ,
-
.
, g1 -
1. , g1 (4.14):
S xy cov(X1 , Y) cov(X1 , 0 + 1X1 + 2 X 2 + )
g1 = = =
S2x D(X1 ) D(X1 )
1
= [cov(X1 , 0 ) + cov(X1 , 1X1 ) + cov(X1 , 2 X 2 ) + cov(X1 , )] =
D(X1 )
1
= [0 + 1D(X1 ) + 2 cov(X1 , X 2 ) + cov(X1 , )] =
D(X1 )
cov(X1 , X 2 ) cov(X1 , )
= 1 + 2 + . (7.39)
D(X1 ) D(X1 )
40 (. 5.1), cov(X1, ) = 0.
:
cov(X1 , X 2 ) cov(X1 , X 2 )
M(g1) = M 1 + 2 = 1 + 2 . (7.40)
D(X 1 ) D(X 1 )
, , ,
. , g1
,
cov(X1 , X 2 )
2 . -
D(X1 )
. , 2 cov(X1, X2).
, 2 -
X1 X2 g1 1.
, (7.40) -
. (7.36) -
b1 b2
Y 1 2. (7.38)
g1 , -
1, ( -
) 2. ,
193
2 (7.38) -
cov(X1 , X 2 )
1, 2 .
D(X1 )

1 X1 X2
(cov(X1, X2) = 0).
2
(?).
,
R2. -
(7.38) -
1 Y.
-
g1 2,
.
,
-

.
2.

, . -
, :
Y = 0 + 1X 1 + . (7.41)
:
Y = 0 + 1X 1 + 2 X 2 + , (7.42)
Y -
2. -
.
,
. g0, g1 ,
(7.42), , , (M(g0) = 0,
M(g1) = 1) . , -
, . . -
, . -
194
(5.12), (6.24) -
:
2 S2 2 S2
S b1 = 2
; S g1 = 2 2
.
(x i x) (x i1 x1 ) (1 r12 )
r12 -
1 2. , S2b1 Sg21 , -
r12 = 0.
-

, .
3.
.
:
Y = 0 + 1X 1 + 2 X 2 + . (7.43)
-
, ,
. ,
lnY = a 0 + a 1X1 + a 2 X 2 + e , (7.44)
Y = c 0 + c1lnX1 + c 2 lnX 2 + u (7.45)

. -
. -
, -
.

.
.
7.7.3.
,
, .
-
, - ,
-
.
195
. -
.
-
, t-.
.
-
, -
. F-
(6.41) R 12 R 22 -
:
R 12 R 22 n m 1
F= .
1 R 12 k
n , m
, k -
. -
6.7.2.
, -
, .
10.

( )
, , .
, , , -
Y -
, :
Y = + X + , < 0;
ln Y = + lnX + , < 0;
1
Y = + + , > 0;
X+
x
Y= +a + , < 0 . .
, -
, -
, , . -
196
. , -
(7.38),
(M(g0) 0, M(g1) 1)
. ,
-
.
, g1 -
1. , g1 (4.14):
S xy cov(X1 , Y) cov(X1 , 0 + 1X1 + 2 X 2 + )
g1 = = =
S2x D(X1 ) D(X1 )
1
= [cov(X1 , 0 ) + cov(X1 , 1X1 ) + cov(X1 , 2 X 2 ) + cov(X1 , )] =
D(X1 )
1
= [0 + 1D(X1 ) + 2 cov(X1 , X 2 ) + cov(X1 , )] =
D(X1 )
cov(X1 , X 2 ) cov(X1 , )
= 1 + 2 + . (7.39)
D(X1 ) D(X1 )
40 (. 5.1), cov(X1, ) = 0.
:
cov(X1 , X 2 ) cov(X1 , X 2 )
M(g1) = M 1 + 2 = 1 + 2 . (7.40)
D(X 1 ) D(X 1 )
, , ,
. , g1
,
cov(X1 , X 2 )
2 . -
D(X1 )
. , 2 cov(X1, X2).
, 2 -
X1 X2 g1 1.
, (7.40) -
. (7.36) -
b1 b2
Y 1 2. (7.38)
g1 , -
1, ( -
193
,
:
) R 2 (. -
6.7);
) t- (. 6.6);
) DW (. 6.8);
) ;
) () (. 7.7.1).
,
-
. - -
,
( -
; ; -
,
).

.
7.7.4.
e (. .
ei, i = 1, 2, ..., n)

( ).
.
ei ei
0 i 0 i

. 7.4
,
ei -
197
. e
i. , -
, () (. 7.4, ), -
, -
.
-
, :
1. RESET (Regression specification error test).
2. () (The
Likelihood Ratio test).
3. (The Wald test).
4. (The Lagrange multiplier test).
5. (The Hausman test).
6. BoxCox (BoxCox trasformation).

. , -
, -
, -
.
, (RESET) :
)
Y = b 0 + b1 X 1 + b 2 X 2 + L + b m X m + e
)
Y = a 0 + a 1 X1 + L + a m X m .
)
) ei( y i ). ,
e =
)
= f( Y ), -

)
Y = a 0 + a 1X 1 + L + a m X m + f( Y. ) + e .
)
F--
:
R2 R2 n k
F = 2 21 . (7.46)
1 R2 r
n , k -
, r ( ).
F 1 = r, 2
198
= = n k. F- ,
, -
.
-
. -
:
y i = 0 + 1x i + 2 x i2 + 3 x 3i + e i . (7.47)
-
:
y i = 0 + 1x i + e i . (7.48)
(7.48), , -
. , i
, e =
)
= f( Y ), . 7.5.
e
)
0
Y
. 7.5
-
. (7.48) -
) )
y i2 y 3i :
) )
y i = 0 + 1x i + 2 y i2 + 3 y 3i + e i . (7.49)
R 22 R 12
(7.49) (7.48) F- (7.46) ( k = 4; r = 2). -
F. > F. = F;2;n4, , (7.48)
.
199
, -
, . -
.
-
,
.
)
e = f( Y )
. -
,
x i2 x 3i . ,
(7.47).
R2. ,
n nR2 2- -
r, . -
nR2 22 ( n ). -
2r . nR2 > 2r ,

.
-
[ 6, 9].
7.8.
, -
.
. -
, , -
.

.
( -
t- , F-
,
).
-
- -
.
200

.
.

. , -

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

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

201
F 1 = r,
2 = n k. F- ,
, -
.
-
. -
:
y i = 0 + 1x i + 2 x i2 + 3 x 3i + e i . (7.47)
-
:
y i = 0 + 1x i + e i . (7.48)
(7.48), , -
. , i
, e =
)
= f( Y ), . 7.5.
e
)
0
Y
. 7.5
-
. (7.48)
) )
y i2 y 3i :
) )
y i = 0 + 1x i + 2 y i2 + 3 y 3i + e i . (7.49)
R 22 R 12 -
(7.49) (7.48) F- (7.46) ( k = 4; r = 2).
F. > F. = F;2;n4, ,
(7.48) .
199
, -
, . -
.
-
,
.
)
e = f( Y )
. -
,
x i2 x 3i . ,
(7.47).
R2. ,
n nR2 2- -
r, . -
nR2 22 ( n ). -
2r . nR2 > 2r ,

.

[ 6, 9].
7.8.
, -
.
. -
, , -
.

.
( -
t- , F-
,
).
-
- -
.
200
,
.

1. ?
2. -
.
3.
?
4. .
5.
?
6. ?
7. .
8. ?
9. -
?
10. ?
11. .
12. , , , -
.
) -
.
) -
-
.

) Y = AK L lnY = lnA + lnK + lnL + ln,
, -
.
) lnY = 0 + 1lnX1 + 2lnX2 +
lnY = 0 + 1X1 + 2X2 + , , -
.
)
lnY = 0 + 1lnX1 + 2lnX2 +
.

) Y = AK L -
-
, - .
) -
2
R .
) .
13. Y = b0 + b1X1 + b2X2, b1 > 0. -
X2 Y = a0 + a1X1 a1
202
(a1 < 0). ? , -
?
14. :
Y = 1X + .

Y = 0 + 1X + .
? ,
? , ?
15. :
Y = 0 + 1X1 + 2X2.
-
:
Y = 0 + 1(X1 + 2)?
16. :
yi = 1xi i,
i - . -

yi = 1xi + i .
?
17.
:
2
) Y = 0 + 1ln X + ;
1
) Y = 0 + 1 ;
x
1
) Y = +;
0 + 1X
0 (X + 5) 2
) Y = + ;
1X
X
) Y = .
0 + 1X 2
18. :
Y = + X1X3 + X2X3 + X1 + X2 + .
) -
?
)
(i1, i1, i1, yi), i = 1, 2, , n?
19.

203

Y = AK L ,
- -
() = 1.
) , - ? -
, -
() = 1?
) ,
?

1. 40 :
2
y = 0.6 + 0.46l + 0.32k, R = 0.75; DW = 2.45;
t = (2.6) (0.75) (1.81)
y, l, k ,
.
?
) , . .
;
) ,
;
) l, . . ;
) -
. ;
) , -
.
.
?
2. 26 -

2
y = 0.46l + 0.32k R = 0.41; DW = 0.67;
t = (1.81) (2.87),
y, l, k , -
.
?
) l, . . ;
) ,
;
) k, . . ;
) , -
;
) ;
204
) -
. ;
) .
.
?
3. 20 ,
:
2
lnY = 3.52 + 1.53lnK + 0.47lnL + e , R = 0.875;
t = (1.45) (2.76) (5.321),
Y ( $), K ( $), L -
(-).
) .
) ?
) -
.
) , -
, ?
) -
?
4. Y( $)
( $). 9 :
Y 5 7 13 15 20 25 22 20 17
X 0.8 1.0 1.8 2.5 4.0 5.7 7.5 8.3 8.8
)
.
) Y = 0 + 1X + .
) .
)
2
Y = 0 + 1X + 1X + .
) . -
?
5. -
(e = exp):
t
Y = e + .
t 1 4 16
Y 0.85 0.45 0.4
6. 15 :
2
) Y = 3.435 0.5145X + e, R = 0.6748;
t = (20.5) (4.3),
205
2
) lnY = 0.851 0.2514X + e, R = 0.7785;
t = (43.6) (5.2),
Y ( 100 ),
( ./).
) .
) ,
?
) , , ? -
?
7. Y(1990 = 100) -
( $) 1981 1998 .
81 82 83 84 85 86 87 88 89 90
Y 65 68 72.5 77.5 82 85.5 88.5 91 95 100
X 110 125 132 137 160 177 192 215 235 240
91 92 93 94 95 96 97
Y 106.5 112 115.5 118.5 120 120.5 121
X 245 250 275 285 295 320 344

) .
) 1) Y ; 2) Y lnX; 3) lnY ; 4) lnY
lnX.
) .
) Y .
) .
8. 16 . ,

:
81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97
EX 54.1 35.4 56.6 46.6 46.7 52.1 56.6 44.8 68.3 36.3 75.0 57.2 69.0 55.5 73.3 64.1 60.0
) .
) EX = 0 + 1t + .
2
) EX = 0 + 1t + 2t + .
2 3
) EX = 0 + 1t + 2t + 3t + .
) . -
?
) .
9. :
2
LnC = b0 + b1lnQ + b2 ln Q + e.
206
,
?
10.
t 1
&t = t 100%
t
ut.
70 71 72 73 74 75 76 77 78 79
t 1.61 1.66 1.80 1.95 2.05 2.12 2.25 2.45 2.55 2.67
ut 1.0 1.38 1.15 1.50 1.55 1.20 1.1 1.0 1.35 1.8
80 81 82 83 84 85 86 87 88
t 2.73 2.80 2.93 3.02 3.15 3.27 3.45 3.60 3.80
ut 1.9 1.45 1.85 1.2 1.5 1.25 1.4 1.3 1.6

1
& t = 0 + 1 + t .
ut
) b0, b1 0, 1.
) b0, b1 . -
1?
) , ut
& t .
,
) 95%- 0, 1.
) u0 -
( u0 ,
& t = 0).
d
&
) u = 1 u = 3. -
du
? -
?
) -
& t ut.
.
) .
11. Q, -
K L 20 .
Qt 46000 59000 37500 107000 130000 128000 154000 226500 146500 31500
207
Kt 2 5.6 2 5.6 2 10.4 5.6 10.4 10.4 2
Lt 2 2 4 4 6 2 6 4 6 2
Qt 70500 70500 108000 90500 74000 160000 225000 167500 88500 54000
Kt 2 5.6 5.6 2 10.4 5.6 10.4 10.4 5.6 2
Lt 4 2 4 6 2 6 4 6 4 2
, -

Qt = A K t L t .
) : qt = 0 + 1kt + 2lt + .
?
) 0, 1, 2.
) 1, 2, 1 + 2.
) , Q
= 0.05 K = 8 L = 3.
) = 0.05 :
1) 1 = 0, 2 = 0; 2) 1 = 2; 3) 1 = 2 = 0; 4) 1 + 2 =1.
?
) -
? ,
?
208
8.
,
, -
,
. , -

. -
(
), . . -
. -
. -
-
(. 5.1, 20):
i . D(i)=D(j) = 2
i j.
-
( ).
(-
).
-
, ,
.
8.1.

-
, i- -
i. ? ,

yi c -
i, i = 1, 2, ..., n. -
-
.
-
. ,

, ,
,
209
() -
.
. -
,
i -
. ,
,
, .
.
. 8.1 -
I: C = 0 + 1I + .
C C
I1 Ik In I I1 Ik In I

. 8.1
-
. . 8.1, -
, . 8.1, -
-
, .
,
, -
, , ,
.
. -
.

, . -
() -
. 8.2.
210
(. 8.2, ) i ,
(. 8.2, ) i ( -
).

. 8.2

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

(, , ,
211
. . ). -
()
.
8.2.
5.1,
-
(BLUE-) -
, -
(): 2(i) = 2 i, i = 1,
2, , n.
( -
) .
1. -
.
2. (. . -
-
). . -
-
.
3. . -
,
2
ei
S2 = (m -
n m 1
),
(. 6.2, (6.23)), -
.
4. , -
t- F-, -
. , , -
,
-
. , -
, , t- -
.
, .
-
.
212
y
y1
yn
x1 xn X
. 8.3
. 8.3 , i
Y i ,
, -
( 1 n).

2 2
e i = ( y i b0 b1x i ) .
e i2 -
, -
(, e12 )
(, e 2n ). , . . ,
, -
.
, . -
, , ,
() . -
, , -
, .
8.3.
-
-
.

.
213

, . . -
2(i) Y,
i .
i i ,
Y i .
, - -
.
-
. : -
, ,
, , .
8.3.1.
-
.
( -
Y = b0 + b1X1 + ... +
+ bmXm), i, e i2 .
. 8.4.
e i2 e i2 e i2
xi xi xi

e i2 e i2
xi xi

. 8.4
214
. 8.4, e i2
, . -
e i2 ,
.. .
. 8.4,
xi -
e i2 . . 8.4, 8.1.
. 8.4, ; 8.4, ; 8.4, -

. , , -
. 8.4, , -
.
,
. -
-
j , j = 1, 2, , m . -
)
j y i ,
.
)
y i
ij , j = 1, 2, , m, ,
)
e i2 y i ,
. 8.4, .
.
8.3.2.
,
, -
. , , -
i i -
. i i ( ).
:
2
di
rx, e =1 6 , (8.1)
n(n 2 1)
di i ei , i = 1, 2, , n; n -
.
, 20 25- -
; 20 32-, di = 25 32= 7.
215
, , -
,
r n2
t = x,e (8.2)
2
1 rx, e
= n 2.
, t-, -
(8.2), t. = t,n2 ( -
),
,,
, .
.
-
, t-
.
8.3.3.
. ,
-
. , i2 = 2(ei ) -
i- i .

i2 = 2 x i e v i . (8.3)
(8.4), :
ln i2 = ln 2 + lnx i + v i . (8.4)
i2 , -
e i2 .
:
1. yi = b0 + b1xi + i.
)
2. lne i2 = ln(y i y i ) 2 .
3.
ln e i2 = + lnxi + vi , (8.5)
2
= ln .
(8.5)
.
216
4.

(8.5) t- t = . -
S
, ln e i2 lnxi, . .
.
, -
(8.5) -
(, , -
). . -
vi -
. .
8.3.4.

(, )
i i.
-
ei( i2) i.
:
| ei |= + ik + vi . (8.6)
k, .
k = , 1, 0.5, 0.5, 1, -
-
. (8.6) -
, -
.
, , ,
vi . -

.
8.3.5.
, -
i = (i) i
, . . i2 = 2 x i2 . , i
.
:
217
1. n .
2. -
k, (n 2k), k .
3. (k -
) (k -
). -
, ( -
k
S1 = e i2 ) -
i =1
(
n
S3 = e i2 ) .
i=n-k
4.
F-:
S /(k m 1) S3
F= 3 = . (8.7)
S1/(k m 1) S1
(k m 1) -
(m
).
-
F-
1 = 2 = k m 1.
S
5. F.= 3 > F.= F; 1;2 , -
S1
( ).
,
. -
: n = 30,
k = 11; n = 60, k = 22.

,
i. k , (m + 1).
Xj, -
.
-
i -
. : F = S1/S3.
218
8.4.
8.2,
, .
.

.
, i2 -
i .
8.4.1. ()
-
i2. -
,
.
.
-
:
yi = 0 + 1xi + i . (8.8)
(9.7) i = i2 :
yi 1 x
= 0 + 1 i + i . (8.9)
i i i i
yi xi e 1
= i* , = xi*, i = vi, = zi,
i i i i
,
Z v:
i* =0zi + 1xi* + vi. (8.10)
vi .
,
2
i2 (v i ) = M(v i M(v i )) 2 = M(v i ) M 2 (v i ) .
1
10 M(ei) = 0, M(v i ) = 2 M(e i ) = 0 ,
i
i2 (v i ) = M(v i2 ) =
e i2 1 1 1
= M( 2 ) = 2 M(e i2 ) = 2 M(e i M(e i )) 2 = 2 i2 = 1 = const.
i i i i
219
, (8.10)
10 50 . ,
, .
, -
:
1. (i , i) i .

,
. , -
-
, .
.
1 x y
2. , i , i
i i i
-
.
8.4.2.

i2 . -
. , ,
i2 .
, ,
i2 i i (.8.5, )
i2 (. 8.5, ).
2 2
i i
xi xi

. 8.5
1. i2 i (. 8.5, ).
i2 = 2 i (2 ).
220
(8.9) -
x i :
yi a x e yi 1
= +b i + i =a + b xi + v i . (8.11)
xi xi xi xi xi xi
ei
, vi = -
xi
. ,
(8.11) . , -
i2 = 2 (i) = 2 i :
i 1 1
2 (v i ) = 2 ( ) = 2 (i ) = 2 x i = 2 = const.
xi xi xi
, (8.11) 0 1,
(8.8).
-
, . -
)
Xj Y -
)
Y = b0 + b1X1 + ... + bmXm ,
. . .
:
yi 1 x i1 x im i
) = 0 ) + 1 ) + ... + m ) + ) . (8.12)
yi yi yi yi yi

, (. 8.4).
2. i2 i2 (. 8.4, ).
, i2 i
, , -
(8.8) i:
yi 1 yi 1
= 0 + 1 + i = 0 + 1 + v i , v i = i . (8.13)
xi xi xi xi xi xi
, -
vi .
0 1
(8.13) (8.8).
221
,

i2, ,
. -
, ,
, -
.
. -
(, -
, . .).
, -
, -
. -
- -
().

.
( -
-
).
-
(, ).

1. ?
2. , :
)
;
) ;
) t- F- ;
) -
;
) -
DW;
) ;
) t-
;
) ;
) -
, . . -
;
222
) -
(), -
.
3. , -
.
4. .
5. ()?
6. ,
, .
7. , , -
, ,
. ?

1. (Y) (X) -
:
Y = 0 + 1X + D + ,
D , .
, -
i?
2. () -
(Y) :
X 26.2 33.1 42.5 47.0 48.5 49.0 49.1 50.9 52.4 53.2
Y 10.0 11.2 15.0 20.5 21.2 19.5 23.0 19.0 19.5 18.0
54.0 54.8 59.0 61.3 62.5 63.1 64.0 66.2 70.0 71.5
Y 24.5 21.5 35.4 25.0 17.3 21.6 15.3 32.6 34.0 23.8
73.2 75.4 76.0 80.6 81.2 83.3 92.0 95.5 103.2 110.4
Y 22.5 27.4 40.0 23.5 20.0 40.1 15.5 39.0 47.4 21.3
) yi = b0+ b1xi+ ei.
) .
) .
) ,
2 2 2
(ei) = xi .
) . )
.
) ,
, .
223
3.
(Y) ( -
) (). -
:
Y X
75.5 75.5 77.5 78.5 80.0 81.0 100
80.5 82.0 84.5 85.0 85.5 86.5 200
85.5 88.5 90.0 91.0 95.0 96.0 300
93.0 93.5 97.5 99.0 102.5 105.0 400
102.0 105.5 107.0 110.5 115.0 118.5 500
) Y .
) .
.
) ,
. , k = 12.
) , ,
,
, ,
.
) , -
, .
) , ) ).
4. Y = b0 + b1X + e -
2 2
M(ei ) = xi. -
, .
.
5. Y = b0 + b1X1 + b2X2 + e,
(19711998), : -
2
19711980 . S1 = ei = 15, 1981
2
1998 . S2 = ei = 50. -
,
( , - 1981 .).
6. .
1961 1990 . :
)
1) it = 52.5 + 0.275gnp t 0.63c t ,
2
(t) = (12.5) (10.2) (6.4) R = 0.98.
)
it 1 c
2) = 50.7 + 0.27 0.62 t ,
gnp t gnp t gnp t
2
(t) (13.3) (9.3) (6.9) R = 0.87,
224
GNP ; -
; I ; gnpt, ct, it -
t.
)
?
) ,

?
)
? .
) -
?
7. , -
. -
20 . -
:
[0, 5) [5, 10) [10, 15) [15, 20) [20, 25) [25, 30) [30, 35) [35, 40]
/ 10000 12500 14300 18700 25400 29000 32000 34300
) , -
, -
( , -
).
) .
) ,
? , ?
) ,
, -
().
) , -
,
.
) -
?
8. ()
(Y) . 40 -
.
X 25.5 26.5 27.2 29.6 35.7 38.6 39.0 39.3 40.0 41.9 42.5 44.2 44.8 45.5
Y 14.5 11.3 14.7 10.2 13.5 9.9 12.4 8.6 10.3 13.9 14.9 11.6 21.5 10.8
45.5 48.3 49.5 52.3 55.7 59.0 61.0 61.7 62.5 64.7 69.7 71.2 73.8 74.7
Y 13.8 16.0 18.2 19.1 16.3 17.5 10.9 16.1 10.5 10.6 29.0 8.2 14.3 21.8
225
75.8 76.9 79.2 81.5 82.4 82.8 83.0 85.9 86.4 86.9 88.3 89.0
Y 26.1 20.0 19.8 21.2 29.0 17.3 23.5 22.0 18.3 13.7 14.5 27.3
) Y .
) ei.
)
.
)
.
) ,
.
9. -
. -
.

, , /, /,
n X ($) Y ($) i ($)
14 9320 3320 740
49 8630 3640 850
10 19 8050 3900 730
20 49 8320 4120 820
50 99 8600 4090 950
100 199 9120 4200 1100
200 499 9540 4380 1250
500 999 9730 4500 1290
1000 1999 10120 4610 1350
2000 4999 10740 4800 1100
> 5000 11200 5000 1520
) yi = b0 + b1xi + ei,
.
yi 1 x e
) = b0 + b1 i + i .
i i i i
) .
?
226
9.
9.1.

-
i (. -
5.1). -
((i, j) = cov(i, j) = 0
i j) , , ((i1, i) = 0),
i = 2, 3, , n.
( )
, -
( ) (
). ()
-
. -
( ) .
i -
t, .
T n.

((t1, t) > 0), -
((t1, t) < 0).
-

. .
Y
. , -
,
Y= 0 + 1X, . 9.1.
Y

X
. 9.1
227

.

.
, -
.

. 9.2.
Y
X
. 9.2
, , -
-
( ).
, -
, ,
, , .
. - -

-
, .
. -
Q.
MC = 0 + 1Q +
+ 2Q2 + MC = 0 + 1Q + , -
.

.
-
(. 9.3) -
-
. , -
.
228

MC = 0 + 1Q + 2Q2
MC = 0 + 1Q
Q
. 9.3
. (, -
, , . .) ,
. ,
, -
, . . ,
-
,
. -
, -
.
.
-
( ). , -

( ). -
( ) -
, , . .

.
. -

. -
, -
, , , -
.
229
9.2.

.
.
1. , , -
. , -

(BLUE-).
2. . ,
, ,
t-.
,
.
e 2t
3. S2 =
n m 1
2 , .
4. t- F-, -

, , .
.
9.3.

t. -
-
t, . -
.
9.3.1.
-
. , t
t ( i), . 9.4.
- .

, ,
t ( t).
, . 9.4, -
, . . -
230
. . 9.4, , , -
.
t, e t t, e t t, e t
t(i) t(i)
t(i)

t, e t t, e t
t(i) t(i)

. 9.4
, . 9.4, -
, , . -
-
. , , -
. -
, 9.4, t
t1 , .
t
t1
. 9.5
231

I III , -
.
,
-
.
-
. , -
. -
, -
.
9.3.2.
:
et. ,
( )(+ + + + + + +)( )(+ + + +)(),
. . 5 , 7 +, 3 , 4 +, 1 20 .
-
. .
-
.
n, -
. , -
.
.
n ;
n1 + n (-
et);
n2 n (-
et);
k .
(n1 > 10, n2 > 10)
k

2n1n 2 2n n (2n n n1 n 2 )
M(k) = + 1 ; D(k) = 1 2 12 2 .
n1 + n 2 (n1 + n 2 ) (n1 + n 2 1)
, M(k) u/2D(k) < k < M(k) + u/2D(k), -
.
232
(n1 < 20, n2 < 20) -

n ( 7). .
n1 n2 k1
k2 = 0.05.
k1 < k < k2 , .
k k1, -
.
k k2 , -
.
n = 20, n1 = 11, n2 = 9, k = 5. (-
7) k1 = 6, k2 = 16. k = 5 < 6 = k1 ,
-
= 0.05.
9.3.3.

.
DW
. -
DW
6.7.
DW -
.
T
2
( e t e t 1 )
t =2
DW = T
. (9.1)
2
et
t =1
(6.46) -
re t e t 1 :
DW 2(1 re t e t 1 ). (9.2)
, 0 DW 4 -
. , re t e t 1 0
( ), DW 2. re t e t 1 1 (-
), DW 0. re t e t 1 1 (
), DW 4.
233
, DW -
, , -
.
, n -
m :
dl du .
:
1.
)
y t = b 0 + b1x t1 + ... + b m x tm
)
t = t y t t, t = 1, 2, , T.
2. (9.1) DW.
3.
dl du :
0 DW < dl ,
dl DW < du ,
du DW < 4 du ,
4 du DW < 4 dl ,
4 dl DW 4 .
, -
.
1. DW , -
.
2. , t -
t = t1 + vt, -
AR(1). vt .
3.
(. . ).
4. -
,
, . . -
:
yt = 0 + 1xt1 + ... + mxtm + Yt1 + t. (9.3)
-
. :
yt = 0 + 1xt + yt1 + t . (9.4)
234
t -
:
t = t1 + vt. (9.5)
(9.4)
:
yt = 0 + 1xt + yt1 +t1 + vt. (9.6)
yt1 t1, . . (9.4) t,
t 1. ,

.
( 40) -
(. . ).
, -
.
.

, h- , -

) n
h= , (9.7)
1 nD(g)
)
(9.5), D(g) -
yt1 , n
.
n -
H0: = 0 h
(h N(0, 1)).
u/2 (u/2) = (1 ) / 2
h u/2. h > u/2 , -
.
.
)
,
)
= 1 0.5DW, D(g) Sg g
. h -
.

h nD(g) > 1.
235
9.4.
-
,
. -
, ,
-
. -
, ,
, . , -
-
.
(. 6.7).
(,
-, . .).
-
, , , , -
, - -
{et}. -
.
, , -
-
AR(1).
AR(1) -

Y = 0 + 1X + . (9.8)
t (t1)
yt = 0 + 1xt + t , (9.9)
yt1 = 0 + 1xt1 + t1. (9.10)
-
(9.5):
t = t1 + t,
t , t = 2, 3, ... , T ,
, .
(9.9) (9.10), :
yt yt1 = 0(1 ) + 1(xt xt1) + (t t1). (9.11)
236
yt* = yt yt1, xt* = xt xt1, 0* = 0(1 )
(9.5), :
yt* = 0* + 1xt* + t. (9.12)
, -
, yt*, xt*, t . , -
t ,
0* 1 -
.
yt*, xt* -
( ).
,
, -
.
:
x1 = 1 2 x1 ,
(9.13)
y1 2
= 1 y1.
,
, . . -
.
AR(1) -

AR(2), AR(3) . .:
t = 1t1 + 2 t2 + t ,
(9.14)
t = 1t1 + 2 t2 + 3 t3 + t.
-
. -
. .
9.4.1.
, -
-
(9.2):
DW 2(1 re t e t 1 ).
-
r = re t e t 1 . (9.2) :
237
DW
. r 1 (9.15)
2
-
. r
.
9.4.2.
-
, . -
(9.8):
Y = 0 + 1X +
(9.5) AR(1)
t = t1 + t .
1. (9.8) -
et t, t = 1, 2, ..., n.
2. AR(1),
)
et = et1 + t, (9.16)
)
.
3. :
) ) ) )
(y t y t 1 ) = (1 ) + (x t x t 1 ) + ( t t 1 ) , (9.17)
(
)
).
)
4. 0 = (1 ) 1 = (9.8). -
et 2.
,
. -

.
9.4.3.
(9.11)
[1, 1] (-
)
, 0.001; 0.01 . .). , -
,
238
. 0* 1 (9.11)
)
.
-
.
9.4.4.
, , -
, .

. = 1, ,
, (9.11) :
yt yt1 = 1( xt xt1) + ( t t1 )
(9.18)
yt yt1 = 1( xt xt1) + t.
yt = yt yt1 , xt = xt xt1 , (9.18)
yt = 1xt + t. (9.19)
(9.19) 1. -
, 0 -
. , 0 = y 1x .
= 1, (9.9) (9.10) (9.5), -
:
yt + yt1 = 20 + 1( xt + xt1) + t
(9.20)
y t + y t 1 x + x t 1
= 0 + 1 t + t .
2 2

( = 1). -
.
, . ( -
, .) -
-
. -
. , -
, . -
-
. -
-
239
. -
, , ,
.
-
. -
( -
)
- , , ,
{t}. -
, .

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

. -
: , -
, . -
-
h- .
.

1. ?
2. .
3. ?
4. ?
5. ?
6. .
7. DW .
8. DW .
9. -
?
10. AR(1).
11. ?
12.
AR(1).
13. . .
) .
) , , -
.
240
) DW
.
) DW 0 4.
) DW
.
) AR(1) -
, = 1.
2
) R
.
)
.

1. 50 DW
:
) 0.91; ) 1.37; ) 2.34; ) 3.01; ) 3.72.
,
. .
2. = 0.05 = 0.01 -
DW,
n -
m: ) n = 20, m = 1; ) n = 25, m = 2; ) n = 50, m = 1;
) n = 50, m = 4; ) n = 100, m = 2.
, .
3. ( 7),
(n , n1
+, n2 , k ).
n n1 n2 k
) 20 12 8 3
) 30 16 16 21
) 25 16 9 4
) 15 8 7 5
4. 20
, DW = 0.71.
) ? ,
?
) ?
) -
?
) ?
5. 9
(EX) (IM). :
241
EX 12.47 12.65 12.89 12.97 13.00 13.31 13.25 12.65 14.49 14.47 14.74 14.62
IM 11.07 11.50 12.01 12.28 13.16 13.43 13.28 13.50 15.32 15.62 17.44 16.14
EX 17.60 17.70 16.60 15.26 19.49 19.08 18.69 18.65 19.33 19.11 18.62 18.40
IM 16.13 16.08 16.55 15.00 18.72 17.80 16.64 17.39 18.70 18.02 17.46 16.96
EX 16.15 16.58 17.60 18.48 15.36 15.25 15.61 15.93 14.38 14.30 14.75 15.58
IM 15.06 16.01 16.63 17.86 14.56 15.64 16.45 17.42 14.30 14.59 14.66 14.95
) .
) t- -
2
R .
) DW
.
) -
.
)
(IM = IMt IMt1) (EX = EXt EXt1).
) DW -
.
) .
6. 35 :

ln(DI) t = 6.32 + 0.0084 t;
2
(S) = (3.54) (0.017) R = 0.9931 DW = 0.173,
DI , t .
.
) .
) -
.
) ?
) , -
,
?
7. :

lny t = 5.12 + 0.31 lnxt1 + 0.52 lnxt2 0.81 lnxt3
(S) (2.1) (0.18) (0.21) (0.29) R 2 = 0.62 DW = 0.49,
yt ; xt1 ; xt2
; xt3 t.
) .
) lnx3t.
) DW?
= 0.01.
242
)
?
) -
?
8. (Y) -
. 32
:
)
y t = 41.2 + 0.254 xt + 0.539yt1
2
(S) (0.107) (0.133) R = 0.783 DW = 1.86,
.
) .
) 95%- .
)
.
) -

= 0.01.
9. 25
Y%, 1%, 2%.
Y = 0 + 1X1 + 2X2 + .
, -
.
1 2 3 4 5 6 7 8 9 10 11 12 13
X1 3.5 2.8 6.3 4.5 3.1 1.5 7.6 6.7 4.2 2.7 4.5 3.5 5.0
X2 4.5 3.0 3.1 3.8 3.8 1.1 2.3 3.6 7.5 8.0 3.9 4.7 6.1
Y 9.0 6.0 8.9 9.0 7.1 3.2 6.5 9.1 14.6 11.9 9.2 8.8 12.0
14 15 16 17 18 19 20 21 22 23 24 25
X1 2.3 2.8 1.5 6.0 2.9 2.8 2.6 1.5 0.9 0.6 0.7 3.1
X2 6.9 3.5 7.1 3.1 3.7 3.9 4.0 4.8 4.8 4.2 4.9 3.2
Y 12.5 6.7 8.5 5.9 6.8 5.6 4.8 4.5 6.7 5.5 4.0 3.3
10. (INF) (U). -
25 :
INF 3.07 0.70 4.08 2.20 2.38 0.90 1.10 5.12 0.93 2.54 1.55 3.45 1.09
U 3.69 9.10 3.92 6.50 4.63 8.50 9.55 3.71 5.80 3.60 6.53 4.32 9.20
INF 2.15 5.14 1.72 0.74 4.16 0.93 1.79 1.24 1.12 1.28 7.36 5.30
U 5.75 3.65 7.30 9.65 3.65 9.80 6.28 7.80 8.75 7.22 3.60 3.65
:
243
ln INFt = 0 + 1lnUt + t.
) 0 1.
) 95 %- 1.
) .
) DW
.
) .
) 1.
) , -
AR(1).
) 95 %-
1. .
) .
11. 30- :
it = 0 + 1yt + 2rt + t,
it t; yt t; rt
t.
Y 8.58 10.45 8.35 10.65 9.7 12.0 13.45 14.2 14.45 13.85
R 18.12 11.05 9.0 17.0 16.25 13.8 19.95 18.74 13.8 9.55
I 11.55 13.25 10.9 10.45 15.1 17.5 17.77 16.1 10.59 10.65
Y 16.55 18.0 18.4 20.4 21.0 23.75 25.75 24.2 25.2 26.2
R 19.3 15.2 12.4 16.5 5.95 17.5 16.43 7.4 15.45 19.15
I 9.32 11.0 15.05 15.1 22.7 21.95 23.1 25.65 26.15 25.55
Y 28.6 30.6 31.32 26.0 26.85 32.1 32.95 33.3 33.85 35.6
R 5.45 9.52 7.95 7.45 19.9 8.65 21.35 11.11 15.82 21.67
I 28.1 24.2 32.3 21.5 22.95 30.45 24.6 32.5 31.2 29.5
) .
)
.
) DW , -
.
) , -
AR(1).
) , -
yt+1 = 37
rt+1 = 15.
) 95 %- -
.
244
10.
-
-
-
. ,
, -
. (
)
. -
.
10.1.

. -
.

Y = 0 + 1X1 + 2X2 + . (10.1)

:
X2 = 0 + 1X1. (10.2)
(10.2) (10.1), :
Y = 0 + 1X1 +2(0 + 1X1) +
Y = (0 + 20) + (1+ 21)X1 + .

0 + 20 = a, 1+ 21 = b,
:
Y = a + bX1 + . (10.3)
a b. -
:
0 + 2 0 = a, (10.4)
+ = b.
1 2 1
(10.4) 0, 1, 2 (-
0 1 (10.2)).
. , -
245
-
(10.1) -
X1 X2
Y.
. , -
-
.
-
. ,
-
, .
. -
-
. , -
, -
.

.
-
(. 10.1).
Y Y
X1 X2
X1 X2

Y Y
X1 X2
X1 = X2

. 10.1
. 10.1, -
1 2 Y
1 2 Y.
1 2
. -
246
1 2 Y. . 10.1, -

1 2 -
Y.
10.2.
,
(BLUE-). -

, -
.
, ( -
) -
. , -

.
. -
, -
. , -
.
-
:
1. ( ) .
-
, .
2. t- ,
-
.
3. -
, . .
.
4. -
-
.
5. .
3, 4
(10.1).
247
Y X1 X2.
,
X1 X2 .
:
. . 10.2
Y Y ,
X1 X2 Y Y
, .
Y
Y
0 X1
. 10.2
10.3.
, -
.
1. R2 ,
, ..
t-.
2. -
.

. -
-
.
3. .

.

-
. , Y
,
248
, , -
,
, , , .
-
,
.
, , -
.
, X1, X2, X3 -
X1 X2 -
:
r12 r13 r23
r12. 3 = . (10.5)
(1 r132 )(1 r23
2
)
, ,
-
r12. , , r12 = 0.5; r13 = 0.5;
r23 = 0.5. r12.3 = 1, . .
r12 -
r12.3 (-
) X1 X2. ,
. , -
-
.

Xi Xj (1 i < j m), -
(m 2) , -
rij.1 2 (i 1)(i+1)(j 1)(j+1)m .

-
.

1, 2, , m

249
1 r12 r13 ... r1m c11
c12
c13 ... c1m

r
1 r23 ... r2m c21 c22 c23
... c 2m
21
R = r31 r32 1 C* = R 1 = c 31 c32
... r3m . c 33

... c 3m .
... ...
... ... ... ... ... ... ... ...

rm1 rm2rm3 ... 1
c m1 c m2 c m3 ... cmm
* R.
c*ij
rij.1 2 (i 1)(i +1)(j 1)(j +1)m = . (10.6)
c*ii c*jj
(10.6)
(10.5) (10.7) :
rij. k ril . k rjl . k
rij.kl = . (10.7)
(1 ril2. k )(1 r jl2. k )
rj = ryj.1 2 (j 1)(j +1)m

Y j,
. rj2 -
, -
Y, j.
, rj2 , j = 1, 2, ,m
Xj Y.
4. () .
,
- (
) .
-
Xj, j = 1, 2, , m
. -
Rj2 -
F-
R 2j nm
Fj = . (10.8)
1 R 2j m 1
250
n , m -
. F -
1 = m 1 2 = n m . -
(6.36). Rj2 -
, Xj
.
, Xi
, .
-
, .
10.4.
-
, , -
,
. -
.
-
, -
R2 ( 0.9) -
. -
, -
,
.

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

.
10.4.1. ()
-
-
.
251
-
. -
. , -

, -
. , , -
, . -
-
. , -
,
.
10.4.2.
,
, ,
.
-
. ,
. -

.
-
. , -
. -
.
10.4.3.
-
:
, , -
, -
. , -
,
. -
.
10.4.4.

, -
252
, .
, , -
- ( ) ,
, -
.
. -
(10.1). , X1 X2 -
. Y = 0 +
+ 1X1+ 1 (
1 = 0.8), Y X1. -
, Y X1 , -
1 = 1 = 0.8. (10.1) :
Y = 0 + 0.8X1 + 2X2 + .
Y 0.8X1 = 0 + 2X2 + . (10.9)
(10.9) -
, -
.
,
, -, -
, -, , -
, -
.
10.4.5.
-
-
.
,
)
Y = b0 + b1X1 + b2X2, (10.10)
X1 X2 .
-

)
Y X
= b 0 + b1 2 ,
X1 X1
) (10.11)
Y X
= b 0 + b1 1 .
X2 X2
253
, , (10.11),
.
,
. , -
,
-
. .

1. .
2. -
?
3. ?
4. ?
5. -
?
6. .
7. , ? -
.
) -
-
.
)
BLUE-.
) , -

.
) -
.
2
) ,
-
.
) -
, t- .
2
) R ,
( t-
).
) -
, -
.
) Y = 0 + 1X1 + 2X2 + -
, -
1 2.
254
8. Y = 0 + 1X1 + 2X2 + .

X1 X2. -
. .
? -
?
9. -
.
10. Y = 0 + 1X1 + 2X2 + X1 X2
. X2 X1,
. -
Y 2
. ?

1. 10 X1, X2, Y:
X1 1 2 3 4 5 6 7 8 9 10
X2 1 1.6 2.2 2.8 3.4 4 4.6 5.2 5.6 6.2
Y 0 3 6 9 12 15 18 21 24 27
)
. .
) ) ,
.
2. n = 50 X1, 2, X3

1.0 0.45 0.35
R = 0.45 1.0 0.52 .

0.35 0.52 1.0
) -
r12.3, r23.1, r13.2.
) -
?
3. Y = b0 + b1X1 + b2X2 + e
rx 1 x 2 = 0.
: Y = 0 + 1X1 + ; Y = d0 + d2X2 + .
, :
) b1 = 1; b2 = d2;
) b0 0, d0, ;
) S(b1) = S(1); S(b2) = S(d2) .
255
4. -
(GNP), (CONS)
(INV) .
GNP 240 248 261 274 273 269 283 296 312 319
CONS 149 154 162 169 167 171 180 188 196 200
INV 38.2 41.9 46.5 52.1 48.1 38.3 45.4 52.1 56.8 57.5
GNP 318 325 317 327 350 361 372 385 402 412
CONS 200 202 205 215 225 235 245 252 261 266
INV 50.9 54.5 44.7 50.4 65.8 63.7 64.0 76.4 71.6 71.8
) INV = b0 + b1GNP + b2 CONS + e.

) .
)
? .
) -
? ?
) INV GNP INV CONS. -
?
) CONS GNP. -
?
)
?
5. AQ ( -
). -
: PC , lnYD
, POP , PT
. ,
t- -
2
R ? -
.
6. :
CONSt = 0 + 1GNPt + 2GNPt1 +3(GNPt GNPt1) + ,
CONSt t; GNPt, GNPt1
t t1 .
) ?
) -
?
) ?
) GNPt
GNPt1? .
256
11.

11.1.
-
(-
), . ,
,
, , -
. . ( ).
, ,
. .
.
.
.
() ,

. , ,
,
. .
:
D =
0, ,
1, .
, D = 0, -
, D = 1, ; D = 0,
, D = 1, -
.
D (, )
().
, , -
( X i ), -
, -
( Di), -
.
, -
, ANOVA- ( -
).
, Y .
257
D =
0 , ,
1 , ,

Y = 0 + D + . (11.1)
, M(Y | D = 0) = 0 + 0 = 0,
M(Y | D = 1) = 0 + 1 = 0 + .
0 -
.
, -

.
t-
R2 F-, , -
.
, ANOVA- -
- .
. , -
, .
11.2. ANCOVA
, -
, , ANCOVA-
( ).
11.2.1. ANCOVA-

ANCOVA -
, -
:
Y = 0 + 1X + D + . (11.2)
, , Y , X
, D , . .
0, ,
D=
1, .
x
:
M(Y | x, D = 0) = 0 + 1 , (11.3)
258
M(Y | x, D = 1) = 0 + 1 + = (0 + ) + 1 . (11.4)

(. 11.1). -
-
1. (11.3), (11.4) -
. t- -
0 (0 + ), ,
.
, , ,
. , > 0 -
, < 0 .
)
Y(/) Y = (0 + ) + 1
)
Y = 0 + 1
0+
0
. 11.1

, .
,
? ,
Y = 0 + 1X + 1D 1 + 2 D 2 + , (11.5)
0, ,
D1 =
1, .
0, ,
D2 =
1, .
D1 D2
: D2 = 1 D1.
, b1
b2 . -
259
-

(11.2). ,
:
k -
, (k 1)
.
, -
-
.
-
. . ,
(11.2) , :
0, ,
D=
1, .
-
.
,
D = 0, . -
, -
.
(11.2) -
, . . , -
-
, ,
.
11.2.2. ANCOVA

-
, , . -
. , -
, ,
: ,
. -
, -
260
.
, :
Y = 0 + 1X + 1D1 + 2 D 2 + , (11.6)
Y , X .
0, ,
D1 =
1, .
0, ,
D2 =
1, .
, .
:
M(Y | D1 = 0, D 2 = 0) = 0 + 1X . (11.7)
:
M(Y | D1 = 1, D 2 = 0) = ( 0 + 1 ) + 1X . (11.8)
:
M(Y | D1 = 1, D 2 = 1) = ( 0 + 1 + 2 ) + 1X . (11.9)
1, 2 . -
.
, (11.7), (11.8),
(11.9), (. 11.2):
)
Y Y = ( 0 + 1 + 2 ) + 1X
)
Y = ( 0 + 1 ) + 1X
)
Y = 0 + 1X
0 X
0 + 1 + 2
0 + 1
0
. 11.2
(11.7)
(11.9) 1 2
t-.
261
, (11.7). -
-
0 + 1 (11.8) , 1
, (11.7). 0 + 1+
+2. , -
, 1 2 . -
1 2 ,
, -
.
11.2.3.

,
.
-
.
Y , X -
, D1 , D2 ,
0, ,
D1 =
1, .
0, ,
D2 =
1, .
, :
Y = 0 + 1X + 1D1 + 2 D 2 + . (11.10)
.
:
M(Y | D1 = 0, D 2 = 0) = 0 + 1X . (11.11)
:
M(Y | D1 = 0, D 2 = 1) = ( 0 + 1 ) + 1X . (11.12)
:
M(Y | D1 = 1, D 2 = 0) = ( 0 + 2 ) + 1X . (11.13)
:
M(Y | D1 = 1, D 2 = 1) = ( 0 + 1 + 2 ) + 1X . (11.14)
262
, -
. , -
11.2.2.
1 2 ,
.
, -
-
. , -
k , -
(k 1) .
11.3.
, , ,

. , , . ,
11.2.1 , -
-
1 -
, 1
. -
, ,
,
.

,
. , -
, -
, . ,
, .
:
Yt = 0 + 1X t + 1D t + 2 D t X t + t , (11.15)
0, ,
D t =
1, .
-
:
M(Yt | D t = 0) = 0 + 1X t , (11.16)
263
M(Yt | D t = 1) = ( 0 + 1 ) + (1 + 2 )X t . (11.17)
1 2 (11.15) -
-
. Dt
(11.15) (1Dt), -
(1DtXt), -
,
. -
(11.15) ,
. 11.3.
Y Y
0 t T 0 t T

. 11.3
. 11.3,
. . 11.3, , -
t -
. ,
,
(. .
) (.11.3, )

(. 11.3, ).
, 6.7.3.
. -
n. S0 e i2
yi (. 11.3, ).
, -
n1 n2 (n1 + n2 = n)
(. 11.3, ). S1 S2
264
yi -
. , -
S0 = S1 + S2 -
.
Y , S0
S1 + S2. S0 (S1 + S2)

. , [S0 (S1 + S2)]/(m + 1) -

. -
(m + 1), . . (m + 1)
(2m + 2) -
. (S1 + S2)/(n 2m 2) -
. -
,
,
. -

F- (. 3.5.5). F-
:
S0 S1 S2 n 2m 2
F= . (11.18)
S1 + S2 m +1
-
, F- -
1 = m + 1
2 = n 0 2m 2 . m -
(m -
).
, F , (11.18),
-
F. = F; m +1; n 2m 2 , ,
S0 S1 + S2 -
. -

.
.
265
, F- ( )
. ,
-
, t- (
),
. , -
, .
11.4.
-
. , , -
, .
, .
. .
.

, -
, . -
.
, -
.
Y
X, .
:
t = 0 + 1 t + 1D1t + 2 D 2t + 3 D 3t + t , (11.19)
1, II ,
D1t =
0, .
1, III ,
D 2t =
0, .
1, IV ,
D 3t =
0, .
, ,
.
I . Y -
266
(), (11.19) -

. Y
:
M(Y | D1 = 0, D 2 = 0, D 3 = 0) = 0 + 1X I ,
M(Y | D1 = 1, D 2 = 0, D 3 = 0) = ( 0 + 1 ) + 1X II ,
M(Y | D1 = 0, D 2 = 1, D 3 = 0) = ( 0 + 2 ) + 1X III ,
M(Y | D1 = 0, D 2 = 0, D 3 = 1) = ( 0 + 3 ) + 1X IV .
, (11.19) -
,
. -
,
:
Yt = 0 + 1X t + 1D1t + 2 D 2t + 3 D 3t +
(11.20)
+ 4 D1t X t + 5 D 2t X t + 6 D 3t X t + t .

, . .
. -
.
(11.20). -
.
, -
(11.19). -
, -
, () -
.
11.5.
, ( ) -
-
. , -
: ,
. ., :
0, , 1, .
267
-
, , , -
(BLUE).

.
11.5.1. LPM
, -
() . -
, .
, -
, , , -
. . Y
:
0, ,
Y=
1, .
, ,
:
0, ,
Y=
1, .
:
Y = 0 + 1X1 + ... + m X m + 1D1 + ... + k D k + . (11.21)
, Y
; X1 ; X2
,
; D3 -
.
0, ,
Y=
1, .
0 X1 50 , 0 X2 100 %,
0, ,
D3 =
1, .
:
Y = 0 + 1X1 + 2 X 2 + 3D3 + . (11.22)
268
(11.21) (11.22) -
(linear probability models) (LPM-).
:
Y = 0 + 1X + . (11.23)
(11.23)
Y ( Y) = ,
M(i) = 0, M(Y = ) = 0 + 1 .
, M (Y ) = 0P(Y = 0 ) + 1P(Y = 1 ) = P(Y = 1 ).
, (11.23) :
P(Y = 1 ) = 0 + 1. (11.24)
,
LPM :
1. i -
, , -
.
(11.23) , i = y i 0 1x i .

i = 1 0 1x i yi = 1,
i = 0 1x i yi = 0.
, ,

( -
), -
. -
-
.
2. -
().
,
D( i ) = M( i M( i )) 2 = M( i2 ) (. . M( i ) = 0 ).
D( i ) = M( i2 ) = ( 0 1x i ) 2 P(y i = 0) + (1 0 1x i ) 2 P(y i = 1) =
= ( 0 1 x i ) 2 (1 P(y i = 1)) + (1 0 1x i ) 2 P(y i = 1) =
= ( 0 1x i ) 2 (1 0 1x i ) + (1 0 1x i ) 2 ( 0 + 1x i ) =
= ( 0 + 1x i )(1 0 1x i ) = P(y i = 1)(1 P(y i = 1)) .
269
, D(i)
Y,
X. ,
.
-
(. 8.4).
3. , (11.21) (11.23)
, yi ,
.
(11.24), . . 0 P(Y = 1) 1.

.
4. LPM -
.
, (11.23) X
Y 1
X, , , -
(,
. .).
, -
LPM -
.
.
11.5.2. Logit
LPM- -
, , , -
0 P(Y = 1 ) 1, P(Y = 1 )
,
.

LPM logit . .
LPM pi = P(Y = 1 | xi ) -
:
pi = P(Y = 1| xi ) = M(Y = 1| xi) = 0 + 1xi. (11.25)
pi :
270
1 1
p i = M(Y = 1 | x i ) = ( 0 +1x i )
= , (11.26)
1+ e 1 + e zi
z i = 0 + 1x i .
(11.26) , < z i < +
: 0 pi 1. ,
pi xi . ,
(11.26) , pi
. ,
. . ,
1
1 pi = . (11.27)
1 + e zi
, (11.26) (11.27), :
pi 1 + ez i
= zi
= ez i . (11.28)
1 pi 1 + e
pi
, -
1 pi
P(y i = 1) , P(y i = 0) .
(11.28),
Pi
ln = z i = 0 + 1x i . (11.29)
1 Pi
(11.29) logit . -
.
0 pi 1, - < zi < + (. .
- +).
Logit ,
,
. , -
p
ln i ,
1 pi
.
pi. , -
) n
, pi p i = i (-
n
). -
271
pi -
.
, ,

. -
,
.

1. (, )?
2. -
?
3. ANOVA-? -
.
4. ANOVA-? -
.
5. ?
6. ?
7.
?
8. ?
9. -
.
10.
?
11. LPM?
12. logit ?
13. , -
:
) ;
) ;
) ;
) , ;
) ;
) ;
) ;
)
.
)
14. Y = 5 + 2X + 3D,
Y , , D , -
(D = 0 D = 1 ). -
272
, D = 1 D = 0 ?
, D = 1 D = 1
?
15. Y = 0 + 1X1 + D + , D -
.
-
. - ?
, ?
16. (Y) .
: (1), -
(2), (3). -
: Y = 0 + 1D1 + 2D2 + , Di = 0 i- , Di =
= 1 .
) ?
) ,
?
)
Y = 0 + 1X1 + ( X1
)? .
)
Y = 0 + 1D1 + 2D2 + 3D3 + ( D3 = 0 , -
, D3 = 1 , )? .
17. :
)
Y = 16 + 10 + 5DS + 3DE + 2DSE,
Y ; ;
DS, DE, DSE (DS = 0 , DS = 1 -
; DE = 0, , DE = 1
; DSE = DSDE).
)
) Y -
: ,
?
)
?
) DSE?
) DSE
?
18. (Q)
(P) (I). -
. 15 :
qt = 0 + 1pt + 2it + 1D1+ 2D2 + 3D3 + 4D4 + ,
Dj = 1 i- , Dj = 0 (j = 1, , 4).
) ? .
273
) ) , -
.
) ,
?
19. ,
() , , ,
.
) -
?
) , -
?
) ,
?
20.
. , -
? -
?

1. Y = 0 + 1D + , D ,
(D = 0 , D = 1 ). -
Y 15 5, 25 3.
2
, (i) = 64.
) 0 1.
) , 1 = 1 ( = 0.05).
2. (A, B, C). -
. (M, -
) (H, ) . -
40 :
A B C A C A B C B A B C C B A A C B A A
M 23 30 65 69 75 63 25 75 75 52 20 70 62 40 66 20 39 25 48 59
H 280 230 112 176 90 176 216 110 45 200 265 148 150 176 123 245 176 260 236 205
A B A C B A C B A B B C A B A C B A B A
M 25 69 71 26 45 40 30 69 30 22 33 48 75 21 56 58 50 37 56 67
H 240 65 115 200 126 225 210 45 260 220 194 156 100 240 170 116 120 240 88 120
) H = 0 + 1M + -
.
) ,
. ?
) .
) .
) -
.
274
3. (F) -
(AG), (A, B,
C). 36 :
C A B A B B A C C A C A A B C B C A
AG 29 53 29 58 66 67 63 59 51 67 63 33 33 42 67 33 23 28
EF 36 69 47 73 64 60 62 71 62 70 71 52 63 48 71 46 25 55
C B B A C C B A C B C A B B C A A B
AG 19 30 23 21 56 45 43 38 37 43 27 43 45 48 47 48 53 58
EF 28 40 41 56 62 50 45 58 46 58 34 65 55 57 59 64 61 62
) AG EF,
, , .
) EF = 0 + 1AG + . ?
) .
) EF = 0 + 1AG + 1D1+ 2D2 + , D1, D2
, .
.
) .
)
EF = 0 + 1AG + 1D1+ 2D2 + 1AGD1 +2 AGD2 + .
) .
AGD1 AGD2?
) .
) , , -
?
4. () (Y) -
, , -
,
.
:
75 76 77 78 79 80 81 82 83 84 85
100 105 108 111 115 122 128 135 143 142 147
Y 4.7 6.1 6.5 6.8 5.2 6.5 7.5 8.0 9.0 9.1 8.7
86 87 88 89 90 91 92 93 94
155 167 177 188 195 210 226 238 255
Y 12.0 16.2 18.5 18.0 17.6 20.0 23.0 22.5 24.3
) ,
, 1986 .
) ?
) -

( = 0.05).
275
5. (S) 70 (45
25 ) (T)
:
)
1. S = 50 + 0.12 T
2
t = (5.23) (9.35) R = 0.63 DW = 0.17
)
2. S = 30 + 0.092 T + 25 D
2
t = (4.63) (4.3) (6.23) R = 0.72 DW = 1.06
)
3. S = 25 + 0.078 T + 32 D + 0.07(TD)
2
t = (3.07) (3.73) (2.93) (1.98) R = 0.912 DW = 1.83,
D , .
) (1 2), , ?
) 1 ?
) (2 3), , ?
) 3.
6. (Y = 1, ;
Y = 0, ) (). -
40 :
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
10 20 22 18 9 15 25 30 40 16 12 8 20 19 30 50 37 28 45 38
Y 0 1 1 0 0 0 1 1 1 0 0 0 1 0 1 1 1 1 1 1
21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40
30 12 16 27 19 15 32 18 43 13 22 14 10 17 36 45 14 22 41 34
Y 1 0 0 1 0 0 1 0 1 0 1 0 0 0 1 1 0 1 1 1
) LPM-.
) .
) , , 18, .
7. (N), -
(X), (n),
.
X 10 15 20 25 30 35 40 45 50 55 60
Ni 35 45 60 80 100 130 90 65 50 30 15
ni 5 10 18 30 45 60 55 45 38 24 13
) logit .
) logit , , -
) 1 ) ni
: i2 = ) ) ; pi = .
N i p i (1 p i ) Ni
) .
) .
276
12.
12.1. .
(
) , ,
, . ,
, , , . ., -
,
- .
-
.
-
.
Y.
() t yt; Y -
yt+1, yt+2, ... , yt+k, ...; Y -
yt1, yt2, ..., ytk, ... .
,

, ,
. .
,
, .
.
1. ( ) ,

() . (12.1):
yt = + 0xt + 1xt1 + ... + kxtk + t. (12.1)
2. , -
-
. (12.2):
yt = + xt + yt1 + t. (12.2)

. , -
-
, .
277
,
.
,
. , -
, .
, -
.
. ,

, .
. ,
,
().
. -
, ; -
( )
. .
12.2.

, (12.1) .
yt = + 0xt + 1xt1 + ... + kxtk + t,
yt = + 0xt + 1xt1 + 2xt2 + ... + t. (12.3)

, 0
, -
Y
.
j -
j
, Y -
-
.
h
j (h < k) -
j= 0
.
278
(12.1)
.
X 0 = xt, X1 = xt1, ..., X k = xtk :
yt = + 0 X 0 + 1 X1 + ... + k X k + t. (12.4)

.
12.2.1.
(12.3)
.
-
.
- k
xtk . -
xt, xt1, , xtk+1,
.
k -
xtk . ,
xt, xt1, ,
xtk+1, -
.
-
, -
-
, . ,
-
.
12.2.2. ( )
, (-
) k -
:
k = 0k , k = 0, 1, ... , (12.5)
0 < < 1 -
( ). -
, ,
-
279
,
.
(12.3)
(12.6):
yt = + 0xt + 0xt1 + 02xt2 + ... + t. (12.6)
, 0, -
. , .
-
[0, 1] (, 0.01;
0.001; 0.0001).
zt = xt + xt1 + 2xt2 + 3xt3 + + pxtp. (12.7)
p , -
zt
.

yt = + 0zt + t. (12.8)
, -
R2 (12.8) .
, 0 (12.6). -

.

.
(12.6) ,
(t 1)
yt1= + 0 xt1 + 02xt1 + ... +t1, (12.9)
:
yt yt1 = (1 ) + 0xt + (t t1)
yt = (1 ) + 0xt + yt1 + t, (12.10)
t = t t1 t t1.
(12.3)
(12.10) .
,
( -
280
) (12.10),
: , , 0. ,
, -
.
(12.10) -
. yt-1
-
0. -

. , t -
*, yt
yt1 y*.
(12.10) :
y* = (1 ) + 0x + y. (12.11)
,
0
y* = + x*. (12.12)
(1 )
, -
0
= 0 + 0 + 02 + 03 + ...
(1 )
, -
X Y. 0 < < 1 -
0
(. . > 0).
(1 )

:
yt1, -
, , ,
. , -
, , t.
t, t1 -
30 , t, -
, . -
DW
h- (. 9.3.3).
, , -
.
281
12.3.

: -
. ,
.
12.3.1.
, -
, -
,
.
. ,

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

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

t (-
) t:
yt = + xt + t. (12.13)
-
, ,
:
282
x t x t 1 = (x t x t 1 ) . (12.14)
(12.14) -
. 0 1 .
(12.14) , . .

, -
, . -
(12.14) xt xt-1:
x t x t 1 = (x t 1 x t 1 ) . (12.15)
(12.14)
x t = x t + (1 )x t 1 . (12.16)
(12.16) , xt -
xt -
(1 ) . =
= 0, (): xt = x t 1 . -
= 1, xt = xt, .
(12.16) (12.13), :
y t = + ( t + (1 )x t 1 ) + t . (12.17)
(12.17) yt1,
(1 ), :
y t (1 )y t -1 = + x t + ( t (1 ) t 1 ) .
y t = + x t + (1 )y t 1 + t , (12.18)
t = t (1 )t1.
(12.13) ,
yt
xt . (12.18) -
xt yt .
= 1,
. .
(xt = xt).

(12.18) (
283

y), xt ( = ) -

( = ).

, (12.18)
(12.10) .
, , -
yt
x t +1 -

y t = + x t +1 + t . (12.19)
yt
.
, (12.16), ,

-
:
x t +1 = x t + (1 )x t . (12.20)
-
x t , :
x t +1 = x t + (1 )[x t 1 + (1 )x t 1 ] =
= x t + (1 )x t 1 + (1 ) 2 x t 1 .
(12.16)
x t 1 , x t 2 , :
x t +1 = [ x t + (1 )x t 1 + (1 ) 2 x t 2 + ...] . (12.21)
x t +1 (12.19), :
y t = + [ x t + (1 )x t 1 + (1 ) 2 x t 2 + ...] + t . (12.22)
0 (1 ) ,
(12.6):
yt = + 0xt + 0xt1 + 02xt2 + ... + t,
.
284

, -
,

.
12.3.2.
( )
-
yt, () yt:
yt = + xt + t. (12.23)
yt -
, -
:
yt yt1 = ( yt yt1), (12.24)
yt yt1

yt yt1. 0 1 -
. (12.24) :
yt = yt + (1 )yt1. (12.25)
(12.23) (12.25),
yt = + xt + (1 )yt1 + t, (12.26)
. (12.25)
, yt -
yt -
. , .
= 1 . = 0
.
, (12.23)
() y Y ( y -
). , (12.26) -
yt Y,
. ,
(12.26) ( , yt1,

= = ),

285
(12.23). -
:
y3 -
y2 -
y1
0 1 2 3 4 5 t
.12.1
y1 Y, y -
Y, = 0.5. ,
-
.
(12.26)
(12.10).
yt1.
t (. . t
, yt1). -
-
.
-
: Y , .
(12.24): It = yt yt1 = (yt yt1) t -
-
.
12.3.3.
-
() :
286
yt = + xt + t. (12.27)
, yt t; xt
t. yt -
, xt .
yt xt ,
xt ,
yt . -
:
yt = + xt + [(1 ) + (1 )] yt1
(1 )(1 )yt2 + [t (1 )t1]
yt = 0 + 1xt + 2yt1 + 3yt2 + t , (12.28)
0 = , 1 = , 2 = (1 ) + (1 ),
3 = (1 )(1 ), t = t (1 )t1.
-
,
, yt2.
12.4.
(12.1)
-
. ,
.
,
. , -
34 -
,
(3, 4 > 0,
1). -
.
, -
i (12.1) -
i:
i = a0 + a1i + a2i2 + + amim. (12.29)
, , ,
. 12.2.
287
i i i
0 t1 t3 0 t1 t3 0 t1 t3
t2 t4 t2 t4 t2 t4
. 12.2
, . 12.2, , -
:
i = a0 + a1i + a2i2. (12.30)
. 12.2,
.
i = a0 + a1i + a2i2 + a3i3, (12.31)
i = a0 + a1i + a2i2 + a3i3 + a4i4. (12.32)
, i -
(12.30). (12.1) -
:
k
yt = + (a 0 + a1i + a 2 i 2 )x t i + t =
i=0
k k k
= + a 0 x t i + a1 i x t i + a 2 i 2 x t i + t. (12.33)
i=0 i=0 i=0
k k k
z t0 = a 0 x t i , z t1 = a1 i x t i , z t2 = a 2 i 2 x t i , -
i=0 i=0 i=0
:
yt = + a0zt0 + a1zt1 + a2zt2 + t. (12.34)
, a0, a1, a2 .
288
t . -
i (12.30).
,
k. -
, ,
. k m -
(12.29). : -
, , -
(, -
) i = (t i). -
-
zti. -
ai , (12.34).
12.5.

:
yt = 0 + 1xt + yt1 + t. (12.35)
( ) -
.
(12.35) -
. ,
:
-
t ((tt1) 0);
yt1
t.
,
, .
-
, ,
.
, yt1 (12.35),
t, -
, yt1,
t.
289
-
. -
,
yt1, Y
Xj, -
. , , -
.
12.6. .

9.3.3, -
-
DW , . . DW
2, -
.

h-, :
) n
h= , (12.36)
1 nD(g)
n ; D(g)
)
yt1;
,
) DW
(9.2): 1 . 9.3.3
2
. -
:
, Y
, h -
t1;
h , nD(g) > 1.
.
h -
n.
, -
. -
,
.
290
-
, . . {t}.
. , -
,
, ARMA
ARIMA.
12.6.1. (AR)
Y ,

(yt m) = 1(yt1 m) + ut, (12.37)
m Y, ut -
-
2 (
). (12.37) -

AR(1). yt Y t -
yt1 (t 1) -
.

(yt m) = 1(yt1 m) + 2(yt2 m) + ut (12.38)

AR(2).
(yt m) = 1(yt1 m) + 2(yt2 m) + ... + (yt m) + ut (12.39)
AR().
yt Y
-
( ) ut.
12.6.2.
:
yt = + 0ut + 1ut1, (12.40)
= const, ut ut1
. Y t
-
( ). -
291
(12.40)
(1).

yt = + 0ut + 1ut1 + 2ut2 + ... + qutq (12.41)
q
(q).
12.6.3. ARMA
AR MA -
ARMA. ,
Y ARMA(1,1) :
yt = + 1yt1 + 0ut + 1ut1. (12.42)
ARMA(p,q) p
q .
12.6.4. ARIMA
ARMA
ARIMA. -
-
. ( )
Y yt yt1.
d Y yt yt1
yt2 ... ytd.
ARIMA(p,d,q) -
:
yt = 1 y*t 1 + ... + p y*t p + 0ut + 1ut1 + ... + qutq, (12.43)
i, i = 1, 2, ..., p; i, i = 0, 1, 2, ..., q . -
y*t i , i = 0, 1, ... , p
d Y. uti , i = 0, 1, ... , q -
-
.
, AR, MA ARIMA
, -
, -
.
292
12.7.
12.7.1.
-
.
, -,
, -,
(.. -
).

; -
, -
, .
, , -
.
, ,
yt = 0 + 1xt + t, (12.44)
)
y t + p Y:
)
y t + p = b0 + b1xt+p. (12.45)
, xt+p , -
Y . -
xt+p , , Y. -
, ,
xt+p .
, -
. -
, -
.
-
.
.
-
, -
. -

,
293
. , -
-
.
-
.
-
5.5.
yt+p Y -
)
(t + p). y t + p
( ).
)
t+p = y t + p y t + p . (12.46)

, t+p -
.
(12.44)
:
1 (x t + p x) 2 2 1 (x t + p x) 2 2
D B ( t + p ) = 1 + + = 1 + + . (12.47)
n (x x) 2 n n D B (x)
i
(12.47) , -
,
. , -
, n.
D B ( t + p ) n 2 . ,

a n , b n

, -

t+p , 2.
(12.47) 2 Se2.
1 (x t + p x) 2 2
S( t + p ) = 1 + + Se (12.48)
n n S x
2

294
)
y t +p y t +p
-
S( t +p )
= n 1. , -
yt+p :
) )
y t + p t S( t + p ) < y t + p < y t + p + t S( t + p ) . (12.49)
, n 1 , n 1
2 2
(5.35).
-
X Y
. 5.4.
S2t + p -
.
(6.31).
-
-
. -
p .
-
, Dt+1, Dt+2, , Dt+p.
Dt+i = 1 (t + i).
Dt+i = 0. ,
Xj -
, , -
. -
Dt+i (t + i).
-
.
12.7.2.
, -
, ,
() .
, -
, .
.
295

. -
, (
) .
.
e i2
S, Sd .
(S Sd)
p () .
, , -
F-:
(S Sd )/p
F= , (12.50)
Sd /(T m 1)
T , m
. (T
m 1) (T + p)
(m + p + 1)
. -
Sd
ST
, T. F- (12.50)
:
(S ST )/p
F= . (12.51)
ST /(T m 1)
(
) -
1 = p 2 = T m 1. F.
F.= F, 1 , 2 , . F.> F-
., , . . -
.
-

, 6.6.2.
: ,
.
296
12.7.3.
-

.
,
.
-
,
.
yt+p Y -
)
(t + p). y t + p
( ).
(12.46).

)
t + p = y t + p y t + p -
, :
)
t + p yt+p yt +p
t + p = 100% = 100% . (12.52)
yt+p yt+p
Y
t+p ,
.
:
) )
y t + p = y t + p yt
yt+p = yt+p yt
Y :
)
y t + p y t + p
t + p = 100% . (12.53)
y t + p
(12.53) -
, (12.52).

-
. , -

, . .
.
297
.
:
1 )
k
(y t + p y t + p ) 2
U= . (12.54)
1
k
(y t +p ) 2
k .
. -
(0 U 1).
(12.54)
. , U = 0.

)
( y t + p = 0) (12.54) . -
, U = 1. , , -
, ,
, .
, U
.
, -
.
. , ,
-

. -
.
, -
( )
. , -
, .
- -
-
.
,
-
. -
, -
. -
298
-
. ,

,
.
12.1. -
.
,
-
.
, . -
-
, , . ,
.
( -
).
( -
).

( ).
(-
) .
.
-

1995 . 1999 . (
).

:
CPI t = 0 + 1M t + 2EFt1, (12.55)
CPIt ,
t ( 3), EFt1
.
-
-
- -
.
:
CPIt = 14.24 + 0.00769t + 0.07452EFt1, (12.56)
(t) (2.74) (6.8) (3.1)
2
R = 0.5761; F = 24.46; DW = 0.62.
299
30
25
20
15
10
%
-5
-10
96
97
98
96
97
98
99
96
97
98
96
97
98
96
97
98
99
96
97
98

.12.3
-
. t
, -
EFt1, .
, EFt1 CPIt -
CPIt1, , . . -
( -
), ,
. ,
,
.
, t-, -
,
(| t | > 2) (. 6.6). -
.
R2 = 0.5761 ,
.
F- , -
, , , -
, , . , ,
t- .
-
(DW),
, -
. DW = 0.62, -
(. 9.3.3). ,
300
.12.3 .
.
,
. -
CPIt1. , . . ,
.
.
CPIt = 2.12 + 0.00108t + 0.77323CPIt1 + 0.01445EFt1, (12.57)
(t) (-0.4) (0.6) (4.7) (0.6)
2
R = 0.7409; h = 2.0797.
30
25
20
15
10
%
-5
-10
96
97
98
96
97
98
99
96
97
98
96
97
98
96
97
98
99
96
97
98
.12.4
CPIt1 R2,
, -
EFt1 t ( t-
). , () -
(). -

CPIt1 t (rcpi m. ef = 0.82).
.

.
, -
h- (. 12.6). h = 2.0797
5 %- u0.025 = 1.96. -
, .
.
, -
301
-
.
CPI EF, -
CPI. , ,
-
EFt1
EFt1 = EFt1/EFt2.
, :
CPIt = 17.149 + 18.2355EFt1 + 0.8817CPIt1, (12.58)
(t) (3) (3.2) (11.5)
2
R = 0.794; h = 1.1932.
30
25
20
15
10
%
-5
-10
96
97
98
96
97
98
99
96
97
98
96
97
98
96
97
98
99
96
97
98
. 12.5
. -
, R2. -
-
,
, -
. .
, ,
1998 . . -
-
, , -
, . -
.
1. -
.
2. .
302
-
-
.
, (12.58) -
D1, -
5% (D1 = 1, -
5 %; D1 = 0, ). :
CPIt = 21.6 + 22.313EFt1 + 0.709CPIt1 + 3.96D1, (12.59)
(t) (4.2) (4.4) (8.8) (3.7)
2
R = 0.85; h = 0.4778.
30
25
20
15
10
%
-5
-10
96
97
98
96
97
98
99
96
97
98
96
97
98
96
97
98
99
96
97
98
. 12.6
,
2
R . -
.
(.12.6) , ,
: -
. ,
, 1998 . 1999 .
, .
, -
D2 (D2 = 1 ; D2 = 0
) D3 (D3 = 1 1998 . 1999 ., D3 = 0
).
, :
CPIt = 24.149 + 27.684EFt1 +0.703CPIt1 + 3.0639D1+2.36934D2+ 8.13595D3,
(t) (-7) (7,2) (11.5) (3.7) (2) (5.5)
2
R = 0.9254; h = 0.1372. (12.60)
303
30
25
20
15
10
%
-5
-10
96
97
98
96
97
98
99
96
97
98
96
97
98
96
97
98
99
96
97
98

. 12.7
-
.
, -
.
, CPIt t EFt , CPIt t EFt
95 3.9 17.9 241 97 1 46 186

96 5.6 16.8 248 97 5 49.9 191
96 4 17.7 256 97 3.2 51.9 189
96 2 19.2 259 97 1.8 53.4 186
96 1.5 19.9 248 97 2.3 57.7 186
96 0.6 21.1 234 98 3.9 55.3 181
96 2.3 21.4 234 98 3.1 57.6 180
96 2 22.4 214 98 3.3 61.7 177
96 1.3 24.3 217 98 3.8 67.9 177
96 1.8 25 226 98 3.4 70.6 178
96 1.3 26.2 217 98 2.7 76.1 176
96 3.9 26.2 220 98 2.8 83.2 165
96 7.4 27.3 235 98 3.8 90.9 183
97 13.3 29.5 191 98 17.6 98.4 225
97 6.6 31.8 189 98 21 108.4 247
97 2.3 34.6 177 98 25 124.2 230
97 4.3 37.2 171 98 21.7 217.2 227
97 5 39 180 99 16.6 219.1 207
97 4.5 41.1 188 99 13.7 238.8 139
97 1.4 43.2 186 99 12.1 262.1 153
304

1. ?
2. -
?
3. ?
4. -
.
5. ?
6. ?
7.
?
8. -
.
9. ?
10. AR, MA, ARMA ARIMA?
11. ?
12. ?
13. .
14. .
15. .
16. , (
).
) , , .
) -
.
) -
, -
.
) -
, t- -
.
)
.
) -
.
)
.
) , ,
, , , . . -
-
.
) .
305
) -
, , - .
) h-
, .
) .
)
.

1. :
yt = 3.5 + 0.5 xt + 0.9 yt1
2
(S) (0.5) (0.06) R = 0.97 DW = 2.15.
2
, R , -
2 ( -
), . ?
2. 25 .
35- :
yt = 43.5 + 0.251 xt + 0.545 yt1
(S) (0.105) (0.135) DW = 1.9,
yt
t; xt t.
) 95 %- -
xt.
) ?
) . -
?
3.
(Y), (1)
(2) 20 :
Y 6.0 8.9 9.0 7.1 3.2 6.5 9.1 14.6 11.9 9.4
X1 2.8 6.3 4.5 3.1 1.5 7.6 6.7 4.2 2.7 3.5
X2 3.0 3.1 3.8 3.8 1.1 2.3 3.6 7.5 8.0 6.3
Y 12.0 12.5 8.5 5.9 6.8 5.6 4.8 6.7 5.5 4.0
X1 5.0 2.3 1.5 6.0 2.9 2.8 2.6 0.9 0.6 0.7
X2 6.1 6.9 7.1 3.1 3.7 3.9 3.9 4.8 4.3 4.8
) yt = b0 + b1 x1t + b2 x2t + et.
) , -
.
) yt = 0 + 1 x1t1 + 2 x2t1 + vt,
, x10 = 3.5; 20 = 4.5.
) .
) . ?
306
4.
ln yt = b0 + b1ln yt1 + b2 ln xt + b3 ln xt1 + et.
) ?
) -
Y ?
) 90 %- -
?
5. -
() (Y) 22 :
9.098 9.137 9.095 9.280 9.230 9.348 9.525 9.755 10.280 10.665 11.020
Y 5.490 5.540 5.305 5.505 5.420 5.320 5.540 5.690 5.870 6.157 6.342
X 11.305 11.430 11.450 11.697 11.870 2.018 12.525 12.055 12.088 12.215 12.495
Y 5.905 6.125 6.185 6.225 6.495 6.720 6.920 6.470 6.395 6.555 6.755
) yt = 0 + 1 xt +t.
) .
)
yt = 0 + 1 xt + yt1 +t.
) .
) .
) . ?
6. -
: St = S t 1 + (1 )St 1 ,
*
S , S .
, = 0.4:
t3 t2 t1 t t+1
S* 90
S 100 120 150 170
7.
ct = ypt + ( lt1 lt ) + t,
lt1 ; lt -
,
ypt, , ,
yt = ypt1 + (yt ypt1); yt .
) , -
: ct1, lt1, lt2, yt.
) ?
307
13.

,
, -
. -
, . -
, -
-
.
13.1.

.

.
, , -
, . -
. , -
-
(), -
() .
.
13.1.
-
.
, QD QS
t P
, :
: q Dt = 0 + 1p t + t1 , 1 < 0 , (13.11)
: q St = 0 + 1p t + t2 , 1 < 0 , (13.12)
: q Dt = q St . (13.13)
,
-
(, , ,
, , . .).
308
. -
,
(. 13.1). -
.
P
S
pt+1
pt
D2
D1
qt qt+1 Q
. 13.1
, (13.1) . -
, Y,
(13.2):
: qDt = 0 + 1pt + 2 yt + t1, 1 < 0 , (13.21)
: qSt = 0 + 1pt + t2 , 1 < 0, (13.22)
: q Dt = q St . (13.23)
13.2.
,
:
: t = 0 + 1yt + t, (13.31)
: yt = t + it. (13.32)
Y, C, I , -
(yt, t, it -
t).
309
13.3. ISLM
IS (-
) :
: t = 0 + 1yt, (13.41)
: t = 0 + 1yt, (13.42)
: it = 0 + 1rt, (13.43)
: y(d)t = yt t, (13.44)
: gt = g , (13.45)
: yt = t + it + gt. (13.46)
yt, t, it, gt, t, y(d)t, rt t -

(Y), (), -
(I), (G, G = g =
= onst) , (), (Yd),
(r).
(13.42) (13.44) (13.41). -
, (13.43) (13.45) (13.46).
yt = 0 + 1rt, (13.5)
0 + 0 1 + 0 + g 1
0 = ; 1 = .
1 1 (1 1 ) 1 1 (1 1 )
(13.5) IS,
, -
.
LM ( ) -
,
.
:
: M Dt = a + by t crt , (13.61)
: M St = M, (13.62)
: M Dt = M St . (13.63)
(13.61) :
310
y t = 0 + 1M + 2 rt . (13.7)
0 = a/b, 1 = 1/b, 2 = c/b.
(13.7) LM.
IS LM .13.2.
r
LM (M = M )
IS
Y
. 13.2
-
, -
. -
(13.5) (13.7).
13.2.
, -
-
. , -
.
. -
.
-
. , (13.1) -
,
q Dt , q St P. -
, . . . -
(13.3) Y , -
. I ()
. , . -
, .
. (13.31) ,
Y . -
Y I. , -
311
Y I . ct
, :
1
yt = 0 + it + t , (13.81)
1 1 1 1 1 1

ct = 0 + 1 it + t . (13.82)
1 1 1 1 1 1
1
, (13.81)
1 1
, , -

.
, , -
. -
-. -
. ,
(, -
-
). , (13.3) (13.31) -
, (13.32) .
,
, (-
). , -

, .
(13.81) (13.82).
,
. -
,
:
q St = 0 + 1i t + 2 p t 1 + t . (13.9)
pt1 -
; pt1 .
13.3.

-
312
.

. -
(13.3).
(13.31) -
:
10. (t) = 0; 20. (t2) = 2;
30. (tt+i) = 0; 40. cov(yt, t) = 0 .
(13.81) , yt
t. , (13.31) -
yt t
(cov(yt, t) 0). , (13.81) :
0 1
M(yt) = + it . (13.10)
1 1 1 1
, (t) = 0, , it -
() .
(13.10) (13.81), :
t
yt (yt) = . (13.11)
1 1
,
cov(yt, t) = ((yt (yt))(t (t))) =
t 1 2 2
= ( t) = M( t ) = > 0. (13.12)
1 1 1 1 1 1
-
,
0 < 1 < 1. b1 1 :
(ct c)(yt y) c t (yt y) c (yt y) c t (yt y)
b1 = 2
= 2
+ 2
= 2
. (13.13)
(yt y) (yt y) (yt y) (yt y)
(yt y ) = 0.
(13.13) t (13.31), :
( 0 + 1y t + t )(y t y)
b1 = 2
=
(y t y)
0 (y t y) 1 y t (y t y) t (y t y) t (y t y)
= 2
+ 2
+ 2
= 1 + 2
. (13.14)
(y t y) (y t y) (y t y) (y t y)
313

t (y t y)
(b1) = 1 + M 2
. (13.15)
(y t y)
t (y t y)

2
(y t y)
, . . -
( ). -
:
1
t (y t y)
t (y t y) n cov( t , y t )
= n .
(y t y)
2 1 2

D(y )
(y t y) t
n
(13.81) , D(it) -
2I , :
D(yt) = D(
0
+
1
1 1 1 1

it + t ) =
1 1
1
(1 1 ) 2
2I + 2 . [ ]
(13.12) (13.14) :
2
1 1 (1 1 ) 2
b1 n 1 + = 1 + . (13.16)
[ ]
1
2I + 2 2I + 2
2
(1 1 )
, b1 ( , -
, 0 < 1 < 1) 1.
-
.
(13.16) , -
1 ,
2I 2 . , , 1 = 0.6, 2I = 3 2 ,
b1 0.6 + 0.4/0.4 = 0.7.
, (13.16) ,
> 0 , lim P( b1 1 < ) 1 . -
n
, b1 1.
314
13.4. ()
-
,
-
. -
(),
.
-
(13.3).
0 1
(13.8). (13.81) = 10 , = 11 ,
1 1 1 1
0 1 t 2
(13.82) = 20 , = 21 , = t ~ N(0, ).
1 1 1 1 1 1 1 1
(13.81) (13.82) :
yt = 10 + 11it + t, (13.171)
ct = 20 + 21it + t. (13.172)
I -
, it t
(13.81), (13.82), , t (13.171) (13.172). -
, ) ) t . -
) )
10 , 21 , 20 , 21 , , BLUE-
10 , 21 , 20 , 21 . ,
b1 b2 1 2 (13.31):
) )
) 21 ) 20
b1 = 1 = ) ; b 0 = 0 = ) . (13.18)
11 11

().
b1 b2
. b1 b2, , -
, , -
, .
, b1 b2 -
. (13.31) -
( ).
315
, :
1. , -
.
2. .
3. , . 2, -
.
13.1. :
: qt = 0 + 1pt + 1t,
: qt = 0 + 1pt + 2yt + 2t,
qt, pt t; yt -
; 1t, 2t .
-
, . -
.
2 2
pt qt yt pt yt ptqt ptyt qtyt
1 8 2 1 4 8 2 10
2 10 4 4 16 20 8 40
3 7 3 9 9 21 9 21
4 5 5 16 25 20 20 25
5 1 2 25 4 5 10 2
15 31 16 55 58 74 49 98
3 6.2 3.2 11 11.6 14.8 9.8 19.6
.
. :
(0 0) + (1 1) pt 2yt + (1t 2t) = 0.
, :
pt = 10 + 11yt + 1t,
qt = 20 + 21yt + 2t,
0 0 2 2t
10 = , 11 = , 1t = 1t ;
1 1 1 1 1 1
20 = 0 + 110, 21 = 111, 2t = 11t + 1t.
, .
b1 b0 1 0 -
:
)
) )
1 = 21 , 0 = 20 110 b1 = ) 21 , b0 = 20 b110 .
11 11
316
-
:
) yp y p 0.2
11 = = = 0.147,
y 2 y 2 1.36
) )
10 = p 11y = 3 0.147 3.2 = 2.5296,
) yq y q 0.24
21 = = = 0.1765,
y2 y2 1.36
) )
20 = q 21y = 6.7648.
,
: b1 = 0.1765/0.147 = 1.2, b0 = 6.7648 + 1.22.5296 = 9.8. -
, :
)
q t = 9.8 1.2 pt.
, -
, :
pq p q 5.2
b1 = 2 = = 2.6, b 0 = q b1 p = 13.8.
p p2 2
:
)
q t = 13.8 2.6 pt.
,
-
.
13.5.
-
-
.
-
( ()), -
:
( ) -
;
.
,
cov(X, ) 0:
Y = 0 + 1X + . (13.19)
X Z , cov(Z, X) 0
317
cov(Z, ) = 0. -
:
M(t) = 0, cov(zt, t) = 0. (13.20)
:
1
e t = 0, (13.211)
T
1
z t e t = 0. (13.212)
T
(13.21) :

(y t b0 b1 x t ) = 0, (13.221)

z t (y t b 0 b1 x t ) = 0. (13.222)
(13.22) :
(z t z)(y t y)
b1 = , (13.231)
(z t z)(x t x)
b 0 = y b1 x. (13.232)
D(X) -
2x , cov(Z, X)
zx 0.
, b1 -
1. (13.231) :
cov(Z, Y) cov(Z, 0 + 1X + )
b1 = = =
cov(Z, X) cov(Z, X)
cov(Z, 0 ) cov(Z, 1X) cov(Z, )
= + + =
cov(Z, X) cov(Z, X) cov(Z, X)
cov(Z, ) 0
= 1 + n 1 +

= 1 . (13.24)
cov(Z, X) zx
:
ov(Z, 0) = 0, . . 0 = const; ov(Z, 1X) = 1ov(Z, X).
b 1 :
318
b1 ~N(1, S2( b1 )),
S2 (z t z) 1
S2( b1 ) = ; S 2
= 2
e t ; et = yt b 0 b1 x t .
[ (z t z)(x t x)]2
T
13.6.
-
-
, ,
. -
-
.

( ), -
-
. , -
-
.

(),

. , -
-
.

(),
-
. , -
,
.

.
13.6.1.
-
-
. , (13.1) -
(13.11) (13.12)
. -
319
,
, . . pe qe.
, , ,
, . .
.

(13.1). (13.13):
0 + 1pt + t1 = 0 + 1pt + t2. (13.25)
pt:
pt = 0 + ut, (13.26)
0 0 t1
0 = , u t = t2 .
1 1 1 1
pt (13.11) (13.12), :
qt = 1 + t, (13.27)
1 0 0 1 1 t1
1 = , t = 1 t2 .
1 1 1 1
(13.26) (13.27) -
. -
: 0, 1, 0, 1. ,
k
k () . , -
, -
:
0 0
0 = , (13.281)
1 1
1 0 0 1
1 = . (13.282)
1 1
, (13.26) (13.27)
pt = 0
qt = 1,
( ).
(. 13.3, ).
-
320
.
, .
P P P
S S S1
S2
pe D3 S3
D2
D D1
qe Q Q Q

. 13.3
, -
() I . -
:
q Dt = 0 + 1pt + 2it + t1, (1 < 0, 2 > 0), (13.291)
q St = 0 + 1pt + t2. (1 > 0). (13.292)
-
.
2 > 0. -
, :
0 + 1pt + 2it + t1 = 0 + 1pt + t2. (13.30)
pt = 0 + 1it + t, (13.31)
0 0 2 t1
0 = , 1 = , t = t2 . (13.32)
1 1 1 1 1 1

(13.29), :
qt = 2 + 3it + t, (13.33)
0 1 1 t1
2 = 1 0 , 1 = 2 1 , t = 1 t2 . (13.34)
1 1 1 1 1 1
321
(13.31) (13.33) -
. , 0, 1, 2,
3. 0, 1, 2,
0, 1 (13.29).
0 1 (13.292):
3
1 = , (13.351)
1
0 = 2 1 0 . (13.352)
0, 1, 2 . , -
. , -
(13.291) -
(. 13.3, ).
-
(, pt1),
, -
(. 13.3, ).
-
.
,
-
( )
(, it pt1 ), -
.
(-
).
13.6.2.

, :
q Dt = 0 + 1pt + 2it + 3st + t1, (13.361)
q St = 0 + 1pt + 2pt1 + t2, (13.362)
st
t.
-
:
322
pt = 0 + 1it + 2st + 3pt + t, (13.37)
qt = 4 + 5it + 6st + 7pt1 + t. (13.38)
0 0 2 3
0 = ; 1 = ; 2 = ;
1 1 1 1 1 1
2 1 0 0 1
3 = ; 4 = ; (13.39)
1 1 1 1
2 1
5 = ; 6 = 3 1 ; 7 = 1 2 ;
1 1 1 1 1 1
1 t2 1 t1 t1
t = ; t = t2 .
1 1 1 1
, 0,
1, 2, 3, 0, 1, 2
(13.39). -
. -
, (13.39) 1. -
, 1 = 6 /2 1 = 5 /1. ,
6 /2 = 5 /1, . 1
, -
.
-
. (-
) .
.
,
.
, .
13.7.

-
. -
N N .
M -
323
. -
n m -
. , ,
, (
). N n M
m .

, ,
, N 1 ( ), -
: (N n) + (M m) N 1.

,

, : M m n
1.

.
-
.
1. (13.1)
q Dt = 0 + 1p t + t1 ,
q St = 0 + 1p t + t2 ,
N = 2, M = 0. n = 2, m = 0. ,
((N n) + (M m) N 1) -
, . . (N n) + (M m) = 0,
N 1 = 1. , .
2. (13.29) -
I ( ):
q Dt = 0 + 1pt + 2it + t1, (1 < 0, 2 > 0),
q St = 0 + 1pt + t2. (1 > 0),

N = 2, M = 1. n = 2. m = 1,
m = 0. (N n) + (M m) = 0 <
< 1 = N 1. ,
324
.
(13.29) (N n) + (M m) = 1 = N 1. -
. , -
.
3.
q Dt = 0 + 1pt + 2it + t1, (13.401)
q St = 0 + 1pt + 2pt1 + t2, (13.402)
N = 2, M = 2. n = 2, m = 1.
(N n) + (M m) = 1 = N 1. ,
(13.40) .
4. (13.36)
q Dt = 0 + 1pt + 2it + 3st + t1,
q St = 0 + 1pt + 2pt1 + t2,

N = 2, M = 3. n = 2.
m = 2. (13.361) -
, . . (N n) + (M m) = 1 = N 1.
(13.362) m = 1. , (N n) + (M m) =
= 2 > 1 = N 1. . -

(.
13.8.2).

, N N
, -
, , -
, -
, N 1.
325
13.8.
13.8.1.

() . -
() .
, Y1 -
Xi, i = 1, 2, , m 1.
Y2
Xi, i = 1, 2, , m 2,
Y1. Y3
, Y2, 3,
(Y1, Y2) . .

(Y1 Y2 Y3 YN). -
.
.
-
,
. ,
, -
. -
13.4.
13.8.2. ()
-
IS LM -
(t):
Y = 0 + 1r + 2G + 3t + 1, (1 < 0), (13.411)
Y = 0 + 1r + 2M + 2. (1 > 0). (13.412)
(13.412) (
r) -
().
.
().
326
-
-
,
( ) .
1
(13.412)
r. ,
(, (13.412) (13.411)):
2 1
R = 0 + 1M + 2G + 3t + ( = ). (13.42)
1 1
)
(13.42) , r r:
) ) ) ) )
r = 0 + 1M + 2 G + 3 t , (13.43)
)
r M, G, t.
2
(13.43) (13.412), :
)
Y = 0 + 1 r + 2M + 2. (13.44)
-
, -
(, -

)
). , r -
, , -
. -
.
(13.41) (13.412) (13.44), -
, .
-
.
,
.
1. ( -
) , -
.
.
327
2.
.
3.
.
4. ,
R2 , -
, .
)
( r )

(r) .
R2 ,
. . -
.
,
-
.
.

1. ?
2.
?
3. -
?
4. ()?
5.
?
6. -
.
7. .
8. ?
9. ()?
10. , -
? .
) -
.
)
, . .
.
328
) , ,
.
) -

.
) -
.
) -
.
) , , -
, , ,
.
) , ,
.
) .
11. -
:
ct = 0 + 1yt + t,
it = 0 + 1rt + t,
yt = ct + it + gt.
yt t; ct t; it
t; gt t; rt
t.
) ,
?
) ?
) ?
12. , -
-
.

1.
ct = 0 + 1yt + t,
it = 0 + 1yt + 2 gt1 + t,
yt = ct + it + gt,
C ; I ; Y ; G
.
) .
) -
?
329
)
,
ct = 0 + 1yt + t?
2.
ct = 0 + 1yt + t,
it = 0 + 1yt + 2 yt1 + t,
yt = ct + it + gt,
C ; I ; Y ; G -
.
) .
) , ?
) -
?
3. :
qD
t = 0 + 1 p t + 2 y t + 1 p t 1 + t , (i, j) = 0 i j.
q St = 0 + 1p t + t , (i, j) = 0 i j.
qD S
t = qt .
) ?
)
?
) -
?
) ?
) , ) )?
) ?
4. :
D
: Q = 0 + 1P + ,
S
: Q = 0 + 1P + 2W + ,
D S
Q =Q ,
Q ; P ; W ; ,
, .

P 10 15 5 8 4
Q 6 6 18 12 8
W 2 6 2 7 4
) ,
?
330
) .
) ( -
).
)
?
)
.
)
? , ?
5. :
ct = 0 + 1yt + t,
it = 0 + 1rt + t,
yt = ct + it + gt.
yt t; ct t; it -
t; gt t; rt
t.
) ,
?
) , -
.
) -
:
yt = 10 + 11rt + 12 gt + 1t,
ct = 20 + 21rt + 22 gt + 2t,
it = 30 + 31rt + 32 gt + 2t.
) ?
) 0 1.
6. :
ct = 0 + 1yt + 1ct1 + t,
it = 0 + 1rt + t,
yt = ct + it + gt.
yt t; ct, ct1 t t1 -
; it t; gt
t; rt t.
) ,
, ?
) ,
.
) -
.
331
) -
:
yt = 10 + 11rt + 12 gt + 13 ct1 + 1t,

ct = 20 + 21rt + 22 gt + 23 ct1 + 2t,
it = 30 + 31rt + 32 gt + 33 ct1 + 2t.
) ?
) -
.
7. :
qt = 0 + 1pt + 2it + t,
qt = 1pt + t.
) ,
?
) :
2 2 2
q t = 110, p t = 50, i t = 80, q t p t = 100, q t i t = 90, p t i t = 100.
1.
) .
) . ?
8. :
y1t = 0 + 1y2t + 2 xt + t,
y2t = 0 + 1y1t + t.
-

y1t = 2 + 5 xt,
y2t = 1 + 10t.
) .
) -
, 1 = 0.
) -
, 0 = 0.
9. (Y), () (I)
20 :
Y 95.75 98.55 103.55 109.00 108.25 107.40 112.70 117.75 123.45 126.55
C 60.45 62.45 65.90 68.90 68.45 70.00 73.55 76.55 79.70 81.60
I 14.30 15.85 17.75 19.70 18.10 14.60 17.35 20.00 22.15 22.30
Y 125.85 128.10 125.35 130.25 138.30 142.65 146.80 151.30 157.40 161.25
C 81.55 82.55 83.45 87.35 91.55 95.50 99.00 101.75 105.40 107.45
332
I 19.80 21.00 18.00 20.00 25.25 24.85 24.50 25.00 25.80 26.15
) ,
t = 0 + 1yt +t
(. 13.3), 0 1 .
)
.
) . .
10. :
t = 0 + 1yt + 2Tt + t,
it = 0 + 1yt1 + t,
Tt = 0 + 1yt + t,
yt = t + it + gt,
Y ; ; I ; ; , , -
.
) , -
, ?
)
, ?
) ?
) , -
rt t?
11. :
rt = 0 + 1yt + 2 mt + t,
yt = 0 + 1rt + t,
rt t; yt t; mt
M2 t.
) ?
) -
?
) -
. -
.
rt 6.55 4.50 4.45 7.00 7.50 8.75 9.70 10.00 11.50 7.75
yt 95.75 98.5 103.55 109.00 108.25 107.40 112.70 117.75 123.45 126.55
mt 58.30 60.00 60.55 64.50 65.00 63.45 67.60 70.50 74.00 76.50
rt 6.00 6.10 5.90 9.80 8.00 7.50 7.00 6.50 7.40 5.50
yt 125.85 128.10 125.35 130.25 138.30 142.65 146.80 151.30 157.40 161.25
mt 75.00 77.25 74.00 78.45 83.50 87.00 88.00 90.50 94.40 96.50
333
12. :
t = 0 + 1yt + 2rt + 1t,
rt = 0 + 1it + 2 mt + 2t,
it = 0 + 1rt + 2(yt yt1) + 3t,
yt = t + it + gt,
ct t; rt t; it -
t; yt t; mt M2 t;
gt t.
) ?
)
?
13. , :
yt = 0 + 1xt + 1t,
zt = 0 + 1yt + 2t. (1, 2) = 0.
) ?
?
) , , ?
) , -
?
14. :
mD
t = 0 + 1yt + 2 rt1 + 3 pt1 + 1t,
mSt = 0 + 1yt + 2t.
yt ; m D S
t ; m t
t; rt1 ; pt1 t 1.
) ?
) -
?
) , -
yt1 mt1?
) -
?
334

1
( )
f(u)
u
t2 (u)
1
(u) = e 2 dt
2 0
:
(1.65) = P( 0 U 1.65) = 0.4505;
P( U > 1.65 ) = 0.0495. 0 u U
u .00 .01 .02 .03 .04 .05 .06 .07 .08 .09
0.0 .0000 .0040 .0080 .0120 .0160 .0199 .0239 .0279 .0319 .0359
0.1 .0398 .0438 .0478 .0517 .0557 .0596 .0636 .0675 .0714 .0753
0.2 .0793 .0832 .0871 .0910 .0948 .0987 .1026 .1064 .1103 .1141
0.3 .1179 .1217 .1255 .1293 .1331 .1368 .1406 .1443 .1480 .1517
0.4 .1554 .1591 .1628 .1664 .1700 .1736 .1772 .1808 .1844 .1879
0.5 .1915 .1950 .1985 .2019 .2054 .2088 .2123 .2157 .2190 .2224
0.6 .2257 .2291 .2324 .2357 .2389 .2422 .2454 .2486 .2517 .2549
0.7 .2580 .2611 .2642 .2673 .2704 .2734 .2764 .2794 .2823 .2852
0.8 .2881 .2910 .2939 .2967 .2995 .3023 .3051 .3078 .3106 .3133
0.9 .3159 .3186 .3212 .3238 .3264 .3289 .3315 .3340 .3365 .3389
1.0 .3413 .3438 .3461 .3485 .3508 .3531 .3554 .3577 .3599 .3621
1.1 .3643 .3665 .3686 .3708 .3729 .3749 .3770 .3790 .3810 .3830
1.2 .3849 .3869 .3888 .3907 .3925 .3944 .3962 .3980 .3997 .4015
1.3 .4032 .4049 .4066 .4082 .4099 .4115 .4131 .4147 .4162 .4177
1.4 .4192 .4207 .4222 .4236 .4251 .4265 .4279 .4292 .4306 .4319
1.5 .4332 .4345 .4357 .4370 .4382 .4394 .4406 .4418 .4429 .4441
1.6 .4452 .4463 .4474 .4484 .4495 .4505 .4515 .4525 .4535 .4545
1.7 .4554 .4564 .4573 .4582 .4591 .4599 .4608 .4616 .4625 .4633
1.8 .4641 .4649 .4656 .4664 .4671 .4678 .4686 .4693 .4699 .4706
1.9 .4713 .4719 .4726 .4732 .4738 .4744 .4750 .4756 .4761 .4767
2.0 .4772 .4778 .4783 .4788 .4793 .4798 .4803 .4808 .4812 .4817
2.1 .4821 .4826 .4830 .4834 .4838 .4842 .4846 .4850 .4854 .4857
2.2 .4861 .4864 .4868 .4871 .4875 .4878 .4881 .4884 .4887 .4890
2.3 .4893 .4896 .4898 .4901 .4904 .4906 .4909 .4911 .4913 .4916
2.4 .4918 .4920 .4922 .4925 .4927 .4929 .4931 .4932 .4934 .4936
2.5 .4938 .4940 .4941 .4943 .4945 .4946 .4948 .4949 .4951 .4952
2.6 .4953 .4955 .4956 .4957 .4959 .4960 .4961 .4962 .4963 .4964
2.7 .4965 .4966 .4967 .4968 .4969 .4970 .4971 .4972 .4973 .4974
2.8 .4974 .4975 .4976 .4977 .4977 .4978 .4979 .4979 .4980 .4981
2.9 .4981 .4982 .4982 .4983 .4984 .4984 .4985 .4985 .4986 .4986
3.0 .4987 .4987 .4987 .4988 .4988 .4989 .4989 .4989 .4990 .4990
3.1 .49903 3.2 .49931 3.3 .49952 3.4 .49966 3.5 .49977 3.6 .49984 3.7 .49989 3.8 .49993 3.9 .49995
4.0 .499968
4.5 .49999
5.0 .49999997
335
2
(t-)
f(t)
: t, = t0.05;20 = 1.725; ,
P( T > 1.725 ) = 0.05; .

P(T > 1.725 ) = 0.10.
0 t, t
0.4 0.25 0.10 0.05 0.025 0.01 0.005 0.001 .0005

1 0.325 1.000 3.078 6.314 12.706 31.821 63.657 318.31 636.6
2 0.289 0.816 1.886 2.920 4.303 6.965 9.925 22.327 31.6
3 0.277 0.765 1.638 2.353 3.182 4.541 5.841 10.214 12.94
4 0.271 0.741 1.533 2.132 2.776 3.747 4.604 7.173 8.610
5 0.267 0.727 1.476 2.015 2.571 3.365 4.032 5.893 6.859
6 0.265 0.718 1.440 1.943 2.447 3.143 3.707 5.208 5.959
7 0.263 0.711 1.415 1.895 2.365 2.998 3.499 4.785 5.405
8 0.262 0.706 1.397 1.860 2.306 2.896 3.355 4.501 5.041
9 0.261 0.703 1.383 1.833 2.262 2.821 3.250 4.297 4.781
10 0.260 0.700 1.372 1.812 2.228 2.764 3.169 4.144 4.587
11 0.260 0.697 1.363 1.796 2.201 2.718 3.106 4.025 4.437
12 0.259 0.695 1.356 1.782 2.179 2.681 3.055 3.930 4.318
13 0.259 0.694 1.350 1.771 2.160 2.650 3.012 3.852 4.221
14 0.258 0.692 1.345 1.761 2.145 2.624 2.977 3.787 4.140
15 0.258 0.691 1.341 1.753 2.131 2.602 2.947 3.733 4.073
16 0.258 0.690 1.337 1.746 2.120 2.583 2.921 3.686 4.015
17 0.257 0.689 1.333 1.740 2.110 2.567 2.898 3.646 3.965
18 0.257 0.688 1.330 1.734 2.101 2.552 2.878 3.610 3.922
19 0.257 0.688 1.328 1.729 2.093 2.539 2.861 3.579 3.883
20 0.257 0.687 1.325 1.725 2.086 2.528 2.845 3.552 3.850
21 0.257 0.686 1.323 1.721 2.080 2.518 2.831 3.527 3.819
22 0.256 0.686 1.321 1.717 2.074 2.508 2.819 3.505 3.792
23 0.256 0.685 1.319 1.714 2.069 2.500 2.807 3.485 3.767
24 0.256 0.685 1.318 1.711 2.064 2.492 2.797 3.467 3.745
25 0.256 0.684 1.316 1.708 2.060 2.485 2.787 3.450 3.725
26 0.256 0.684 1.315 1.706 2.056 2.479 2.779 3.435 3.707
27 0.256 0.684 1.314 1.703 2.050 2.473 2.771 3.421 3.690
28 0.256 0.683 1.313 1.701 2.080 2.467 2.763 3.408 3.674
29 0.256 0.683 1.311 1.699 2.450 2.462 2.756 3.396 3.659
30 0.256 0.683 1.310 1.697 2.042 2.457 2.750 3.385 2.646
40 0.255 0.681 1.303 1.684 2.021 2.423 2.704 3.307 3.551
50 0.255 0.680 1.296 1.676 2.009 2.403 2.678 3.262 3.495
60 0.255 0.679 1.296 1.671 2.000 2.390 2.660 3.232 3.460
80 0.254 0.679 1.292 1.664 1.990 2.374 2.639 3.195 3.415
100 0.254 0.678 1.290 1.660 1.984 2.365 2.626 3.174 3.389
120 0.254 0.677 1.289 1.658 1.980 2.358 2.467 3.160 3.366
200 0.254 0.676 1.286 1.653 1.972 2.345 2.601 3.131 3.339
500 0.253 0.675 1.283 1.648 1.965 2.334 2.586 3.106 3.310
0.253 0.674 1.282 1.645 1.960 2.326 2.576 3.090 3.291
336
3
2
-
f(2)
:
= 15 P(2 > 8.55) = 0.9,

P(2 > 22.31) = 0.1;
2
> 100 2 2 1 = U (U(0,1)).
2
0 , 2
.995 .990 .975 .950 .900 .750 .500 .250 .100 .050 .025 .010 .005

1 .410-6 .210-5 10-5 410-4 .016 .101 .454 1.32 2.71 3.84 5.02 6.63 7.88
2 .010 .020 .051 .103 .211 .58 1.39 2.77 4.61 5.99 7.38 9.21 10.60
3 .072 .115 .216 .352 .584 1.21 2.37 4.11 6.25 7.81 9.35 11.34 12.84
4 .207 .297 .484 .711 1.06 1.92 3.36 5.39 7.78 9.49 11.14 13.28 14.86
5 .412 .554 .831 1.15 1.61 2.67 4.35 6.63 9.24 11.07 12.83 15.09 16.75
6 .676 .872 1.24 1.64 2.20 3.45 5.35 7.84 10.64 12.59 14.45 16.81 18.55
7 .989 1.24 1.69 2.17 2.83 4.25 6.35 9.04 12.02 14.07 16.01 18.48 20.28
8 1.34 1.65 2.18 2.73 3.49 5.07 7.34 10.22 13.37 15.51 17.53 20.09 21.96
9 1.73 2.09 2.70 3.33 4.17 5.90 8.34 11.39 14.68 16.92 19.02 21.67 23.59
10 2.16 2.56 3.25 3.94 4.87 6.74 9.34 12.55 15.99 18.31 20.48 23.21 25.19
11 2.60 3.05 3.82 4.57 5.58 7.58 10.34 13.70 17.28 19.68 21.92 24.73 26.76
12 3.07 3.57 4.40 5.23 6.30 8.44 11.34 14.85 18.55 21.03 23.34 26.22 28.30
13 3.57 4.11 5.01 5.89 7.04 9.30 12.34 15.98 19.81 22.36 24.74 27.69 29.19
14 4.07 4.66 5.63 6.57 7.79 10.1 13.34 17.12 21.06 23.69 26.12 29.14 31.32
15 4.60 5.23 6.26 7.26 8.55 11.04 14.34 18.25 22.31 25.00 27.49 30.58 32.80
16 5.14 5.81 6.91 7.96 9.31 11.91 15.34 19.37 23.54 26.30 28.85 32.00 34.27
17 5.68 6.41 7.56 8.67 10.09 12.79 16.34 20.49 24.77 27.59 30.19 33.41 35.72
18 6.26 7.01 8.23 9.39 10.86 13.68 17.34 21.60 25.99 28.87 31.53 34.81 37.16
19 6.84 7.63 8.91 10.12 11.65 14.56 18.34 22.72 27.20 30.14 32.85 36.19 38.58
20 7.43 8.26 9.59 10.85 12.44 15.45 19.34 23.88 28.41 31.41 34.17 37.57 40.00
21 8.03 8.90 10.28 11.59 13.24 16.34 20.34 24.93 29.61 32.67 35.48 38.93 41.40
22 8.64 9.54 10.98 12.34 14.04 17.24 21.34 26.04 30.81 33.92 36.78 40.29 42.80
23 9.26 10.20 11.69 13.09 14.85 18.14 22.34 27.14 32.01 35.17 38.08 41.64 44.18
24 9.89 10.86 12.40 13.85 15.66 19.04 23.34 28.24 33.20 36.42 39.36 42.98 45.56
25 10.52 11.52 13.12 14.61 16.47 19.94 24.34 29.34 34.38 37.65 40.65 44.31 46.93
26 11.16 12.20 13.84 15.38 17.29 20.84 25.34 30.43 35.56 38.89 41.92 45.64 48.29
27 11.81 12.88 14.57 16.15 18.11 21.78 26.34 31.53 36.74 40.11 43.19 46.96 49.64
28 12.46 13.56 15.31 16.93 18.94 22.66 27.34 32.62 37.92 41.34 44.46 48.28 50.99
29 13.12 14.26 16.05 17.71 19.77 23.57 28.34 33.71 39.09 42.56 45.72 49.59 52.34
30 13.78 14.95 16.79 18.49 20.60 24.48 29.34 34.80 40.26 43.77 46.98 50.89 53.67
40 20.71 22.16 24.43 26.51 29.05 33.66 39.34 45.62 51.81 55.76 59.34 63.69 66.77
50 27.99 29.70 32.36 34.76 37.69 42.94 49.33 56.33 63.17 67.50 71.42 76.15 79.49
60 35.53 37.48 40.48 43.19 46.46 52.29 59.33 66.98 74.38 79.08 83.30 88.38 91.95
70 43.28 45.44 48.76 51.74 55.33 61.70 69.33 77.58 85.53 90.53 95.02 100.4 104.2
80 51.17 53.54 57.15 60.39 64.28 71.14 79.33 88.13 96.58 101.9 106.6 112.3 116.3
90 59.20 61.75 65.65 69.13 73.29 80.62 89.33 98.65 107.6 113.1 118.1 124.1 128.3
100 67.32 70.06 74.22 77.93 82.36 90.13 99.33 109.1 118.5 124.3 129.6 135.8 140.2
337
4 ()
(F-)
f(F)
:
1 = 6, 2 = 5 P(F > 3.40) = 0.1;
1 = 6, 2 = 5 P(F > 4.95) = 0.05;
1 = 6, 2 = 5 P(F > 10.7) = 0.01.
0 F; 1; 2 F
1 ( )
2 1 2 3 4 5 6 7 8 9 10 11 12
1 .10 39.9 49.5 53.6 55.8 57.2 58.2 58.9 59.4 59.9 60.2 60.5 60.7
.05 161 200 216 225 230 234 237 239 241 242 243 244
2 .10 8.53 9.00 9.16 9.24 9.29 9.33 9.35 9.37 9.38 9.39 9.40 9.41
.05 18.5 19.0 19.2 19.2 19.3 19.3 19.4 19.4 19.4 19.4 19.4 19.4
.01 98.5 99.2 99.2 99.2 99.3 99.3 99.4 99.4 99.4 99.4 99.4 99.4
3 .10 5.54 5.46 5.39 5.34 5.31 5.28 5.27 5.25 5.24 5.23 5.22 5.22
.05 10.1 9.55 9.28 9.12 9.01 8.94 8.89 8.85 8.81 8.79 8.76 8.74
.01 34.1 30.8 29.5 28.7 28.2 27.9 27.7 27.5 27.3 27.2 27.1 27.1
4 .10 4.54 4.32 4.19 4.11 4.05 4.01 3.98 3.95 3.94 3.92 3.91 3.90
.05 7.71 6.94 6.59 6.39 6.26 6.16 6.09 6.04 6.00 5.96 5.94 5.91
.01 21.2 18.0 16.7 16.0 15.5 15.2 15.0 14.8 14.7 14.5 14.4 14.4
5 .10 4.06 3.78 3.62 3.52 3.45 3.40 3.37 3.34 3.32 3.30 3.28 3.27
.05 6.61 5.79 5.41 5.19 5.05 4.95 4.88 4.82 4.77 4.74 4.71 4.68
.01 16.3 13.3 12.1 11.4 11.0 10.7 10.5 10.3 10.2 10.1 9.96 9.89
6 .10 3.78 3.46 3.29 3.18 3.11 3.05 3.01 2.98 2.96 2.94 2.92 2.90
.05 5.99 5.14 4.76 4.53 4.39 4.28 4.21 4.15 4.10 4.06 4.03 4.00
.01 13.7 10.9 9.78 9.15 8.75 8.47 8.26 8.10 7.98 7.87 7.79 7.72
7 .10 3.59 3.26 3.07 2.96 2.88 2.83 2.78 2.75 2.72 2.70 2.68 2.67
.05 5.59 4.74 4.35 4.12 3.97 3.87. 3.79 3.73 3.68 3.64 3.60 3.57
.01 12.2 9.55 8.45 7.85 7.46 7.19 6.99 6.84 6.72 6.62 6.54 6.47
8 .10 3.46 3.11 2.92 2.81 2.73 2.67 2.62 2.59 2.56 2.54 2.52 2.50
.05 5.32 4.46 4.07 3.84 3.69 3.58 3.50 3.44 3.39 3.35 3.31 3.28
.01 11.3 8.65 7.59 7.01 6.63 6.37 6.18 6.03 5.91 5.81 5.73 5.67
9 .10 3.36 3.01 2.81 2.69 2.61 2.55 2.51 2.47 2.44 2.42 2.40 2.38
.05 5.12 4.26 3.86 3.63 3.48 3.37 3.29 3.23 3.18 3.14 3.10 3.07
.01 10.6 8.02 6.99 6.42 6.06 5.80 5.61 5.47 5.35 5.26 5.18 5.11
10 .10 3.29 2.92 2.73 2.61 2.52 2.46 2.41 2.38 2.35 2.32 2.30 2.28
.05 4.96 4.10 3.71 3.48 3.33 3.22 3.14 3.07 3.02 2.98 2.94 2.91
.01 10.0 7.56 6.55 5.99 5.64 5.39 5.20 5.06 4.94 4.85 4.77 4.71
11 .10 3.23 2.86 2.66 2.54 2.45 2.39 2.34 2.30 2.27 2.25 2.23 2.21
.05 4.84 3.98 3.59 3.36 3.20 3.09 3.01 2.95 2.90 2.85 2.82 2.79
.01 9.65 7.21 6.22 5.67 5.32 5.07 4.89 4.74 4.63 4.54 4.46 4.40
338
4 ()
()
1 ( )
15 20 24 30 40 50 60 100 120 200 500 2
61.2 61.7 62.0 62.3 62.5 62.7 62.8 63.0 63.1 63.2 63.3 63.3 .10 1
246 248 249 250 251 252 252 253 253 254 254 254 .05
9.42 9.44 9.45 9.46 9.47 9.47 9.47 9.48 9.48 9.49 9.49 9.49 .10 2
19.4 19.4 19.5 19.5 19.5 19.5 19.5 19.5 19.5 19.5 19.5 19.5 .05
99.4 99.4 99.5 99.5 99.5 99.5 99.5 99.5 99.5 99.5. 99.5 995 .01
5.20 5.18 5.18 5.17 5.16 5.15 5.15 5.14 5.14 5.14 5.14 5.13 .10 3
8.70 8.66 8.64 8.62 8.59 8.58 8.57 8.55 8.55 8.54 8.53 8.53 .05
26.9 26.7 26.6 26.5 26.4 26.4 26.3 26.2 26.2 26:2 26.1 26.1 .01
3.87 3.84 3.83 3.82 3.80 3.80 3.79 3.78 3.78 3.77 3.76 3.76 .10 4
5.86 5.80 5.77 5.75 5.72 5.70 5.69 5.66 5.66 5.65 5.64 5.63 .05
14.2 14.0 13.9 13.8 13.7 13.7 13.7 13.6 13.6 13.5 13.5 13.5 .01
3.24 3.21 3.19 3.17 3.16 3.15 3.14 3.13 3.12 3.12 3.11 3.10 .10 5
4.62 4.56 4.53 4.50 4.46 4.44 4.43 4.41 4.40 4.39 4.37 4.36 .05
9.72 9.55 9.47 9.38 9.29 9.24 9.20 9.13 9.11 9.08 9.04. 9.02 .01
2.87 2.84 2.82 2.80 2.78 2.77 2.76 2.75 2.74 2.73 2.73 2.72 .10 6
3.94 3.87 3.84 3.81 3.77 3.75 3.74 3.71 3.70 3.69 3.68 3.67 .05
7.56 7.40 7.31 7.23 7.14 7.09 7.06 6.99 6.97 6.93 6.90 6.88 .01
2.63 2.59 2.58 2.56 2.54 2.52 2.51 2.50 2.49 2.48 2.48 2.47 .10 7
3.51 3.44 3.41 3.38 3.34 3.32 3.30 3.27 3.27 3.25 3.24 3.23 .05
6.31 6.16 6.07 5.99 5.91 5.86 5.82 5.75 5.74 5.70 5.67 5.65 .01
2.46 2.42 2.40 2.38 2.36 2.35 2.34 2.32 2.32 2.31 2.30 2.29 .10 8
3.22 3.15 3.12 3.08 3.04 2.02 3.01 2.97 2.97 2.95 2.94 2.93 .05
5.52 5.36 5.28 5.20 5.12 5.07 5.03 4.96 4.95 4.91 4.88 4.86 .01
2.34 2.30 2.28 2.25 2.23 2.22 2.21 2.19 2.18 2.17 2.17 2.16 .10 9
3.01 2.94 2.90 2.86 2.83 2.80 2.79 2.76 2.75 2.73 2.72 2.71 .05
4.96 4.81 4.73 4.65 4.57 4.52 4.48 4.42 4.40 4.36 4.33 4.31 .01
2.24 2.20 2.18 2.16 2.13 2.12 2.11 2.09 2.08 2.07 2.06 2.06 .10 10
2.85 2.77 2.74 2.70 2.66 2.64 2.62 2.59 2.58 2.56 2.55 2.54 .05
4.56 4.41 4.33 4.25 4.17 4.12 4.08 4.01 4.00 3.96 3.93 3.91 .01
2.17 2.12 2.10 2.08 2.05 2.04 2.03 2.00 2.00 1.99 1.98 1.97 .10 11
2.72 2.65 2.61 2.57 2.53 2.51 2.49 2.46 2.45 2.43 2.42 2.40 .05
4.25 4.10 4.02 3.94 3.86 3.81 3.78 3.71 3.69 3.66 3.62 3.60 .01
339
4 ()
()
1 ( )
2 1 2 3 4 5 6 7 8 9 10 11 12
12 .10 3.18 2.81 2.61 2.48 2.39 2.33 2.28 2.24 2.21 2.19 2.17 2.15
.05 4.75 3.89 3.49 3.26 3.11 3.00 2.91 2.85 2.80 2.75 2.72 2.69
.01 9.33 6.93 5.95 5.41 5.06 4.82 4.64 4.50 4.39 4.30 4.22 4.16
13 .10 3.14 2.76 2.56 2.43 2.35 2.28 2.23 2.20 2.16 2.14 2.12 2.10
.05 4.67 3.81 3.41 3.18 3.03 2.92 2.83 2.77 2.71 2.67 2.63 2.60
.01 9.07 6.70 5.74 5.21 4.86 4.62 4.44 4.30 4.19 4.10 4.02 3.96
14 .10 3.10 2.73 2.52 239 2.31 2.24 2.19 2.15 2.12 2.10 2.08 2.05
.05 4.60 3.74 3.34 3.11 2.96 2.85 2.76 2.70 2.65 2.60 2.57 2.53
.01 8.86 6.51 5.56 5.04 4.69 4.46 4.28 4.14 4.03 3.94 3.86 3.80
15 .10 3.07 2.70 2.49 2.36 2.27 2.21 2.16 2.12 2.09 2.06 2.04 2.02
.05 4.54 3.68 3.29 3.06 2.90 2.79 2.71 2.64 2.59 2.54 2.51 2.48
.01 8.68 6.36 5.42 4.89 4.56 4.32 4.14 4.00 3.89 3.80 3.73 3.67
16 .10 3.05 2.67 2.46 2.33 2.24 2.18 2.13 2.09 2.06 2.03 2.01 1.99
.05 4.49 3.63 3.24 3.01 2.85 2.74 2.66 2.59 2.54 2.49 2.46 2.42
.01 8.53 6.23 5.29 4.77 4.44 4.20 4.03 3.89 3.78 3.69 3.62 3.55
17 .10 3.03 2.64 2.44 2.31 2.22 2.15 2.10 2.06 2.03 2.00 1.98 1.96
.05 4.45 3.59 3.20 2.96 2.81 2.70 2.61 2.55 2.49 2.45 2.41 2.38
.01 8.40 6.11 5.18 4.67 4.34 4.10 3.93 3.79 3.68 3.59 3.52 3.46
18 .10 3.01 2.62 2.42 2.29 2.20 2.13 2.08 2.04 2.00 1.98 1.96 1.93
.05 4.41 3.55 3.16 2.93 2.77 2.66 2.58 2.51 2.46 2.41 2.37 2.34
.01 8.29 6.01 5.09 4.58 4.25 4.01 3.84 3.71 3.60 3.51 3.43 3.37
19 .10 2.99 2.61 2.40 2.27 2.18 2.11 2.06 2.02 1.98 1.96 1.94 1.91
.05 4.38 3.52 3.13 2.90 2.74 2.63 2.54 2.48 2.42 2.38 2.34 2.31
.01 8.18 5.93 5.01 4.50 4.17 3.94 3.77 3.63 3.52 3.43 3.36 3.30
20 .10 2.97 2.59 2.38 2.25 2.16 2.09 2.04 2.00 1.96 1.94 1.92 1.89
.05 4.35 3.49 3.10 2.87 2.71 2.60 2.51 2.45 2.39 2.35 2.31 2.28
.01 8.10 5.85 4.94 4.43 4.10 3.87 3.70 3.56 3.46 3.37 3.29 3.23
22 .10 2.95 2.56 2.35 2.22 2.13 2.06 2.01 1.97 1.93 1.90 1.88 1.86
.05 4.30 3.44 3.05 2.82 2.66 2.55 2.46 2.40 2.34 2.30 2.26 2.23
.01 7.95 5.72 4.82 4.31 3.99 3.76 3.59 3.45 3.35 3.26 3.18 3.12
24 .10 2.93 2.54 2.33 2.19 2.10 2.04 1.98 1.94 1.91 1.88 1.85 1.83
.05 4.26 3.40 3.01 2.78 2.62 2.51 2.42 2.36 2.30 2.25 2.21 2.18
.01 7.82 5.61 4.72 4.22 3.90 3.67 3.50 3.36 3.26 3.17 3.09 3.03
26 .10 2.91 2.52 2.31 2.17 2.08 2.01 1.96 1.92 1.88 1.86 1.84 1.81
.05 4.23 3.37 2.98 2.74 2.59 2.47 2.39 2.32 2.27 2.22 2.18 2.15
.01 7.72 5.53 4.64 4.14 3.82 3.59 3.42 3.29 3.18 3.09 3.02 2.96
28 .10 2.89 2.50 2.29 2.16 2.06 2.00 1.94 1.90 1.87 1.84 1.81 1.79
.05 4.20 3.34 2.95 2.71 2.56 2.45 2.36 2.29 2.24 2.19 2.15 2.12
.01 7.64 5.45 4.57 4.07 3.75 3.53 3.36 3.23 3.12 3.03 2.96 2.90
30 .10 2.88 2.49 2.28 2.14 2.05 1.98 1.93 1.88 1.85 1.82 1.79 1.77
.05 4.17 3.32 2.92 2.69 2.53 2.42 2.33 2.27 2.21 2.16 2.13 2.09
.01 7.56 5.39 4.51 4.02 3.70 3.47 3.30 3.17 3.07 2.98 2.91 2.84
340
4 ()
()
1 ( )
15 20 24 30 40 50 60 100 120 200 500 2
2.10 2.06 2.04 2.01 1.99 1.97 1.96 1.94 1.93 1.92 1.91 1.90 .10 12
2.62 2.54 2.51 2.47 2.43 2.40 2.38 2.35 2.34 2.32 2.31 2.30 .05
4.01 3.86 3.78 3.70 3.62 3.57 3.54 3.47 3.45 3.41 3.38 3.36 .01
2.05 2.01 1.98 1.96 1.93 1.92 1.90 1.88 1.88 1.86 1.85 1.85 .10 13
2.53 2.46 2.42 2.38 2.34 2.31 2.30 2.26 2.25 2.23 2.22 2.21 .05
3.82 3.66 3.59 3.51 3.43 3.38 3.34 3.27 3.25 3.22 3.19 3.17 .01
2.01 1.96 1.94 1.91 1.89 1.87 1.86 1.83 1.83 1.82 1.80 1.80 .10 14
2.46 2.39 2.35 2.31 2.27 2.24 2.22 2.19 2.18 2.16 2.14 2.13 .05
3.66 3.51 3.43 3.35 3.27 3.22 3.18 3.11 3.09 3.06 3.03 3.00 .01
1.97 1.92 1.90 1.87 1.85 1.83 1.82 1.79 1.79 1.77 1.76 1.76 .10 15
2.40 2.33 2.29 2.25 2.20 2.18 2.16 2.12 2.11 2.10 2.08 2.07 .05
3.52 3.37 3.29 3.21 3.13 3.08 3.05 2.98 2.96 2.92 2.89 2.87 .01
1.94 1.89 1.87 1.84 1.81 1.79 1.78 1.76 1.75 1.74 1.73 1.72 .10 16
2.35 2.28 2.24 2.19 2.15 2.12 2.11 2.07 2.06 2.04 2.02 2.01 .05
3.41 3.26 3.18 3.10 3.02 2.97 2.93 2.86 2.84 2.81 2.78 2.75 .01
1.91 1.86 1.84 1.81 1.78 1.76 1.75 1.73 1.72 1.71 1.69 1.69 .10 17
2.31 2.23 2.19 2.15 2.10 2.08 2.06 2.02 2.01 1.99 1.97 1.96 .05
3.31 3.16 3.08 3.00 2.92 2.87 2.83 2.76 2.75 2.71 2.68 2.65 .01
1.89 1.84 1.81 1.78 1.75 1.74 1.72 1.70 1.69 1.68 1.67 1.66 .10 18
2.27 2.19 2.15 2.11 2.06 2.04 2.02 1.98 1.97 1.95 1.93 1.92 .05
3.23 3.08 3.00 2.92 2.84 2.78 2.75 2.68 2.66 2.62 2.59 2.57 .01
1.86 1.81 1.79 1.76 1.73 1.71 1.70 1.67 1.67 1.65 1.64 1.63 .10 19
2.23 2.16 2.11 2.07 2.03 2.00 1.98 1.94 1.93 1.91 1.89 1.88 .05
3.15 3.00 2.92 2.84 2.76 2.71 2.67 2.60 2.58 2.55 2.51 2.49 .01
1.84 1.79 1.77 1.74 1.71 1.69 1.68 1.65 1.64 1.63 1.62 1.61 .10 20
2.20 2.12 2.08 2.04 1.99 1.97 1.95 1.91 1.90 1.88 1.86 1.84 .05
3.09 2.94 2.86 2.78 2.69 2.64 2.61 2.54 2.52 2.48 2.44 2.42 .01
1.81 1.76 1.73 1.70 1.67 1.65 1.64 1.61 1.60 1.39 1.58 1.37 .10 22
2.15 2.07 2.03 1.98 1.94 1.91 1.89 1.85 1.84 1.82 1.80 1.78 .05
2.98 2.83 2.75 2.67 2.58 2.53 2.50 2.42 2.40 2.36 2.33 2.31 .01
1.78 1.73 1.70 1.67 1.64 1.62 1.61 1.58 1.57 1.56 1.54 1.53 .10 24
2.11 2.03 1.98 1.94 1.89 1.86 1.84 1.80 1.79 1.77 1.75 1.73 .05
2.89 2.74 2.66 2.58 2.49 2.44 2.40 2.33 2.31 2.27 2.24 2.21 .01
1.76 1.71 1.68 1.65 1.61 1.59 1.58 1.35 1.54 1.53 1.51 1.50 .10 26
2.07 1.99 1.95 1.90 1.85 1.82 1.80 1.76 1.75 1.73 1.71 1.69 .05
2.81 2.66 2.58 2.50 2.42 2.36 2.33 2.25 2.23 2.19 2.16 2.13 .01
1.74 1.69 1.66 1.63 1.59 1.57 1.56 1.53 1.52 1.50 1.49 1.48 .10 28
2.04 1.96 1.91 1.87 1.82 1.79 1.77 1.73 1.71 1.69 1.67 1.65 .05
2.75 2.60 2.52 2.44 2.35 2.30 2.26 2.19 2.17 2.13 2.09 2.06 .01
1.72 1.67 1.64 1.61 1.57 1.55 1.54 1.51 1.50 1.48 1.47 1.46 .10 30
2.01 1.93 1.89 1.84 1.79 1.76 1.74 1.70 1.68 1.66 1.64 1.62 .05
2.70 2.55 2.47 2.39 2.30 2.25 2.21 2.13 2.11 2.07 2.03 2.01 .01
341
4 ()
()
1 ( )
2 1 2 3 4 5 6 7 8 9 10 11 12
40 .10 2.84 2.44 2.23 2.09 2.00 1.93 1.87 1.83 1.79 1.76 1.73 1.71
.05 4.08 3.23 2.84 2.61 2.45 2.34 2.25 2.18 2.12 2.08 2.04 2.00
.01 7.31 5.18 4.31 3.83 3.51 3.29 3.12 2.99 2.89 2.80 2.73 2.66
60 .10 2.79 2.39 2.18 2.04 1.95 1.87 1.82 1.77 1.74 1.71 1.68 1.66
.05 4.00 3.15 2.76 2.53 2.37 2.25 2.17 2.10 2.04 1.99 1.95 1.92
.01 7.08 4.98 4.13 3.65 3.34 3.12 2.95 2.82 2.72 2.63 2.56 2.50
80 .01 2.77 2.37 2.16 2.02 1.93 1.85 1.80 1.75 1.72 1.69 1.65 1.63
.05 3.96 3.11 2.72 2.48 2.33 2.21 2.12 2.05 1.99 1.95 1.91 1.88
.01 6.96 4.88 4.04 3.56 3.25 3.04 2.87 2.74 2.64 2.55 2.48 2.41
100 .10 2.76 2.36 2.14 2.00 1.91 1.83 1.78 1.73 1.70 1.67 1.63 1.61
.05 3.94 3.09 2.70 2.46 2.30 2.19 2.10 2.03 1.97 1.92 1.88 1.85
.01 6.90 4.82 3.98 3.51 3.20 2.99 2.82 2.69 2.59 2.51 2.43 2.36
120 .10 2.75 2.35 2.13 1.99 1.90 1.82 1.77 1.72 1.68 1.65 1.62 1.60
.05 3.92 3.07 2.68 2.45 2.29 2.17 2.09 2.02 1.96 1.91 1.87 1.83
.01 6.85 4.79 3.95 3.48 3.17 2.96 2.79 2.66 2.56 2.47 2.40 2.34
200 .10 2.73 2.33 2.11 1.97 1.88 1.80 1.75 1.70 1.66 1.63 1.60 1.57
.05 3.89 3.04 2.65 2.42 2.26 2.14 2.06 1.98 1.93 1.88 1.84 1.80
.01 6.76 4.71 3.88 3.41 3.11 2.89 2.73 2.60 2.50 2.41 2.34 2.27
.10 2.71 2.30 2.08 1.94 1.85 1.77 1.72 1.67 1.63 1.60 1.57 1.55
.05 3.84 3.00 2.60 2.37 2.21 2.10 2.01 1.94 1.88 1.83 1.79 1.75
.01 6.63 4.61 3.78 3.32 3.02 2.80 2.64 2.51 2.41 2.32 2.25 2.18
342
4 (e)
()
1 ( )
15 20 24 30 40 50 60 100 120 200 500 2
1.66 1.61 1.57 1.54 1.51 1.48 1.47 1.43 1.42 1.41 1.39 1.38 .10 40
1.92 1.84 1.79 1.74 1.69 1.66 1.64 1.59 1.58 1.55 1.53 1.51 .05
2.52 2.37 2.29 2.20 2.11 2.06 2.02 1.94 1.92 1.87 1.83 1.80 .01
1.60 1.54 1.51 1.48 1.44 1.41 1.40 1.36 1.35 1.33 1.31 1.29 .10 60
1.84 1.75 1.70 1.65 1.59 1.56 1.53 1.48 1.47 1.44 1.41 1.39 .05
2.35 2.20 2.12 2.03 1.94 1.88 1.84 1.75 1.73 1.68 1.63 1.60 .01
1.58 1.52 1.49 1.45 1.41 1.38 1.36 1.31 1.31 1.29 1.27 1.25 .10 80
1.77 1.70 1.65 1.60 1.54 1.51 1.47 1.42 1.40 1.38 1.34 1.32 .05
2.24 2.11 2.03 1.94 1.84 1.78 1.76 1.65 1.63 1.57 1.52 1.49 .01
1.56 1.50 1.47 1.43 1.39 1.36 1.34 1.29 1.28 1.26 1.24 1.22 .10 100
1.75 1.68 1.63 1.57 1.51 1.48 1.45 1.39 1.38 1.34 1.30 1.28 .05
2.19 2.06 1.98 1.89 1.79 1.73 1.70 1.59 1.57 1.51 1.46 1.43 .01
1.55 1.48 1.45 1.41 1.37 1.34 1.32 1.27 1.26 1.24 1.21 1.19 .10 120
1.75 1.66 1.61 1.55 1.50 1.46 1.43 1.37 1.35 1.32 1.28 1.25 .05
2.19 2.03 1.95 1.86 1.76 1.70 1.66 1.56 1.53 1.48 1.42 1.38 .01
1.52 1.46 1.42 1.38 1.34 1.31 1.28 1.24 1.22 1.20 1.17 1.14 .10 200
1.72 1.62 1.57 1.52 1.46 1.41 1.39 1.32 1.29 1.26 1.22 1.19 .05
2.13 1.97 1.89 1.79 1.69 1.63 1.58 1.48 1.44 1.39 1.33 1.28 .01
1.49 1.42 1.38 1.34 1.30 1.26 1.24 1.18 1.17 1.13 1.08 1.00 .10
1.67 1.57 1.52 1.46 1.39 1.35 1.32 1.24 1.22 1.17 1.11 1.00 .05
2.04 1.88 1.79 1.70 1.59 1.52 1.47 1.36 1.32 1.25 1.15 1.00 .01
5

: P( > ) =
0.20 0.10 0.05 0.02 0.01 0.001
1.073 1.224 1.358 1.520 1.627 1.950
343
6()

dl du = 0.05
(n , m )
m=1 m=2 m=3 m=4 m=5 m=6 m=7 m=8 m=9

n
dl du dl du dl du dl du dl du dl du dl du dl du dl du
6 0.610 1.400
7 0.700 1.356 0.467 1.896
8 0.763 1.332 0.359 1.777 0.368 2.287
9 0.824 1.320 0.629 1.699 0.435 2.128 0.296 2.388
10 0.879 1.320 0.697 1.641 0.525 2.016 0.376 2.414 0.243 2.822
11 0.927 1.324 0.658 1.604 0.595 1.928 0.444 2.283 0.316 2.645 0.203 3.005
12 0.971 1.331 0.812 1.579 0.658 1.864 0.512 2.177 0.379 2.506 0.268 2.832 0.171 3.149
13 1.010 1.340 0.861 1.562 0.715 1.816 0.574 2.094 0.445 2.390 0.328 2.692 0.230 2.985 0.147 3266
14 1.045 1.330 0.905 1.551 0.767 1.779 0.632 2.030 0.505 2.296 0.389 2.572 0.286 2.848 0.200 3.111 0.127 3.360
15 1.077 1.361 0.946 1.543 0.814 1.750 0.685 1.977 0.562 2.220 0.447 2.472 0.343 2.727 0.251 2.979 0.175 3.216
16 1.106 1.371 0.982 1.539 0.857 1.728 0.734 1.935 0.615 2.157 0.502 2.388 0.398 2.624 0.304 2.860 0.222 3.090
17 1.133 1.381 1.015 1.536 0.897 1.710 0.779 1.900 0.664 2.104 0.554 2.318 0.451 1537 0.356 2.757 0.272 2.975
18 1.158 1.391 1.046 1.535 0.933 1.696 0.820 1.872 0.710 2.060 0.603 2.257 0.502 2.461 0.407 2.667 0.321 2.873
19 1.180 1.401 1.074 1.536 0.967 1.685 0.859 1.848 0.752 2.023 0.649 2.206 0.549 2.396 0.456 2.589 0.369 2.783
20 1.201 1.411 1.100 1.537 0.998 1.676 0.894 1.828 0.792 1.991 0.692 2.162 0.595 2.339 0.502 2.521 0.416 2.704
21 1.221 1.420 1.125 1.538 1.026 1.669 0.927 1.812 0.829 1.964 0.732 2.124 0.637 2.290 0.547 2.460 0.461 2.633
22 1.239 1.429 1.147 1.541 1.053 1.664 0.958 1.797 0.863 1.940 0.769 2.090 0.677 2.246 0.588 2.407 0.504 2.571
23 1.257 1.437 1.168 1.543 1.078 1.660 0.986 1.785 0.895 1.920 0.804 2.061 0.715 2.208 0.628 2.360 0.545 2.514
24 1.273 1.446 1.188 1.546 1.101 1.656 1.013 1.775 0.925 1.902 0.837 2.035 0.751 2.174 0.666 2.318 0.584 2.464
25 1.288 1.454 1.206 1.550 1.123 1.654 1.038 1.767 0.953 1.886 0.868 2.012 0.784 2.144 0.702 2.280 0.621 2.419
26 1.302 1.461 1.224 1.553 1.143 1.652 1.062 1.759 0.979 1.873 0.897 1.992 0.816 2.117 0.735 2.246 0.657 2.379
27 1.316 1.469 1.240 1.556 1.162 1.651 1.084 1.753 1.004 1.861 0.925 1.974 0.845 2.093 0.767 2.216 0.691 2.342
28 1.328 1.476 1.255 1.560 1.181 1.650 1.104 1.747 1.028 1.850 0.951 1.958 0.874 2.071 0.798 2.188 0.723 2.309
29 1.341 1.483 1.270 1.563 1.198 1.650 1.124 1.743 1.050 1.841 0.975 1.944 0.900 2.052 0.826 2.164 0.753 2.278
30 1.352 1.489 1.284 1.567 1.214 1.650 1.143 1.739 1.071 1.833 0.998 1.931 0.926 2.034 0.854 2.141 0.782 2.251
31 1.363 1.496 1.297 1.570 1.229 1.650 1.160 1.735 1.090 1.825 1.020 1.920 0.950 2.018 0.879 2.120 0.810 2.226
32 1.373 1.502 1.309 1.574 1.244 1.650 1.177 1.732 1.109 1.819 1.041 1.909 0.972 2.004 0.904 2.102 0.836 2.203
33 1.383 1.508 1.321 1.577 1.258 1.651 1.193 1.730 1.127 1.813 1.061 1.900 0.994 1.991 0.927 2.085 0.861 2.181
34 1.393 1.514 1.333 1.580 1.271 1.652 1.208 1.728 1.144 1.808 1.080 1.891 1.015 1.979 0.950 2.069 0.885 2.162
35 1.402 1.519 1.343 1.584 1.283 1.653 1.222 1.726 1.160 1.803 1.097 1.884 1.034 1.967 0.971 2.054 0.908 2.144
36 1.411 1.525 1.354 1.587 1.295 1.654 1.236 1.724 1.175 1.799 1.114 1.877 1.053 1.957 0.991 2.041 0.930 2127
37 1.419 1.530 1.364 1.590 1.307 1.655 1.249 1.723 1.190 1.795 1.131 1.870 1.071 1.948 1.011 2.029 0.951 2.112
38 1.427 1.535 1.373 1.594 1.318 1.656 1.261 1.722 1.204 1.792 1.146 1.864 1.088 1.939 1.029 2.017 0.970 2.098
39 1.435 1.540 1.382 1.597 1.328 1.658 1.273 1.722 1.218 1.789 1.161 1.859 1.104 1.932 1.047 2.007 0.990 2.085
40 1.442 1.544 1.391 1.600 1.338 1.659 1.285 1.721 1.230 1.786 1.175 1.854 1.120 1.924 1.064 1.997 1.008 2.072
45 1.475 1.566 1.430 1.615 1.383 1.666 1.336 1.720 1.287 1.776 1.238 1.835 1.189 1.895 1.139 1.958 1.089 2.022
50 1.503 1.585 1.462 1.628 1.421 1.674 1.378 1.721 1.335 1.771 1.291 1.822 1.246 1.875 1.201 1.930 1.156 1.986
55 1.528 1.601 1.490 1.641 1.452 1.681 1.414 1.724 1.374 1.768 1.334 1.814 1.294 1.861 1.253 1.909 1.212 1.959
60 1.549 1.616 1.514 1.652 1.480 1.689 1.444 1.727 1.408 1.767 1.372 1.808 1.335 1.850 1.298 1.894 1.260 1.939
65 1.567 1.629 1.536 1.662 1.503 1.696 1.471 1.731 1.438 1.767 1.404 1.805 1.370 1.843 1.336 1.882 1.301 1.923
70 1.583 1.641 1.554 1.672 1.525 1.703 1.494 1.735 1.464 1.768 1.433 1.802 1.401 1.837 1.369 1.873 1.337 1.910
75 1.598 1.65 1.571 1.680 1.543 1.709 1.515 1.739 1.487 1.770 1.458 1.801 1.428 1.834 1.399 1.867 1.369 1.901
80 1.611 1.662 1.586 1.688 1.560 1.715 1.534 1.743 1.507 1.772 1.480 1.801 1.453 1.831 1.425 1.861 1.397 1.893
85 1.624 1.671 1.600 1.696 1.575 1.721 1.550 1.747 1.525 1.774 1.500 1.801 1.474 1.829 1.448 1.857 1.422 1.886
90 1.635 1.679 1.612 1.703 1.589 1.726 1.566 1.751 1.542 1.776 1.518 1.801 1.494 1.827 1.469 1.854 1.445 1.881
95 1.645 1.687 1.623 1.709 1.602 1.732 1.579 1.755 1.557 1.778 1.535 1.802 1.512 1.827 1.489 1.852 1.465 1.877
100 1.654 1.694 1.634 1.715 1.613 1.736 1.592 1.758 1.571 1.780 1.550 1.803 1.528 1.826 1.506 1.850 1.484 1.874
150 1.720 1.746 1.706 1.760 1.693 1.774 1.679 1.788 1.665 1.802 1.651 1.817 1.637 1.832 1.622 1.847 1.608 1.862
344
200 1.758 1.778 1.748 1.789 1.738 1.799 1.728 1.810 1.718 1.820 1.707 1.831 1.697 1.841 1.686 1.852 1.675 1.863
6()

dl du = 0.01
(n , m )
m=1 m=2 m=3 m=4 m=5 m=6 m=7 m=8 m=9

n
6 0.390 1.142
7 0.433 1.036 0.294 1.676
8 0.497 1.003 0.343 1.489 0.229 2.102
9 0.554 0.998 0.408 1.389 0.279 1.873 0.183 2.433
10 0.604 1.001 0.466 1.333 0.340 1.733 0.230 2.193 0.130 2.690
11 0.633 1.010 0.319 1.297 0.396 1.640 0.286 2.030 0.193 2.433 0.124 2.892
12 0.697 1.023 0.369 1.274 0.449 1.373 0.339 1.913 0.244 2.280 0.164 2.663 0.103 3.033
13 0.738 1.038 0.616 1.261 0.499 1.326 0.391 1.826 0.294 2.130 0.211 2.490 0.140 2.838 0.090 3.182
14 0.776 1.034 0.660 1.234 0.347 1.490 0.441 1.737 0.343 2.049 0.237 2.334 0.183 2.667 0.122 2.981 0.078 3.287
15 0.811 1.070 0.700 1.232 0.391 1.464 0.488 1.704 0.391 1.967 0.303 2.244 0.226 2.330 0.161 2.817 0.107 3.101
16 0.844 1.086 0.737 1.232 0.633 1.446 0.332 1.663 0.437 1.900 0.349 2.133 0.269 2.416 0.200 2.681 0.142 2.944
17 0.874 1.102 0.772 1.233 0.672 1.432 0.374 1.630 0.480 1.847 0.393 2.078 0.313 2.319 0.241 2.366 0.179 2.811
18 0.902 1.118 0.803 1.239 0.708 1.422 0.613 1.604 0.322 1.803 0.433 2.013 0.333 2.238 0.282 2.467 0.216 2.697
19 0.928 1.132 0.833 1.263 0.742 1.413 0.630 1.384 0.361 1.767 0.476 1.963 0.396 2.169 0.322 2.381 0.233 2.397
20 0.932 1.147 0.863 1.271 0.773 1.411 0.683 1.367 0.398 1.737 0.313 1.918 0.436 2.110 0.362 2.308 0.294 2.310
21 0.973 1.161 0.890 1.277 0.803 1.408 0.718 1.334 0.633 1.712 0.332 1.881 0.474 2.039 0.400 2.244 0.331 2.434
22 0.997 1.174 0.914 1.284 0.831 1.407 0.748 1.343 0.667 1.691 0.387 1.849 0.310 2.013 0.437 2.188 0.368 2.367
23 1.018 1.187 0.938 1.291 0.838 1.407 0.777 1.334 0.698 1.673 0.620 1.821 0.343 1.977 0.473 2.140 0.404 2.308
24 1.037 1.199 0.960 1.298 0.882 1.407 0.803 1.328 0.728 1.638 0.632 1.797 0.378 1.944 0.307 2.097 0.439 2.233
25 1.033 1.211 0.981 1.303 0.906 1.409 0.831 1.323 0.736 1.643 0.682 1.776 0.610 1.913 0.340 2.039 0.473 2.209
26 1.072 1.222 1.001 1.312 0.928 1.411 0.833 1.318 0.783 1.633 0.711 1.739 0.640 1.889 0.372 2.026 0.303 2.168
27 1.089 1.233 1.019 1.319 0.949 1.413 0.878 1.313 0.808 1.626 0.738 1.743 0.669 1.867 0.602 1.997 0.336 2.131
28 1.104 1.244 1.037 1.323 0.969 1.413 0.900 1.313 0.832 1.618 0.764 1.729 0.696 1.847 0.630 1.970 0.366 2.098
29 1.119 1.234 1.034 1.332 0.988 1.418 0.921 1.312 0.833 1.611 0.788 1.718 0.723 1.830 0.638 1.947 0.393 2.068
30 1.133 1.263 1.070 1.339 1.006 1.421 0.941 1.311 0.877 1.606 0.812 1.707 0.748 1.814 0.684 1.923 0.622 2.041
31 1.147 1.273 1.083 1.343 1.023 1.423 0.960 1.310 0.897 1.601 0.834 1.698 0.772 1.800 0.710 1.906 0.649 2.017
32 1.160 1.282 1.100 1.332 1.040 1.428 0.979 1.310 0.917 1.397 0.836 1.690 0.794 1.788 0.734 1.889 0.674 1.993
33 1.172 1.291 1.114 1.338 1.033 1.432 0.996 1.310 0.936 1.394 0.876 1.683 0.816 1.776 0.737 1.874 0.698 1.973
34 1.184 1.299 1.128 1.364 1.070 1.433 1.012 1.311 0.934 1.391 0.896 1.677 0.837 1.766 0.779 1.860 0.722 1.937
35 1.193 1.307 1.140 1.370 1.083 1.439 1.028 1.312 0.971 1.389 0.914 1.671 0.837 1.737 0.800 1.847 0.744 1.940
36 1.206 1.313 1.133 1.376 1.098 1.442 1.043 1.313 0.988 1.388 0.932 1.666 0.877 1.749 0.821 1.836 0.766 1.923
37 1.217 1.323 1.163 1.382 1.112 1.446 1.038 1.314 1.004 1.386 0.930 1.662 0.893 1.742 0.841 1.823 0.787 1.911
38 1.227 1.330 1.176 1.388 1.124 1.449 1.072 1.313 1.019 1.383 0.966 1.638 0.913 1.733 0.860 1.816 0.807 1.899
39 1.237 1.337 1.187 1.393 1.137 1.433 1.083 1.317 1.034 1.384 0.982 1.633 0.930 1.729 0.878 1.807 0.826 1.887
40 1.246 1.344 1.198 1.398 1.148 1.437 1.098 1.318 1.048 1.384 0.997 1.632 0.946 1.724 0.893 1.799 0.844 1.876
45 1.288 1.376 1.243 1.423 1.201 1.474 1.136 1.328 1.111 1.384 1.063 1.643 1.019 1.704 0.974 1.768 0.927 1.834
50 1.324 1.403 1.283 1.446 1.243 1.491 1.203 1.338 1.164 1.387 1.123 1.639 1.081 1.692 1.039 1.748 0.997 1.803
55 1.336 1.427 1.320 1.466 1.284 1.306 1.247 1.348 1.209 1.392 1.172 1.638 1.134 1.683 1.093 1.734 1.037 1.783
60 1.383 1.449 1.330 1.484 1.317 1.320 1.283 1.338 1.249 1.398 1.214 1.639 1.179 1.682 1.144 1.726 1.108 1.771
65 1.407 1.468 1.377 1.300 1.346 1.334 1.313 1.368 1.283 1.604 1.231 1.642 1.218 1.680 1.186 1.720 1.133 1.761
70 1.429 1.483 1.400 1.313 1.372 1.346 1.343 1.378 1.313 1.611 1.283 1.643 1.233 1.680 1.223 1.716 1.192 1.734
75 1.448 1.301 1.422 1.329 1.393 1.337 1.368 1.387 1.340 1.617 1.313 1.649 1.284 1.682 1.236 1.714 1.227 1.748
80 1.466 1.313 1.441 1.341 1.416 1.368 1.390 1.393 1.364 1.624 1.338 1.633 1.312 1.683 1.283 1.714 1.239 1.743
85 1.482 1.328 1.438 1.333 1.433 1.378 1.411 1.603 1.386 1.630 1.362 1.637 1.337 1.683 1.312 1.714 1.287 1.743
90 1.496 1.340 1.474 1.363 1.432 1.387 1.429 1.611 1.406 1.636 1.383 1.661 1.360 1.687 1.336 1.714 1.312 1.741
95 1.310 1.332 1.489 1.373 1.468 1.396 1.446 1.618 1.423 1.642 1.403 1.666 1.381 1.690 1.338 1.713 1.336 1.741
100 1.322 1.362 1.303 1.383 1.482 1.604 1.462 1.623 1.441 1.647 1.421 1.670 1.400 1.693 1.378 1.717 1.337 1.741
150 1.611 1.637 1.398 1.631 1.384 1.663 1.371 1.679 1.337 1.693 1.343 1.708 1.330 1.722 1.313 1.737 1.301 1.732
200 1.664 1.684 1.633 1.693 1.643 1.704 1.633 1.713 1.623 1.723 1.613 1.733 1.603 1.746 1.392 1.737 1.382 1.768
345
7

( = 0.05)
K1
N2
N1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
2 2 2 2 2 2 2 2 2 2
3 2 2 2 2 2 2 2 2 2 3 3 3 3 3 3
4 2 2 2 3 3 3 3 3 3 3 3 4 4 4 4 4
5 2 2 3 3 3 3 3 4 4 4 4 4 4 4 5 5 5
6 2 2 3 3 3 3 4 4 4 4 5 5 5 5 5 5 6 6
7 2 2 3 3 3 4 4 5 5 5 5 5 6 6 6 6 6 6
8 2 3 3 3 4 4 5 5 5 6 6 6 6 6 7 7 7 7
9 2 3 3 4 4 5 5 5 6 6 6 7 7 7 7 8 8 8
10 2 3 3 4 5 5 5 6 6 7 7 7 7 8 8 8 8 9
11 2 3 4 4 5 5 6 6 7 7 7 8 8 8 9 9 9 9
12 2 2 3 4 4 5 6 6 7 7 7 8 8 8 9 9 9 10 10
13 2 2 3 4 5 5 6 6 7 7 8 8 9 9 9 10 10 10 10
14 2 2 3 4 5 5 6 6 7 7 8 8 9 9 10 10 10 11 11
15 2 3 3 4 5 6 6 7 7 8 8 9 9 10 10 11 11 11 12
16 2 3 4 4 5 6 6 7 8 8 9 9 10 10 11 11 11 12 12
17 2 3 4 4 5 6 7 7 8 9 9 10 10 11 11 11 12 12 13
18 2 3 4 5 5 6 7 8 8 9 9 10 10 11 11 12 12 13 13
19 2 3 4 5 6 6 7 8 8 9 10 10 11 11 12 12 13 13 13
20 2 3 4 5 6 6 7 8 9 9 10 10 11 12 12 13 13 13 14
K2
N2
N1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
4 9 9
5 9 10 10 11 11
6 9 10 11 12 12 13 13 13 13
7 11 12 13 13 14 14 14 14 15 15 15
8 11 12 13 14 14 15 15 16 16 16 16 17 17 17 17 17
9 13 14 14 15 16 16 16 17 17 18 18 18 18 18 18
10 13 14 15 16 16 17 17 18 18 18 19 19 19 20 20
11 13 14 15 16 17 17 18 19 19 19 20 20 20 21 21
12 13 14 16 16 17 18 19 19 20 20 21 21 21 22 22
13 15 16 17 18 19 19 20 20 21 21 22 22 23 23
14 15 16 17 18 19 20 20 21 22 22 23 23 23 24
15 15 16 18 18 19 20 21 22 22 23 23 24 24 25
16 17 18 19 20 21 21 22 23 23 24 25 25 25
17 17 18 19 20 21 22 23 23 24 25 25 26 26
18 17 18 19 20 21 22 23 24 25 25 26 26 27
19 17 18 20 21 22 23 23 24 25 26 26 27 27
20 17 18 20 21 22 23 24 25 25 26 27 27 28
: n = 20 11 + (= N1) 9 (= N2).
= 0.05 K1 = 6, K2 = 16. . 6 . 16,
.
346
6()

dl du = 0.05
(n , m )
m=1 m=2 m=3 m=4 m=5 m=6 m=7 m=8 m=9

n
d1 du d1 du d1 du d1 du d1 du d1 du d1 du d1 du d1 du
6 0.610 1.400
7 0.700 1.356 0.467 1.896
8 0.763 1.332 0.359 1.777 0.368 2.287
9 0.824 1.320 0.629 1.699 0.435 2.128 0.296 2.388
10 0.879 1.320 0.697 1.641 0.525 2.016 0.376 2.414 0.243 2.822
11 0.927 1.324 0.658 1.604 0.595 1.928 0.444 2.283 0.316 2.645 0.203 3.005
12 0.971 1.331 0.812 1.579 0.658 1.864 0.512 2.177 0.379 2.506 0.268 2.832 0.171 3.149
13 1.010 1.340 0.861 1.562 0.715 1.816 0.574 2.094 0.445 2.390 0.328 2.692 0.230 2.985 0.147 3266
344
14 1.045 1.330 0.905 1.551 0.767 1.779 0.632 2.030 0.505 2.296 0.389 2.572 0.286 2.848 0.200 3.111 0.127 3.360
15 1.077 1.361 0.946 1.543 0.814 1.750 0.685 1.977 0.562 2.220 0.447 2.472 0.343 2.727 0.251 2.979 0.175 3.216
16 1.106 1.371 0.982 1.539 0.857 1.728 0.734 1.935 0.615 2.157 0.502 2.388 0.398 2.624 0.304 2.860 0.222 3.090
17 1.133 1.381 1.015 1.536 0.897 1.710 0.779 1.900 0.664 2.104 0.554 2.318 0.451 2.537 0.356 2.757 0.272 2.975
18 1.158 1.391 1.046 1.535 0.933 1.696 0.820 1.872 0.710 2.060 0.603 2.257 0.502 2.461 0.407 2.667 0.321 2.873
19 1.180 1.401 1.074 1.536 0.967 1.685 0.859 1.848 0.752 2.023 0.649 2.206 0.549 2.396 0.456 2.589 0.369 2.783
20 1.201 1.411 1.100 1.537 0.998 1.676 0.894 1.828 0.792 1.991 0.692 2.162 0.595 2.339 0.502 2.521 0.416 2.704
21 1.221 1.420 1.125 1.538 1.026 1.669 0.927 1.812 0.829 1.964 0.732 2.124 0.637 2.290 0.547 2.460 0.461 2.633
22 1.239 1.429 1.147 1.541 1.053 1.664 0.958 1.797 0.863 1.940 0.769 2.090 0.677 2.246 0.588 2.407 0.504 2.571
23 1.257 1.437 1.168 1.543 1.078 1.660 0.986 1.785 0.895 1.920 0.804 2.061 0.715 2.208 0.628 2.360 0.545 2.514
24 1.273 1.446 1.188 1.546 1.101 1.656 1.013 1.775 0.925 1.902 0.837 2.035 0.751 2.174 0.666 2.318 0.584 2.464
25 1.288 1.454 1.206 1.550 1.123 1.654 1.038 1.767 0.953 1.886 0.868 2.012 0.784 2.144 0.702 2.280 0.621 2.419
26 1.302 1.461 1.224 1.553 1.143 1.652 1.062 1.759 0.979 1.873 0.897 1.992 0.816 2.117 0.735 2.246 0.657 2.379
27 1.316 1.469 1.240 1.556 1.162 1.651 1.084 1.753 1.004 1.861 0.925 1.974 0.845 2.093 0.767 2.216 0.691 2.342
28 1.328 1.476 1.255 1.560 1.181 1.650 1.104 1.747 1.028 1.850 0.951 1.958 0.874 2.071 0.798 2.188 0.723 2.309
29 1.341 1.483 1.270 1.563 1.198 1.650 1.124 1.743 1.050 1.841 0.975 1.944 0.900 2.052 0.826 2.164 0.753 2.278
30 1.352 1.489 1.284 1.567 1.214 1.650 1.143 1.739 1.071 1.833 0.998 1.931 0.926 2.034 0.854 2.141 0.782 2.251
31 1.363 1.496 1.297 1.570 1.229 1.650 1.160 1.735 1.090 1.825 1.020 1.920 0.950 2.018 0.879 2.120 0.810 2.226
32 1.373 1.502 1.309 1.574 1.244 1.650 1.177 1.732 1.109 1.819 1.041 1.909 0.972 2.004 0.904 2.102 0.836 2.203
m=1 m=2 m=3 m=4 m=5 m=6 m=7 m=8 m=9
n
d1 du d1 du d1 du d1 du d1 du d1 du d1 du d1 du d1 du
33 1.383 1.508 1.321 1.577 1.258 1.651 1.193 1.730 1.127 1.813 1.061 1.900 0.994 1.991 0.927 2.085 0.861 2.181
34 1.393 1.514 1.333 1.580 1.271 1.652 1.208 1.728 1.144 1.808 1.080 1.891 1.015 1.979 0.950 2.069 0.885 2.162
35 1.402 1.519 1.343 1.584 1.283 1.653 1.222 1.726 1.160 1.803 1.097 1.884 1.034 1.967 0.971 2.054 0.908 2.144
36 1.411 1.525 1.354 1.587 1.295 1.654 1.236 1.724 1.175 1.799 1.114 1.877 1.053 1.957 0.991 2.041 0.930 2.127
37 1.419 1.530 1.364 1.590 1.307 1.655 1.249 1.723 1.190 1.795 1.131 1.870 1.071 1.948 1.011 2.029 0.951 2.112
38 1.427 1.535 1.373 1.594 1.318 1.656 1.261 1.722 1.204 1.792 1.146 1.864 1.088 1.939 1.029 2.017 0.970 2.098
39 1.435 1.540 1.382 1.597 1.328 1.658 1.273 1.722 1.218 1.789 1.161 1.859 1.104 1.932 1.047 2.007 0.990 2.085
40 1.442 1.544 1.391 1.600 1.338 1.659 1.285 1.721 1.230 1.786 1.175 1.854 1.120 1.924 1.064 1.997 1.008 2.072
45 1.475 1.566 1.430 1.615 1.383 1.666 1.336 1.720 1.287 1.776 1.238 1.835 1.189 1.895 1.139 1.958 1.089 2.022
50 1.503 1.585 1.462 1.628 1.421 1.674 1.378 1.721 1.335 1.771 1.291 1.822 1.246 1.875 1.201 1.930 1.156 1.986
55 1.528 1.601 1.490 1.641 1.452 1.681 1.414 1.724 1.374 1.768 1.334 1.814 1.294 1.861 1.253 1.909 1.212 1.959
60 1.549 1.616 1.514 1.652 1.480 1.689 1.444 1.727 1.408 1.767 1.372 1.808 1.335 1.850 1.298 1.894 1.260 1.939
65 1.567 1.629 1.536 1.662 1.503 1.696 1.471 1.731 1.438 1.767 1.404 1.805 1.370 1.843 1.336 1.882 1.301
345
1.923 70 1.583 1.641 1.554 1.672 1.525 1.703 1.494 1.735 1.464 1.768 1.433 1.802 1.401 1.837 1.369 1.873
1.337 1.910 75 1.598 1.65 1.571 1.680 1.543 1.709 1.515 1.739 1.487 1.770 1.458 1.801 1.428 1.834 1.399
1.867 1.369 1.901 80 1.611 1.662 1.586 1.688 1.560 1.715 1.534 1.743 1.507 1.772 1.480 1.801 1.453 1.831
1.425 1.861 1.397 1.893 85 1.624 1.671 1.600 1.696 1.575 1.721 1.550 1.747 1.525 1.774 1.500 1.801 1.474
1.829 1.448 1.857 1.422 1.886 90 1.635 1.679 1.612 1.703 1.589 1.726 1.566 1.751 1.542 1.776 1.518 1.801
1.494 1.827 1.469 1.854 1.445 1.881 95 1.645 1.687 1.623 1.709 1.602 1.732 1.579 1.755 1.557 1.778 1.535
1.802 1.512 1.827 1.489 1.852 1.465 1.877 100 1.654 1.694 1.634 1.715 1.613 1.736 1.592 1.758 1.571 1.780
1.550 1.803 1.528 1.826 1.506 1.850 1.484 1.874 150 1.720 1.746 1.706 1.760 1.693 1.774 1.679 1.788 1.665
1.802 1.651 1.817 1.637 1.832 1.622 1.847 1.608 1.862 200 1.758 1.778 1.748 1.789 1.738 1.799 1.728 1.810
1.718 1.820 1.707 1.831 1.697 1.841 1.686 1.852 1.675 1.863
6()

dl du = 0.01
(n , m )
m=1 m=2 m=3 m=4 m=5 m=6 m=7 m=8 m=9

n
6 0.390 1.142
7 0.433 1.036 0.294 1.676
8 0.497 1.003 0.343 1.489 0.229 2.102
9 0.554 0.998 0.408 1.389 0.279 1.873 0.183 2.433
10 0.604 1.001 0.466 1.333 0.340 1.733 0.230 2.193 0.130 2.690
11 0.633 1.010 0.319 1.297 0.396 1.640 0.286 2.030 0.193 2.433 0.124 2.892
12 0.697 1.023 0.369 1.274 0.449 1.373 0.339 1.913 0.244 2.280 0.164 2.663 0.103 3.033
13 0.738 1.038 0.616 1.261 0.499 1.326 0.391 1.826 0.294 2.130 0.211 2.490 0.140 2.838 0.090 3.182
346
14 0.776 1.034 0.660 1.234 0.347 1.490 0.441 1.737 0.343 2.049 0.237 2.334 0.183 2.667 0.122 2.981 0.078 3.287
15 0.811 1.070 0.700 1.232 0.391 1.464 0.488 1.704 0.391 1.967 0.303 2.244 0.226 2.330 0.161 2.817 0.107 3.101
16 0.844 1.086 0.737 1.232 0.633 1.446 0.332 1.663 0.437 1.900 0.349 2.133 0.269 2.416 0.200 2.681 0.142 2.944
17 0.874 1.102 0.772 1.233 0.672 1.432 0.374 1.630 0.480 1.847 0.393 2.078 0.313 2.319 0.241 2.366 0.179 2.811
18 0.902 1.118 0.803 1.239 0.708 1.422 0.613 1.604 0.322 1.803 0.433 2.013 0.333 2.238 0.282 2.467 0.216 2.697
19 0.928 1.132 0.833 1.263 0.742 1.413 0.630 1.384 0.361 1.767 0.476 1.963 0.396 2.169 0.322 2.381 0.233 2.397
20 0.932 1.147 0.863 1.271 0.773 1.411 0.683 1.367 0.398 1.737 0.313 1.918 0.436 2.110 0.362 2.308 0.294 2.310
21 0.973 1.161 0.890 1.277 0.803 1.408 0.718 1.334 0.633 1.712 0.332 1.881 0.474 2.039 0.400 2.244 0.331 2.434
22 0.997 1.174 0.914 1.284 0.831 1.407 0.748 1.343 0.667 1.691 0.387 1.849 0.310 2.013 0.437 2.188 0.368 2.367
23 1.018 1.187 0.938 1.291 0.838 1.407 0.777 1.334 0.698 1.673 0.620 1.821 0.343 1.977 0.473 2.140 0.404 2.308
24 1.037 1.199 0.960 1.298 0.882 1.407 0.803 1.328 0.728 1.638 0.632 1.797 0.378 1.944 0.307 2.097 0.439 2.233
25 1.033 1.211 0.981 1.303 0.906 1.409 0.831 1.323 0.736 1.643 0.682 1.776 0.610 1.913 0.340 2.039 0.473 2.209
26 1.072 1.222 1.001 1.312 0.928 1.411 0.833 1.318 0.783 1.633 0.711 1 .739 0.640 1.889 0.372 2.026 0.303 2.168
27 1.089 1.233 1.019 1.319 0.949 1.413 0.878 1.313 0.808 1.626 0.738 1.743 0.669 1.867 0.602 1.997 0.336 2.131
28 1.104 1.244 1.037 1.323 0.969 1.413 0.900 1.313 0 .832 1.618 0.764 1.729 0.696 1.847 0.630 1.970 0.366 2.098
29 1.119 1.234 1.034 1.332 0.988 1.418 0.921 1.312 0.833 1 .611 0.788 1.718 0.723 1.830 0.638 1.947 0.393 2.068
30 1.133 1.263 1.070 1.339 1.006 1.421 0.941 1.311 0.877 1.606 0.812 1.707 0.748 1.814 0.684 1.923 0.622 2.041
31 1.147 1.273 1.083 1.343 1.023 1.423 0.960 1.310 0.897 1.601 0.834 1.698 0.772 1.800 0.710 1.906 0.649 2.017
32 1.160 1.282 1.100 1.332 1.040 1.428 0.979 1.310 0.917 1.397 0.836 1.690 0.794 1.788 0.734 1.889 0.674 1.993
m=1 m=2 m=3 m=4 m=5 m=6 m=7 m=8 m=9
n
33 1.172 1.291 1.114 1.338 1.033 1.432 0.996 1.310 0.936 1.394 0.876 1.683 0.816 1.776 0.737 1.874 0.698 1.973
34 1.184 1.299 1.128 1.364 1.070 1.433 1.012 1.311 0.934 1.391 0.896 1.677 0.837 1.766 0.779 1.860 0.722 1.937
35 1.193 1.307 1.140 1.370 1.083 1.439 1.028 1.312 0.971 1.389 0.914 1.671 0.837 1.737 0.800 1.847 0.744 1.940
36 1.206 1.313 1.133 1.376 1.098 1.442 1.043 1.313 0.988 1.388 0.932 1.666 0.877 1.749 0.821 1.836 0.766 1.923
37 1.217 1.323 1.163 1.382 1.112 1.446 1.038 1.314 1.004 1.386 0.930 1.662 0.893 1.742 0.841 1.823 0.787 1.911
38 1.227 1.330 1.176 1.388 1.124 1.449 1.072 1.313 1.019 1.383 0.966 1.638 0.913 1.733 0.860 1.816 0.807 1.899
39 1.237 1.337 1.187 1.393 1.137 1.433 1.083 1.317 1.034 1.384 0.982 1.633 0.930 1.729 0.878 1.807 0.826 1.887
40 1.246 1.344 1.198 1.398 1.148 1.437 1.098 1.318 1.048 1.384 0.997 1.632 0.946 1.724 0.893 1.799 0.844 1.876
45 1.288 1.376 1.243 1.423 1.201 1.474 1.136 1.328 1.111 1.384 1.063 1.643 1.019 1.704 0.974 1.768 0.927 1.834
50 1.324 1.403 1.283 1.446 1.243 1.491 1.203 1.338 1.164 1.387 1.123 1.639 1.081 1.692 1.039 1.748 0.997 1.803
55 1.336 1.427 1.320 1.466 1.284 1.306 1.247 1.348 1.209 1.392 1.172 1.638 1.134 1.683 1.093 1.734 1.037 1.783
60 1.383 1.449 1.330 1.484 1.317 1.320 1.283 1.338 1.249 1.398 1.214 1.639 1.179 1.682 1.144 1.726 1.108 1.771
65 1.407 1.468 1.377 1.300 1.346 1.334 1.313 1.368 1.283 1.604 1.231 1.642 1.218 1.680 1.186 1.720 1.133 1.761
70 1.429 1.483 1.400 1.313 1.372 1.346 1.343 1.378 1.313 1.611 1.283 1.643 1.233 1.680 1.223 1.716 1.192 1.734
347
75 1.448 1.301 1.422 1.329 1.393 1.337 1.368 1.387 1.340 1.617 1.313 1.649 1.284 1.682 1.236 1.714 1.227 1.748
80 1.466 1.313 1.441 1.341 1.416 1.368 1.390 1.393 1.364 1.624 1.338 1.633 1.312 1.683 1.283 1.714 1.239 1.743
85 1.482 1.328 1.438 1.333 1.433 1.378 1.411 1.603 1.386 1.630 1.362 1.637 1.337 1.683 1.312 1.714 1.287 1.743
90 1.496 1.340 1.474 1.363 1.432 1.387 1.429 1.611 1.406 1.636 1.383 1.661 1.360 1.687 1.336 1.714 1.312 1.741
95 1 .310 1.332 1.489 1.373 1.468 1.396 1.446 1.618 1.423 1.642 1.403 1.666 1.381 1.690 1.338 1.713 1.336 1.741
100 1. 322 1.362 1.303 1.383 1.482 1.604 1.462 1.623 1.441 1.647 1.421 1.670 1.400 1.693 1.378 1.717 1.337 1.741
150 1.6 11 1.637 1.398 1.631 1.384 1.663 1.371 1.679 1.337 1.693 1.343 1.708 1.330 1.722 1.313 1.737 1.301 1.732
200 1.664 1.684 1.633 1.693 1.643 1.704 1.633 1.713 1.623 1.723 1.613 1.733 1.603 1.746 1.392 1.737 1.382 1.768
7

( = 0.05)
K1
N2
N1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
2 2 2 2 2 2 2 2 2 2
3 2 2 2 2 2 2 2 2 2 3 3 3 3 3 3
4 2 2 2 3 3 3 3 3 3 3 3 4 4 4 4 4
5 2 2 3 3 3 3 3 4 4 4 4 4 4 4 5 5 5
6 2 2 3 3 3 3 4 4 4 4 5 5 5 5 5 5 6 6
7 2 2 3 3 3 4 4 5 5 5 5 5 6 6 6 6 6 6
8 2 3 3 3 4 4 5 5 5 6 6 6 6 6 7 7 7 7
9 2 3 3 4 4 5 5 5 6 6 6 7 7 7 7 8 8 8
10 2 3 3 4 5 5 5 6 6 7 7 7 7 8 8 8 8 9
11 2 3 4 4 5 5 6 6 7 7 7 8 8 8 9 9 9 9
12 2 2 3 4 4 5 6 6 7 7 7 8 8 8 9 9 9 10 10
13 2 2 3 4 5 5 6 6 7 7 8 8 9 9 9 10 10 10 10
14 2 2 3 4 5 5 6 6 7 7 8 8 9 9 10 10 10 11 11
15 2 3 3 4 5 6 6 7 7 8 8 9 9 10 10 11 11 11 12
16 2 3 4 4 5 6 6 7 8 8 9 9 10 10 11 11 11 12 12
17 2 3 4 4 5 6 7 7 8 9 9 10 10 11 11 11 12 12 13
18 2 3 4 5 5 6 7 8 8 9 9 10 10 11 11 12 12 13 13
19 2 3 4 5 6 6 7 8 8 9 10 10 11 11 12 12 13 13 13
20 2 3 4 5 6 6 7 8 9 9 10 10 11 12 12 13 13 13 14
K2
N2
N1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
4 9 9
5 9 10 10 11 11
6 9 10 11 12 12 13 13 13 13
7 11 12 13 13 14 14 14 14 15 15 15
8 11 12 13 14 14 15 15 16 16 16 16 17 17 17 17 17
9 13 14 14 15 16 16 16 17 17 18 18 18 18 18 18
10 13 14 15 16 16 17 17 18 18 18 19 19 19 20 20
11 13 14 15 16 17 17 18 19 19 19 20 20 20 21 21
12 13 14 16 16 17 18 19 19 20 20 21 21 21 22 22
13 15 16 17 18 19 19 20 20 21 21 22 22 23 23
14 15 16 17 18 19 20 20 21 22 22 23 23 23 24
15 15 16 18 18 19 20 21 22 22 23 23 24 24 25
16 17 18 19 20 21 21 22 23 23 24 25 25 25
17 17 18 19 20 21 22 23 23 24 25 25 26 26
18 17 18 19 20 21 22 23 24 25 25 26 26 27
19 17 18 20 21 22 23 23 24 25 26 26 27 27
20 17 18 20 21 22 23 24 25 25 26 27 27 28
: n = 20 11 + (= N1) 9 (= N2).
= 0.05 K1 = 6, K2 = 16. . 6 . 16,
.
348

1. . . 2 . . 1: . ., 1996. 397 .
2. . . ., 1997. 402 .
3. . ., . ., . .
. ., 1997. 248 .
4. ., ., . . . .,
1997. 248 .
5. Brennan M. J., Carrol T. M. Preface to Quantitative Economics nd Econometrics.
Cincinnati: South-Western Pub, 1987. 580 p.
6. Griffiths W. E., R. Carter Hill, Judge G. G. Learning and Practicing Econometrics.
New York: John Wiley & Sons, Inc., 1993. 866 p.
7. Griffiths W. E., R. Carter Hill, Judge G. G. Undegraduate Econometrics. New
York: John Wiley & Sons, Inc., 1997. 366 p.
8. Gujarati D. N. Essentials of Econometrics. New York: McGraw-Hill, 1992. 466 p.
9. Gujarati D. N. Basic Econometrics. New York: McGraw-Hill, 1995. 838 p.
10. Maddala G. S. Introduction to Econometrics. New York: Macmillian, 1992. 472 p.
11. Pindyck R. S., Rubinfeld D. L. Econometric Models and Econometric Forecasts.
New York: McGraw-Hill, 1991. 596 p.
349

(autocorrelation), 164168, 227
AR(1)
(first-order autoregressive scheme), 236237
(detection), 230235

(estimation autocorrelation coefficient), 237240
() (residual), 164168
(negative), 227
(positive), 227
(consequences), 230
(cause), 228229
(nature), 227
() (remedial), 236240
(in autoregressive models), 235, 290
, 287289
, 131, 246
(verification), 11
(probability), 15
(multivariate probability), 34
(probability experiment), 14
(time series data), 277
(sample), 46
(GaussMarkov conditions), 113114
(population), 46
(heteteroscedasticity), 113, 209
(detection), 213218
(consequence), 212
(remedial measures), 219222
(nature), 209212
(tests), 214218
(Glejser), 217
K (GoldfeldQuandt), 217218
(Park), 216 217
(Spearmans rank correlation), 215216
(hypothesis), 70
(alternative), 71
(null), 70
I (II) (types I (II) errors), 7172
(statistical), 70
(hypothesis testing), 7286
(homoscedasticity), 113, 209
350
(two-stage least squares), 326328
(variance), 2122
(sample variance), 5253
(population variance), 52
(confidence interval), 6470
(for dependent variable), 125130

(interval estimators for regression coefficients), 123125, 152153
(goodness of regression equation), 130135
(covarience), 3637
(sample covariance), 54
(indirect least squares), 315317
(CochraneOrcutt procedure), 238
R2 (coefficient of determination), 131135, 155159
() (adjusted), 155
(correlation coefficient), 3738
(sample correlation coefficient), 54
(regression coefficient), 99, 141
(statistical significance), 121123, 153154
(coefficient of variation), 22
(sample coefficient of variation), 54
(lag), 277
(lagged variable), 277
(expected value), 2021
(conditional), 94
(Method of weighted least squares),
219222
(ordinary least squares), 101104
(model)
(adaptive expectation model), 282285
(autoregressive), 282287
ANCOVA (analysis of covariance), 260263
ANOVA (analysis of variance), 258260
(log-log model, double-log model), 181183
(exponential), 187188
(dynamic model), 277
(linear model), 99
- (lin-log), 185
- (log-linear), 184
logit, 270272
LPM (linear probability model), 268270
(reciprocal), 185186
(exponential), 187188
(semilog), 183
351
(. )
(recursive), 326
(polinomial), 186187
(distributed-lag model), 277
(partial adjustment model), 285287
(multicollinearity), 245256
(detection), 248251
(consequences), 247248
(nature), 245247
() (remedies), 251254
(multiplier), 278
(BLUE)
(the best linear unbiased estimators), 115
(, ) (residual), 99
(estimators)
(interval), 6466
(linear), 63
(unbiased), 61
(biased), 61
(consistent), 62
(point), 60
(efficient), 61
(parameters), 98, 141
(parameterization), 11, 97
(variable)
() (dependent; explained), 94
(instrumental), 317319
; (independent; explanatory; regressor), 94
(predetermined), 312
(. ), 257
(exogenous), 311
(endogenous), 311
(PraisWinsten transformation), 237
(probability density function (PDF)), 1920
(multivariate probability density function), 34
( )
(. ), 113114, 143144
(prediction), 293295
(process), 279282, 292293
AR (autoregressive process), 236237, 291
ARIMA (autoregressive integrated moving process), 292
ARMA (autoregressive and moving average process), 292
(MA) (moving average process), 292
(Koyck transformation), 279282
(forecasting), 293295
352
(distribution), 22
(normal), 2326
; t- (Student), 2728
; F- (Fisher), 2829
-; 2- (chi-square), 2627
(regression model), 94
(classical linear (CLRM)), 112115
(linear), 99
(multiple linear), 141
(nonlinear), 180
(two-variable), 98
(functional form), 189
, 308
() (random variable), 16
(discrete), 17
(continuous), 17
(specification), 11
(specification errors), 192
, (tapes of), 192195
(adjustment), 195197
(detection), 195197
(mean value)
(population), 52
(sample), 52
(standard deviation), 22
(sample standard deviation), 53
(population standard deviation), 52

(standard error of regression coefficient), 118, 149151

(standard error of regression equation), 117, 151
(statistic)
DW (DurbinWatson statistic), 163168
h- (Durbin h-statistic), 235, 290
F- (F-statistic), 157161
(statistical estimator), 59
(degrees of freedom), 26
(residual sum of squares), 101
() (residual sum of squares), 132
(total sum of squares), 132
(explained), 132
(distribution tables), 2933
(trend), 266, 294
(Chow stability test), 264, 296297
(regression equation), 9899
353
(identified), 319, 323324
(underidentified), 319322
(reduced), 312
(overidentified), 322323
(structural), 312
(population), 98, 141
(sample), 99, 144
(significance level), 72
(dummy variable), 257
(dependent variable as dummy), 267272
(seasonal), 266267
(comparing two regressions), 263266
(test Chow), 264

(comulative distribution function), 1718
(HildretLu procedure), 238239
(central limit theorem), 123
(Econometrics), 10
(Standard deviation), 64
354
1
. . - - - - , , 1.14
+
3
( x m) 2
1
e 2 2
(.60), (.65), , (.73) xy xy xy rxy (. 86)
2
1. , (.87) , (.90)
4
)
, Y X (Y = b 0 + b x X) ,
X Y
(.103)
, , (.108)
0, i j;
i j = cov(i , j ) = 2
, i = j.
i x i (.114)
0 1 i b0 b1 0 i j 0 (.115)
1 2 2 (c. 116) 2 (c. 117) i (c. 118) 1 1 t (c. 118)

,n 2
2
. (5.15)
(c. 121)
i N(0, 2 ) M( i ) = 0 , 2 ( i ) = 2 . (c. 123)
1 2 2 2 2 2 (c. 126) t 2 (c. 128)

,n 2
2
t t t (c. 129)
,n 2 ,n 2 ,n 2
2 2 2
.131 . .
6
0, i j;
. 143 i j = cov(i , j ) = 2 i x i = 0
, i = j.
. 153 t t t t t t
, n m 1 , n m 1 , n m 1 , n m 1 , n m 1 , n m 1
2 2 2 2 2 2
. 154 t t t
, n m 1 , n m 1 , n m 1
2 2 2
. 157 1 = m,
. 162 F; 1 ; 2

-
c. 165 : . ei1
c. 168 6.1 c. 171 t c. 175 4.

, n m 1
2
c. 178 (t) = (1.9) (2.3) (3) c. 179 179
7
c. 190
. 194 2 0 1 0 1 2
. 195
S2 S2
S2b1 = ; S2g1 = .
(x i x ) (x i1 x1 ) (1 r12 )
2 2 2
Y = 0 + 1X 1 + 2 X 2 +
. 196
Y = + X + , < 0;
ln Y = + lnX + , < 0;
1
Y = + + , > 0;
X+
Y = + a x + , < 0
.198
1. RESET (Regression specification error test).
2. () (The Likelihood
Ratio test).
3. (The Wald test).
4. (The Lagrange multiplier test).
5. (The Hausman test).
6. BoxCox (BoxCox trasformation).
.201
, -
:
1
.203 Y= +
0 + 1X
.205 :
c. 206
81 82 83 84 85 86 87 88 89 90
Y 65 68 72.5 77.5 82 85.5 88.5 91 95 100
X 110 125 132 137 160 177 192 215 235 240
91 92 93 94 95 96 97
Y 106.5 112 115.5 118.5 120 120.5 121
X 245 250 275 285 295 320 344
.208
,

Qt = A K t L t .

.212 (. 6.2, (6.23)),
.215 . 8.4, ,

.217 i2 = 2 x i2
S
.218 F , 1 , 2
yi 1 x e
= b0 + b1 i + i
c.226 i i i i
9
.233 6.7. re t e t 1
) ) ) )
.235
x1 = 1 2 x1 ,
.237
y1 = 1 2 y1.
. 239 1 0 1 t
.241 )
10
. 245 0 + 2
1 + 2
c.249
c.254
11
0, ,
c.257
1, .
0 , ,
.258
1 , ,
. 259 Y = 0 + 1X + 1D1 + 2 D 2 +
c. 263
Yt = 0 + 1X t + 1D t + 2 D t X t + t , (11.15)
0, ,
D t =
1, .
c.264 M(Yt | D t = 1) = ( 0 + 1 ) + (1 + 2 )X t
c.265
S1 + S2. 1 2 F; m +1; n 2m 2
c.266
t = 0 + 1 t + 1D1t + 2 D 2t + 3 D 3t + t , (11.19)
D1t =
1, II ,
0, .
1, III ,
D 2t =
0, .
1, IV ,
D 3t =
0, .
c.267 0 + 1X (0 + 1) + 1X (0 + 2) + 1X (0 + 3) + 1X
Yt = 0 + 1X t + 1D1t + 2 D 2t + 3 D 3t +
+ 4 D1t X t + 5 D 2t X t + 6 D 3t X t + t .
.270
-
(. 8.4).
.271
1 1
p i = M(Y = 1 | x i ) = ( 0 +1x i )
= , (11.26)
1+ e 1 + e zi
z i = 0 + 1x i .
.276 ) i2
P
ln i = z i = 0 + 1x i
1 Pi
12
h
.278 j j
j j= 0
.279
0 0 0
c.281
(1 ) (1 ) (1 )
c.285

=

.290
) ) )

12.6.2.
12.6.3. ARMA
12.6.4. ARIMA
.294 2 2 2
.295 t t
, n 1 , n 1
2 2
.296 F, 1 , 2
. 297 t+p t + p
.300 . 304
13 .308
: q Dt = 0 + 1p t + t1 , 1 < 0 , (13.11)
: q St = 0 + 1p t + t2 , 1 < 0 , (13.12)
: q Dt = q St . (13.13)
.309
: qDt = 0 + 1pt + 2 yt + t1, 1 < 0 , (13.21)
: qSt = 0 + 1pt + t2 , 1 < 0, (13.22)
: q Dt = q St . (13.23)
.310
yt = 0 + 1rt, (13.5)
+ 0 1 + 0 + g 1
0 = 0 ; 1 = .
1 1 (1 1 ) 1 1 (1 1 )
y t = 0 + 1M + 2 rt . (13.7)
.311
.312
0 1
yt =
+ it + t , (13.81)
1 1 1 1 1 1

ct = 0 + 1 it + t . (13.82)
1 1 1 1 1 1
1
, (13.81)
1 1
q St = 0 + 1i t + 2 p t 1 + t . (13.9)
.316
qt, pt t; yt -
; 1t, 2t .
0 2 1t 2t
10 = 0 , 11 = , 1t = ;
1 1 1 1 1 1
)
21 21 ) )
) 20 b110
11 11
.317
) yp y p 0.2
11 = = = 0.147,
y 2 y 2 1.36
) )
10 = p 11y = 3 0.147 3.2 = 2.5296,
) yq y q 0.24
21 = = = 0.1765,
y2 y2 1.36
) )
20 = q 21y = 6.7648.
.318 2x
cov(Z, Y) cov(Z, 0 + 1X + )
b1 = = =
cov(Z, X) cov(Z, X)
cov(Z, 0 ) cov(Z, 1X) cov(Z, )
= + + =
cov(Z, X) cov(Z, X) cov(Z, X)
cov(Z, ) 0
= 1 + n 1 +

= 1 . (13.24)
cov(Z, X) zx
.320
0 0 t1
0 = , u t = t2 .
1 1 1 1
1 0 0 1 1 t1
1 = , t = 1 t2 .
1 1 1 1
0 0
0 = , (13.281)
1 1
1 0 0 1
1 = . (13.282)
1 1
c.322
1 0 0 1 1 t1
2 = , 1 = 2 1 , t = 1 t2 . (13.34)
1 1 1 1 1 1
3
1 = , (13.351)
1
0 = 2 1 0 . (13.352)
c.323 .
0 0 2 3
0 = ; 1 = ; 2 = ;
1 1 1 1 1 1
2 1 0 0 1
3 = ; 4 = ; (13.39)
1 1 1 1
2 1
5 = ; 6 = 3 1 ; 7 = 1 2 ;
1 1 1 1 1 1
1 t2 1 t1 t1
t = ; t = t2 .
1 1 1 1
. 325
N = 2, M = 1. n = 2. m = 1,
m = 0. (N n) + (M m) = 0 <
< 1 = N 1. ,
.
(13.29) (N n) + (M m) = 1 = N 1. -
. , -
.
.326 - 13.4 - 13.4
1 ) ) ) ) )
.327 = 2 r = 0 + 1M + 2 G + 3 t
1 1
.330
qD
t = 0 + 1 p t + 2 y t + 1 p t 1 + t , (i, j) = 0 i j.
q St = 0 + 1p t + t , (i, j) = 0 i j.
qD S
t = qt .
.332
+ t.
.335 :
.337
:
= 15 P(2 > 8.55) = 0.9,

P(2 > 22.31) = 0.1;
2
> 100 2 2 1 = U (U(0,1)).

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330.115(075.

12. ... 277

4. P(a X < b) = F(b) F(a);

D(2) = 2 = 2(n m).

0.40 0.25 0.10 0.05 0.025 0.01

1 0.325 1.000 3.078 6.314 12.706 31.821

.975 .950 .900 .100 .050 .025

1 10-5 410-4 .016 2.71 3.84 5.02

1 161 242 253 254

P1 (X1 = x1 ) = PX1X 2 ...X n (x1 ,..., x n ) ; (1.23)

x1 p11 p12 p1j p1n P(X = x1)

pij = P(X = xi, Y = yj).

, M(X) = m1,0, M(Y) = m0,1.

k,l = M((X M(X)) k (Y M(Y))l ). (1.31)

, D(X) = 2,0; D(Y) = 0,2.

xy = COV (X, Y) = M((X M(X)) (Y M(Y)) =

x i y j P(x i , y j ) M(X) M(Y) ,

10 0.05 0.25 0.3 0.6

20 0.15 0.20 0.05 0.4

PY 0.2 0.45 0.35 1

Px 0.6 0.4 Py 0.20 0.45 0.35

P(x, y) P(x)P(y) (, P( X = 20, Y = 10) = 0.05 0.40.35 =

= 10(10)0.05 + (10)50.25 + (10)100.3 + 20(10)0.15 + 2050.2 +

13. (X, Y).

10 0.25 0.10 0.15 0.00

20 0.00 0.05 0.30 0.15

0 0.00 0.15 0.10 0.20

+ 25 4.752 + 10 9.752 ) = 27.7625,

P(1 < < 2) = 1

P( < 1)= /2 P( > 2) = /2

P(T< t ) = P( t < T < t ) = 1 , (3.6)

P(K > k) = P(K < k1) =

0 n: x1, x2, ... , xn; -

2) H1(2) : m > m 0 t,n-1 -

3) H1(3) : m < m 0 t1,n1 =

2) H1(2) : M(X) > M(Y) u -

3) H1(3) : M(X) < M(Y) u1

n, k x1, x2,... , xn y1, y2,... ,yk ;

2) H1(2) : M(X) > M(Y) t,n+k-2

T. = 4.71 < 1.68 = t., H0 -

H1(1) : 2x 2y (H1(2) : 2x > 2y ).

M(Yx) = f(x), (4.1)

yi = b0 + b1xi + ei, (4.9)

100 60, 65, 75, 85, 90

, M(YX = xp) = 0 + 1xp

D(i) = 2zjj. (6.21)

Sb0 = S2b0 , Sb1 = S2b1 , Sb2 = S2b2 .

P( b j t Sb j < j < b j + t Sb j ) = 1 . (6.28)

100 150 200 250 300

(yi y) (z i z) (si s) (yi y)(zi z) (yi y)(si s) (z i z)(s i s )

28654.55 12.5455 1087.636 524.5451 5422.727 109.7272

80 20 22.48852 -2.48852 6.19273

S b 0 = 1.8929; S b1 = 0.0212; S b 2 = 1.0146.

12. Y = 0 + 1X1 + 2X2 + 3X3 + .

14. Y = 10 + 5X1 + 0.16X2 + . S2b1 = 2.15; S2b 2 = 0.056;

15. Y = 0 + 1X1 + 2X2 +

Y = (0 + 20) + (1+ 21)X1 + .

rij.1 2 (i 1)(i+1)(j 1)(j+1)m .

rj = ryj.1 2 (j 1)(j +1)m

) INV = b0 + b1GNP + b2 CONS + e.

yt = + 0xt + 1xt1 + 2xt2 + ... + t. (12.3)

yt = 0 + 1xt + 2yt1 + 3yt2 + t , (12.28)

, CPIt t EFt , CPIt t EFt