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2004

330.43(075.8)
65673
13

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. - .: , 2004. - 576 .
ISBN 5-7749-0055-

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330.43(075.8)
65673

ISBN 5-7749-0055-

. . , .. ,
.. , 2000
"",
, 2004

10

13

18

23

1.

26

1.1.
1.2.
1.3.


. . .

2.
2.1.
2.2. ()
2.3.
2.4. -. 2 . .
2.5. - . b = . '
2.6. . R2

26
28
30
32
32
34
38
41

46
51

2.7.

3.
3.1.
3.2. .
3.3. -
3.4. . R2 R^
3.5. .

55
58
67
67
69
72
74
78
88

4.
4.1.
4.2.
4.3.
4.4.

108
109
112
118
124
135

5.
5.1.
5.2. . . . .
5.3.

148
149
154

6.
6.1.
6.2.

167
168
184
192

7.
7.1.

204
205

160
163

7.2.
7.3.


208

209
/
211

8.
8.1. ,

8.2.
8.3. . . . .
8.4.
/

212

9.

220
221
224
241


9.1.
9.2.
/

10.

10.1.
10.2.
10.3. . .
10.4. .
10.5.

10.6. , I
10.7. , II
10.8.
/
11.
11.1.
11.2.
11.3.

i >! ,

213
214
215
217
218

244
245
246
248
249
250
253
257
258
260
264
266
268
276

11.4. - (ARIMA)
11.5. GARCH

285
311

12.

12.1. . . . 321
12.2.
337

35U
13.
357
13.1.
357
13.2.
360
13.3.
362
13.4.
367
13.5.
373
13.6.
375
13.7.
379
13.8. 386
13.9.
389

394
14. :
398
14.1.
398
14.2.
400
14.3.
401
14.4. Pretest-,
403
14.5. WALS-
404
14.6.
405
14.7.
407
14.8. .
412
14.9. :

# 415

14.10. .
14.11.
14.12.
14.13.

15.
15.1.
15.2. . . .
15.3.
15.4.

15.5.
15.6.

419
425
429
432
434
435
436
438
446
450
456
461
471

16.
472
16.1.
472
16.2. ? . . . . 473
16.3.
474
16.4. . . . 475
16.5.
476
16.6.
477
16.7.
480
16.8.
481
16.9.
481
16.10.
482
.
1.

n
2.
R
3.

4.

5.
.

484
484
485
485
486
486

6.

487
7.

488
8.

489
9.
: ,
492
10.
494
11.

495
12.

496
13.

496
14.

498
15.

500
16.

502
17.

503
18.

504
19. . . 505

507
.
1.
,
2.

3.

4.

5.
.

6.

7.

8.

509
509
516
518
524
528
531
533
539

. 542
1.
. Windows-. 543
2.

544
3.

546
. -

(547

555

561

570


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(1975),
(1993)

Zvi Griliches,
Paul M. Warburg Professor of Economics,
Harvard University, Cambridge, USA,
President of Econometric Society (1975),
President of American Economic Association (1993)


4 1999 .
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Judge, 1993) (Pindyck and Rubinfeld, 1991),
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(Kennedy, 1998),
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15



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, 9-02-16011.
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P.S. , (5000 .) , , . . . .
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/, 1998 .


10000 . . ( ) .
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(, 1968), (, 1975), ( ., 1983).
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18

19

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22

. ()

(Verbeek, 2000).
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23

24

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(sensitivity analysis),
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15 .
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(., , (Cohrane, 2001), (Campbell, Lo and MacKinlay,
1997), (LeRoy and Werner, 2001), (Luenberger, 1998), (Mills, 1999),
(Gourieroux, 1997)). , (, 2003).
, ,
.
. ,
http://econometrics.nes.ru/mkp/.

(Arthur van Soest), (Theo Nijman)


(Bertrand Melenberg)

25


14- 15- .
(Tilburg University) 14.
(Eric Ghysels, University of North Carolina), (Prans DeRoon, Tilburg
University), (Universite de Besangon) ( )
15.
,
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(NWO)
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1,
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/, 2003 .

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http://wttw..ru/russian/outreach/workshops/econometrics,htm

1.1.

- ,
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() .
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( )

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26

1.1.

27

In = + ft In + fo lnP,
,
, ,
() ; ), > (h
. (behavioural equation). ( )
. ,
/?, /? /?2-
()
. . ,
, :
, (,
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28

. 1.

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

, , , . ,
, .
.

1.2.

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


:
: y(t) = T(t) + et,

1.2.

29

T(t) (, () = a + bt), et ()
;

: y(t) = S(t) + et,


S(t) () , et
() ;

: y(t) = T(t) + S(t) + et ()


y(t)=T(t)S(t)

+et (),

T(t) ,
S(t) () , et () .
, , , (ARIMA) . , ,
.
, ,
, , . .


() /(, /3) = /( , ajfc, j3\,..., /),
\,...}
() ,
, . . . ,/ . f{x,/3)
. , , ,
, , , . .
, , , .
, , . ,
, .

30

. 1.


.
, , ,
.
, ,
.
, . . .
. . Qf
t (demand), Qf
t (supply), Pt
t (price level), Yt t (income).
-:
Qf = .\ + cxiPt + -i + *

(),

Q? = ft +'foPt + fcYt +

(),

Qt = Q?

().

Pt Qt = Qf = Qf , . . .
Yt Pt-i-

1.3.


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

1.3.

31

.) ( ).
/ -
.

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


2.1.

Xt, Yt, t =
1,...,; (Xt,Yt)
X-Y (. 2.1).

Yt-f(Xt,f3)

,.,

fc.

. 2.1
, () Y = f(X)
f(X,f3), X.

32

33

2.1.

/5. ( -

f(X, /?) = + .)
f(X,P)
:

1) F = YlO^t ~
t=i

f(Xt,P)),

2) F = J2 ~ f(Xt,P)\,
t=i

3) F YL 9{Yt ~ f{Xt,fl)),

, -

Yt f(Xt,P) F.
, , :
2,
() = ^

\\ < ,
2

^ ,

^ .

2 ,
2 ,

.

:
- ;
- ,
,

;

34

. 2.

:
- (outliers).

:
- , . . ;
:
- ;
- ,
( 1,
0 2);
- , .. /3
(. 2.11).

.
. ,

t I

() = X2 \\ < , () = 0 \\ > ? (Pindyck,


Rubinfeld, 1991, . 1.1, . 1.3, .6).

2.2.

()

Xt, Yt, t = 1,...,, f(X) = +

2.2. ()

35

(2.1)

-(a + bXt)) .
t=i

(First Order Conditition, FOC):


n

BF

= -2j2(Yt-a-bXt)
a

8F

= 0. = -2YuXt(Yi-a,-bXi)

t=i

= 0,

t=\

]T

a- bXt) = 0, 4 ( ~ a - = 0.

(2.2)

(2-3)

J2iYt a, b (2.3) :
v

= _

' =

(2.4)
(2.46)

n *'

1.

(2.3)
= + ,

v^-*5/

.. = S + SX, (2.1),
{X,Y).
X Y Xt Yt: X = (1/) X t , = (1/) *.
2. , X*, * = 1 , . . . , ,
, .. Var(X) 0 (2.4) .

36

. 2.


xt = Xt X, yt = Yt Y
Xt Yt, X (l/n)Y^Xt, Y = (l/)]C^i(, = = 0.)
:
f(x) = a + bx,

, [,), Xt, Yt. , (2.5) X, Y , (X, ). , , ( X, Y


, ). (2.4), (2.46) Xt, Yt xt, yt ,
= = (1/n) ] [ > t = (1/n) J2 yt = 0,
(2-6)
,
b (. (2.4)).


n- Rn,
: (,) =

= ] XtYt, ' , . .
1 -.

X =

"

~Y{
,

= ai + bx,

e =y

Yn

"ei"

. .

-,

a, b , ^ , , , . (

2.2. ()

37

, ; . 2, . 35.) : , ,
. ( , ,
.) , , .
,
, :

_ - = 0,

- - bXt) = 0.

, 9 _.
[

'

,
(2.2).

X 2
"i

"ft"
*

1 " V

2 x 1 () , = /3,
(2.7)

' = , '{ - ) = ' - '


'/3 = ',
3 = ('^',

= 0.
(2.8)

, , ,
, , ' .
, (2.8) (2.4), (2.46):

r'

(3, ' ,
X 2 (. 2, . 35, . , 10).

2.3.

39

:
1. Yt + bXt + t, t = 1 , . . . , n, .
2. Xt ; ( | , . . . ,)'
)' = ( 1 , . . . , 1)'.
. ( = 0, (]) = V(et) = 2 t.
3b. E(s t s ) = 0 t s,
.
:
. t, t = 1,... ,, : et ~ N(0,cr2).
(Classical Normal Linear Regression model).
. (, es t s (. , . 4, N4).
. ,
, (X
):
3'a,b. Cov(Xt,s) = 0 ^ t,s,
2
(* | X) = 0, (? | X) = t,
0 t s.
,
.
1. Yt Xt Xt3a,b. :
=* 0,

V(e) = <72/,

38

. 2.

2.3.

. , .
, X
.
1.

X , Y .

2.

X , Y .

Yt Xt
Yt = a + bXt + st,

t = l,...,n,

Xt () , a It, et
. Yt () , . Xt ()-
. , , .
et ?
:
)
( , omitted variables), Y. ,
, , , , (, ) . .
) ( ). ,
, , , . , .
, , ^ ,
Yt.

. 2.

40

= (i,..., )', 1 , V(e)


nxn
.
= 0 , Elf + bXt, . . Xt Yt + bXi.
( Xt): E(ef) = V(et) = 2, t = 1,... ,, (homoscedasticity); ,
, (heteroscedasticity). . 2.2 ;
. 2.26
(, V(t) ~ X?).

X
. 2.2

. 2.26

E(etes) = 0, 1 s
. , .
, , (serial correlation).
,
=
E(s t e t + i) 0) . 2.3
( > 0 ) . 2.36 ( < 0 ) .
, ,
: EYt = a + bXt, V(Yt) = a2, Cov(Yu Ys) = 0,

2.4. -. 2

41

X
. 2.36

. 2.3

2.4.

-.
2

, () (Xt,Yt), t = l,...,n,
l-3ab. : , , 1.
.
? ,
( Yt)
{Best Linear Unbiased Estimator, BLUE).
, , ,
. , ,
: E(b b) .
-. 1-:
1. F t = + bXt + et,t

l,...,n;

2. Xt ;
. Eet = 0,E(e2t)
3b. E(etes)

= 0, t \

, (2.4), (2.46),
(),

42

.2.

. 1. , - ,
b , .
(2.4), (2.46), (2.6) :

E* 2 " E* 2

= | - 1 yt - - Y^Xtb ) = - XEb = a + - Xb =
\ t
** )
2. , .
b (. (2.6))

, wt :
1)
2)
2

4)

(2-10)

( (2.13) > ? =
2)

2.4. -.

43

/. (2.9), (2.12) , ,

3. , - (
) .
b = ^2 fyYt . cj ct = wt + dt,

, .

X>
Yt)

Ct

=* ,

= a2

.. V(6) ^ V(6), . ( J2wt^t = 0


wt (2.9) , dfxt = 0.)
, V(a) ^ V(a);
. ( 3) - .
. , V(a) ^ V(a).

2
, ( ) , 6. 2

^
Yi = a + bXt {fitted value)
Yt Xt. *

44

. 2.

Yt = Yt + et a + bXt + e.t-
Yt = a+bXt+t-
eti $, ,
, , ,
.
, 2
ej = Yt a bXt.
,

>

J2

+ yt-a-bX -bxtf

= 1 + 11 + III.
E ^ ^ = E(I) + E(II) +
E(III).

b = Ylwtyt
Yl, ,

= Ylwt{bxt

E(II) = -2E (JT wtet Y, xs(ea - ))


t

'

t,s

1
1
= no1 - 2n-a2 + n-cr2 = (n - l)cr2.
n
n
^
'
,

+ St t)

2.4. -.

45

,
2

=
2

.
(2.11), (2.13) , 6 2
, . ,
2
,
, .
a, b
2
2
, , s (2.15) (2.11),
(2.13), (2.14):
V(b) = *

^ 3 =

Cov(a,S) = -^-2 5 2 =
,
, (s^ = V(6)).
. ,
X ,
{\ 2,.. .,). Xi , b ? b
(2.16) , J2xb
V(6). Xt
,
.
. (2.14) b , Cov(a, b) < ,
~ > 0.
(. 2.4). , _ = +
(2.5) (X, ),

. 2.

46

. 2.4
b ( {X,Y)
) .

2.5.

-
.
b = bo.


~ N(O,a2In), . . , , , Yt . - a, b , (2.4),
(2.46) Yt:

^^?)"

(2>

17)

, (2.17),
, , -

2.5. -

47

Xt a, b , .. (2.17) .
s2
, , . . ,
( - 2)s2 2

^^

X ( (2 ))

b (2.9),

= 6 +][>*.

(2-18)

(2.18) Y = + ,
:
et = Yt-Yt = Yt-a-bXt

= a + bXt + et-(7-

= a 4- bXt + t - a ~ bX - + + ~^^
w

- XtY^ ses

~t~s-

xtY^wss-

) - ,
-

bX

t
(2.19)

(2.19) :
= (i - -' - x.w'j e = As;

(2.20)

' 1 -, ,
= ( e i , . . . , e n ) ' , = (!,...,.)', * =
( # ,)' .
N8 ( , . 4).
, I - ^' - *' (2.20)
: ' , (')' = "' = ',

T.4

48

. 2.
2

A -(l

'

' '

w - -'-2

, ,

' + x*w' - 2*' = I


' - *' = ,

' = , '* = ' = 0 (. (2.10)).



/ ~ N(0,In), , N8 ( , . 4):
=1

(n-2)s

1 p j _ (

2fm

o\

(2.21)

s 2 - ,
s 2 ^ et) s2
(,), et (,). ,
, et, et (. (2.4), (2.46), (2.20)) . ( ,
. 4, N4), , , ,
. , s^ (,),
et (,).
= ]T> t e t , (2.19) et - et - - *,
(2.18) , = + .
Cov(et, ) = Cov(et - - ^ , + 0 = E(e t ^ -

= 0.

(2.22)

2.5. -

49

, ej b ,
.
. , et .
b = bo
r|), cri
cri = o-2/Y^^t- (2.17) &- b ~ iV(O,cr|),
V(6) = s | =
^

s2
x

-. ,

b-b
a

~ iV(0,1), (2.21) ,

. . ( , . 3)

s/a

h
, - = -,
a
s

t =

!izA^t(n-2).

, (2.23)

. , ,
t = ?LZ t{n - 2).

(2.24)

, ,
(2.23) . , xt (2.23) (2.24) .
(2.23)
: = Hi: b bo. , ,

50

. 2.

, , 2.5%- ^- ( - 2)
.25 ( 40 .25 = 2.021),
..
{-*0.025 < t < 0.025> = 0.95.
( Hi) 5%-
, || > .25 (
), (
).
: = 6 Hi: bo
|| > ta/2{n 2). , Hi: > bo,
> ta(n 2). ( ta(n) 100%- .)
{|( b)/s^\ < 0.025} = 0.95 ,
{ - *o.025S 1 <b<b + 0.0255^} = 0.95,
. . [ .25^, b + o.O25S-g] ~ 95%- . b ( 95%).
, 100(1 )%-
b :
(b-te/2(n-2)ss> +
/2(-2)8).
- :
= 0, , = b/s^. .
|*| > *o.O25 (*o.O25 ~ 2 )
( ) , , ()
X . -
X
Y.
- i-, . . , ,

2.6.

51

t(n - 2), , || =

2.6.


.
R2

() XX Yi ) Yj
. : (. . Et).
Yj = a+bXt Yt,
Yt Y = (Yt Yt) + (Yt - Y) (. . 2.5) Yt :

-).

(2.25)

(2.25) , - = , ,
(. j ( 2 J ) ) J 3 ^, J2et(Yt - ) = J2et{a + bXt - Y) =
( + Y) Y!, et + b Y^, et%t = 0.

Yt)2 + UYt-Y).
TSS

ESS

RSS

,
k

" '

. ,
. . ' = ^ ^ = 0, , ,
. (2.26) , , ,
.

. 2.

52

. 2.5
(2.26) TSS (total sum of
squares) , , , ESS (error sum,
of squares), RSS (regression sum
of squares) 1.

R2
. , ,
^9

ESS
TSS

RSS
TSS'

(2.27)

, (2.27) , (2.26), ..
. R2.
2
R 0 1,
^ R ^ 1. R = 0, ,
, . . Xt Yt Yt = Y.
, .
(., , Johnston, DiNardo, 1997)
(2.26) RSS (residual sum of squares), ESS (explained
sum of squares).

2.6.

53

= 1 :
( ej = 0).
2
1 R , ,
. 3, ,
2
R .

R?
2.2.
.
(, ) (. . 2.6). . (2.26) - , , , . .
\\ - || 2 = || ||2 + || _ | | 2 . R2 = RSS/TSS = cos2 y>,
( ( ) ( ).

--

. 2.6
. , R2
Yt

54

. 2.

F-
, . (2.17), (2.21)

1
, s , ^-
( , . (7,8))

_ ( 1

e?/(n-2)
^ ^ 2

_2).

(2.28)
F-
: b bo = 0.
(2.28) :

, F (2.29) . , , F Fa(l, n - 2 ) (1, - 2 ) .


(2.29) :
6 = 0 (
X ). :

= = ..

2.7.

55

( )
=
e'e/(n-2)'
. (2.23) (2.29), F = t2, . .
, t- F-,
( )
.
, , /^- (2.27) ,
2 _ ** _

**

(2 ->1 \

(2.30) (2.31), ,
? F-:
F = (n-2)l^~.

(2.32)

, F (
X Y) ?
( ).

2.7.


()
. 10.
.
,

-t-

(2.33)

56

. 2.

et
:
2
),
(2.34)
, ,

Yt ~ N{a + bXt, 2).


(Xt,Yt), t = 1,... ,, :
2
, , < (2.33)-(2.34)
! , ?
, ( , . 7),
( et ):

L(Yu...,Ynta,b,a2)=p{Yh...,Yn\X1,...,Xn,a,b,o-2)

- a - bXt/j,

(2.35)

, Xt, Yt
, 6, 2. , , L (2.35)
. L In L ,

(2 36)
In L :

(2.37a)

2.7.

^
\.

~~bXt)
1 V\/.

>

= 0>

(2 3 7 )

, ,

* >

57

,
0

(2.37.)

(2.37)-(2.37)

J]l

(2.38)

, a, b
ML = OOLS) ^ML = &OLS- , (2.37) (2.376)
(2.2). 2 O-Q = Y2 1 / ( ~ 2 ) , ,
(. (2.15)),
. , aliL = ((n - 2 ) / n ) S o L S , 2.
LS

. .
RLMS 2 . Inc , Expend ~
. , Expend Inc
.
( 3594)
Expend = 4663.3 + 0.686 Inc,
(233 6)

R = 0.21,

s = 11307.

(0 0223)

. i- 19.96 30.81, . . .
2 . , , , , , , ,
2

RLMS, Round VI 3781 ,


1995 . , , ( , ), :
https //www, cpe .unc. edu/projects/jrlms/rlmsjiome .html.

58

. 2.
. . ,
.
, ( 509):
Expend = 3229.2 + 0.355 Inc,
(182.0)

R2 = 0.39,

s = 4567.

(0.0162)

, i- 17.74 20.70. ,
? 0.21
0.39, s
11307 4567.
(, ),
. , Expend/dine,
0.355,
0.686.
JV/ .
( 3594):
Expend/= 2387.2+ 0.447 Inc/Nf, R2 = 0.24,
(76.8)

s = 4202.

(0.0133)

R . .

2.1. 16 (X, Y) :

Yt = + (3Xt + t , /3 1.0.
2.2. , 0 = rXY

X uY,&sx,sY
.

HY,

59

2.3. /? Y X,
7 X . ,
/?=1/7 , R2 = 1.
2.4. 4 = a+/3X^+et, .
? .
2.5. ,
?
) Yi =
) Yi = a) Yi = ( + fiXi + *),

) = /(/?-+,.
2.6. Yi = a+(3Xi + ei
: Yi = Y\i + Yii- : Yu = ctj +fiiXi + eu Y2i = a2 + (32Xi + 2i-
- : = \ +-2',
0 = &+&
2.7. Yi = + /{ + ,
. , yi = Yi ~ , * = Xi X,
yi = Yi-Y . ,
:

2.8. , . .
/3 }, = /3Xt+t

60

. 2.

2.9.

70
65
55
60
50
35
40
30
25
32

5
11
15
17
20
22
25
27
30
35

:
) R? Yt Xt
;
) R2 Yt Xt ;
) R2 yt xt
, yt xt Yf Xt
;
) R? yt xt .
2.10. ,

. /3:
(3=-

) 0 ? ?
) /3.
) -, /3 - 2/ " = 1 - X ) 2 .

61

2.11. (Xt,Yt),
, /?,

.
2.12.
Yt = a + et,

* = 1,...,.

) 2 ,
) 3.
) ,

t(n - 1).

) 2 ?
2.13.

) /3 2.
) /3.
) , -

t(n - 1).

) , : 2
2
R , R = RSS/TSS,
2
, R2 = 1.-ESS/TSS; R2, R2 = RSS/TSS,
2
1; R ,
2
R = 1 - ESS/TSS, 0.
2.14. , 12 .
2.1 (t , qt
, pt (.)))

62

. 2.
) , .
2.1

t
1
2
3
4
5
6

Pt

4t

Pt

12.3
11.5
11.0
12.0
13.5
12.5

795
915
965
892
585
644

7
8
9
10
11
12

12.8
9.9
12.2
12.5
13.0
10.5

714
1180
851
779
625
1001

e
n
2.15. <?ML = X) etIn
SOLS = J2 t/ ( 2)

2 Yt = PiJ-fyXt + et,
*=1
n,
et~N(0,cr2).

) (MSE(0) =
(( )2)) .
) ? ?
2.16.
. ,
/,

6wt = + 01

wt , 5wt = 100(u/t - tot-i)/tot-i ~


( ) L , /3\ < 0 > 0.
2.2, :
)
Sw .
) , . .
, Sw = 0.
)
() ?
) 95%- j3\ fa.

63
2.2

*
1
2
3

1.62
1.65
1.79
1.94
2.03
2.12
2.26
2.44
2.57

4
5
6
7
8
9

1.0
1.4
1.1
1.5
1.5
1.2
1.0
1.1

1.3

*
10
11
12
13
14
15
16
17
18

2.66
2.73
2.80
2.92
3.02
3.13
3.28
3.43
3.58

1.8
1.9
1.5
1.4
1.8
1.1
1.5
1.3

1.4

2.17. 2.3 Y X 12 1986 1997 .


) Y X ,
X.
)
X , 2.3.
) s 2 , s | , s | .

1986
1987
1988
1989
1990
1991

t
1
2
3

4
5
6

Yt

152
159
162
165
170
172

xt

170
179
187
189
193
199

2.3

1992
1993
1994
1995
1996
1997

7
8
9
10
11
12

Yt

177
179
184
186
190
191

x,

200
207
215
216
220
225

2.18. , 2.17.
) ()
.
) /??
)
/3?
) ?
) 5%- - /?.

64

. 2.
) 95%-
/3 2.17.
) ,
2 = RSS/TSS R2 = 1 - ESS/TSS.-

2.19. Yt = + flXt + >, t = 1,... , n,



. , = 2. '(Yf,Xt) b . Xa,Xb,Ya,Yb
X,Y
, , . (3

/3 =
(-)/(-).
) () V(/3).
) , V(/3) ?
2.20. * = (3Xt + et, t - 1,... ,, E(ef,) = 0, .

/3?
2.21. :
Yt = a + /3Xt+et
xt = Xt-

Yt = ' + p'xt + e'u

* = 1,...,,

X.

) - , /3 , /5 - ', /3' ', /3'


.
) Cov(S',/3').
2.22. 2.4
(
( )).

1981
1982
1983
1984
1985

65

2.0
2.5
3.2
3.6
3.3

5.0
5.5
6.0
7.0
7.2

1986
1987
1988
1989
1990

4.0
4.2
4.6
4.8
5.0

2.4
.

7.7
8.4
9.0
9.7
10.0

) ()
(X) .
) 95%-
. /3 = 0? /3 = 1?
2.23. , ,

. 2.5
, :
2.5
II
I
n = 20

^ I t = 200
E = 500
A =2

E = 500
Pn = 2.5

,
/3.

,
, . , .

66

. 2.
) ?
) ?

. ), ) .
2.24. , Yt = + j3Xt + et, t = 1,..., , . , /3 . /3
( , ) , = 0.
) - /3. /3?
) /3, /3.
) , .
2.25. Yt = + (3Xt + t-
Zt %. /3:

T,ti(Zt~Z)Yt

Z'UZ z)x-

) , /3 .
) /3.
) -, , V(/3) ^ V(/3 O LS)-

(. . 2.3)
{multiple regression model), :
= 01+ foxt2

t = 1 , . . . , ,

Vt = (hxti

+ foxt2 + - + Ptk +

t = l,...,n,

(3.1)

xtp , = 1, * =
1,... ,.
(3.1) .

3.1.

, ,

(. . 2.3):
1- = Pi^ti + 22
.

+ t = 1,..., -

67

68

. 3.

2. ,... ,xtk . 3 =
n
(sis,..., )', s = 1,..., R .
2

. * = 0, ~( ) = V(et) = t.
. (*8) = 0 t s
() .
.
. t, t = 1,... , 2
: Sf ~ iV(0,<7 ).
(classical normal linear regression model).
, ,
,
.
1 (-)
G/i>--.2/n)'i /3 = (Pi,---,/3k)' 1 ;
= (ei,... ,)' 1 ;

...

X\k

X =

%_

X 1
#s (1) > xns)', s = 1,..., . 1-3
:
=

1.

= (5 + ;

2.

X ,
;

3a,b. E(e) = 0 ; V ( e ) = E ( e e ' ) = (72jrn;


:
.

~ N(0,a2In),
.. 0 cr2ln
( ).

3.2. . -

3.2.

69

(.
. 2.2), /3, et (. . ):
- - - - ,

ESS = ? = ' -+ min.

' X /3:
' = ( - )'( - ) = ' ~ ' - '' +

''
(3.2)

= ' - 2'' + ''.

ESS (3.2) /3 (. (.22), (.24)):


~

= -IX1 + 2' = 0,

(3.3)

(5
, ' 2
( , . 10),
:
3OLS = ('''.
(3.4)
( (2.8), .)
, , , (3.3) ,

Ci,... , ( X). ^ = = ' =
' =-. ,
' = \ - ) = ' - '
= ' - '(')-'

= 0.

(3.5)

'

' = ' - 2$'


+ '
$
* ' - 0{2' - '(')-1')

- ' - ''. (3.6)

70

. 3.


(. . 2.2). , \,..., Xk
n
n- R .
\,...,
fc- .
= (3
.
= .
(. . 2.4), ,
.
-. , :
1. = (3 + ;
2. X , ;
3. E(e) = 0; V ( e ) = E ( e e ' )

=a2ln.

=
/3QLS
(')~ ' ( ) ( ) (Best Linear Unbiased Estimator, BLUE).
.
=
(')~1\

P*OLS = Ay. /3 :
= ( + ), .
1. , - (3.4)
/3:

EPOLS

= (')-1')

= (')-'')

= (')- '((3 + )
= (')-1'(3 + (')-' = /3.

(3.7)

, /3

/3 = = ( + ) = ( + )(3 = (J + )(3,

3.2. . -

71

, = 0.
2. -:
V(3OLS)

= (Ay) = AV(y)A' = Ac IA'


2

= < (')- '(')-

(3.8)

= a (X'X)~

( ' (.9)).
3. = 0,
- (3 = { + ) - = ( + )(3 +( + )-(3
= /3 - /3 + /3 + ( + ) = ( + ),
.. 0 = I.
:
V(6) = (( - /3)( - 13)') =(( + )'( + )1)
= ( + )<21( + )' = <2(' + ' + 1 + ')
= 2 ((')-1 ' (')-1 +
+ (')-1'

(')-1

+ ) = 2(')-

+ 2.

(. (3.8)),


. 15),

( JIA,
() > V(3OLS)-

(3-9)

. , - () - (). ( ,
. 15) (3.9)

()
.

72

. 3.

3.3.

-
2

. s

y = Xp = X(X'X)-1X'y = Ny1

N^XiX'X^X'.

(3.10)

X'. (3.11)

, , N , . . :
JV2 = JV,
2

= ,

N' = N,

(3.12)

' = .

(3.13)


(3.10), (3.11) , N 7, xi, a M 1
n
R .
NX = X,

MX = 0.

(3.14)

,
:.

() = ( ) = ME () = /3
= (I - XiX'Xy^Xp
V(e) = V{My) = MV(y)M'

- - = 0,
2

= Ma IM'

= a M.

(3.15)
(3.16)

3.3. -
e

73

X) t
'
2
(, ,
):
2

(') = tr(V(e)) = a tr(Af) = a tv(In -N) = (n- k)a . (3.17)


(3.17) (3.15), (3.16), ( , . 9),
tr(JV) =

ti(X{X'X)- X')
1

= tr(Ifc) = .

= {'{')- )

(3.18)


: tr(AB) = tr(BA) ( , . 9).
(3.17) ,

S = =

<2, . . Es 2 = a2.
(3.14) ,
= ((3 + ) =

(3.20)

rank(M) = rank(JJV) = tv(I-N) nk (


( , . 16)),
( , . 4, N8)
/

2
2

~^ (-)

(-)^ ~2(-).

(3.21)

(3 s2
^ /3 s 2 .
, (3.4)
3OLS

= (')~1'(0+)

= /3+(')~ 1 ' = (3+.

(3.22)

74

. 3.

(3.22) (3.20) , (3 ( , . 4). ,


.

AM = (')-1'{1 - (')-1')
1

= (')- ' - (')~ '(')- '

= ,

(. . = 0)

Cov(3, ) = ((3 - )') = (') = a2AM = 0,


.
s2 (. (3.19)), /3
2
s .

3.4.


.
R2

, Yl(yt )2 : (. . ) . (2.25):

+ ( & - )2 + 2 (i/ t - )( - ),

(3.23)

:
( ~ )'( - ) = (- )'( ~) + (- )'( - )
+ 2(y-y)'(y-yi).

(3.24)

(3.24) , , .. - (1,...,1)',
jci,..., &. ,

( - )'( ~ ) = '( - ) = ' ~ ' = 0,

3.4.

75

. . (3.5) ' = 0 = '/ = 0.

/ - ? = - \? + - \\2TSS

ESS

(3.25)

RSS

(3.25) /, = ; # ;
:

(2.27),

2

(3.27)
, i? 2
, , .. = ( 1 , . . . , 1)', \,... ,/. ?
[0,1].
? yt.
R2 = 0, a?i,..., yt
-.
R2 = 1 :
et = 0, . .
.
R? ? R?.
1. R2, ,
.
2

2. R (. , . 76), R?
.

76

. 3.

, , R2 = 1, ( )
.
2
, R , R2 . (adjusted) R2
2

_i

'/( - )

,
.
R2:
2

2 > 2

)2\ (

~ 1)

( )'

'

{-si

3. JR^JJ ^ 1, < 0.

R%d-
.
, :
1. = /3 + .
2. z \ = * + .
- /3 7 .
R2
(3.29)

-y)

R2 . S = (1,0,..., 0)' -; 6 = \.
,
.
= ( - XS) = My~

MX6

3.4.

77

( (3.14)). , .
(3 30)

=l

'

^ -T^W'

(3.29) (3.30) '**. z[z*.

= ^ (*?1

*1

1(/

1*1

I fit oi

Oit *

J *Y*

o*i

^ 47 I

( # = Ay, z* = Az, asi* = \,


, = I '/). (3.31) ,
, , .
:
l

7 = {X'X)- X'z = {X'X)- X'{y -8)=-6,


..
. R2 ,
.

: ?
t
yt , , yt.
V(y) = a2ln.
y)

( )

' = a2N.

- V(y) = <2(1 - N) =

, , 0 1 ( , . 16), , . .
- V(y) = a2M

> 0,

V ( y ) > V ( y ) .

(3.32)

78

. 3.

(3.32)
V(yt) > V($t).

(3.33)

, ,

, . , , , % = Jt/3+e, ..
.

3.5.

: = /%- , .
1. /3QLS
/3 (. (3.8)) V(/3 0 L S ) =
^ ^ 1 , .. (. (3.7))
3OLS - /3
( ) )
/ ~
^ ^( ^ ) )
/fobs,* - ~ N(0,crl), \ = a2qu; qu - i- Pi

Hi

(')~1.

. % =% = 211 = s2qi{.

Pi
2

2. ( /)-^ - %2( - ) (. (3.21)).


3. /3 O L S s 2 (. . 3.3).
(. , . 3):

3.5.

79

(3.34) ,
[PoLS,i ~ tcSp.\PoLS,i + tcSp.}

100(1)%- /%, tc = /2 (" &) 100(/2)% .


: % = Pio,
(3.34), , ,

\t\ = 5' ~
: Pi = = = = 0. , (
): yt = Pi + Pixt2 -I
Pkxtk + *
, .

R2 -
F 1-R2k-1

RSS n-k
ESS ~ 1
= ;

(3.35)


, (3.35) 1

2/

( ).


, -rX*(k - 1) , (3 = Ny, N = X(X )~
7, xi,...,a%.
yt :

80

. 3.

, = 1/n. P
= ( 1 , . . . , 1)' ().
7, PJV = . 7 (
).
. , = = PNy = =
, = - = - = {N - ) = {N - ){0 + ) =
*/3 + (JV - ).
(3.14) iVX = X, (JV - ) = X = X*, X * n x f c . 0 * = (N ).
N : , , -

(N-P)2 = N2-PN-NP+P2

= N-P-N'P' + P =

N-(PN)'
= N P.
( , . 16), rank(iV ) = tr(iV ) 1
(. (3.18)). , ( , . 4, 8)
: '**/ 2 ~ 2 (/ - 1), .
. 3.3, /3 LS , F (3.35)

?-

RSSn-k '*~1)
TT- e'e/(n-k)

*--*0

(3-36)

: /?2 = /? =
= = 0. , , , 5%
, F > Fc, Fc - ^.5(^ - 1, - )
5%- F(k 1, ).

: Hf3 = .
qx , /3 fc 1 , q x 1
.
,
, . . q <
: (") = q.

3.5.

81

,
= 3, q = 2:
(3 =
:

= 2,
\&-/? = .
(3.4), (3.7), (3.8) , 3OLS
/3 (')~ .
, /3 ~ N(Hj3 - , S),
9 g = ( - ) = V(ff3) = HV0)H'
=
^'^'.
,
- ~ (/3 - . ^ ^ ' ) - 1 ^ ) .
(3-37)
( , . 4, N9) (3.37)
: /3 = , :
"

) ' ( ( ' ) - 1 ' ) - 1 ( - ) ~ 2(?)-

{^

(3-38)

(3.21) (3.38), 3 , :

_ ( - )>({>)^\(5

- ^ (

fe) ( 3 3 9 )

'/( - /:)
: /9 - = 0,
F (3.39) ,
, 1 F < Fa{<li ), Fa(q, n-k)
100%-
F(q,n-k).
(3.21), (3.37), /3 ,

(- 0'('''(3 - Ml . , ,
"

"/<-*)

..
(3.40)

82

. 3.

F < Fa(q,n ) 100(1 )%- /3.


(3.40)
/%,
.
= I F (3.40)
:

F=

-0)'(')-(3)/
.,

. .,
~ F(k,n - ).
'/( )


fc- /3.
: 0k-q+i = Pk-q+2 = = 0. , , (3 = .
, .

( - q) q:

=[

= [
Jd-nxCfe-g),

X2-nxq,

1 ft - ( - q) x 1, /32,

2 9 1 . :
X
Q21

\Qi\

Q22

22

(3.40)
> : /32 = 0,

3.5.

83

( 1/q)

= 3 2 (<

22

(3.41)
Mi nj-
n
R ( q \). 22
x
(3.41) (.18): (Q )~
= Q22 ~

QnQli Qi2 , (3.41) *'* ', *


( {),
( X = [Xi X 2 ]). ,

* = = Mi { + 22 + )
= 11 + M i X 2 3 2 + Mie = M i X 2 3 2 + e
( M i X i / ^ , .. M i
, \, Mie = , .. Xi 2 ) .

*'* = ( + 1 2 3 2 ) / ( +

12)

= ' + 3 2 X 2 M i X 2 3 2 + e'MiX 2 3 2 + ' ^ ^ , (3.42)


(3.42) , .. \ = ,
2 = 0 ( ). ,
*'* - ' = 3 2 X 2 M i X 2 3 2 -

(3.43)

(3.41),
F (3.40)

e'e)/q

(ESSR

ESS U ,)/ 9

/( ft)
ft)bbbuR/(w - ;

84

. 3.

ESSR (restricted) ; ESSUR


(unrestricted) .
(. (2.32)), F- (3.44)
? :

( (3.45) R (3.27) ,
= TSS R ).
.
,
F- (3.44), (3.45)
{3 = .

/3, (3 = . ESS (3.2) /3 = .
/. , (3.44), (3.45) F {3 = . (: Pk-q+l = Pk-q+2 = = , = 0.)
: dfi = , 1 . ./3 = lxfc
= '. F- (3.39),
F ( l , n k).
, ^-,
(3.34). , '( ~ N(c'/3,o-2r), . '/ 2,- = V(c'(3) = c'V(J3)c =

2!(')-1,

2 ~ = 2'(')~1.

3.5.

85

,
i- /% = /%0,

, : '/ = ,
t(n -

fc).

(3.47)

, i- F-.

HQ: /3' = /3"; ' = " ( (Chow)).

.
. , : ,
? :
e't, t = l , . . . , n ,
Vt = '

(3.48a)

+ PZxt2 + + ffixtk + e'l, t = n + 1 , . . . , n + m, (3.486)

m . , , (, ,
..),
, . : (3.48), (3.486),
?

.
(3.48), (3.486), ..
ESSUR = ESSi + ESS2,
( ) + ( ) = + 2. ,
.

Vt = 0\&t\ + /% + " + 0k&tk +eh

i 1,. >.,n + m. (3,49)

86

. 3

(3.49), ESSR. , , , (. (3.44))

F- (3.50) Fc =
Fa{k, n + m 2k), .
.
,
.
. (. , ,
1996).
1994 1996 .

, :
LOGPRICE = / + ALOGUVSP + /32LOGPLAN
+ A J L O G K I T S P + AiLOGDIST + /35FLOOR +
+ faBAL + /38LIFT + /3yRl + /?i0R2 + /3 n R3 + /312R4 + e. (*)
LOGPRICE ( . ),
LOGLIVSP ( . ), LOGPLAN
( . ), LOGKITSP ( . ), LOGDIST ( ). , (. . 4.2), 0 1:
FLOOR 1,
, BRICK 1,
, BAL
1, , LIFT 1, , R1 1
0 , R2, R3, R4 -, - .
(*) 464 , 1996 ., 3.1.

3.5.

87

3.1
i--

CONST
7.106
0.290
24.5
0.0000
LOGLIVSP
0.670
0.069
9.65
0.0000
LOGPLAN
0.431
0.049
8.71
0.0000
LOGKITSP
0.147
0.060
2.45
0.0148
LOGDIST
-0.114
-7.11
0.016
0.0000
0.134
BRICK
0.024
5.67
0.0000
0.021
-0.0686
-3.21
0.0014
FLOOR
0.114
LIFT
0.024
4.79
0.0000
0.042
BAL
0.020
2.08
0.0385
0.214
Rl
0.109
1.957
0.0510
R2
0.140
0.080
1.75
0.0809
2.74
0.164
0.0065
R3
0.060
0.054
0.169
3.11
0.0020
R4
R =0.8921, /?adj=0.8892, 0.2013.

t- , , R1 R2, 5%-
(. (3.34)).
LOGLIVSP, 0.67, , 1%
0.67%. , 0.67.
'
LOGPLAN LOGKITSP. . ,
, 9 . , . , 11 . , 12 . . , (21 . ) 5% , .
, , 5 0.431 = 2.15%. , 10 . 11 . .
,
, 21 . .

. 3.

5 0.431 + 5 0.147 = 2.89%, , , ,


.
LOGDIST (0.114)
, 1% 0.11%. , ,
, ,

.
(. 4.2)
.
,
: ,
( 2 4 ) . F- (3.39) , R2,
R3, R4 : / = /; An = 012- :
-

0.22315

0.8001,

, ,
2-4 (*) . : > = /
- F-:
F-

3.03188

- 0.0823,

, 10%,
(*) -
.

3.1. :
In yt = /3l + /?2 lntUt + fast +
\n(yt/ii)t) = 7l + T2 bid* + 73St + eu

= 1 , , . . , ft,

89

yt - , wt
, st , .
) , - : 7i = Pi, 7 = , 72 = - 1) , .
) ? ? ?
3.2. , 0, 1.
3.3. yt = P%t + st, t = 1,... ,T. et . ,
/3 . E S S R .
ESSUR : 1) ESSi
ESS2, : ESSUR = ESSi +ESS2; 2)

yt = Pixtdn + p2Xtdt2 + t>

/l,
dtl==

\0,

t = l,...,n,
t = n + l,...,T,

/, t = l I . . . , n ,
d t 2

-\l,

f = n + l,...,T.

ESSUR .
, F.
, ,
yt = Pixt + 6xtdt2 + t,
8 = P2-Pi.
3.4.
= 30 :

= 25.1 + 1.2.1 + 1.02 - 0.50.



(2.1)
(1.5)
(1.3)
(0.060)
-
(11.9)
( )
( )
( )

95%-

(4.3)

. 3.

90
) .

) ( , ):
1) \ 1.2.
. 1.2. .
2) , \
, : /?i = 0 5%- .
3) , % t/,
1.0,
: /?2 = 0.
3.5.
( . .):

, S

, Y

, W

1
2
3
4
5

3.0
6.0
5.0
3.5
1.5

40
55
45
30
30

60
36
36
15
90

) S Y W.
) , 40 . .
25 . .
) , 10 . .,
. ,
.
) , ,
5 . ., 15 . .
)
.
3.6. S = ( + /32Y + (3ZW + e
3.5.

91

) 95%-
1) /32 /33;
2) /32;
3) /33;
4) Pi /.
) 5%- :
1) /32 - 0 & = 0;
2) / = 0 ( );
3) /32 = 0 ( );
4) /?2 = 1 (
);
5) /32 = 1.57 ( /
, );
6) = 5/ (..
).
) Y = 30 . .
W 52.5 . .
1) ?
2) 4 5 ( 3.5)? 3.5
1.5 . .?
3) 95%- .
3.7. /3i + /?2
/3i /? , ?
3.8.
-.
) - ,
? ? -

92

. 3.
\ , \
\
2?
) -
%\ 2, ^
?
) - , Y ?
- ?

3.9. /3 = ( ( ' ) " 1 + ^/1)'


/ + . (I
.)
) , /3

(MSE(0) = ((0 - ) - )')).


) 7 , /3 ,
(3 (.. = 1,..., ,
< ())?
3.10. /3 = (X'X + rD)~1X'y (-
(ridge regression)) = Xfi + , D ,
'.
) , /3

(MSE(0) = ((0 - ) - )')).


) , > 0 , V(/3) < V(/3), 3
.
) > 0, /3 ,
/3 (.. = 1,..., ,
MSE(A) < MSE(A))?
3.11. (.
2.14) , .

93

3.2 20 (t
, qt , pt (.), at (100 .)).
3.2
t
t
qt
Pt
at
qt
Pt

1
2
3
4
5
6
7
8
9
10

525
567
396
726
265
615
370
789
513
661

5.92
6.50
6.54
6.11
6.62
5.15
5.02
5.02
6.77
5.57

4.79
3.61
5.49
2.78
5.74
1.34
5.81
3.39
3.74
3.59

11
12
13
14
15
16
17
18
19
20

407
608
399
631
545
512
845
571
539
620

6.67
6.92
6.97
6.59
6.50
6.86
5.09
6.08
6.36
6.22

5.19
3.27
4.69
3.79
4.29
2.71
2.21
3.09
4.65
1.97

3.2, :
) fa = dq/dp. , dq/da =
/? + 2/34<2. /?2, /?, Ai> ?
)
. ?
) 2 .
profit = pq2q - 100a.
) , 280
.
) , 6 .
) ( ).
) 95%- , &, /?4- ,
.

. 3.

94

3.12. . :

(*)

mt =

mt Ml (. .), yt
() (. .), it
6- {6-month US Treasury
Bills, %). 3.3
1960-1983 . .

Vt

1960
1962
1964
1966
1968
1970
1972
1974
1976
1978
1980
1982

506.5
565.0
637.7
756.0
873.4
992.7
1185.9
1434.2
1718.0
2163.9
2631.7
3073.0

mt
141.8
149.2
161.8
173.7
199.4
216.5
251.9
277.5
310.4
363.2
414.1
478.2

it

3.247
2.908
3.686
5.082
5.470
6.562
4.466
7.926
5.266
7.572
11.374
11.084

1961
1963
1965
1967
1969
1971
1973
1975
1977
1979
1981
1983

3.3
mt

Vt

524.6
596.7
691.1
799.6
944.0
1077.6
1326.4
1549.2
1918.3
2417.8
2954.1
3309.5

146.5
154.7
169.5
185.1
205.8
230.7
265.8
291.1
335.5
389.0
440.6
521.1

2.605
3.253
4.055
4.630
6.853
4.511
7.178
6.122
5.510
10.017
13.776
8.750

: Economic Report of the President, Department of Commerce,


Bureau of Economic Analysis.
) (*).
.
) : (1) =
1000, = 10 (2) = 2500, = 5.
)
(9 In / In , 1/\) (1)
(2) ). .
)

lnm t =

0s hiit + et.

(**)

) ) ,
. (*) (**). ?

95

3.13. = (3+
/3 = .
) , /3 R , ,
/ 3 U R :

^'1 ( ) ,

- )' ('^'1

(H3UR

- ) = e R e R - e'UReuR,

= - X/3R, euR (3 , .
3.14. * = /3j + @2%2 + /?* + PA^U + t
26 :
yt = 2 + 3.5*2 - 0.7xt3 + 2.Qxt4 + eu
(1.9)

(2.2)

R2 = 0.882

(1.5)

( i-).
(5% = /4 :
yt = 1.5 + 3.0 (a?tt + ) - 0.6x t 3 + ,
(2.7)

2 = 0.876.

(2.4)

) fi' = (/?2./?3,Ai)
.
) /?2 =043.15. 3.4
(, .), , , \
25 .-2
( , ) 15
1983 .
) , \ %
.

. 3.

96

3.4

1
2
3
4
5

7
8

7
9
9
8
8
14
9
8

XI

8
9

9
13
11
11
12
16
11
11

7
6
10
4
5
5

10
11
12
13
14
15

10
11
11
12
9
10
12

Z2

6
7
6
4
8
5
8

12
14
11
15
15
10
13

) s 2 , s% s% .
Pi

) , , /?
?
) 95%- Pi, /?2 R2 Rld-.
) 5%- (3\,23.16. , /,/32

(\,2 n x k\, n x &2 , , /3!,/32


;, /? ), -
= X\fii + 22

" e *i

(**)

\ , Xi .
) , /32 ,
2) /3 2 .
) , - (5,
(*) (**), .

97

3.17. 1
X . X
( + 1)- ,
R\.
= ?
3.18.
= Xj3 + , X .
) G , < ,
L {/3 : /3 = G 7 7}- : /3 L Hi : /3 $ L.
) X X = [Xi X2}, Xi
\ , X-z - n x f e , qx = 11, q2 =
-^2^2, r j , .
= aiQi + --* a i> a 2 ~ .
, ), , ?
3.19. , R^di
, t-
.
3.20. 40 :
R2 = 0.40,

W = 20 + 0.8 AGE + 3.7 EDU,


(5.0)

(0.09)

(1.31)

inW = 3.2 + 0.10 la AGE + 0.19 lnEDU,


(3.0)

(0.009)

(0.03)
2

W = 20 4- 0.6 AGE + 0.4 EXP,


(0.3)

(0.09)

R = 0.59,

(0.12)

W = 2.05 + 0.5 AGE + 0.6 EDU + 0.2 EXP,


(0.4)

(0.19)

R = 0.71,

(0.35)

R2 = 0.63

(0.13)

( ), W ,
- ( ), EDU - ( ,
), .
) .
) AGE
In AGE .

98

. 3.

3.21. 3

yt - 1 + e t ,
/3
yt = + - + t .
= 1,...,, ~ N(0,cr2I).
.

5 ~~

) , -
. ?
) - /3
?
. 53HU t~2 = 72/6,

5Dt^i *~4 4 /90.

3.22. , yt = /?i +^2^t2 + ^;4 +^ + *, -. \, 02>


- % . ,
,.2

rt2 - % .
. , - /?2
yt = /?i + /32^t2 + /^ + t

3.23.
= /3 + , V(e) = 21, ,

) 95%- = \ + (32) 95%-

QQ

3.24.
. 20 :
20 20]

[10

10

95%- ,
.
3.25.
1990 . 2001 . :
= 40+ 0.3aj2 + 0.8a53-1.854,

2 = 0.82,

( 95%- ) : } = 1.
3.26. , , ( ),
= Xf3 + .
/ X (-) /3 = . V(/3fi)
V(/3) - . ?
3.27. ?
3.28.
:
lnQ = 1.37+ 0.632 In K+ 0.452 In L,
(0.257)

(0.219)

R2 =0.98, Co\'0K JL) = 0-055

( ). :
) ;
) .

100

. 3.

. . ?
3.29.
yt = + (3xt + Swt + 0zt + t) , ()
, /3 = 26?
) R2 (. ))
, R2 ?
) . ?
) (. )) ,
. .
3.30. gnovgorod. xls
.
) ,
, 18 ..
) 95%- .
) ?
) ,
?
?
) ? ?
3.31.
, 1997 . 3.5.
f l a t 9 8 s . x l s

TOTSP
PRICE
ROOMS
LIVSP
KITSP
DIST
METRDIST
WALK
BRICK
TEL
BAL
FLOOR

101

3.5

, .
, . .

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

) ( ) .
) , 1, 2, 3-4-
, . . ,
, - .
3.32. ( Arthur van Soest, Tilburg University)
.
(Mankiw et al., 1992) ( ,
). . ,
, () . ,

. (Mankiw et
al., 1992) ,
,
. , (Summers, Heston, 1988).
.

102

. 3.

. , (Mankiw et al., 1992).


(., , (Romer, 2001)). ,
t -
:

Y , ,
, L , . ( ):
=

'

k =

AL'

h =

JE-

, :
- Sfc, S}t Y
, ;
- Lt = Loent, ;
- At = A0e9t,

g ;

- .
, :
= SkVt - {n + g + S)kt,
= shyt-

{n + g

kt ht = 0.
3.32.1. ,

In * = YZr^ZTR^alnSk

+ PlnSh

~ (a + ) + 9 + S))-

(3-51)

(3.51) ( ) ,
.

103

,

.
. * yt .
, :

X = ( + + S)(l (3). ,
In * = (1 ~e~xt\ny* + e-Xt\ny0).

(3.52)

3.32.2. , (3.51) (3.52)


:

2/0

(3.53)

. , Journal of Applied Econometrics. (Durlauf, Johnson


1995). (Summers, Heston
1988). , 121 . , 3.6.
, LIT, (Mankiw et al.,
1992); LIT .
growth.xls.
(Mankiw et al., 1992).
3.32.3. ) . , .
) . .
, ?

104

. 3.

NUM
NOIL
INTER
OECD
GDP60

GDP85

3.6

Summers, Heston (1988)


1 , , 0
1 , 0
1 , , 0
1960 . (.)
1985 . (.)
1960 1985 .

GDPGRO
POPGRO
IONY

SCH
LIT

1960
1985 . (%)
( )
1960 1985 . (%)
, 1960 1985 . (%)
15 ,
1960 .

. , 1985 .
,
1985 . (3.51).
,
, t . (3.51)
:
InGDP85 - 70 -f- 71 InSk + 2 InSH + ln(n + + 5),

(3.54)

7 = 1 + gt . (3.54) Sfc IONY, sh SCH.


6, , (Mankiw et al.,
1992), = 2% S = 3%. POPGRO.
3.32.4. ) (3.54), ,
, .

105

) . (3.54), In SCH. , . ). ?
, 3.32.3.
3.32.5. ) (3.51)
, 72, 7 .
?
) ( 5%- )
.
) (3.54), .
, 3.32.4 ).
) /3 ~\, 72 ,
, .
3.32.6. ) 3.32.4 )
NOIL OECD .
) , (3.54) ,

.
3.32.7. , Sfc, Sh , = (1 s*. sib)y .
) Sf., s/i.
) , 3.32.5, ,

.
. (3.53)
1960 ( = 0) 1985 . ( = 25). ,
(3.53) :

LrJJJ-'bU

=7r o +7rilnefc+7r2lna ; ,+7r3ln(n+fl+$)+7r 4 lnGI>P6O. (3.55)

, . , , 2%, 5 = 3%
*, .

106

. 3.

3.32.8. ) (3.55), .
) . (3.55), \nSCH. , . ). .
3.32.9. ) (3.53)
\, 2, .
?
) ( 5%- )
.
) (3.55), .
, 3.32.8 ).
) . ), , , (3. .
, (3, ,
.
3.32.10. ) NOIL OECD 3.32.8 ) .
) , (3.55) ,

.
3.32.11. ) (3.55)
OECD OECD .
) , (3.55) ( ) OECD
OECD.
3.32.12. , , 95%- .
.
3.33. ( , 1997 .).
v i l l a . x l s . 3.7.

107

3.7

Price
Dist
House
Area


. .

.


, , i- R2.



- . ,
.

, ,
. . i- ,
(). F- (3.36) , .

. .
, , , (, , . .) .
, , , 1 0
108

4.1. .

109

.
.
.

.

4.1.

X () (')~

. , . .
X
, , .
- /3, '
. .
(Greene, 1997): = 0 + 0zS + fcN + 04 + ,
, S , N ,
, .
= S + N, h
: =
0i+0'2S+0<iN+0/tiT+e,
0'2 = fy + h, /3'3 = 0 + h, 0'4 = 04 - h- ,
/3. ,
. , = S + N = 0\ + (02 + 0 ) S + (/? + 0) N + ,
, 0\,
(/2+/4) (/3+/4), .
, rank(X'X) = I < k, I

. 4.

. , X ,
, .
. , X , , .. ', , . . -
, .
,
. ,
Rn
, X.

, :
. 4.1 . ' ,

. 4.1
, () \ 2 ,
2 .
\ 2 (, -) . '

4.1.

111

xi .
.
. ,
,
. , ,
.
.
1. . (, ) .
2. , ,
( ? F-).
3. .
, ? ,
. , ,
, (. Kennedy, 1992).
.
, , (Greene, 1997, 9).
, , , . ,
. -,

112

.4.

,
.
X,
. -,
-
. , . 4.4, , . . ,
,
-.

4.2.

,
( ,
, ..).
,
,
, , . ,
- . ,
, , ,
, .
, . , ,
.
, .
= (zti, , )' () , . .
Vt = .

+ + xtkPk + et = ' + eu

i-l,...,n,

(4.1)

4.2.

yt - . ,
. , , d,
dt = 1, -
, dt 0 ,

Vt = xtiPi

+ + xtkfik + ckS + et = z'tj + et,

t=l,...,n,

(4.2)

z = (a?!,..., xk, d)' = (', d)', 7 = (/?i,..., (5k, 5)'. , (4.2), ,


'/ '(3 + 6 . , 6
( ) ( ) . (4.2)
. , , <5 = 0,
.
. dummy vaiiables,

(., , , 1980). , , ,
d , Xj, j 1,...,/.
,
.
, ,
0 1.
0-1, .
d
, , 5 2
,

114

.4.


.
, ,
, . ,
.
.
. , , yt t,
, .
d\, c^, d^:
da = 1, t , dt\ = 0
;
dti = 1, t , cfo = 0
;
da = 1, t , ^ = 0
,

yt = ) + Pidti + + ta + st.

(4.3)

, d^,
, t dt\ + dt% + dt% + dt\ = 1, (4.3) , , -. ( , ,
, dummy trap.) , /? , /?+ , /?+/?2 ~ /?+
. , /%, = 1,2,3,

4.2.

115

. , ,
= 0,
, /3\ fa
. .
, , . .

.
, , . ,
Vt = + \ + et

(4.4)

/3\ .
.
Ut -
+ & + PedtsH + Pik + t,

(4.5)

, ,
/4 + /?7, + Pii + 07 Pi .
,
.

- , . ,
.

: . , {{xt,yt),
t = 1,... ,} (, xt t, yt ,
). -

116

. 4.

, to ,
to, (. 4.2).

. 4.2
,
, rt = 0, t < * rt = 1, t > to,
:
- xto)rt

+ et.

(4-6)

, ,
(4.6), /% t < to fa + (3$
t > to, xt0 . , /? = 0, ,
.
.
.
, (,
), . , (. ).

4.2.

117

:
1) () , , , . 1, ,
;
2)
, ;
3) .
. (, , 1996).
1 (. . 3.5).
, .
(. . 3.5, 3.1, . 87):
LOGPRICE = 7.106 + 0.670 LOGLIVSP + 0.431 LOGPLAN
(24.5)

(9.65)

(8.)

+ 0.147LOGKITSP - 0.114 LOGDIST


(2.45)

(-7.11)

- 0.0686 FLOOR + 0.134 BRICK


(-3.21)

(5.67)

+ 0.042 BAL + 0.4 L I F T + 0.214


(2.08)

(4.79)

+ 0.140R2 +0.164 R3 + 0.169 R4.


(1.75)

(2.74)

RI

(1.957)

(*)

(3.11)

FLOOR,
BRICK, BAL, LIFT, Rl, R2, R3, R4.
FLOOR , 6.9% . (BRICK = 1) 13.4%
. (LIFT = 1) 11.4%, (BAL = 1)
42%,

118

.4.

^- (2.08), BAL, ,
. ,
5%- BAL .
, , , , , , BAL
.
Rl, R2, R3 R4 ,

. ,
-, - ,
Rl, R2, R3 R4 .
(. , , . 3.5,
. 86) , R2, R3 R4 . (*), , ,
2 4 ,
( ).

4.3.

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

4.3.

119

. ,

+ + 2 + ,
, , 1
, \, 2 1 , , @\, @2
() , 1 .
, , xi ^.
.
1. 2 \ + a^xi2. \ x<i \ = 7i + 7223. a?2, = 1 = % \.
4. () \ ?2 () 1 :
r(j/, xi\x2) - r(ey, 1 ).

(4.7)

, (. (3.5)), 1 2-
() 052.
(. 4.2) , , :

(**'>

(4.8)

r(y, Ci|aj2) [1,1],


. (,

120

. 4.

, , ()
\ &.
(, \ \2) ?,

(49)

1 - R2 = (1 - 2 (, 2)) (1 - r 2 (t/, X!

\2)).


, , : x<i 2, (4.7). (4.8), ,
. (
., 1985).

.
. .
.

: , ,
. (. , , 1995, 19956) ( 1992 . - 1995 .)
75 85% .

.
.
IMM (International Monetary Market, Chicago).
IMM
,

( ).
, , ,

4.3.

121


Vt,T =

- In St)/(T - t) 365,

(*)

F t t 1 (. . - t); St
- t. ( ,
DM, , JY
IMM.) yfj*> > ^> 2/, (*) 1 , DM, BP, JY.
, , . t .

RU DM JY.

RU
RU
DM
BP
JY

DM

BP

4.1
JY

0.626
0.380
0.615

0.775
0.919

0.602

4.1 (0.602, 0.775, 0.919) ,


. 0.615
(0.626) ( ).
^ XX = RU, DM, BP, JY ( t).

RU
DM

JY

RU

DM

1
0.024
0.008
-0.003

1
0.807
0.488

1
0.276

4.2
JY

!
(, DM),

.

122

.4.
,
, 0.626 RU-DM, ,
( 1992 . - 1995 .)
, . . yf$ .
, yffi t (-0.673; 0.920).


(. . 4.4). .
, , , , , .., . (
,
, .) - Y = AKaL^, ,
L .
, In , , 13 ,
, ,
,
. .

,
( ),
. , . , , , . 4.4.

. -

4.3.

123

, - . ,
.
-

( ) , .
. , , , . xs, . F- (3.44)
. F < FUCK1], xs . ,
xs
(. (3.45)), ,
0.
.
(
) F-
(3.44) F0KJJ.
F > , .
FUCKJ, < FBKJl. ,
. ,

- .

( ., 1985).

124

. 4.

, , .
.

4.4.

, ,
,
. , , , X /3

= (3 + ,

(4.10)

1-3 . 3.1. , (4.10) ,


(4.10) . , , ,
, . (,
.)
- . ,
, :
,
( );
,
( ).
, .
1. .
, :
:

X/3+Z'y+e = /3 + .

(4.11)
(4.116)

4.4.

125

2. .
, :

= /3 + .

(4.12)

= Xfi+Z^+e.

(4.126)

X ; Z I ; 1
; j3 kxl, ' 1x1 . (4.11) ,
(4.116) .


, - /3
(4.116) ( ) (. (3.4)):
3OLS = 3 = ( X ' X ) - 1 X V

(4.13)

6 = \ZiA - 5 = ( ) (4.11).
(4.), (. (3.7), (3.8)):
(')~' = /3 + (X'X)-lX'Z1,

(4.14)

(4.14) , /3, , :
) 7 = 0 ( )
) X'Z = 0 ( X Z).
. :

[ z]'[x
Z\

126

. 4.

6 -[[X Z\ [X ZJj [X

y-[(Z>ZyiZ>y

, /3 = /3 , .. - /3, , . ( ,
.)
(. (3.11),
(3.20))

ESS = 'My, M = I{')- '.


X = 0, , (. , . 4, N8), :
E(ESS) = {') = ((/3 + Z1 + )'((3 + Z 7 + ))
= (' + 2j'Z'Me + -y'Z'MZ-f)
= a2(n-k)+ -y'Z'MZj.

(4.15)

(4.15) 7> Z'MZ = Z'M^Z = (MZ)'(MZ), .. Z'MZ


. , s 2 = 2 =
'/( ) J2et/(n ) , ,
1: (2) ^ 2.
, X'Z = 0, /3 ,
2
- :
(2) = 2 + -Jj'Z'Z-f > 2.
1
2

,
, .
(3 /3 .
(4.13) ,
) = 2{')-\
(4.16)
(3 V(<5*) = cr2([X Z]' [X Z))~l.
(.

4.4.

127

, . 17),
V(3*) = 2(' - X'Z(Z'Z)-lZ'X)-x.

(4.17)

(4.16) (4.17)
1

(() - (V03*))" = ^X'Z(Z'Z)- Z'X

> 0.

, , , V(/3 ) ^ V(/3). , , ,
, .
= I = 1,
. . ,
= /3 + zj +
( , = = = 0 ) ,
= /3 + ,
, , z, 1 , /3, j . (. (2.6))
'

Sz_
'
'

'

'


(48)

= (^)'

z.


(4.126) ( 4.3):
3 = ('^'

- {XlX)-lXlZ{ZlMZyxZ}My,

(4.19)

(4.20)

fi^iX'MzXrWMzV,

MZ = I~Z(Z'Z)- Z'.

(4.19) (4.20)

128

. 4.

) = \(')-1 +

(X'X^X'ZiZ'MZ^Z'XiX'X)-1),

) > G {X'X)-\

, ,
/3 , .
2,

*'* = *'** = ( - - Z^)'M*(y - - Zy) = y'M*y


(X* = [X Z], * = 1- ^*)-^*'),

** =

[* M*Z] = 0 , , * = , M*Z - 0. ,

'* = (/3 + )'*( + ) = '*,

*.

= rank

* = - - I,

2 = e*'f , = 2.
1

, /3 .

, . ,
. ,
(. (. 4.1) ).
(4.18): 2 1 0 .

?
.
, 1 = 1.
, , , , ( ).

4.4.

129

, :
I.
.

= /3 + Z7 +
= /3 +

( ),

( ),

z (X , z n x l
). ( : I 7 = 0, . (unrestricted) (restricted)
.)
? .
2

1 ( R ).

, R% ^ R% (. (3.45)), ' <


'. .
2 ( %^) (. 3)
'Ay'

aclJ

'

_
dj

/( -fe- 1 )
y'Ay/(n-l) '

'/( - )

D2 ' _ 2
_ /( - ; - 1) - e ; e r / ( n - fc)
-r.adj ^u.adj
y'Ay/(n-l)

(. (3.44)), : 7 = F- ( t-):

F = * ~ e ^ u ) l ] , ~ F(l, n-k-l)~
'/( -k-l)

t\n -fc- 1).

,
2
, adj

2
^ /( -fc- 1) 1 - ^ 2
, adj - '/( - 1)
? - / "

130

.4.
, || > 1, i?2 a d j < R^adj,

, R%d- , , \t\ > 1.


, t = 1 .
' . , /3.
, ,
,
.
3 ( MSE, Mean Squared Error).
I II MSE(/3) =
((/3 - /3)'(/3 - /3)). , = 1 (')~1'.

9=

a/Vz'Mz
, . (. (4.13), (4.14), (4.19), (4.20)) ,
% - N(J3 + 9q, ^')-1),

0 ~ /3, \')-1

+ qq1).

, ,
(. , . 4)
\\ > 1.
t-, ,
.
.
, /3 ,
z ,
: 7 = 0? !
, , , , , / /3U?

4.4.

131

: : \\ > 1?,
, : MSE(/3r)

MSE(3J.


, , .
, ,

/3 = ()/ + (1 - (6>))/3>

(0)=

'

'

. , (#), ,
\() =

0 < < .

, .
,
, 14.
:
1) -,
,
, ,
( );
2) 7 = 0, ;
3)
(X'Z = 0), ,
, , ;
4) ;
5) (3 ;

132

. 4.

6) , , ;
7) .


,
.
:
: yt = x't(3 + et
(4.21)

yt = z'fi + .

(4.22)

(Davidson and MacKinnon, 1981)


, J-. ,
:
yt = (1 - 5)' + < 7 + -

(4-23)

5 = 0 (4.23) , 8 = 1
. (4.23) ,
(3,^,5

. (4.22) 7

:
(4.23) 7
7
yt = (1 - 5)x'tf3 + Sz'a + = [(3* + 5ytB + .

(4.24)

yts , , ^
(3* = (1 <5)/3. (4.24) 6.
Davidson MacKinnon, ( ), plim = 0 i- 5 . i- , . , .
,
,
.

4.4.

133


, , , - . (yt lnj/t), , R? (. 11, (11.97), (11.98)), . (MacKinnon et al., 1983) -,
. ,
-, yt In yt. HQ:
Hi: - , 5
( i-, )

yt = x't(3 + 5LIN(lnyt - \nyt) + f


(4.25)
, SLOG = 0
yt = {lnxt)'(3 + 5( - exp(lnyt) + et,

(4.26)

-
. , .
, - , . (MacKinnon et al., 1983)
(Greene, 1997, . 10.2.4).


(4.27)
yt = x't/3 + et

(4.27)


F-.
,
. (Ramsey, 1969) RESET- {Regression Equation Specification Error Test), . (4.27) ,

134

. 4.

% = x'tf3 yt. ,
:
yt = x't(3 + a 2 yf + cxzft + +

(4.28)

+ et.

H.Q: ot2 = ... = am F- (. 10, . 10.6).


2,3,4. ,
, , ,
(4.27) ,
(4.28).
. (Arthur van Soest).
wages.wfl. 150 , 75 75 , ( 4
1987 .). : W (/)
; AGE (); SEX 1 (),
2 (); EDU : 1 (
), 2 ( ), 3 (), 4 ( ), 5 ().
, : . ( ):
W = 3.515 - 3.551SEX
( 258)

In W = 2.816 - 0.167SEX
(0 000)

(4.29)

+ 3.245EDU + 0M1AGE.

(0.004)

(0.000)

+ 0.U2EDU

(0.001)

(0 000)

(0.000)

+ 0.020AGE.

(4.30)

(0 000)

0.516 0.580,
, ,
.
.-:
W = 3.151 - 3.831 SEX + 3.545J5D17 + O.AbZAGE
(0.307)

(0.002)

(0.000)

(0.000)

- 13.96 (In - ? ) ,

(4.31)
V

(0.045)

In W = 2.173 - O.mSEX
(0 000)

(0.001)

'

+ 0.139EDU + 0.020AGE
(0.000)

(exP(Inly)).

(0.000)

(4.32)

135

, 5%- (- 0.045 (4.31)),



(- 0.234 (4.32)).
RESET- (4.30) m = 3
:
In W - 41.94 - 5.898SEX + 5.001EDU + 0.705AGE
(0.001)

(0.001)

(0.001)
2

(0.001)
3

- 11.01(0 + 1.164 (bWO .


(0.00l)

(0.0.002)

-

6.81 ( - 0.0015),
(4.30).
(, AGE2) .

4.1. ,
ii (, <h).
4.2. (4.8).
4.3. (4.19) (4.20).
{.
; Z.)
4.4. , ct = + (3yt + i .
, ,
,
? , *
?

136

. 4.

4.5.
lit = Pi + < + et,

t-l,...,n,

d . 0
, d = 0
, d = 1 ( +
= ). V(A), V(/32)4.6. 1971 1976 .
:
yt = 1.12 - 0.0098; - 5.62a;t2 + 0.044xt3,
(2.14)

(0.0034)

(3.42)

(0.009)

, RSS = 110.32, ESS = 21.43.


) .
) .
) .
) ,
, RSS 118.20. , .
) : 1- 1971 . - 1-
1975 . 2- 1975 . - 4- 1976 ., , :
ESSi = 12.25, ESS2 = 2.32. ,
1- 2- 1975 . .
4.7. , ( ),

E(e t ) = 0,

E(et2)=a2,

E(e t e e ) = 0,

s, t =

\ - \ ,
\ ' /?: a?i.

137

) ,

) /?i = A/3i+(1 - )/3.


MSE(/?i) ?
4.8. , ( ),
:
yt =

E(e t ) = 0,

(2)=<

E(tes)=0,

= 1,...,.

, . .
wt = xt+, ,
(*() = , ( 2 ) = <2, E(utus) = ,
t s, (3) = 0, Vs, t. : z\
z w.
, j
, .
4.9. , ( ),
:
Vt =

= 0,

E(e ) = cr ,

E(e t e e )=0,

\
2 . ,
.
4.10. ,
:
yt = + Pixt + (32t + t

( ),

<=* 4- hxt +

138

. 4.

) ?
) ?
, E(vt) = ?
) , /32
yt = a-\-biXt+vt .
?
4.11.
yt = + Pxt + t,

t=

l,...,n.

) - /3
= 0?
) )? , ,
21Y^t=\{xt ~)2 ~~ - /?
. -?
4.12.
Vt =


(.. = 0, \ = 0, 2 0).
) , /?i /32 :

J(1_j2y

L,t=\xtAl

\<)

2 2

Cov(/3i,/32) =

\
2_, = 1

Tl

12JV 2st=l tt 2^t=l l2

12 = -

tlxt2
x

V X/t=l ^tl Z-,t=l t2

\ 2) \2 = 0?
?

139

) V(/3i) V(/3i), ), 0 < r i 2 < 1.


?
) 95%- /?i
/?2 Cov(/3i,/32) \
< 2 < 1 ?
4.13. . 4.3
Q (. ) (. ). ,
.

1
2

98
100
103

10.0
11.0
12.5
12.5
14.6

6
7
8
9
10

3
4
5

105
80

Q
87
94
113
116
118

14.6
14.9
13.0
13.0
13.8

11
12
13
14

4.3

14.2
14.4
15.0
16.1

121
123
126
128

Q :
) () ;
) ,
.
4.14. 4.4 (. .)
1939 1954 .

4.4.

1939
1940
1941
1942
1943
1944
1945
1946

9.3

13.1
17.9
9.9
5.8
7.2
10.6
30.7

90.8
100.0
124.9
158.3
192.0
210.5
212.3
209.3

1947
1948
1949
1950
1951
1952
1953
1954

34.0
45.9
35.3
53.8
59.2
52.1
53.3
52.7

232.8
259.1
258.0
286.2
330.2
347.2
366.1
366.3

: D.Salvatore. Statistics and Econometrics, McGraw-Hill, 1982.

140

. 4.

, ,
(1942-1945 .) .
4.15. 4.5

1974 . 1979 .
.

1974

1975

1976

1977

1978

1979

I
II
III
IV
I

III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III


242.0
269.4
272.1
277.0
247.1
265.8
271.0
281.3
284.2
307.6
301.6
309.8
311.5
338.6
331.7
346.2
340.2
377.5
376.9
401.8
406.2
436.4
437.5

4.5

13.5
16.3
15.5
13.4
9.3
12.4
13.2
14.2
14.8
18.1
16.0
15.6
15.6
19.7
16.7
18.4
16.0
22.1
20.4
22.6
22.6
26.8
24.8

: D.Salvatore. Statistics and Econometrics, McGraw-Hill, 1982.

4.16. 4.6 (. .),


\ (. .) % 1964 1979 .

1964
1965
1966
1967
1968
1969
1970
1971

28.4
32.0
37.7
40.6
47.7
52.9
58.5
64.0

141

XI

635.7
688.1
753.0
796.3
868.5
935.5
982.4
1063.4

92.9
94.5
97.2
100.0
104.2
109.8
116.3
121.3

1972
1973
1974
1975
1976
1977
1978
1979

75.9
94.4
131.9
126.9
155.4
185.8
217.5
260.9

4.6

1171.1
125.3
1306.6
133.1
1412.9
147.7
161.2
1528.8
1702.2
170.5
1899.5
181.5
195.4
2127.6
2368.5
217.4

: D.Salvatore. Statistics and Econometrics, McGraw-Hill, 1982.


) xi xi) \.
) ?,.
) , \ ?..
?
) )?
4.17. 4.7 Q, L 15 .
4.7

Q
L
'
Q
2446
1880
2550
2334
9
1
1570
2350
2403
1790
2450
10
2
2425
1850
2470
2301
1480
11
2290
2230
1150
3
2110
1240
12
2160
2253
2463
4
1940
2560
2367
1660
2400
13
2565
2450
5
2650
1850
2430
14
2490
2278
1340
6
2240
2470
2000
2590
15
2380
1700
7
2430
2437
1860
8
2530
) Q = aL^K^,
,

lnL .
) lnQ 1.
?

142

. 4.

4.18. , 4.17, , (. + /?2 = 1)?


4.19. = (3 + /3 - /3.
) , /3
/3, , /3
R/3 = .
) yt = + ( + jxt2 + t = 100
( ):

-
\ ~\
2

-2

-
2000
100
90

%2 2

100
10
5

90
5
5

: 5/3 = 7 Hi: (3 7
4.20.
: = + ( + * + /3* + j*z + ,
, . ,
:

) = *;

) ?<#
) /3 5%- , /3*
;
) /3* 5%- , /3
.
4.21. = (3 + .
) - /3 '.
) , ) .

143

4.22. = + 2 + >
/^i> 02 ~ ki, , . ,
/ / , ,
Vj..
) /32, \01 ) , ), - /32 .
)
/3 2 , , ) )?
) ?
4.23. , Q/L W,

In % = 0.374 + 0.805 W + ,
L

2 = 0.929

(0.049)

( ).
) .
) , ,
,

. ?
4.24.


, dtl, = 2, 3, 4
, . .
dt2 = 1, t ,
d t 3 = 1, t ,
d t 4 = 1, t ,

= 0 ,
= 0 ,
= 0 .

144

. 4.

) dti?
) , @5 - /3 yt* = +0$+, \ yt
dt2, dt3, du , * xt dt2, ^t3, dt4
.

4.25. , ,
= + + . s
(s = 1,..., ) ns .

= P i d u +

, da , 1
s 0 .
ys s3 s 1,..., .

ys = J2
aa = n
X Y, ~ ,)
F-
(/3i = = /3fc).
4.26. .
(), , .
,
1996 .
.
, ,
50 . .. 50 , .
:
1) ;
2) , ,
-, , ;

145

3) , , (, ) , ;
4) .
:
I 1) 2).
II 1), 2) 3).
III 1) 4).
) . , , .
) , ( F-,
):
1) ,
;
2) , ;
3) - ( )
;
4) , (
) ,
;
5)
.
4.27. 1971 1976 .
:
Vt - 1.12 - 0.0098:,! - 5.62.(2 + 0.044(,
(2.14)

(0,0034)

(3.42)

(0.009)

, RSS = 101.32, ESS = 21.43.


) .
) .

146

. 4.

) .
) ,
, RSS 118.20. , .
) : 1- 1971 .-1- 1975 .
2- 1975 .-4- 1976 ., , : ESS1 = 11.25,
ESS2 = 2.32. , 1975 . .
4.28. W
, S ( = 102,
):

W = 0.505 + 0.4 , ' = 250, ' = Al


(0.83)

(0.83)

[8

10J

( ).
,
. .
1) 5 .
2) W . S .
W = c\S + $.
) \, %.
) .
) .
4.29. usa_import.xls Imp
(. .), GDP (. .)
CPI 1964 1979 .
) GDP
CPI.

147

) Imp GDP.
) Imp CPI.
) Imp , GDP CPI.
? ) )?
4.30. , 1997 . t i g h t s . xls ( 74 ). 4.8.

N
Price

DEN
polyamid
lykra
cotton
wool

firm

4.8


1997 .
DEN


%
%
-: 0 Levante, 1 Golden Lady

) , .
. ?
) : ,
- ?
?




. ,
. ,
- - . , ,
() X
.
, fi (.. cr2ln), .


- .
, (). ( Generalized Least
Squares, GLS.) - 148

5.1.

149

-, , ,
. : , 2 , , , ,
. 6. , , - ft, .
(Feasible Generalized Least Squares), 5.3.

5.1.

, ( X) . ,
, ,

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

150

. 5.

, ( X). ,
, (. , . 2).
, ,

1 , X
, 1 .
, X . ,
:
1) ( | ) = 0,
2) V(e | X) = ,
3) (.. 1) X
.
(|) X, V(e | X) = (' | X)
. ,
1), 2) :
1') ( | X) = /3,
1') V(y j X ) = .
3OLS = 3 = {')-1'
- - /3
( X 3)),
= , 2 = '/( - ) ,
V(/3) = 2(')~1
/3.
(. (3.7), (3.8))

(3 | X) = (/3 + (''' \ X) = /3 + ((')-1'


/
1
/
= /3 + ( )- (
1

= V((X'X)- X'y\X)

5.1.

151

( | X) = ( | X) = ( | X) = /3 = 0;
V(e | X) = V(Mj/ | X) = MV(y | X ) M ' = a2M.
,

E(cr 2 | X ) = cr2;

E(V(3) | X) = E
= a2(X'X)-1.
,
, ( X), , , - . , /3, 2 V(/3) ( X) .

, :

2 = (( 2 | X)) = 2;
2

E(V0)) = E(E(V(3) | X)) = cr E((X'X)- ) = V(g).

(5.1)

-, ,
/3 - . , 1), 2), 3) - ,
- .
, 1), 2)
X . 1), , X . , () = (( |

X))

= 0, Cov(a;y,em) = ()

R(xijE(m\X))

= E(E(xijm\X))

= 0. , , .

152

.5.
2

X () = 0, (') = !,
1) 2).
, , . , ,
.
, ^/ = /3. , (,
, ,
, X,
(3 ).
:
/3 = (')-1' = (3 + (')-1'
(5.2)
, :
4) limn_)OO (1/n) ' = , (, , " 1 ) ;
5) plim n _ > o o (l/n)X' = 0.
(. , . 5) (5.2)
, plim n _ > 0 O 3 = (3, .. /3 .
4), 5) . , , X ( - ), , = , X . ,
, . = ()> hJ = l,---,k (
t, X ), = (). plimn_>0o(l/n)X'X
= A)

5.1.

153

- R , . ,

p\imn_too((l/n)X/e)=E(xtiSt)

0 .

, (5.2) , X - , ,
.
. 1), 2), 3) - 4) (
),
(5.1)
) = ( 2 ((')- 1 ) = ^ 2 ( ( ^ ' )

) ~+ 0

->

, , plim^^^^/3 = /3. , ,
4) 5) : ,
- 4),
5) = (3 + -,
1), 2), 3) .
:
1) 1)-3) ( ,
), -
( ) ( X), ;
2) -;
3) 4), 5) - ,
, ,

, ,
;
4) , -
.

154

. 5.

5.2.

, . , , , .
. ,

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

, .
, V(e) = 1!.


,

(5.3)

xl , X k
, /3 1 , 1 , :
1) X ;
2) = 0;
3) V(e) = fi, .
, 3).

5.2.

155

1. . (5.3)
.

3OLS = 3 = {')- '


- /3, = My =
1
(I (')~ ')
. ,
1
1
)=/3+( '()=(3,
. . /3 ,
1

= 0,

V(e) = ' = MUM

) = (x'x)- x'v(y)x(x'x)- = (x'xy^x'nxix'x)- ,


() = ()

(, = , ' M X = 0).

(. (3.17)):
(') = tr(V(e)) = tr (MUM)

= tr(M 2 fi) = tr(Mfi).

,
k

, V(/3) V((3) = 2(')~1,

E(V0)) = (l/(n -fc))^ ( ) ^ ) - 1 , , ,


V0). ,
/3,
, .
, , ,
. 5.1,
X. ,

v(3) =
, > (lfv)X'X

(1/)' ,

156

. 5.

V(/3) > 0 , , (3 .
,
-.
, ().
2. .
(3 (5.3) .
.
/3
/3*
3* = ('^^'^

(5.4)

.
.
,
(5.4) . , 3)
2"1 , ,

'^'1.

(5.5)

, fi , S, " 1 = S'AS,
, , = 1,... ,, fi~~ . " 1 ,
1 / 2 , / , = 1,... ,. = 1 / 2 S.
, (5.5) ,
. (5.3)
* = , X* = , * = . ,
* = *(3 + *,

(5.6)

(*) = 0 V(e*) = PUP' = J, (5.5)


' = ^"" 1 . , rank(X*) = /, . , (5.6)

5.2.

157

- , ,
* /3
(. (3.4))
1

3* = {*'*)- *'* =

('')- ''
'^^'^,

(5.7)

(5.4). ,
, , *,
, . .
() = , (5.7) ,
1

V(/3*) = ('^)- .

(5.8)

/3 /3QLS (GLS, Generalized


Least Squares). , = 2 ! , .. , /3GLS = ADLS>
. . , /3 G L S f(b) =
*'* = (* - *)'(* - *) (5.6). f{b) =

( - )''{ - ) = ( - -^

- ) = ' ..

(5.3) '~1.

, (5.8), (5.6). , : R/3
, ,

= (#/3* - r)'(R(X'Sl- X)- JR!)'' (I0*

- r) (5.9)

2(<?), q = () ( , .4, N9). , . (3.5),

158

. 5.

(5.6)
, e{jR e R

n - fc)

F(q, ).
, , /3,
, (,
): /3QL5 = /3 M L .
, ,
=1

J2(vt - )2
.
[0, 1],

.
(5.6): -,
X ,
X* , -,
(5.6) .
,
, . : ( ) ,
(5.4) .
(Feasible Generalized Least Squares), 5.3.

5.2.

159

- , ( + 1)/2 ( ) , ,
.
ft.
:
1) ^ - /3 O LS /3 , ,
( );
2) /3OLS ;
3) (5.4), ();
4) - /3QLS 2 ;
5) - (5.6),
(5.3);
6) , , (5.6);
7)
- ;
8) .

. 5.

160

5.3.


(5.10)

(5.11)

e~N{O,a U).
1

ft
, , 5.2, ( /3) (. (5.4))
l

3 = {X'U- X)- X'fl- y

(5.12)

:
~ IV(A^(X'fl-1^)-1).

(5.13)

(. 5.2), (5.12)
:

X/3)'~(-/3).

min ( -

(5.14)

ft . , ft (. .
), . ,
( ), (5.10) ,
1

-1
1

tr(S7) = 1.

(5.15)

5.3.

161

, . (, ,
.)
, , ft 6i,... ,. =
2
(#1,..., )' , /3 (< , ) . , /3.
.
ft = 2(0). (Feasible Generalised Least Squares, FGLS)
/3 = (X'fl^X

)- X'fi" y.

(5.16)

,
, /3
(3. .
,
Q

(5.17)

'"~1=,

(5.18)

(Q , )


/9 .
2. , (5.10) (5.11)
(. 10)


10.

162

. 5.

In L /3 ,
3 = ('^^'^,

2 = i ( y - '1 ( - XJ3),

(5.19)

(5.20)

^- (j = 1,..., m)
6

j ? = -tr(Cj-n),

'

(5.21)

(5.19)-(5.21)
/3, 9, 2.
(5.21) . (5.21) , .
, (5.21) , (J3 /3) (/3 /3)
. , /3
/3 , , ,
.
(5.19)(5.21). ,
.
1) (5^ =
(')-''.
e(i).

163

(5.21) .
m x l () = ()).
2)

^'

(, ,
) /3(2)
. ,
.
(,
-)
, , ,
.

5.1. (5.4).
5.2. (5.8).
5.3. ,

COV(/3 0 LS> 3GLS)

(3GLS)-

5.4. . 3.2 Cov(y t , et) = 0, t = 1,...,, = (j/i,... ,)' = -^3OLS


, = (\,...,)'
= . (5.3),
.. , Cov(,) = 0, = X/3OLS = ~?
5.5. , (5.3)
, /3QLS = 5.6. :
yt=/3 + et,

i = l,...,n.

:
E(e t ) = 0;

Cov( t , s ) = 0, t s;

V(e t ) = o*xt, xt > 0.

164

. 5.

) /? .
) , , .
. .
5.7. , 2 :
= + ,

() = 0;

V(e t ) = er?, t = 1,... ,n;

Cov(e t ,.) = 0, t ;

V(e t ) = o\, t = n + 1,..., 2n.

*- - -

( ylt 2, \, 1 ,

2 .)

) /3 1 ( (32 (3 (3 ,
In , .
, /3 / /32,
, /3 = Lif31 + 2/32, L\ L\ fc x
, L\ + L% 7*..
)
:

V(3GLS) =

) >, /3 G L S 131 /32, , / Aj


2 , 3GLS = A i 3 i + 2 + 2 = Ifc.
5.8. 5.7.
.

165

5.9. , 2 = 1(0) , , ,

, .

.. .

'

...

.
.

= +-

0 -\

) , lim(0) = .
) = 1 ,
1 /.-1 = 1

s/n

iV(0,a2).

) /?(<?) = {'~1{9))-1'~().
/(0) - 0) ~

, 0 = 1
0,2).

) , , 9 = 1
-1

NO,

2-1

) , 1

(, > (; > . ));

166

.5.

) , 1,
0() ( ) /3() ( )
, .
5.10. = (3 + ,
= 0, V(e) = Q. (3 (3
, = /3.
) V(y).
) V(e) = V(y ).
) , .
5.11. (. 3.26),
= (3 + , = 0, V(e) = a2l V(/3^) < V(/3),
/3 - /3, a (3R ,
X Hf3 = . ( ), , . . = / + ,
= 0, V(e) = ?
5.12. /3 G L S = (X'fl~1X)~1X'fl~1y
,
= /3 + , = 0, V(e) = .
#

_ ^ _

-,

e = y-X/3GLS.


? , ,
R G L s [0,1]?
5.13. yt = ' + t = 1,..., , et = pet-\ + , ~
1
iid(0,al). = V(e). , = '.
, = / + ,
.



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

, . ,
,
ft , . , -

17

168

. 6.

,
.

6.1.

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


,
(6.1)

,
, (4) = of,
f 2t = 1,... ,. f
of = -2^,
, J2wt = . = 1, t = 1,... , ,
.

(5.6) (6.1) crt
( ):

^ = > ^ + ^ >

* = 1,.-.,,

(6.2)

= et/crt, () = 1, Cov{,) = 0 t s. (6.2) -

6.1.

169

= (,..., b^)'

.
, x
2
cp(b) = Y^t=i{Vt ~ J2j=i bj tj) ,
, , - ,
-.
I/at, (, ,
, ..
).
.
( 6.1),
.


at (, , ), , \.
,
1
. , ft, ,
,
1. . -

170

. 6.

,
2
, , - of = cr xtk.
, t-e xtk, t = 1,... ,,
= xt3/xtk * = y t / x t k , t = l,...,n,j
= l,...,k,
. -
.
, X , ^ = l/xtk

xtk .
,
. , ( ).
. ,
, .
( ), . ,
.
, ,
. , ( , . .) ,
.
. (. , ,
1996). 2 (. . 3.5, 1 . 4.2).
,
(. 3, . 6.1),
.
(

6.1.

171

), 1 .
(two-step estimation (.
Greene, 1997), , two stage least squares, . 8.2),
, .
.
,
,
\ = , + ftLOGLIVSP, + &BRICK*.

(*)


:
LOGPRICE = , + ALOGLIVSP + /32LOGPLAN + /53LOGKITSP
+ /34LOGDIST + A5FLOOR + + /37BAL
+ /38LIFT + /?9R1 + /3iOR2 + /3UR3 + /?i2R4 + e, (**)
(*) ( ^ (**))
\.
(- <?) (. . 168).
6.1 .
3.1 6.1 , .

,
. R1 R2
.

. 0.76 0.67 .
,
R2, R3 R4 R1

.6.

172

R2 (. .3.5, , ).
, F- :
1. : / =/?! /? = P\i\
F- 1.548415

- 0.213713.

2. : /09 = /;
-

10.41677

0.001340.

6.1
2- -

CONST
6.693
0.251
26.69
0.0000
LOGLIVSP
0.756
0.0536
14.11
0.0000
LOGPLAN
0.438
0.0468
0.0000
9.36
LOGKITSP
0.129
0.0479
0.0073
2.69
LOGDIST
-0.110
0.0135
0.0000
-8.08
BRICK
0.130
0.0198
0.0000
6.58
FLOOR
-0.0658
0.0001
0.0170
-3.87
LIFT
0.131
0.0000
0.0187
7.01
BAL
0.0350
0.0170
0.0400
2.05
Rl
0.365
0.0892
0.0001
4.08
R2
0.249
0.0639
0.0001
3.90
R3
0.257
0.0473
0.0000
5.43
R4
0.205
0.0376
0.0000
5.44
2
R (): 0.891.
, , R2, R3 R4 ; R1 R2
0.5%- .
2. .
, of = \ t = 1,..., \ = \ t =
\ + 1 , . . . , \ + ( +2 = ), \ bj\ . , \
, ^ .
:
1) (6.1), ei, e% \
n<i ;

6.1.

173

2) \ e\ei/ni = ^/
\ wS;
3) ,
>1, }%
4) .
, (. 5.2), 2 \ , (Goldberger, 1990, 30.5)
.
, ,
, .
3. . ,
(6.1)
/3 . 5, , ((3.8), (3.19)) V(J30LS) = 2(')~1
. ,
.

?
.
. ,
2, ^, , V(et) =
of, t = 1,..., . /3OLS = 3 = + (X'X^X's,

V(3) = {{')-1'' (')-1) = ('^' X (')-1


= (')-1 (- X'fl X)

(')'1.

'. (X'flX)ij

= ] xSicrsxsj.
s=l

x's, s = 1,... ,n, I x k -

174

. 6.

X.

(White, 1980) ,

) = n(X'X)-1(J2e2sxsx's\x'X)-1

(6.3)

.
, (6.3),
(White
standard errors)
(Heteroscedasticity Consistent
standard errors, HC s. e.).
-.

, V(e) =
= {ojij) , ,
L (.. wy = 0, \ j \ > L), (Newey,
West, 1987) ,

3=1
V

/_ _ /

/\ \ / \rf

"%/-\ 1

In

.
Wj.
1. uij 1.
(6.4)
.

6.1.
2. wj = 1

j
+1

175
().
{).

.
, (6.4),
-
(Newey- West standard errors) (Heteroscedasticity
and Autocorrelation Consistent standard errors, s. e.).
,
.
. (. Peresetsky, de Roon, 1997).
St - (./.) t. F t
t
( * + ?).
: JFJ
- St+n"? , :

It , , t, E (St+n | ) . , ,
,
- ':

, :
( )
|\
/ t ( n ) = 1^ ( ) ; s[n) = lnS t ( n ) 7rt(n) = ln(l + 4 () ) - (^ ^1^ 7} ).

176

. 6.
:

,
( 0,
. (, (*) It.) , (*)
:

4) = (> +fan)+ (fa + ) ( ) + (/34 + Am)(/J n) - st).

(**)

1992 . 1995 .
- (
), ( ),
( ) .
, t. , (*) , , :
1) (", +L (
) 2) j"7+n> t+n
( t + n ).
,
, . , (*) -
.
(, , 19956)

( ,
..). ,
(*) .

6.1.

177

6.2 . -
150.
6.2
n)
An)
()
()

Ul
-s
)n
const
( " st)
Jt

t
0.0056
-0.22* -0.0023*
-0.99**
11.92 - 1.54* 0.016*
[0.64]
[0.0076]
[0.0031]
[0.091] [0.0011]
[0.35]
10.93
0.0080**
0.15 -0.0056**
10.93 - -1.08 0.041** -1.33**
[0.00054]
[0.94] [0.0035]
[0.25]
[0.13] [0.00047]
03.94
0.0015
0.060 -0.0041**
-0.69
03.94 - -0.53 0.035**
[0.00088] [0.052] [0.00023]
[0.38]
[0.41] [0.0016]
10.95
* 5%- .
** 1%- .
6.2 , :
1) 1 > (**), ;
2) .
, ,
. . .



, . , ,
.
. :
\ = \ = = \ Hi: ,
.
.
(White).
. , ,

178

. .

(, ) , -
. ,
(White, 1980)
- . (6.1)
^, t 1, ...,.
\ X, ,
, . ?
2
x (iV 1), ? , , N .
. , ,
.

-Kyandma

(Goldfeld-Quandt).

, ,
(. , . 169,
. 1). :
1) , ;
2) d ( )
(d );
3) n/2 - d/2 n/2 d/2
\ %
4) F = e[ei/e'2e2.
, F
(n/2-d/2-k,n/2-

6.1.

179

d/2 ) ( F
, ).
,
.
, .
, ,
, .
,
,
, , .

(Breusch-Pagan).

, , \ :

zt = (zn,..., ztp)' () , 7> 7 = (7 ilp)' ~~ . - :


1) (6.1) - (ei,...,e n )';
2) 2 = (1/n) Ylet'i
2
3) TS, =lo + z'tl + vt
RSS;
4) RSS/2. (Breuscli, Pagan,
1979) , (
), RSS/2
2 ().


, (7 + *7)~"1//2> 70) 7 ~ , . 3).

180

. 6.
z

, 70 + 't 7 < t.
, .
:

- . 3). of =
:
1)

;
2)

, ;
3) (
,
) ;
4) , (.) (6.4).
. (. , ,
1996). 3 (. . 3.5, 1 . 4.2,
2 . 6.1).
(*)

- (. ) LOGLIVSP. (464 ) ,

6.1.

181

. LOGLIVSP > 3.8


(155 ), LOGLIVSP < 3.35 (149 ).
- dummy trap
R1,
R2, R3 R4, , 13.
143 = 155 12 139 = 149 - 10 (12
10
).
.
: e[ei 6.80 '22 = 3.76.
, F ^ 1 3 ~ 1.7. , F(143,139) , 95%. F = 1.7
i<b.05(143,139),
.

, . ,
, . . exp(yt) = + /3xt + * , .. V(et) = 2,
yt = + /3xt + St. ,
. 6.1.
, ^, , Xt, , , ,
.
, .

. 6.

182
2.8
2.4
2.0

1.6

FF

1.2
( ?
1

. 6.1
. (Arthur van Soest). 1 (. . 4.4, . 134).
. , ( ), . AGE
AGE2.
2
AGE AGE . W
6.3.
Dependent Variable: W
Variable
Coefficient
const
8.0110
SEX
-3.6826
EDU
3.3468
AGE
0.1707
2
AGE
0.0036
R-squared
0.5173

6.3
Std.Error
6.7978
1.2275
0.5511
0.3687
0.0048

White Heteroscedasticity Test:


F-statistic
6.4422
Obs *R-squared
31.9177

t-Statistic
1.1785
-3.0000
6.0726
0.4631
0.7433

Probability
Probability

Probability
0.2405
0.0032
0.0000
0.6400
0.4585

0.0000
0.0000

6.1.

183

,
AGE AGE2 . . , , . , , , ( 5%), In In W
6.4.

Dependent Variable: InW


Coefficient
Variable
1.4217
const
-0.1447
SEX
0.1244
EDU
0.0660
AGE
-0.00061
AGE2
R-squared

6.4
Std. Error
0.2585
0.0467
0.0210
0.0140
0.0002

t-Statistic
5.5001
-3.0005
5.9367
4.7045
-3.3225

Probability
0.0000
0.0023
0.0000
0.0000
0.0011

0.6098

White Heteroscedasticity Test:


1.5619
F-statistic
9.2254
Obs*R-squared

Probability
Probability

0.1625
0.1613

. . ,
, , 54 , . , . , (
).

184

. 6.

6.2.


.
,
.
,
( ).
( 5),
, (., , Johnston and DiNardo, 1997),
,
. , ,
.
,
/ = /3 + ,

(6.5)

t-
t, t = l , . . . , n . , X .
t:
et = x'tP + et,

(6.6)

x't = (1, xt2, ,xtk) t- .


( ) , {et, t = 1,..., } . ,

et = pEt-i + uu

(6.7)

6.2.

185

{, t = l , , . . , n }
2
,, , (\\ < 1). ,
Q. ,
a2 = <2/(1 - 2 ), {ut, t = 1,... ,}.
, .
(6.7),
E e t = _1, , Ej = 0, t = l , . . . , n . t-\ ,..., -\ (. (6.7)), t-\.
.
(2) = (..! + utf = 2 (e=Li) + u2t = 2 {2_) + a2v.
, () = 2/(1 2 ),
2 = ( 2 ) = V (et) = {1 - 2),

t = 1,..., .

(6.8)

(6.7) e$_i ^i
vt,
(e t e t _i) = Cov(e t ,e t _i) = pV(et-i)
Cov (st,t-2) = P2crf

(6.9)

,et-m)=p al

= per2.

(6.10)

, {st} 1
. - ,
et ,
{et} , ,
(6.7) . , \\ < 1
.
1

11.

186

. 6.

(6.9) ,
= Cov ( t ) 4 _i)/c7 e 2 = Cov

t)

1/2

V (*-

. . . (6.10), :

1
-2

-2

-3


(6.5)
, , .
1. .
(6.5) . ,
' = 2"1 (. (5.5)). ,
(6.5) ,
. (6.6) t - 1 ( 2)

Vt-i = [_ + et-\,
(6.6). (6.7)
yt ~ pyt-i = (xt - pxt-i)'P + ut.

(6.11)

t = 1 (6.6)

(6.12)

6.2.

187

(6.11), (6.12)
. , (6.11) {ut, t 2, ...,} &1, (6.12) /1 - 2 ^
{, t = 2,... ,} , (6.8), ^.
(6.12), . ,
, (6.5) . , /?i (6.11) (1). ,
,
.
2. .
, , . .
, . .
, , .

(Cochrane-Orcutt).


(6.5) = (ei,..., )'. ,
1) ej = p&t-\ + ;
2) (6.11) ( (6.11), (6.12))
= , - /3 /3;
3) = X /3;
4) , . 1).
,
.

188

. 6.

. -
.

- (Hildreth-Lu).

. (1,1)

(, 0.1 0.05) (6.11).
,
(6.11) .

. , . , ,
, .

(Durbiri).
(6.11) :
Vt = /?l(l- ) + -1 + &.~ P^2Xt-\2 +

\-PkXtk- pPk^t-lk + Vt,

.. yt-i , . 9j p(3j . fa 9j/r. /3, (6.11), /3.

-

(6.5) :
- , ,
(6.5) . .
, . . =

6.2.

189

= 0.
Hi: , , , : > 0.
- (Dur-Watson).

( 1 3 )

t=i

, . , et e<_i.
, ,
DW - K U ( e * - 2e*~l) _ Efc=2 et + Et=2 e i-l ~ 2 Et=2

"

2 ?

=1 ? - eg + E L i 4 ~ 4 =1

,
, :

=2 * = -ei/(n - 1) 0 fir =2 ^-1 = -/( - 1) 0


et

( =1 ~
).
et &t-\

, (6.14) \ \ Y2=\
DW2(l-r).

(6.15)

190

. 6.

DW: et et-i , et et-\


DW . (6.15): , DW .
, DW 2. , DW ,
: = 0 ^: > 0
(,
5%- ) rf*,
DW > d*, ,
Hi. , , ,
DW
, X, , ,
, d*
\ , (Durbin, Watson, 1951), , du
di, du > di ( = upper , I = low ), , ( ,
) :
DW > du, DW > d* , , ,
DW < di, DW < d*,
Hi. di < DW < du , . .
. Hi: p < 0,
4 d\
i du.
(. 6.5).
, , -.
. ,
= 19, 3 (0.97, 1.68). ,
, SHAZAM,
( X).

6.2.
DW
4 - di < DW < 4
4 - du < DW < 4 - di
du < DW < 4 - d u
4 < DW < du
0 < DW < di

191
6.5

. -
, X . , ,

.
:
1) , ,
, ,
;
2) ,

(6.7);
3) - , , ;
4) ;
5) ,

(6.11), (6.12)
;
6)
,
,
(6.11), (6.12);

192

. 6.

7) , DW (6.13).
DW, , .

6.1. , (. 2.3) , ,
-.
6.2. , ,
yt = /3xt + et,

E e t = 0,

(?) = 2,

E(etee)=0,

t^s,

t=

l,...,n.

,
. , (\ < 2 < < ),
\
.1

1=1

=1


..

1+2

t,

y2

1+2

t=m+i
t=m+i
.. J , j- rij. /? Ha,Xj,j = 1,..., J- . .
6.3. yt = a+f3xt+et, et
:

+ .

193

-
.
6.4. yt = (3xt + et,
f

0,

t s.

/3 Ayt yt - 2/t-i &xt) , .


) , .
6.5. , yt = + f3xt + et, t 1,..., ,
:
of = fj, + 5xt.
.
6.6. , wt :
In wt = Pi +fi-zIn + /.

st N(0,a^).
) () 6.6,
- /3i /?2> 95%- /?2) -. st? , )?
) , . 95%- /?2- , ).

194

. 6.

6,6
t
1
2
3
4
5
6
7
8

wt
1.73
1.94
3.05
4.17
2.52
1.71
1.95
2.57

8.65
4.82
2.67
2.67
2.58
8.07
8.83
5.54

t
9
10
11
12
13
14
15
16

wt
5.06
2.81
4.43
3.19
2.23
2.06
3.33
2.12

2.87
5.29
3.31
5.44
6.80
8.25
3.44
7.80

t
17
18
19
20
21
22
23
24

3.15
1.92
2.26
6.18
2.07
8.39
2.75
6.10

4.72
7.45
6.21
2.64
8.55
2.60
6.25
2.70

6.7. 6.7
Yd (.).

6.7
10700
11400
12300
13000
13800
14400
15000
15900
16900
17200

10900
11700
12600
13300
14000
14900
15700
16500
17500
17800

11200
12100
13200
13600
14200
15300
16400
16900
18100
18500

12000
13000
14000
15000
16000
17000
18000
19000
20000
21000

) Yd
.
) ) , .
6.8. 6.8 I, S (. .) 35
. , / .5 R.
) / S R .
) ) , , , S2,

195
6.8

1
2
3

4
5
6
7
8
9
10
11
12
13
14
15
16
17
18

1
. 10
10
10
11
11
11
12
12
12
12
12
13
13
13
14
14
14
15

100
101
103
105
106
106
108
109
111
111
112
113
114
114
116
117
118
120

17
17
17
16
16
16
15
15
14
14
14
14
13
13
12
12
12
11

19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35

/
15
15
15
16
16
16
17
17
17
17
18
18
19
19
19
20
20

S
122
123
125
128
128
131
133
134
135
136
139
143
147
151
157
163
171

11
11
11
10
10
10
10
9
9
9
8
8
8
8
8
7
7

6.9. 6.9
(. .) 1960 1979 .
6.9

58.5
982.4
1970
1960
506.0
23.2
1063.4
64.0
523.3
1971
1961
23.1
1171.1
75.9
1972
563.8
1962
25.2
94.4
1306.6
1973
594.7
1963
26.4
131.9
1424.9
1974
1964
635.7
28.4
1528.1
126.9
1975
688.1
1965
32.0
1702.2
155.4
1976
753.0
1966
37.7
1899.5
185.8
1977
796.3
1967
40.6
2127.6
217.5
1978
868.5
1968
47.7
260.9
2368.5
1979
935.5
1969
52.9
: D.Salvatore. Statistics and Econometrics, McGraw-Hill, 1982.
) 5%-
.
) ) , .

196

. 6.

6.10. yt = 0xt + e t , t = 1,2,...,, /3,


xt , , lim n _oo(l/ n )X)"=i x t = x>
lim n ^oo(l/n)Y^ = s + 1 x t xt-s = otscrl, || < 1 E(e t ) = 0, E(e t e t _ s ) =
s 2
p a s, \\ < 1.
) -
/3, .. lim n _ oo nV(^oLs)) /3, ,
. (1 2 )/(1 + 2)6.11. yt /3xt + t , = l , . . . , n , E(et) =
0, E(e?) - ax2t, E(e t e e ) = 0 t ^ s =1 ? = "
) , - /3 /3 , .
) , /3
/3.
6.12. yt /3\ + fcxt + et (. 6.10):
6.10
X
4
1
2
5
8
6
4
3
12
15

: V(t) =
of = a2x2. (3\, /2 .
6.13. yt = j3xt + et (/3, xt xt > 0) et
: et = pet-\ + ut, 0 < < 1.
, e t , , .
6.14. (.
12.15).
. . , ( ).
, . ( ,

197

, .) .
, ,
.
(household)
.
. , Journal of Applied Econometrics (expend.xls).
, 1986 . 1987 . (427 ).
6.11.
6.11

/
v3
tot?,
prov
reg
scl
nahm
durb
nchO6
nchill
nchl2l7
nchl8

1986 .
1987 .
1986 . 1987 .

1986 . 1987 .

(1 , . . . , 5 )
11
(1 , . . . ,
13 )
6
7 11
12 17
18

6.14.1. ) . , .
) / 3 , >3, totZ
nahm. . ?

198

. 6.

. : Z/3 = 1(/3).
.
6.14.2. ) IJ3 itotZ = \n{tot3). 95%- .
) . ) . , . , , , .
6.14.3. ) Z/3 itotS, nahm, nchO6, nchlll .
) 95%-
.
6.14.2 ).
) .
) , 6
7 11 .
) , -
.
6.14.4. ) Itot3s = itotZ Itot3 6.14.3 . Itotis ? ?
) tot3.
) /
tot3 = 36000.
6.14.5. ) 13 . Z/3 ,
6.14.2,
. 13 ? ( 95%- ) .
) .

199

6.14.6. ) ,
Z/3. .
.
) totS.
?
)
= 36000.
) 95%-

,
, 50000 .
) Itot3.
UotZl
6.14.7. ) s/ = 100 /3/io3 (
, %). 6.14.6, s/3.
) . ),
tot3. ,
6.14.6.
) itotS. ?
6.14.8. :
.
, :
, , . .
?
) , 6.14.7,
12 ,
.
) ()
. . ). .

200

. 6.

. , . , .
, ,
.
6.14.9. 6.14.6.
) 1().
) 1() 6.14.6.
) ).
) , (2 = (':)),
.
6.14.10. 6.14.7.
) - = f(x'a) /.
) - Itot3.
) , , 6.14.9.
6.14.11. 6.14.7, (< = exp(z'a))
) 6.14.10 ),
z .
) .
)
exp(.-z'cx).
) 6.14.7.
6.15.
1996 . 1997 ., - . roomlixls. 6.12 .

distc
distm
totsq
kitsq
livsq
floor
cat
date
price

201
6.12


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

, . .

) ,
. . ?
)
. (
,
.)
)
? ? ?
) ,
. .
6.16. 70
1997 .
(). room2.xls, 6.13 .
) ,
. . ?
)
. (

202

. 6.

price
totsq
livsq
kitsq
distm
floor
cat
tel

lift
bale

6.13


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

,
.)
)
? ? ?
?
) : , ?
) ,
. .
6.17. (Arthur van Soest, Tilburg University) wages.xls
75 75 ,
( 4 1987 .).
. 6.14 .

- , , ?
,
?
- ?
-
?

W
AGE
SEX
EDU

203
6.14

, / (1987 .)
,
, 1 , 2
,
1 ;
2 ;
3 ;
4 ;
5

) . .
) S SEX - 1. W =
Po+PiS + fcAGE. .
-. .
) W = Po + PiS+foAGE+foEDU.

S ?
?
) W = /30 + /35 + foAGE + fcEDU + (35AGE2.
, ?
? ? S
?


.
, .
, , . , ,
' , , .

.
.
.
, , . , .
,
.
204

7.1.

205


= (3 + ,

(7.1)

, , 1 , X
, 1 ,
(3 1 , = 0, V(e) = a2l.
, +1 = ( + 1,..., +\,)' ,
(7.1), ..
+1='+1(3 + +

(7.2)

E e n + i = 0, V(e n + i) = 2, en+i . (y,X,xn+i)


+- , ,
.

7.1.
, scn+i .
2
, /3 .
+1 +\
E(yn+i) = a?n+i/3. 2
2
E(y n + i - ) = ( +1 ) = - . , e n +i ,
( crza/2,y+aza/2) , +\ 1 , za/2 100(/2)%-
.
, /3 2 , ,
, . (3 s2 (7.1): (3 = {X'X)~lX'y,
s2 =
'/( - ). yn+i
(7-3)

206

. 7.

, /3 = /3, = Ey n + i,
. . . , ( ) .
. = ' yn+i, =
(ci,..., On)' , ,
Ey = Eyn+l

(7.4)

= x'n+1f3.

. (7.4) = dX(3 =
x'n+lf3 /3,
' = '+1.
(7.5)
,
(7.6)

2((-)(-+1)).
,

(7.7)

~ )( -

('+'+1)

:
(''+1)
/

( '(')~ +1)
2

c'(cr l
2'('
I

( (7.5))

)-i

' V//' V '

V/

V/

+ ()

+ '+1

'+1.

7.1.

207

:
E(c'y(x'n+ll3

+ en+1))

( (7.5))

=
=
=

'()/3'+1
c'X(3/3fxn+i
x'n+1f3f3'xn+i.

:
E

i 3 + i + e n + i)) =

'+1(3(3'+1.

( , ' = '.)
, (7.7), .
,
( - + 1 ) 2 = \1 + '+1('1+1).
(7.8)
2 s 2

, . 3.5, ,
(e, n +i) ,
(yyn+i)/3
.

+i 1 ( Sta/2, y + 5ta/2),
taf2 100(;/2)%-
.
, , ..
(7.1)
yt = /9i

(7.8) :

^ I I^f)

(7.9)

. 7.

208
x

- Y!, t- (7.9) ,
+\ = , +1 ,
(. . 7.1).

7.2.

,
xn+i . , +1 . ,
, . .
(7.1) (7.2), xn+i
(7.10)

z = xn+l+u,

1 , (, e n +i), E u = ,
v u
( ) = ul- (7.3)
= - +1

= '3.
.

= (*') - '+ = ( ( + 1 +
%

<

= 0,

(7.11)

7.3.

209

/3 = 0. ,
(7.11) . (
),

2 = o-2(l+X'n+i(X>X)-1xn+l+altT((X'X)-1))+alf3'p.

(7.12)

, (7.8) , \.
,
,
+1- , (e,en+i,u) . , , .

7.3.

,
(7.1), (7.2) ,
, :
et = pst-i+vt,

t = l , . . . , n , n + l,

(7.13)

{ut, t = l , . . . , n , n + 1}
2, \\ < 1. ,
(7.13) . , ,
(/3, ) . +i ^ +1 /3 ( ,
= '+1$

+ = '+1(3

+ ( - ').

(7.14)

210

. 7.

,
-y = vn+u
, = 0
2

= * = (1 - .

(7.15)

, .
, yn+i (7.14) /3 , , ,
, . 6.2:
= '+1 + (-').

(7.16)

.
(7.15) <2 , (6.11), (6.12).
:
1) ^ yn+i (7.1), (7.2) (7.3), (3 - (3,
(7.1);
2)

+\]

3)
(7.8);
4)
(7.12);
5) (7.1), (7.2) ,
, (7.16).

211

7.1. (7.8).
7.2. (7.9).
7.3. = /3 + (
1 , X , 1 , /3
; 1 , = 0, V(e) = a2l). x n + i =
( + 1,... , z n + l i f c y y n + i = < + 1 / 3 + +
, X , , x n + i,j j-ro X.
7.4. yt = 4- /?4 + su t = 1,..., 10
,

= 40, ;> 2 = 26, J > ? = 200, >a; t = 20


( 1 10). s
xs = 10. , s ,
) ;
) .
7.5. = / + , 1 , X
, .
, ' = ( i > > ^ &)
, ?
7.6. yt = a+f3xt+et, t 1,..., . , /3 .
+1 ( ar n+ i) .

. 5.1 , - .
, .
, ,
:
1) ;
2) .

.

212

8.1. ...

8.1.

213

(8.1)

, , nxl , X
, 1 , /3 kxl . ,
Z , Z'X .
(3 (Instrumental Variables, IV)

3iV == (Z'Xr'Z'y.

(8.2)

, , /3 I V = (Z'Z)~lZ'y> . , (8.2)
(8.1),
3 I V = {Z'X)-lZ'(Xf3 + ) = /3 + {Z'X)-lZ'e
-Z'x\
~Z'e.
(8.3)
n
) n
, ,
X Z:
-Z'X

* .
(8.4)
Z , (l/n)Z'e .1
, Z
: plim Z's = 0.

214

. 8.

, (8.3) (8.4) , 3iv . ,


/3jV , .., ( , /Sjy
OTZ).

, .
. . , ,
, .

8.2.
, , .
.
. ,
(8.1),
, . . * = + , ,

X. , -
*

* = (3 + {+),
, /3 , ( + ) = 0 Cov(_X\e + ) = 0.
:

V(e +) = al + crl
. ,
. , ,
(8.1), X* = X + V,
V

8.3.

215

.
= */3 + ( - V/3) = */3 + *,
:

(*'*) = E[{X' + V')(e-VJ3)] = -E(V'V)/3. ,


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

8.3.

, . , ,
.
. , ,
, . /3 I V . , Z ,
(.. rank(2f) = ?n),
^ . ,
/3iv .
Xj, j = 1,..., ) X n- m- , Z, %, j 1,. ., . -

216

. 8.

, Xj Z
Xj.
, (3^
/3 %, j = 1,..., .
,
Xj, j 1,..., /,
/3jV. ,
,
. , , - Z,
l
Z(Z'Z)~ Z'
(. . 3.3),

, ,
=[

...

xk}=Z(Z'Z)~lZ'X.

= {XlZ{Z'Z)-1Z'X)~1X'Z{Z'Z)-lZ'y.

(8.5)

, , , X . , ^ .
, , , (8.4), :
1) Z'X
> ;
2) Z'Z
> ,
(8.5) .

8.4.

8.4.

217

,
? :

plim(l/n)X's

= Hi: p\im.{l/n)X'e 0.

, , X
, , - /31 = /3QL /32 = /3 I V , .
/3j ^ Hi . /32 ,
. , /32 (
, , - .
^ (Hausman, 1978) ,
S

V(3 2 - 3i) = V(32) - V(3i)

-
.
, ,
(Johnston and DiNardo, 1997).
:
1) - ;
;
2) ;
3) -

218

. 8.

( (8.4); /3{ , , , ;
4)
- ,
,

, , .

8.1. (8.5).
8.2. , (8.5) (8.2).
8.3. V(/3iv) (8.2) (8.5).
8.4.
Vt = Pi

, zt xt.
,

- z)(xt - x)

(JT,
8.5. (8.3)
y = X(3 + e,

V(e) = a21,

xtp et. Z
. , Z':

219

, (5.4)
(*)
1

3GLS = {X Z{Z' Z)~ Z' )~

X' Z{Z' Z)-

Z'y.

(8.5) .
8.6. *, zjf ()

( ) yt = yl + zt = z\ + vt, ~ iid(0,a%),
vt ~ iid(0, el), vs t s.

) ?
) Cav(zt,t)) plim/?2-

,
, . . . , . ,
:

Ct , Yt ,
J t . % .
,
Ct Yt, ,
Pi -. , , .
, 220

9.1.

221

,
{Seemingly Unrelated Regression, SUR).
,

(Simultaneous equations).

9.1.

,
. ,
, (, ), \
2~.
= Pi + #a*ti + foxt2 + et>

t = 1, , .

(9.1)

, (, ):
= 71 +72 +2

+ ,

t = l,...,n.

(9.2)

, (9.1), (9.2) . .
, j
, t
. (9.1), (9.2) ,
.
.
:

. 9.

222

Vi 1 , Xi { , (3{ { 1
, * 1 , = 1,..., . , ; = 0 E(eiSEjt) = & s = t 0
. :
, j = 1,..., ,

(9-4)

1 . , ,
. ,
,

. (9.4) . (9.3)
. ,
, .

(3 =

Xi

X MJ

LeMJ

(9.3)

, :

{') = = S 1

9.1.

223

( , . 18). , X) . /3
(. 5.2, (5.4)):

X ' ( S " 1)

(9.5)

(
:
1
l
1
(A <g> J3)" = A~ " ( ,
. 18)).
, (9.5)
, (9.3).
, , , .
1. (9.3) ,
. . < = 0 j .
2. (9.3) , . . Xi = X2 = ... = , 2
. , .
S. ,
(9.3) , , i =
1,...,, cry
s
y = {e'iej)/n- , .
^
, /3QLS (
) - , .

224

. 9.

9.2.

:
1. , , .
( .) ,
:
a

Qt = l + + *

(),

Qt = 0i+foPt

(),

+ foYt +

Pt , YJ ~ t. , , . .

Qt = Qt

Qt

().

,
(. . 2.2), :
4t = Oi2Pt + t

(),

{9-6)

Qt = @2Pt + PzVt +

().

(9-7)

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

9.2.

225

, . , (9.6), (9.7)
M
qt pt .
- /32et

, yt $, (9.9)

, , 0. . 5.1
, -.

. (. (2.6)), -
(9.6) :

(9.11)
, ,
,

4=1

*=1

. . . , . , ,
, Et t.
, plim n _ > o o (l/n) Y^t-1 Vt ()- (9.11) :1

226

. 9.

(9.10)

- etpt =

V(et)

(, Cov(ut,t) = 0.) , (9.9)

SS ;ff>* - (

^()+()

+ V ( ) + V()'

V(e)

, pMrti^^ S 2 = 2 , V(e) = 0.
(9.6), (9.7) ,
. (9.8), (9.9)
.

- I32et)/(a2 -

/2{ = (ut - et)/(aa -

ft),

ft),

(9.12)
3

(9-1 )

(9.8) (9.9):

,
5ri 7?2 72- , 2 = 71/2, ( ) 2 2 ILS = 7?1/2 2.

9.2.

227

(Indirect
Least Squares, ILS). , ,
.
8 ,

.
2
(9.9) . (8.2)

, , , .
2. , (9.7) rf
qt = foPt + /3 + fan +

(),

(9.14)

.
, (9.6), (9.14) :
Pt = 721* + 7 22 + V2U

7 = (2/33)/(2

- #),

72 =

a J^L* u2t - , (9.12), (9.13). , 2 =


/
7T12/V22.

228

. 9.


.^ / 712/22> ,
, .
yt, rt,
. , , ,
.
.
, ,
,

.
-
.
, .
, (9.7) .
, (9.6) (9.7), ,
(1 ) :
Qt = liVt + 73 + Vt,

(9-15)

72 = *2 + (1 - )/?2) 7 = (1 - )/?, = * + (1 - ).
(9.15) ,
(9.7). ,
, qt, pt, yt-
, , /?2 /?- ,
, : ,
(9.7).
, , ,
,
.

9.2.

229

1)
.
, .
2) -
.
3) .
( ).
: , ,

.
. .
4) . , , ,
.
, (9.6), (9.7) , .
3.

4t = &2Pt + et
(),
qt-faPt +
().
(Q, ) ( ) .

. 9.

230


,
(. . 9.1).
Q

9.1

, , (Qt, Pt), t
1,... ,, D S, (Qt, Pt) , . ,


.
4. (9.6), (9.7). ,
,
,
. (. . 9.2).
Dt , ,
,
.

9.2.

5.

9.2

:
(),

+ t

qt Qt

231

().

+ thyt +

,
(. . 9.3).
Q

. 9.3
, ,
.


.
, ,
(

. 9.

232

. 9.2, 1):
~2t

y\,... ,ym, , , \,...,


{) , ,
.
t, , , t =
1,... ,, ,... ,emt . ,
/3 -
1 ". , ,
.

yu
21

Vt =

J/mt.

TS

Ai

A2

fa\

/022

Anl

/6m2

/t

7ll
721

Am'

, r=
Pmm_

712
722

_7ml 7m2

7lfc

72fc

Imk

(9.16) :

=?e t .

(9.17)

, .

9.2.

233


xt t . ,

1) (*) = ;
2) E(etj) = S, S t ;
3) t s e t e s ;
4) .
4), (9.17) " 1 :
yt = -B^Txt + B~let = TIxt + vu
(9.18)
= ~1, vt = B~ 1 e t . (9.18) (. . 9.2, 1).
(9.17) , (9.18)
.
,
( 1 ), , , -
.
, xt % , , .
' , ,
(Greene, 1997, 16). ,
,
. - , . ,

234

. 9.


, , , ,
.
(9.18)
( + 1)/2 f. ? ( ),
( + 1)/2 .
, 2
, , . , ( 1
), .
.
, , ,
0. , , , , (Greene, 1997,
16).
(9.16) ,
- 0, .. ,
.


.

9.2.

235

, q 0, . (9.16) (
t) :

(9.19)

'yi

* =

'Vq+l
> 2/**

&

..

* = \, )',

7 = [71 .Tip]'-

(9.20)

(9.19) :
(9.20)
(9.18)

*,

1-

, (9.18)
[**]
, = - ,

236

.9.

0 - .
/3'1 = -7',

(9-21)

,=.

(9.22)

(9.22) () ( /3J q 1 ,
/3* 1. , /3* , -
(9.21). ,
/3* (9.22) - * ] , ,
(9.22) , ..
k-p^q-l.

(9.23)

, . (9.23)
(order condition)
, (9.22)
. , (9.22)
, * | q 1:
rank(It>,xx) = g - l .

(9.24)

(rank condition),
.
(9.23) , , (exactly identified),
,
(overidentified).
,
/3*
*>, 2 .

9.2.

237

.

, (9.16)
, . ,
, q
( , (9.23)),
, 1 1.
1. .
, (9.18), (9.21), (9.22),
.
(Indirect Least Squares)
(. . 9.2, 1). , . : , (9.22) , , . ( , ),
( ). , ,
2. .
:

2/1* = -/?122* ~ . . . - PlqVqt

u,

t = l,...,n.

(9.25)

. 9.

238

2/11

2/21

2/12

22

...

in

=
Vqn_

""

-71

-ft,, 71 =

, . =

.-

/2

(9.25)
(9.26)
Y\ \,
.
, , .
, , , X i (,
, X i , , ). ( 8),
,
Yi, . . q 1. (9.23). , .
(Two
Stage Least Squares, 2SLS), :
1) Y\
, . .

9.2.

239

III (q 1)
;
2) Y\

= ,

3). (9.26)
Y\ Yi, . . - Pi 7i
2/1

= 1 /3 1 + 1 7 1 + 1 .

(9.27)


. ,
.
1) (9.23) ( ), 288- ,
.
2) 2SLS-04eHKa , , Y\ \.
3) Y\ X. ,
28-.
288-
;. ,
. , . -

240

. 9.

, ,
,
.

.
6. 1. 1950 . . ,
1. :
Ct = ao + ot\Pt + 2-Pt-i + as(Wf + W$) + e i t

(),

It = A) + PiPt + IhPt-l + foKt-l + 2t

(),

^f=7o+7i-Xi+72-X't-:L+73-i4+E3t
Xt Ct + It + Gt
Pt = Xt Tt W[
Kt Kt-i + It

( ),

( ),
( ),
().

, , . : G , ,
, W9
, At ( , 1931 .). , () . ,
, .

1921
1941 .
(
).

241

:
Ct = 16.2 + 0.193 + 0.0_! + 0.796(W? + Wf),
(1.30)

(0.091)

(0.091)

(0.040)

It = 10.1 + 0.480Pt + 0.333Pt_i (5.47)

(0.097)

(0.101)

O.U2Kt-u

(0.027)

Wf = 1.48 + 0.439Xt + 0.146X4_i + 0.130At.


(1.27)

(0.032)

(0.037)

(0.032)

:
Ct = 16.6 + 0.017 Pt + 0.216Pt_i + 0.810(Wf + Wf),
(1.32)

(0.118)

(0.107)

(0.040)

It = 20.3 + 0.150P* + 0.616Pt_i - 0.158^-1,


(7.54)

(0.173)

(0.162)

(0.036)

Wf = 1.50 + 0.439Xi + 0.147Xi_i + 0.130At.


(1.15)

(0.036)

(0.039)

(0.029)

9.1. :
Ct = + (3Yt + e u ,
Yt^Ct + h + Gu
It = 7 + SYt + e2t.
Ct, Yt, It, Gt.

.
? ,

, /3, ,
. . +
.
9.2.
:
+71*-1

+fiiQt
Nt

+722-5*
+732-S*

= >
+7MW t _i=eat,
W

242

. 9.

Pt,Wt,Nt , , ( ), a Qt St
( ). , , :
) 7 = ,
) 021 = 722 = ,
) 7 = ?
9.3.
:
2/1* +/#122/2*
+711 + 712*2*
= Sit,
3/2*
+721
+ 723** = 2*,
0323/2* +3/3* +731
+ 7** = *9.4. :
3/1* = 7
+0123/2*+ 0133/3*+ 7iii*+ 712^2*
3/2* = 720 + 0213/1*
+ 721*1*
. /* = 7 + 0313/U + 0323/2*
+731*1*

+,
+2*,

? , ?
9.5. (j/j, y2,
).
t = 7io
j
- 720
+ /322/* + 72i*it
+ 723*3* + 2*,
1.3/3* 03i3/it + 0323/2*
+ 73ia;i t + 732rr;2t + 733*3* + e3t,

) , .
) ) : 732 = 0.
) ) : 7 = 1) ) : 732 = 7-

243

9.6. ,
(SUR):
\ 2/2* = /^ 4- 50 ( )
: > * = ^ 2 _ 6 0 0 ) 5>tjfti = 60, J2xtVt2 = 50,
1 = 150, = 500, Zytiva = 40, /42 = 50, %22 =* 90.
) GLS- /3\, /?) OLS- .
) SUR (FGLS)-on,eHKy
.

10

. 10.110.4 , .
, , ( (1983), (1975), (1968)).
10.5 2.7,
5.3 (. 7)
. , , ,
. , , , ,
, ,
. , ,

.

244

10.1.

10.1.

245

(maximum likelihood, ML)


2 (. 2.7)
5 (. 5.3)
. (. ,
. 7).
. .
, (,), = 10, .
7 3 , .
7 10 (. , . 3)
7

(10.1)

h(p) = C lop (l-p)\

, (10.1),
(10.1)

dlnhjp) _7

3
,

1
. = 0.7, ,
.
. , (yi,...,yn),
yi 1 0.

,
{distribution). , (10.3) (
, ), ( ),
(10.3) (likelihood function).
. , ,

246

. 10.

.
, ,
.
.

10.2.

{\,2, },
.
hn(-,do) = (yi,...,yn).
, , ,
. , ,

.
()

Ln(e) = Ln(e,y) = hn(y,e),

(.4)

(likelihood function), 1() (loglikelihood function).


() , ,
Ln@n(y),y) = snpLn{e,y),

(10.5)

(maximum likelihood, ML, estimate) . ,


ML- () , , (ML estimator) 0 (10.5) 0, ()
( ) , (9)/

10.2.

247

\(9)

, Ln(9) ,
(Hessian matrix)
()

()

~ '

(0) = -(0)).

(.7)

, #-

()

= lim ( l / n ) ^ n ( 0 o ) ,

(.8)

ntoo

. F{9Q) , !F~1(9Q) ( ) (. , . 7).


.
^~1() . ,

-9)

(.9)

JF~ 1 (0Q)-

248

. 10.

10.3.

= (,..., )' 2
a lm. ( ) (,... ,).

,
:

-(>-)-

(10-)

fx
, ( ):

(10.)

(10.12)-(10.13),

yji j-
n

(l/ ) E L

,-

10.4.

10.4.

249

.
,
1. .
(0) .
(0)

9(0).
2

, , ? 2
(. (10.13)), , 1/ 1/ .
, , ,
(?).
, , .
, .
2. .
: , . .
(|0 - \ > ) > 0 > > 0. .
. , , .
, , (. , . 5),
:
> . , , , ,
(0 0) 0. , . -

250

. 10.

, . . ( ... ,)
2
N(fi, ).
2
/. ~ N(/J,, /) , 2
2
, /( - /) ~ N(0,a ), /( /) N(0,a ).

,
.
3. .
:

/-) ^(,^- 1 ^)),

(.15)

{&) . , 3-~1()
/(-); V(0) = J 7 " 1 ^ ) = (1/)~().
4. .
. ,
^ 6, , V(0) < V(0), .. V(0) - V(<?)
. ,
, 0
, ..
.

10.5.

(. 3)
= (3 + ,

~ N(0, a2ln),

(10.16)

10.5.

251

:
2

(10.17)

y~N(Xp,a In).

(10.18)

, (10.19)
2

/3 .

dlnL _

2
22 +

(10.20)
(-(-{3)
2(4

(10.20) ,

(10.21)

= . , /3
(3.4) /3, 2 (3.19) s2 = '/()
2, .
(10.19)

'
d2lnL _ jt

2\ _ (-
(-/3)'(-(3)

(1022)

252

. 10.

( ) ,
(8HnL\ _

'

{{-/3)'(-(3))
= . , ,
( /3) = 0.

[(1/2)Q ^ J

(.26)

, ,
Q lim n _ t o 0 (l/n)X'X.

,
(3 :2 /n)Q~ 1 J3- 2(')~1. , ,
/3
^(')"1.
2
2<4/. 3~
, (5 2 . () .

10.6. , I

10.6.

253


, I

= (3 +
(. (5.3)) V(ii) = fj,
.
. , q (q < )
R/3 = . R q , q x 1 .

, .

lnL(/3) = const + hnin-^-hy-Xpyn-^y-Xp),

(10.28)

^ ( / 3 ) = '~1{

- ()

(10.29)

f ^ ) = '~1.

(10.30)

ML- /3 \{)/(3 = 0, GLS- (. (5.4))


('1~ )~

'1~

(10.31)

= - /3,

In L0) = const + I In {'11 - ^'^.


2

(10.32)

<

ML- (Rfi = ) () RP = .

254

. 10.

,
r),

(10.33)

I = (h,..., lq)' q .

(10.34)

Rf3 = r

X'n- (y-X/3)-R'l

=0

R/3 = r.

(10.35)

/3 I (10.35).

3 = 3 ~ (X'U^Xyi&i

(10.36)

= R/3 = /3 - ( ^ ( ' - 1 ^ ) - 1 ^ ' ) !

(10.37)

, ,

7 (10.37):
= ( ^ ( ' - 1 ^ ) - 1 ^ ' ) " 1 ^ - ),

(10.38)

, (10.36), 3
:

3 = 3 - {'^^'^)-1!?)-1^

- ). (10.39)

= - (3 . In L(fl)
In L(J3) = const + - In IST"11 - \u'Q,-lu.

(10.40)

,
.
Jt/ .

10.6. , I

255

(W) (Wald test). ,


R/3
. (10.31)
1

/3 - ~ N(R0 - , '^)- !?).

(10.41)

, ,
RJ3-r~ JV(O,R{X'U-lX)~lR').

(10.42)

( , . 4, N9),
W = ( - r)'{R{X'SrlX)-lR')~\Rp

- ) ~ x2{q)- (.43)

,
.
(LM) (Lagrange multiplier test).
,

, I . (10.38)
(10.41) , ,
,
1 ^ ' ) " 1 )
(10.44)
, ,

LM = - 1 - * ) - 1 ^ ~ )1

(.45)

****

(10.35) '~ = R'l,


LM
= u'U

.
, (LR) (Likelihood ratio test).
, . ,

256

. 10.

,

1. ,
(10.32) (10.40):

LR = -2() - )) = '~1 - ~1.

(10.46)

, (10.46)
2
() . , /3 =
1/2
/3 - 0 - /3), = + - /3). ~ ,

12

3).

(.47)

(10.47) ,
',-1 = 0 (. (10.31)),
/3).

(10.48)

(10.36) ,

3 - = {X'u-lX)~lRrl,

(10.49)

(10.45) :

LR = '~1 - '~1 ^
,
2{) . , (10.50)) LR =
LM. (10.38) , W = LM. ,
LM = LR = W.

(10.51)

, ,
.
( ) ,
.

10.7. , II

10.7.

257


, II

, , , . . ft = (9)
1 , . (
5, . 5.3.) :
W = (RJ3 - ^'('^)-1!?)-1^

- ),

(10.52)

LM = u'U^XiX'U^X^X'n^u,

(10.53)

LR= -2(,) - I n 1(3,0)),

(10.54)

Q, = (9) fi = 1(). ,
LM < LR < W.

(10.55)

, (Breusch, 1979). , /3 lnL(/3,0)_, a /3 lnL(/3,9)


R/3 = . ^ : / ,
lnL(/3,0), /
In L(/3,9)

(
, ( ,
9 ),
W LM, , LR:

W = -2(\nL0r,9)

-lnLGM)) ,

(.56)

LM = -2 (in L0,9) - In L0W 0)) .

(10.57)

258

. 10.

,
LR = -2 (in , ) - In , 0)) .

(10.58)

,
LR - LM = 2 (in , ) - In , 0)) ^ 0,

(10.59)

W - LR = 2 (in , ) - In , 0)) ^ 0.

(10.60)

, LM < LR < W.
. , , .
W, LR LM . (Evans and Savin, 1982)
(Godfrey, 1988).

10.8.

, q /3. (3 + ~ i\r(O,f2(0)).

() = .

(10.61)

, '.
) = 0 Hi: ) 0.
, q g(f3)
. G{J3) q x ,
/3.

10.8.

259

In L((3, ) = const + I In \~1{)\


I

- Xf3).

(10.62)

,
(/3,0), ((3,9).

W = ()(1~11)11),

(10.63)

LM = u'ft^XiX'n^Xy^X'rt^u,

(10.64)

LR = - 2 (in , ) - In , 0)).

(10.65)

( (10.52)(10.54).) (Breusch,
1979) , - ,
LR ^ LM, W ^ LR, ,
.
, . ,
. ,
y = /31x1 + f32x2 + u,

u~N(0,a2I),

(10.66)

0i = /5- , , \ (/3) = /?i - /%


2{) = (/V/?2) ~ * , . \
#2 ,
. gi %

= (1, -1),

GM = ( 1 , ^ )

(.67)

260

. 10.

- 1 )

(10 68)

4 = (1, -1/2)).

(.69)

d[ = (1, -1),

,
LR LM . , , ,

/3,
. ,
.

10.1. 10
: 1, 4, 3, 2, 3, 0, 1, 1, 0, 5.
) .
) , .
10.2. N{fJ>, cr2).
ML 2. .
10.3. yi,...,yn

, 6) = 1/0, 0 < ^ , h{y, ) = 0 -
(0 < < ). , = ; , .
10.4.
/ ft .

261

10.5. Ln(9) . ,

/ainL w (fl)
V
96

10.6. yi,...,yn
, , (, 29). , :
) = / /2;
) , ;
) V(0) 0 2 /(4 2 ).
10.7. ( 10.6)
:
9 = ( + 2maxj/,)/5.
) , V(#) 92/(52).
) , , .
)
?
10.8. - + , ~

LM = n(ESS R - E S S U R ) / E S S R I

N(0,<r2In).

LR = nln(ESSR/ESSuR),

W = n(ESS R - ESSUIO/ESSUR.
, LM ^ LR ^ W.
10.9. :

23

15 +

f3.

, 1 , Xi , /3 1 ,
Si iV(0,cr 2 J n .) .
, %
.

262

. 10.
/3 :

) -

yx,Xi;

) - Xi
3,]
) - 3, %
;
) , 3, (3.
10.10. , = /3 +
,

t - + 1, . . . , ! + 2 ( = + 2 ),

V( t ) = Cr|,

E{stes) = 0,

t s.

(LR-test) : \ = 2.
10.11. = /3 + , 1 , /3
; 1 , 1 , X & , ~ N(0, )

<j|Jn2

...

...

0
1 + 2 +

...

\- =

^/

( ). LR- ( ) : \ = \ = = of?
. ML- 2
.
10.12. .
= 100 = 42 58 .
5%- : = 0.5:
) (W);
) (LM);
) (LR).

263

10.13. 80 X.
= 1.7. 5%- : = 2.0:
) (W);
) (LM);
) (LR).

11



( ) . ,
Yt t,
It , :

, .
, .
.
et

(11.1)

yt = Pi+P2Xt + Psyt-i+et

(.2)

,
. , (11.1)
( ,
xt ). (11.1) . (11.2) yt-\ fit-b

264

.11.

265

X .
, ,
(. 5.1).
(11.1)
{distributed lags), DL(1).
. (11.2)
, ADL(1,O). .

.
(short run) fii . (long

run) /% + /? (11.1) fa + #2/% + #2/? "I


' (11.2). , yt-\ ft ,
yt /2/3 , . .
|/| < 1, /02/(1 - /%) |/?| < 1

.

, , (lag operator) Lxt = xt-\. , , ADL(p, q)
yt -

= 8 + poxt + Azt-i + + Pqxt-q + et]

t = 1,... ,n, (11.3)

(11.1) (11.2),
:
A(L)yt

= d + B(L)xt

+ et]

i = l,...,n,

A(L) B(L) :
A(L) = 1 -

(11.4)

266

. 11.

11.1.

(11.4)

= 8 + p o x t + P i x t - i + + Pqxt-q

+ et,

t = l,...,n,

(11.5)

. , /3 = /?+
H/V
w
s ws = fia/(3, Y,l=o k - 1- ws
. ,
, "^21=0 ^wk- , , ,
.

, , t ~ iid(0, <2)
,
<2 {independent identically distributed), (11.5)

(. 3.1),
. -, , q + 2 ,
. -, , xt , ,
, ' ,
(. . 4.1).

ws. . :
( (Almon)) (
()).

11.1.

267



:
/?i = 7o + 7 i H

1-7 )

r^q.

(11.6)

, (11.6) (11.5) , + 2 :
yt = 5 + joxot +

1- % + e t ,

t = 1,..., n,

(11.7)

>..., Xt, , Xt-q.


(11.6)?
(11.7) -
(. (3.44))
(ESSR-ESSUR)/(g-r)
ESS U R /(n - q - 2) "
( (11.5) , (11.7)
.) , F
( F-), . ,
, .


, q, ,
.

,
. :
yt = 6 + 0xt + /?(_! + /V_2 + ---+su

t = \,...,n.

(11.8)

268

. 11.

(0 < < 1) ; = 0
k =
. Y^h=Q^
P/fi ~ ^)S
ws = (1 - A)A .
(11.8) (S,(3,), , .

, -JIy (. 6.2).
(0,1)
- (11.8). , .
:
(11.8) ,
, :
Vt - Ayt-i = 5(1 - ) + /3xt + ,

t =

l,...,n

yt = 6(1 - \) + \yt_x + pxt + ,

i=l,...,n.

(11.9)

= et~ Aej_i. (11.9) , .


(11.9)
,
. , -
. (. 8.1), , , xt-\
y t _ b ( 10).

11.2.

( ) -

11.2.

269

(11.2):
yt = /?i + foxt + /33yt-i +et,

t=

l,...,n.

(11.4):
et,

t=l,...,n,

(11.10)

A(L) = 1 fcL B{L) = /?2- :


B(L) = ( =0 ( /?):
yt = Pyt-i + et,

et~iid(0,cr2),

= l,...,n.

(11.11)


, AR(1). 6 (. 6.2)
. , ,
\/3\ < 1,
o-2/(l-f).

(11.12)

- /3 :

j/t-i/IZl/e-i < t < n, (11.13) , , .


, |/3| < 1
, /3 (11.13)
:
2

V^OS-/?)-^iV(0,l-/? ).

(11.14)

, ,

. . 1) . (11.11) \/3\ < 1, ,
. 2)
*.

270

. 11.



(11.11), :

= -+,

* = !,...,

= ~\ + Ef,

( 1 5 )

t ~ iid(0, a ).

: yt-i ,
~\.
|/3| < 1, \\ < 1
- (11.13) /3:

0.I.

(11.16)

, -
. , jo, , :
(11.17)
, (11.15) . ,
, :
Vt = (P + p)yt-i-PpVt-2

+ et,

t = l,...,n,

(11.18)

.. (3 ((/3,) = (0.1,0.2) 3,) =


(0.2,0.1) (11.15)) .
.
8 (. 8.1),

11.2.

271

. , ,
Vt = -

' " " " * " '

"'"

'

'

(11.19)

put-i + t,
t ~ iid(O, ).
x , yt-i xt_i, xt-i yt-i- ,
, .
.
.
, (11.19)

(.20)
(11.20) (. 10.5), , .
.

{yt-(3i(l-p)-f32Xt+fapxt-i-(fc+p)yt-i+fcpyt-2)2

(11.21)

/5i, /, /? . , .
, ,
,
.

, - (DW) (. 6.2)
, , .

272

. 11.

DW
.
(Lagrange Multiplier, LM) (. 10.6)
.
h , . , LM ,
. , (11.19)
:
(11.22)
DW -, / yt-i, (11.19). ,
h . 5%- ,
h > 1.645.
, nV03) > 1. , h. 1) - (11.19) et.
2) et et-\, yt-i, xt. 3) -
et_i .

ADL(1,1)
Vt = fa + faxt + /3 3 z t _i + 0iVt-i + et,

t = l,...,n.

(11.23)

{partial adjustment) , ( , )

11.2.

273

:
y; = a + (3xt + et,

et~iid(0,a ),

t = l,...,n.

(11.24)

, , , 5
:
(Vt-yt-i) = 6(y;-yt-i),

0 < 5 < 1.

(11.25)

, , (11.24) * xt. (11.25)


:
= 8yt + (1 - 8)-1,
. .
.
(11.25) (11.24), :
yt = 6a + 8f3xt + {l-8)yt-1+6et,

t=l,...,n.

(11.26)

, , 6, 6/3 (1 ) (11.26).
(11.26) (11.23)
/? = 0.

*+1 ( t)
^ , yt :
t,

t = l,...,n.

(11.27)

(adaptive expectations) ,

274

. 11.

() :
+ 1 - \) = (1 - )(* - xt),

0 < < 1.

(11.28)

, , , t
yt , xt+i, . xt+i
t, +1. (11.28)

& = ? + (1 - X)xt,
. . *+1
* t.
(11.28) (11.27), :
yt = a+P(l-\)(xt

+ \xt.1+\2xt-2

+ - -)+

t = l,...,n.

(11.29)

, (11.8) (11.9),
(11.23), /? = 0 .

, (11.23)
(*,*) (,
< 1). (11.23) ,
:

11.2.

275

(11.23) yt = yt-\ + Ay*,


Xt = Xt-i + Axt. :

. +et.
(11.31) (error
correction). . ,
, (11.30).
(11.31) . (11.23),

.

-
. , ,
?
, (Granger, 1969), :
, , . ,
: -, ; , .
, , ,
, .

,
:

S^*-* + t'
3=1

(-32)

276

. 11.

: /?i = = = 0. F- (3.44)-(3.45).
,
(11.32). ,
; , ,
, .
, - , , , ..
- .
, , .
/ - (Granger causality test). , , ,
. ,
,
. ,
(11.32), (. 10.6).

11.3.
() . .

yt (strictly stationary)
,
,12,- ,ytm ,
ytl+t,yt2+t,..
.,ytm+t , t, ti,... ,tm.
, .

11.3.

277

(weak stationarity) , , ,
yt t:
= <,

V(yt) = 7 o,

Cov(yt,yt_fc) = 7fc-

(-33)

, (
). .
(autocorrelation
function), ACF:
V(yt)

70

, = 1, \\ ^ 1. ACF
.
. :
yt = eu

t~iid(0,o2),

i = l,...,n.

(11.35)

(white noise),
[*> = 0, 7 = -2, 7fc = 0, > 0.
AR(1) :
yt = m+<f>yt-i + eu

t~iid(0,o-2),

t=l,...,n.

(11.36)

, \\ < 1.
(. 6.2). (11.4),
(11.36) :
= +
(11.37)

yt

= (1 - )~1{ + et) = (1 + + 22 + )( + et)

278

. 11.

, \\ < 1, (11.38)

,
. . .

2
(. . (6.2)) ,
Cov(yt,yt_k) = 7 * = 1 = ^ ~ .

(11.41)

, AR(1) \\ < 1
= - = \
= 1,2,...
7

yt = yt-i+t,

et~iid(0,a2),

(11.42)

= l,...,n,

(11.43)

(random walk).
AR(1) (11.36) = 1, AR(1) ( |^| < 1)
. (11.43), , et
yt-i, :
E(ife) = -i) + 0;

Vfa) = V(yt_i) + .

(11.44)

, ,
V(yt) V(yt-i). , t = 1 E(i/i) = /i, V(yi) = 2 , E(yt) = ix, V(yt) = cr2i,
t = 1,2,..., . . .
AR(1) , (11.43) et
: yt = et + et-i + ..., (11.36)
: yt = et + ^ + 2-2 +
( 0).

11.3.

279

, (11.36) \\ > 1
( ).


AR(1) (11.36) (11.37)
A(L)yt = (1 - ) =

et ~ iid(0, ).

(11.45)

, (11.45) , \\ < 1, ..

{)~ = (1 )~ .
AR(2) :
2

' A(L)yt = (1 - - 2 ) = et,

et ~ iid(0, a ).

(11.46)

, A(L) :
A(L) = (1 - - 22) = (1 - AiL)(l - X2L).

(11.47)

,
A{L)~l (11.47),
, $ .
: 1/, (). .
,
(11.45) .
, (11.45)
= 1? . 3.5 , ^- t = (~)/^, . , (D. A. Dickey,
W. A. Fuller) (. Fuller, 1976), ,
1, i-

.

.11.

280

i- 1 ()
(11.45), (11.45)
:
yt =
yt = 0-2
Vt = &2

-1 + 2t>

(11.48)
(11.49)
(11.50)

(11.49) () , (11.50)
. 11.1 - - (DF).
11.1

100
25
50
AR (11.48)
-2.62
-2.60
-2.58
0.010
-2.66
-2.23
-2.26
-2.24
0.025
-2.25
-1.95
-1.95
0.050
-1.95
-1.95
AR (11.49)
0.010
-3.75
-3.43
-3.58
-3.51
-3.12
0.025
-3.33
-3.22
-3.17
0.050
-3.00
-2.86
-2.93
-2.89
AR (11.50)
0.010
-4.38
-3.96
-4.15
-4.04
0.025
-3.66
-3.95
-3.80
-3.69
0.050
-3.60
-3.41
-3.50
-3.45
: (Puller, 1976).

, : 1 Hi: < 1 (11.49) 100


5%- . ,

(. 3.5), *-
, -1.66. , 11.1)

11.3.

281

i- ,
-2.89.
, , ()
.
, , 11.1, ,
(11.48)(11.50)
_1,_2, AR . ,
Aj/t-b Ayt-2) ,
- (augmented DF test, ADF).
, , (11.46) , Ai = 1 || < 1, 1 + = $1 1 = 02
01 + 02 = 1 |02| < 1- (11.46)
:
Vt (0i + 02)yt-i - 0(-1 - yi-i) + t,

t ~

<2(0,

cr2), (11.51)

-,, .
AR(p) , ,
. ,
ADF , , 11.1, .
. , , ARMA ,
,
. , - .

282

. 11.


, . , . :

ei 2 , ' .
, , . :
(11.54)

yt = a + pxt + et.

(Granger, Newbold, 1974) , (11.54) ^-, ,


.
, ( (11.54)
( ). (Philips, 1986) , - (11.54)
. , t- * . , ,
.
(spurious regression). R2
- DW.
. .
(11.53),
2/ = XQ = 0 \ = "2 = 1.
300 .
Vt = - 2 . 7 9 - 0.52 xt\
(-5.77) (21.5)

R2 = 0.607,

DW P= 0.O57.

11.3.

283

i-. - .

, . .

(Engel and Granger, 1987).
, xt.
Axt = Xt xt-\. Axt , xt 1 (integrated
order 1), /(1). , Axt /(0). , , 1(),
1 , - .
1(1) , xt yt. ,
, yt /3xt ,
1(0). xt yt (cointegrated), (1, /3)'
. , /3,
yt = + jSaJt + e t l

4 = 1 , . . . , .

(11.55)

. /(/313) ,
((3 ) . ,
, .
, , et) - (11.55).
, . .
et. , (Philips and Ouliaris,

. 11.

284

1990), DF ADF .
, ,
, , ,
. ADF
(
). (MacKinnon, 1991; Davidson and MacKinnon, 1993)
(Philips and Ouliaris, 1990) i-, .
11.2.

2
3
4
5
6

11.2

0.01
0.05
0.10
-3.90
-3.34
-3.04
-4.32
-3.78
-3.50
-4.29
-3.74
-3.45
-4.66
-4.12
-3.84
-4.64
-4.10
-3.81
-4.97
-4.15
-4.43
-4.96
-4.13
-4.42
-5.25
-4.72
-4.43
-5.25
-4.71
-4.42
-5.52
-4.70
-4.98

: (Davidson and MacKinnon, 1993).

( (11.55)
). : , , (
(11.49) (11.50)).
{long-run equilibrium). xt
yt , yt /3xt

11.4. - (ARIMA)

285

( ), yt a f3xt
.

11.4.

- (ARIMA)


, .
, . . ,
,
.
,
,
.
-, ARMA . ? ,
,
.

,
.

:
yt

/3t + st.

(11.56)

yt
+ /3t { ) *,
. : , + j3t + 7*2; @ . .

286

. 11.

(11.56) ( ), , t . ,
.

.
,
4:
yt = S(t) + eu

S(t + 4) = S{t).

(11.57)

yt
S(t) ( )
st, . S(t)
S(t) = $\d\t + /?2^2t + fizdzt + fadit, ck
() (. 4.2).

:
Vt = Pidu +fo<ht+ fodst + p4<kt + et.

(11.58)

(11.58) , :
=

et,

= 0. (11.59)

(11.59) /%
.
,
(11.58).
11.1-11.4.

11.4. - ()

287

160
140
120
100
80
60
40
20

-20
0

50

100

150

200

250

300

350

400

. 11.1. ( )

-10

-30
-40

50

100

150

200

250

300

350

400

. 11.2. ( )

20

40

60

80

100

120

140

. 11.3. ( , )

288

. 11.
700

/1 /
1 V
(1

600
500
400

/1
V

300
200
100

',

>
^

D i - tr>
If)

OJ

CO

^t

<O

h*

CO


J
<0

O>

rJ

. 11.4. ( )

(11.43) . ,
, :

A(L)yt - et (. (11.45)), A(L) , .. A(L) = B(L)(l - L),


, zt = Ayt
B(L)zt = et.

(11.56) : ,
= + ,

= Aet = et-

et-i.

(11.60)

a+pt+^t
,
2

( ) = (yt - _)

- ( y t - 1 _ yt_2)t

A2yt = 2 7 + 2 4 ,
A2yt .

11.4. - (ARIMA)

289

(11.57) 4 = (1 ~ LA)yt = yt~ yt-4- (,


12,
, Ai2-)
, . ,
yt = Pyt-i+et,

>1

(11.61)

:
(11.61), V(yt) = ^ 2 V(y t _i) + 2., V(yt) = V(yt-i), V(yt) =
of/ (1 /2) < 0.
, V(yt) V(yt_{), .. (11.61)
. (11.61) ,
Ayt = pAyt-i + Aet,

(3 > 1,

(11.62)

- .
(11.62) . .
, , /
( ) ,
.
, ,
.

, ,
. ,
(). ,
.
-

290

. 11.

. ,
, .

(ACF) (. (11.42)), (correlogram)

(11.63)

. , . ACF, , PACF, .
(PACF)
4 (. 4.3)
. PACF(A:) (partial autocorrelation function) yt yt-k
yt~i,yt-2,

,Vt-k+i-

(. . 4.3), ,
yt PACF(fc) -
/3fc AR(k) :
= ) + P i y t - i + f32yt~2

+ + / 3 k y t _ k + et.

(11.64)

11.5-11.8
, 11.1-11.4.

11.4. - (ARIMA)
Autocorrelation

291

Partial Correlation

AC
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26

Q-Stat Prob

0.977 0.977 382.93


0.970 0.329 760.97
0.964 0.159 1135.3
0.954 -0.009 1503.4
0.947 0.014 1866.6
0.939 -0.017 2224.4
0.929 -0.029 2576.1
0.924 0.075 2924.9
0.915 -0.041 3267.5
0.905 -0.063 3603.5
0.900 0.072 3936.6
0.892 0.000 4264.6
0.884 0.006 4588.1
0.879 0.041 4908.4
0.871 -0.023 5223.7
0.864 -0.006 5535.1
0.855 -0.073 5840.6
0.847 -0.003 6141.0
0.841 0.036 6437.9
0.834 0.013 6730.7
0.824 -0.044 7017.6
0.817 -0.003 7300.5
0.808 -0.032 7578.0
0.802 0.028 7851.4
0.795 0.028 8121.1
0.786 -0.026 8385.5

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

. 11.5. ( )
Autocorrelation

AC

Partial Correlation

J
1

II

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26

0.995 0.995
0.990 0.027
0.984 0.019
0.978 0.071
0.971 0.070
0.965 0.068
0.960 0.036
0.954 0.003
0.947 0.098
0.940 0.044
0.933 0.019
0.925 -0.056
0.916 0.106
0.907 0.036
0.897 0.050
0.887 0.020
0.876 0.037
0.866 0.030
0.856 0.001
0.845 -0.059
0.835 0.049
0.825 0.034
0.815 0.001
0.805 0.017
0.795 0.015
0.784 0.046

Q-Stat Prob
397.01
790.84
1181.4
1568.1
1950.4
2328.8
2703.7
3075.1
3442.2
3804.9
4163,0
4516.1
4863.1
5204,1
5538.5
5866.3
6187.2
6501.5
6809.3
7110.2
7404.5
7692.7
7974.5
8250.1
8519.5
8782.6

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

. 11.6. ( )

. 11.

292
Autocorrelation

i
i
i

Partial Correlation
MUM

i
i

1
i

1
1

!>

I1

I
1
1

i
it

II

AC

Q-Stat

1 0.808 0.808 116.80


2 0.429 -0.642 149.96
3 0.031 0.096 150.14
4 0.261 -0.008 162.57
5 -0.398 -0.043 191.64
6 -0.357 0.138 215.17
7 0.174 0.114 220.79
8 0.097 0.213 222.54
9 0.343 0.035 244.66
10 0.490 0.096 289.92
11 0.500 0.067 337.34
12 0.374 -0.038 364.08
13 0.166 0.033 369.37
14 -0.038 0.064 369.65
15 -0.183 -0.029 376.17
16 -0.251 -0.098 388.51
17 -0.243 -0.075 400.15
18 -0.193 -0.181 407.53
19 0.102 -0.002 409.62
20 0.010 -0.004 409.64
21 0.121 0.034 412.58
22 0.201 0.052 420.77
23 0.202 -0.142 429.08
24 0.122 -0.015 432.14
25 -0.013 -0.086 432.17
26 0.160 -0.048 437.53

Prob
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

. 11.7. ( , )
Autocorrelation

Partial Correlation
1

i
i
]i

ni
Bi

n
a
a
ai
i
i

3i
i
i

n
11
|| i

11
iE i
11
11

S.
i

i
i

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26

Q-Stat

Prob

0.948
0.876
0.807
0.753
0.714
0.682
0.663
0.656
0.671
0.703
0.743
0.760
0.713
0.646
0.586
0.538
0.500
0.469
0.450
0.442
0.457
0.482
0.517
0.532
0.494
0.438

0.948
-0.229
0.038
0.094
0.074
0.008
0.126
0.090
0.232
0.166
0.171
-0.135

132.14
245.65
342.67
427.74
504.80
575.60
643.04
709.48
779.59
857.07
944.39
1036.5
1118.0
1185.6
1241.5
1269.0
1330.4
1367.0
1401.1
1434.1
1469.9
1510.0
1556.5
1606.1
1649.2
1683.3

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

0.540

-0.027
0.091
0.025
0.033
0.073
0.048
0.046
0.046
0.100
0.052
0.048
-0.163
-0.036

. 11.8. ( )

11.4. - (ARIMA)

293

( - DF,
- ADF, ) ., 11.3.


(ARMA)

:
(11.65)

() = 6 + @(L)et,

et ~ iid(0, 2),

(11.66)

() = 1-
> 0(L) = 1 - B\L
1
. (autoregressive moving
average) ARMA(p,q).
ARM .

AR(1)
ARMA(1,O)
yt = 8 + <h.yt-i + et,

e t ~ td(O, a2)

(11.67)

AR(1) (. 11.3),
(11.35)-(11.42). :

Ik = </>i7o,

Pk - Ik = \-

(11.68)

|^ij < 1 ' yt.


AR(1)
> 1. ( ACF(1)=PACF(1).)

294

. 11.

2)
AR(2) (
):
yt - - + 21-2 + t,

~ Hd{0, ).

(11.69)

> 0 (11.69) yt-k~ \1-\ + 1-

(11.70)

70

= 1,2,....

(11.71)

(11.71) 1,2 , = 1> - \ 2'-

{72)

2 = \1 + (11.72) -
(Yule-Walker) AR(2) . ,


(11.71). (11.69) yt
,
yt:
7 = 0i7i + 0272 + 2.
(11.74)
(11.70)
= 1,2, :

( "

11.4. - ()

295

, , ,
AR(2) :
<1,

2 + <1,

2-1<1.

(11.76)

,
, () =
1 - \ (fo-k2 , , .

AR(2). ( (11,72)) AR(3) . $ yt yt-z-
AR(2) (11.71) = \2 + -,
= 0. , PACF(&)=0 > 2. , , )
PACF(fc) , = +1.
, .
PACF ,
, , .
()
(moving average) q ARMA(0, q)
yt = S + Q(L)t
)

st ~ iid(0, a2),

(11.77)

MA(q). (11.77) , MA(q)


q (.
, . . AR .

296

. 11.


(1)
et ~ iid(0,a2).

= 5 + et-e1t-i,

(11.78)

(1) :
(11-79)

Vt = s - - 01*-1 ~ Bht-2 - + .
(11.80)
I \
, AR(oo) (1) (11.78) @(L) 1
.. \\\ < 1.
(1):
a2(l + ^ ) .

(11.81)

(1) :
7i = Cov(yt,ift_i) = E((e t - 5ie t _i)(e t _i - ^*_ 2 )).

(-82)

,
: &(\2_{) = 2.
2

7i = Cov(yt,yt-i) = -9 .

(11.83)

, 7fe = 0 fc > 1.
:
Pi='n/'ro

= -6i/{l

+ Ol),

= 0,

>1.

(11.84)

MA(q) , , ACP(fc) 0
> q, . . PACF AR(q) .
PACF(fc) MA(q)
, ACF(fc) AR(q) , . , :
(ACF, PACF) MA(q)
, (PACF, ACF)

11.4. - ()

297

, AR(oo) (11.80)
(1) (11.78) ()
AR(1) (11.67):
yt = {1-)~1{8+)

= - -het+<^it-i+0?^t2+ (11.85)


ARMA(1,1) (11.66)
(1) = 1-1 O(L) = 1 - :
.1=S

+ et-

et ~ *id(0,a 2 ).

0ie t _i,

(11.86)

, \\ < 1 |#i| < 1. AR(1)


(1) , , ARMA(1,1)
.
, , , ARMA(1,1) :

(1L87a)

~^>
70 = V(yt) =

f75

(11.876)

l q>i
1

71 = Cov(yt, Vt-i) = ^170 - he .

(11.87)

, :
=1

>1,

p i =

(11.88) , ACF ARMA(1,1)


, AR(1) (.(11.68)).
\ , \
.

298

.11.

ARMA(p,q) . q ACF AR
,
, AR(p) .
ARMA(p,g) .
PACF () .

- (ARIMA)
ARIMA
, . ,
yt , d , Adyt, A R M A ( P , Q ) (11.65). yt (integrated autoregression and moving average),
ARIMA(p, d, q). (, , , Ayt yt,
yt = Vt-\ + 4.)
- (Box, Jenkins, 1976)
ARIMA
.
I.
1.1. .
, : , ACF PACF,
. , , ,
.
, , .

11.4. - (ARIMA)

299

1.2. , ACF PACF, , , ARMA(p, q)


() (q).
, , + q < 3 ( ).
ACF PACF, ,
,
. 11.9-11.21
ACF PACF, .

Autocorrelation

Partial Correlation

3
4
5
6
7
8
9
10
11
12

0.539
0.319
0.190
0.092
0.014
0.012
-0.013
0.025
0.042
0.069
0.027
0.036

Q-Stat Prob
0.539
0.041
0.004
-0.029
-0.044
0.033
0.026
0.059
0.018
0.042
-0.051
0.028

116.40
157.37
171.91
175.35
175.43
175.50
175.56
175.81
176.52
178.47
178.78
179.32

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

. 11.9. AR(1). Yt = 0.5Yt_i + et. = 2


Autocorrelation

Partial Correlation

sax i
ai
i

1
t 1

i ]l

i
i

1
i

it

i )

it
i

i i

AC
1 -0.500
2 0.281
3 -0.125
4 0.104
5 -0.106
6 0.090
7 -0,096
8 0.080
9 -0.068
10 0.103
11 0.081
12 0.063

Q-Stat

Prob

0.500
0.041
0.041
0.063
-0.049
0.009
0.04
0.011
-0.010
0.074
0.009
0.002

100.19
131.88
138.15
142.49
147.01
150.33
154.11
156.70
158.57
162.91
165.60
167.23

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

. 11.10. AR(1). Yt - -0.5Ft_i + et.

o.ooo
= - 2

. 11.

300
Autocorrelation

Partial Correlation

1
1 )
1 1

1
1 1
1 1

1 II

11|

1II

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

AC

Q-Stat

0.700
0.403
0.203
0.072
-0.006
-0.021
-0.022
0.017
0.049
0.071
0.051
0.048

0.700
-0.171
-0.016
-0.037
-0.023
0.035
-0.016
0.071
0.008
0.025
-0.043
0.045

196.54
261.80
278.34
280.46
280.47
280.64
280.84
280.95
281.93
283.99
285.05
286.00

. 11.11. AR(2). Yt = 0.8*_1 - 0.2Yt-2


\ = 2 + , ii-2 = 2
Autocorrelation

Hi
1

Partial Correlation

01

1t
1i
1

11

1i

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

. 11.12. AR(2). Ft = - 0
fii = - 2 + ,
Autocorrelation

Partial Correlation

Prob
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

et.

Q-Stat

Prob

-0.670
0.353
-0.147
0.087
-0.088
0.090
-0.097
0.088
-0.086
0.106
-0.092
0.071

-0.670
-0.173
0.028
0.083
-0.032
0.009
-0.042
0.007
-0.030
0.062
0.029
0.010

179.75
229.82
238.48
241.55
244.67
247.99
251.78
254.96
257.98
262.57
266.04
268.12

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

Q-Stat

Prob

-0.757
-0.166
0.019
0.089
-0.030
0.006
-0.039
0.005
-0.028
0.054
0.037
0.005

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

= -2 -
AC

1 -0.757
0.502
0.310
0.220
0.183
0.159
7 -0.147
8 0.132
9 -0.124
10 0.133
11 -0.117
12 0.096

. 11.13. AR(2). < = -0.9 4 _ 1 -0


= -2.5, /z2 = - 2

229.80
331.10
369.71
389.25
402.74
412.98
421.84
428.98
435.28
442.49
448.15
451.98

11.4. - (ARIMA)
Autocorrelation

301

Partial Correlation
11
1 1
1 1
1 1

1 ll
1 1
1
1
1

11
1

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

0.778
0.532
0.336
0.188
0.087
0.045
0.024
0.042
0.060
0.072
0.055
0.045

Q-Stat
0.778
-0.185
-0.027
-0.037
-0.010
0.044
-0.010
0.073
-0.002
0.013
-0.050
0.035

242.73
356.60
402.15
416.43
419.51
420.32
420.55
421.26
422.73
424.88
426.11
426.94

. 11.14. AR(2). Yt - 0.9*_1 - 0.2Yt-2


= 2.5, (M2 = 2
Autocorrelation

Partial Correlation

m
i

i
iE

1
|i

>

It

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

0.163
0.269
0.094
0.080
-0.023
0.034
-0.039
0.039
0.007
0.079
-0.009
0.041

Prob
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

et.

Q-Stat

Prob

0.163
0.249
0.022
-0.001
-0.067
0.025
-0.028
0.043
0.018
0.063
-0.035
0.003

10.689
39.806
43.355
45.919
46.126
46.595
47.211
47.842
47.863
50.413
50.444
51.134

0.001
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
O.000
0.000

. 11.15. AR(2). Yt = 0.-1 + 0.2*-2 + st.


= -2.5, //2 = 2
Autocorrelation

ammi

i
i i
it i
i j

4
i
i[
i

n
)

i i

AC

Partial Correlation

H
>t
i
i|
i)
i
i
i

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

-0.593 -0.593
0.124 -0.351
0.004 -0.185
0.026 -0.034
-0.069 -0.068
0.076 0.003
-0.074 -0.050
0.056 -0,014
-0.055 -0.058
0.088 0.050
'0.077 0.024
0.035 0.010

. 11.16. MA(2). Yt = st - O.Qst-i


Hi 2.5, 2 = 2

Q-Stat

Prob

140.88
147.01
147.02
147.29
149.21
151.55
153.79
155.06
156.32
159.47
161.89
162.40

0.000
0.000
0.000
0.000
0.000
0.000
0.000

o.ooo

0.000
0.000
0.000
0.000

. 11.

302
Autocorrelation
(

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

if

i|
i
i

Ii

AC

Partial Correlation

i
i
i

-0.074
-0.151
0.048
0.008
-0.052
0.016
-0.043
0.009
0.015
0.067
-0.040
-0.002

-0.074
-0.158
0.024
-0.010
-0.042
0.008
-0.057
0.008
0.000
0.075
-0.027
0.009

Q-Stat

Prob

2.1884
11.407
12.338
12.365
13.451
13.559
14.316
14.352
14.438
16.307
16.974
16.975

0.139
0.003
0.006
0.015
0.020
0.035
0.046
0.073
0.108
0.091
0.109
0.151

. 11.17. MA(2). Yt = et- 0.1e t _i - 0.2e t - 2 .


\ 2.5, \i2 = 2
Autocorrelation

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

AC

Q-Stat

Prob

0.449
0.389
0.320
0.246
0.162
0.161
0.100
0.121
0.102
0.123
0.057
0.067

0.449
0.234
0.108
0.025
-0.037
0.040
0.021
0.053
0.019
0.052
-0.053
0.002

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

80.885
141.60
182.89
207.30
217.92
228.44
232.54
238.50
242.73
248.91
250.23
252.10

. 11.18. ARMA(1,1). Yt = 0.8Yt_i + et- 0.*_


HAR = 1.125, /j,MA - 2
Autocorrelation

i
I
i

Partial Correlation
i
mm.

m
ni
i
i

0i

i i

it

i i
i i
i

i i
i i

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

Q-Stat

-0.416 -0.416 69.346


0.381 0.251127.65
-0.271 -0.062 157.27
0.267 0.094 186.02
-0.251 -0.085 211.62
0.211 0.024 229.67
-0.206 -0.045 246.96
0.174 0.015 259.28
-0.141 0.013 267.43
0.172 0.064 279.54
-0.132 0.002 286.71
0.115 -0.015 292.13

. 11.19. ARMA(1,1). Yt = -0.8Yt_! + et


jj,AR = 1.125, = - 2

Prob
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

11.4. - ()
Autocorrelation

<

303

Partial Correlation

3
i

i
i

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

0.687
0.336
0.177
0.071
0.003
-0.013
-0.015
0.016
0.051
0.066
0.042
0.039

Q-Stat

Prob

0.687
-0.259
0.129
-0.107
0.018
0.004
-0.009
0.067
0.009
0.023
-0.044
0.057

189.53
235.01
247.59
249.63
249.63
249.70
249.79
249.90
250.97
252.76
253.50
254.13

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

Q-Stat

Prob

175.75
207.58
212.83
215.55
219.20
222.85
226.53
229.26
231.83
236.10
239.50
241.12

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

. 11.20. ARMA(l.l). yt =
fJ,AR - 2,

Autocorrelation
8
i

3
1

1
i

0
i

Partial Correlation

t
i[

( i
1 g

= -2

1 i

01

1 ]i

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

-0.662
0.281
-0.114
0.082
-0.095
0.095
-0.095
0.082
-0.079
0.102
-0.091
0.063

. 11.21. ARMA(l.l). Yt = fiAR = - 2 ,

-0.662
-0.279
-0.117
0.021
-0.047
0.008
-0.047
-0.006
-0.046
0.054
0.029
0.014

= 2

II.
11.1. .
11.2. , . , ,
, . . .

304

. 11.

III.
,

.

-.

ARMA
ARMA , , , .
ARMA(1,1) (11.86).
:

4 = ()-1(5 + to_!) +

(11.89)

Q(L) - 1-diL G(L)- 1 = l + 61L + ejL2 + - . (11.89)


- yl = Q(L)~lyt,

^. .
, : = -1 = 0. :
= 2/1,

\ = VI

(11.89)
+et,

<5* = - A _ .
1

(11.90)

(7

, \ ,
<5*, <f>i, .
(11.89)
(conditional ML), \ , , et ~ UdN(Q, 2).

11.4. - ()

305

L* = (*2,1 ... ,)

= f[p(y}\y*t-i)
t=2

= lnL* = c o n s t - ^ i h a 2 YM~?-4>xyU?- (-92)


/* , 6,\

. (,
(11.92)
5,\.)
(full ML)

L = P(yi)L*.
(.(11.39),(11.40)), \ ~ N(S*/(1 ), <2/(1 \))

t2

(, (11.93) 6*
5 \.)

ARMA
, ARMA ,
, .

306

. 11.

-, , .. t- .
-, St . , . . e t , .
.
, , 0.
:

. - ?=fc+i e*e*~fc

_ 1

(1

2-it=i et

, ,
. , iV(0, ^). = 5 - 6.
0 * 5%-
.
Q- - (Box, Pierce, 1970)

(11.95)

Q 2{ - - 9 ) , p,q ARMA .
, Q .
- (Ljung, Box, 1978) -.

- \
n

(11.96)

11.4. - (ARIMA)

307

, Q,
2

.
,
, ARMA ,
. , , 4,

. , 4,
- 4.
, ARM
, , , .
AIC (Akaike information criterion) (Akaike, 1973),

AIC

= 2 i + In (ULA)
n

(.97)


:
. ,
AIC.

(Schwarz criterion) (Schwarz, 1978)

(11.98)

AIC
.
,
R2 (3.28).

308

. 11.

ARIMA
. : et, .
, , .
ARM A (1,1)
(1,1,0) ( ).
ARMA(1,1) .
(11.86) + 1:
+1 = 5 + 1 + en+i - 0i n .
. E(yt) = 8/(1(+1 -)

= \{ -)

{), :

+ en+i - -

(-99)

, , yn+i = E(yn+i\In)
(. , .2), 1 , . (11.99) :
(+i ~(J-) = \( - /) - \.

(11,100)


V(e n + i) = 2.

en+i = +i ~ +l = n+i,

(11.101)

(11.99),
(+2 - /0 = \{ -) + +2 + ( - 0i)en+i - &.

(11.102)

(11.100) :
(+2 ~ ) = \{ - /*) -

^)2).

,
{+s -)-

\{ -)-

^,

(11.104)

11.4. - (ARIMA)

309

, ,
. ,

, , (11.876).
ARIMA (1,1,0) .

. yt, z% AR(1) (. (11.67)):
-Vt-

Vt-

- = \(-1 ~ *) + *.

(11.106)

(11.106)
+s + Zn+l + Zn+2

zn+s

= ( + six) + (zn+1 ~fj,) + --- + (zn+s

-).

(11.107)

zt - \x (11.106) (11.107), :
= + 8fi + ^ ^ - ( - -i - *) + e n + s ,
1 01

(11.108)

.
en+a = sn+s + (1 + ^i)n+s-i H
+ (1 + 1 + \ + + # " " % + !

(1110
, ,
, (11.108). , s.
s e n + s . (11.109)

,
.

310

. 11.

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

ARIMA
ARIMA
.
. yt ()
. ,
:
Vt = <}>{s)yt-4 + Uf
, , AR(1)
= \-1 + t,

Bt ~ iid(0, a2).

Vt = - + ^- - ^- + et.
AR(l)xSAR(l). AR(5)
() .
,
, (Johnston and DiNardo, 1997), (Box and Jenkins, 1976).

11.5. GARCH

11.5.

311

GARCH

ARCH
GARCH , , , 80- 90-
.
. ,
yt ( ):
(11.111)

yt = x'tf3 + ut.

,
, .., ,
(. 11.22).

.

co

4
Q

-Jul

d>

8-!

Apr-

. 11.22.
(Engle, 1982) . af = (\-1,...}-)
=
t-i,..., ~) v,t ( ,
,...,41..) = 0).

312

. 11.

:
\ = 0 + 1?-1 + + Oipuj_p.

(11.112)

(11.111)(11.112)
(AutoRegressive, Conditional Heteroscedastic), ARCH(p).
, ARCH(l), :
* = x'tP + .

(11.113)

1/2

Y(ut\ut-i) = E(ut\ut-i) = + ai*4_i>

: () (-)
/ (1 \). , (11.113)
.
. ,
(. 10.5). ,
(11.113)

ut = yt-

Pt

, ARCH(p) (11.111)
(11.112) .
, (11.111)
? :
1. (11.111) -

2. ef = a o + S i e ^ ^ - ' + ? +

11.5. GARCH

313

3. : \ = . . . = = 0.
.F-
LM (. 10.6).
(Bollerslev, 1986)
(11.112):

(-5)

(11.111)(11.115) , q (Generalized
Auto-Regressive, Conditional Heteroscedastic), GARCH(p,g).
uf ARMA(max(p,qr),f?) (11.56).
GARCH(1,1) .
GARCH , , ARCH-M, EGARCH.
GARCH , , (Greene, 1997), (Hamilton,
1994).
. GARCH . () ( , ) (Peresetsky, Ivanter, 2000).
BLCPt GKOt ( ) .
Xt -

BLCPt _ GKOt
m
~ BLCPt-r
GKOt-i

Ai

1 :
= const + /J-Xt-i
AXt = Xt-Xt-v
.
GARCH(l.l) 10.01.96-10.10.97 ( EViews)
(Peresetsky, Turmuhambetova and
Urga, 2001) .

. 11.

314
Variable
Coefficient

0.000735
Xt-i
-0.768658
Variance Equation

5.14-" 5
ARCH{1)
0.1851
GARCH(1)
0.7296
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

Std.Error
0.001554
0.067768

t-Statistic
0.4728
-11.34244

2.14 10~5 2.401


0.0792
2.336
0.0875
8.337

0.379
0.369
0.02283
0.128
603.5
1.916

Mean Dependent var


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

Prob
0.6368
0.0000
0.0171
0.0203
0.0000
-0.000341
0.0288
-7.538
-7.538
37.57
0.0000

0.010
0.009
0.008
0.007
0.006
0.005
0.004
0.003
0.002
0.001
0.000

en

a>

a>

04-

CO
CO
CO

02-

co

0}

12-

02-

CO

-90

C\l

cb

00

. 11.23.
2 . , 30 1996 9
1996 , .
1996 .
{volatility) .

315

11.1. ,
(11.2) () (. . yt = yt+i = xt = xt+i = =
11.2. , , (.)
11.3. , (11.3) , : () = 1 - .\
.
11.4. , icoti... ,xrt (11.7), xt,xt-i,... ,xt-q (11.5).
11.5. (11.12).
11.6. , , (11.11), $) :
) plim(l
)

(1/)?-1=*2/(1-/?2).

11.7. ' (11.16) (11.17).


11.8. ,
A(L) = (1 - - 2) = (1 - AXL)(1 - A2L)
, , |Ai| < 1 ]| < 1.
. ,
AR(p) ADF, ,
(11.52) AR(2) .
11.10. PACF(A;)
AR(1) .
11.11. ,
AR(2) , () =-\-\- <fo2 ,
,
.

316

. 11.

11.12. , (11.76) AR(2)


,
) 1 - \ <t>2L2 = 0 .
11.13. PACF(fc)
AR(2) .
11.14. (. . 4.3) Yt. , -
PACF(fe) - /
AR(k) :

11.15. , MA(g) ACF(fc)=0 > .


11.16. (2) .
11.17. , AR(1) (11.67) yt =
\{-1 - I) + St s yn+s /J-+\{ - j"), V(e n + a ) =
(
^
#
^ 2 ) 2
11.18. , (1) (11.78) s
y n + i = 8 - \1 +3 5, s > 2,
2
V(e n + J l ) = (l + \) = V(yt)11.19. (11.104), (11.105).
11.20. ACF(fc)
PACF(fc) (2) .
11.21. ,

yt - aj/t-i + /3xt + et,
Ayt = 7y t _! + /3xt + t,
. ( Ayt -yt-

yt-\.)

11.22. yt = 1 + 0.4yt-i + 0.3yt_2 + ut - AR(2) , iV(0,1) .


(

)t

E(yt | y

317

11.23.
yt = Pixt + foyt-i + , ut ~ put-i + st,
0 < / ? < 1 - . :
, . .
Ayt = Pi &xt + AjAj/t-i + vt>

(**)

vt = (p- l)ut~i + st.


) , (*) (**) -
@ = [ ]' .
) , (*) ,
1.
) /3 , .

12

, -
, , 0
1, ( ).
, , . , (. 2.3) ,
, ,
.

. .
1. . :
- ;
- ;
- - 318

. 12. 319

(, ..);
- (, , );
- ( , , , );
- (, , , , ); ..
( ), , 0 1, .
, , , 1,..., . (
), .
(qualitative).
2. . ,
, .
:
- (, , , );
- ( , , , );
- (, , );
..
, (ranking).
3. . :
- ;
- ;
- , ; . .
, ,

320 . 12.

, . :

,
. '
,
. , ,

,
.
, ,
, , ,
, , (censored) (truncated) .
(, ..). , ,
.
0 .

. ,
,
, , .
-

12.1.

321

. ,
.

,
. . ,
. .
.
.
,
,
.

12.1.

. , , , , 1,
, =
. , : ,
, , . . (,... ,/.)' ( ).
, ,
().
,
. : probit- logit-.

322 . 12.


:
yt = x'tP + et,

t = l,...,n,

(12.1)

t (), /3 = (/?i,..., /%.)' (), t .


yt 0 1 E(t) = 0,
(1) = 1 -( = 1) + 0 -(* = 0) = (, = 1) = 4/3.

, (12.1)
(12.2)
{linear probability model).
, /3 .
(12.1) , : t = 1 x't (3
(* = 1) et x't (3 1 l?(yt 1), , , .
, ,
V(et) = '4/3(1 - /3) xt, .. (12.1)
(. 6.1). ,
/3, ,
,
(. 5.3).

, yt = x't ft,
^ P(yt == l)i
[0,1] (/3 (3, ), , , .

12.1.

323

.

,
,
.

Probit- 1-<.


P(?/t = 1) /3 (. (12.2)). , ,

P(yt = l) = F(x'tp)t

(12.3)

F(-) ,
[0,1]. , F(-)
. (12.3) .
, *, xt

yt = x'tP + eu

(12.4)

t
2. F(') */\ yl (), ,
yt 1, , * . , , yl t. ,
,
. $
1 0.

324 . 12.

,
= 1,
yt = 0,

y*t > 0,
\ < 0.

^12 ^

, , et
F(-) (.. F(-x) = 1 F(x)),
:
( = 1) = (? > 0) = P(x't/3 + e t ^ 0)
= P(e t > -*{/3) = P(e t < asi/3) = F ( ^ ) ,

(12.6)

(12.3).
. (12.4)-(12.6) /3
(. . /3/).
, = 1.
F(-) :
:

1
f
F{u) () = = /

"

dz

V2TT J

probit-;
:

F(u) = () = -?-
logit-.
(12.3) . . , (probit logit)
, . , , , . ,

12.1.

325

, (,
[1.2, 1.2]), () ()
, . , , probit- /^-,
, , .
(12.3) /3,
. ,
F(-) (-). ( , . 19)
t ( ), :

ox

= F'(x'P)p = {'(3){3.

(12.7)

, Xj, j = 1,...,
= (\,..., /,)'.

(12.7)
.

/3 (12.3)
( 10). ,
yi,...,yn . yt 0 1,
:

L - ... ,) = (1 ~ F(x't

326 . 12.

, :
-F{x[P))].

(12.9)

(12.9) /3 (
, . 19),
l-F{x't

logit- . ,
'() = ()(1 ()),

(12.10) ( ) , . ,
. (., , (Greene, 1997)), probit- logit-uo I , , (12.10)
/3. probit- logit-. .
.

.
1999 . . . -.
?

12.1.

327

logit- , 1
, , . ,
, ,
21 1999 . 1 ; , 4-
; ,
. 0. (, ,
, ,
, , , . .) :
TOTLIAB (. .);
CURRENCY (%);
EQUITY/ASS, EQUITY - (. .),
ASS (. .);
PROPIT/ASS, PROFIT () (. .);
RETAIL/TOTLIAB, RETAIL - (.
.);
TOTLIAB/PREF, PREF
(. .) 182 .
logit- 12.1. . ,

.
, , , .
12.1

. . . t-. -.
-3.68
0.000
0.87
-3.19

2.97
0.003
7.21E-08
2.14E-07
TOTLIAB
0.021
-3.13
0.031
-0.09G
CURRENCY
0.022
-2.31
3.71
-8.58
EQUITY/ASS
PROFIT/ASS
RETAIL/TOTLIAB
TOTLIAB/PREF

-26.99
3.53
2.00

9.49
1.23
0.90

-2.84
2.87
2.23

0.005
0.005
0.027

328 . 12.


probit- logit- , ,
, , , , 10 (. 10.6).
,
probit- 1-,,
.

,
, (12.3). .
, , (Greene, 1997)
(Johnston and DiNardo, 1997).
(12.4), (12.5) (12.3) *, , t , , . (.6.1), , .. ,
, . , ,
. , . et, t 1,... ,
4, t 1,. . . , () , (12.5). ,
(12.6), :

= 1) = (^j,
(-) .

12.1.

329


(12.9):

, + 1 (
1), .
, -
( 6),
( . (Greene, 1997)).
. 4.4
. :
(12.4) (12.3)? .
, , ,
, , ( . (Greene, 1997) (Johnston and DiNardo,
1997)).


, , , ,
, .

(),
.
v ,

330 . 12.

: , , .
, :
{ = 1 , = ; 8 = 1
3
1
, = 0 ; = 1 -, , * = 0 .

, .

/
' = 0\/


=1
>

, , .
. , ,
(* = 1) = / = 0, = 0) = (* = 0)( = 0i | { = 0).

( ), ( ).

.
: -, , , ,
*
( , probit- logit- -

12.1.

331

1 0).
, , . , t j
Utj utj + %, 3- , a stj . " t
j , Utj > Utk j . ,
(* = j) = ( + stj > + etkVk^j,k

= l,... m).

(12.11)


.
( , ), , , , ,
. , , ,
P(yt = j) (12.11) . , F(x) = (~) (

,
). ,

+ ()

'

(12.12)

, utj /3:

332 . 12.

/#- (multinomial logit model)^.


xtj , . , , , xtj , ,
, .., . : ' \',%%
: /3' = /, 5']. (12.13) exp(z'td), , S (). ,
, /<7^- . ,
, 6 , .. utj = y'tfi + z'tSj.
:

( ).
,

.. ,
.

logit- . , (12.14) , (12.14)


(., , (Greene, 1997))
.9*- (conditional logit model).

12.1.

333

/32 /, . . . , / fii. (12.14) / = 0:


( = 1) =

exp(x'tf32)

+ -,
|\

_. ,- 1 -. 1 /

(12.15)

, = 2 (12.15)
(12.3). (12.13) = 2
/#-, Xt2 &ti
, logit-
, utj no j . , . , , , (, , ,
). , ,
( ). ,
, .
.
(12.12) ,

j , = 1,..., m, . . .

(independence of irrelevant alternatives).
, ,

334 . 12.

, P(y t = l)/P(2/t = 2)
, ,
,
.
logit-
(Greene, 1997).

, , () , (12.4), (12.5). . ,
:
1 ;
.2 ;
3 , .
, ,
* :
= 2,
= 3,

\ < * ^ 2 ,
* > 2,

ci,C2 . ,
* (12.4), , = 1, :

= 2) = F(c2 -x'tp)-

F(d -x'tp),

(12.16)

F(-) , probit /</^-.


(. (12.8)):

12.

335

ci, C2 , .
probit- logit-.
(3 , , \,%.
.
= < \ < < - < = , () *
(12.4):

yt = x'tP + et.

P(Vt = 3) = P ( c * - i < yl < Cj), j = l,...,.

(12.17)

,
= j) = F{CJ - x't(3) - F( C j _i - x't/3), j = 1,... ,m, (12.18)
F(-) *. ,
:

L==

U
j=l

{t:yt=j}

, /3
J, j l,...,m-l.
. . (, , , 2003).
. (,
. .) .
, , , , . ,
. (, , ,

336 . 12.

2003), , (12.17), (12.18), () . 115 , 6


(n = 115,m = 6).
:
BP/SK ;
DOSTKAP ( HI );
DKE/VB
;
MGLIK ( 2 );
SK .
(12.17), (12.18) , 12.2.
12.2

BP/SK
DOSTKAP
DKE/VB
MGLIK
SK

-0.132
0.054
2.904
-0.019
-7.63 - 0 7

,
DKE/VB, 1%- , DKE/VB 5%- . .
,
,
, ( ) .
, ( ) ( ).
0.76, 80% ,
1 ( ).
.

12.2.

12.2.

337



, , - , .
, -, ( 10). ,
, . . ,
.
Z
p{z). , p(z \ Z > )
z

p(z | Z > ) = ~^

> '

(12'19)

F(-) Z.
Z Z >

/00

E(Z \ Z > )=

/ zp(z \ Z > a) d z .
Ja
V(Z \ Z > ).
, Z ~ N(m,<x2),
E(Z\Z>a)=m+aX(c),
V(Z \ Z > ) = 2 (1- 7 ()),
(12.20)

=(-)/,

() = ^ ^ ,

(<0 = ()(()-),

(-) </>()
. , 7 ( ) < 1 .

338 . 12.

, (. . 3.1)
yt = x't(3 + et,

et~N(0,a ),

(12.21)

, yt > a.
(12.20) :
(12.22)

(12.23)

ct = ( [(3)/.
. (12.22), t
'{) = (), :

0 < 7( ) < 1 ,
.

ut,

(12.25)

(12.22) <rA(ej) (12.23). , , , /3.


,
. (12.19) yt

1~-[)/

12.2.

339

, , () :

(1227)

ct\(ct))
Qa2

^y

2cr

2cr22 JJ

"

, ,

(12.27), (12.28) (12.26) .


, yt < <
Vt<b.

Tobit-


. (, 1958), . (

340 . 12.

). . , ,

, . ,
, ,
.

(12.4), (12.5). *
y*t=x't(3 + eu

(12.29)

(12.30)

0,

> '
yl < 0.

(12.29), (12.30) &-, Tobin probit, logit.


E(yt), , et (12.29)
1
.
:
\ ^ 0)(* < 0) + Efefc | > > 0)
= 0 ( | < 0) + P ( e t > -x't {3)(x't /3 + E(et\t>
-x't /3))

[ /3. (12.20).

/3, () 0 (12.31),
- (. 3.2).

12.2.

341

/3 ,
, .
(12.30)
, :

, . ,
probit- logit-, /3 , L
.

(12.32)
.
-. (12.31)
, :

( ^ 1 ) ,

(12.33)

. . , .
probit- /<?-, (12.33)
.
(McDonald and Moffit, 1980) (12.33):
&

= [(*)(1 - (* + )) + ()( + )} /3,

(12.34)

342 . 12.

, (12.34)

( 1 2 3 6 )

(12.35) , *
,
.
&-, probit- logit-, ; , , , , (Greene, 1997), (Johnston and
DiNardo, 1997).

tobit-,
. yt 0 t
(,
, ..). yt > 0,
yt (
, . .). ,
tobit- , .
, Xj : fa > 0.
. ,

.
. ,
. .
, , . -

12.2.

343

, ,

.
, ,
.
, % ( )
y* = x't(3 + t.

(12.36)


:
* = z'a + ,
gt = 1,
# = 0,

(12-37)

% ^ ,
0?<,

Zt ,
xti .
:
= I/?, gt = 1,
yt , gt = 0,

gt > 0,
gt < 0.

xt) zt t. , , [et,ut]' , E(e t ) =


) =(),V(et) = -2,V(ut) = * = l,Cov(et,ut) = aeu. t . , \ = 1
probit-.
(12.36)-(12.39) (Heclc2
man model, . (Heckman, 1979)) . ,
* =* zt, (3 7, * = ioi^-.
2

sample selection model. , tobit II ,


, /tecfcit-.

344

. 12.

yt ( ,
). (. 12.15),

_
-*,
(12.40)
(?#) = 0, ( ,
(12.40)
E(et | )).

= x't(3 + <{ | >

-z'fi)
(12.41)


(12.20).
(12.41) ,
yt , , /3. = 0, ..
,
. <(^'')/([') (12.41) {["/)
(Heckman lambda).
Xt,zt (12.36), (12.37) , , , , xt, H B Z J .
. ,
. , w%, ,

w*t=x'tf3 + et,

(12.42)

^ (, ,
..), . (12.42) -

12.2.

345

. , , , * . , ,
(reservation wage) (. (Gronau,
1974)). , ,
. , . , ,
.
, , , , ,

, , ,
.
wl t, ,
wrt = '/! + ,
x\t . ,
9t wl wl,

gf = x't/3 - '

(12.37):

9t = A

t , , , * > 0, .
, (12.36)-(12.39). zt,
, xt .
, * ,
trm * Cov(et>i - &) - #1 > 0. ,

346 . 12.

,
.
. MQ t, gt = 0, \ t, gt = 1.
:

>

= 1).

(12-43)

f(yt,gt 1) () i/* ^t ,

f(yt) yt. (12.43)


:

+ Y, [( = 1 I I/O + / ] .

(12.44)

Mi

P ( P t = 0) = 1 - ( ^ 7 ) ,

(12-45)

(12 46)

, P(gt = I \ yt) ( , . 4, N13): * \ Vt


v(<b) = i -

12.2.

347

,
( ^ + (;/^'-* ! / 3 ) )

(12.47)

, (12.44)-(12.47) .
, , , (12.44)-(12.47) (12.44). , , (12.41). , (12.41)
:
yt = x't(3 + au\(z'tl)

+ vt,

(12.48)

, , ct,7f
At = \(z'tj) , (12.48) ,
(3. - , (12.37)(12.38) ( ). 7 B (12.48) , /3 ( ). , . , , v% (12.48). ( , , (Greene, 1997)), -

.

348 . 12.



- ,
- :
,
, , , . .
. (duration models). ,

().
, , .
((Lancaster, 1974),
(Lancaster, 1985), (Heckman and Singer, 1984), (Kiefer, 1988)).

. (hazard rate):

F(-) , (-) . (12.49) (inverse Mills ratio). (12.19).


: i
, . . > t, At X(t)At,
(-).
. , :
, .
?

12.2.

349

, ,
.
?
: ,
, , ?
, (12.49) ,
F(t) = 1-exp (.. (-).


1 - F(t) = e~xt

X(t) =

1 - F(t) = ~ *

1 - F(t) =

1 +

1
,^

() = " 1
.
A(t) =
w

> 0, > .
; \(t) > 1 < 1; -
, . , * ,
, 6-. , . . . , . UCO , (UnCensored Censored Observations),

:
ieuco

ieco

350 . 12.

, (-):

1= (<)+
ieuco
iecouuco
.
. ,
= (\,...,)' .
, , Aj = ~^ ( ),
(12.50), /3.
. (Greene, 1997).

12.1. , /- ,
.
12.2. (12.20).
{. '() = ().)
12.3. (12.33).
12.4. (12.35).
12.5. P(y t = 1) = F{a + fidt),
d ( 0 1).
100 :
0
d

20

32

36

12

) , /?, %-. : /3 0.

351

) ) -. ?
12.6. ( /3) logit-.
12.7. tobit-: \ = + et ~
N(0,a2), yt = ?/t, \ > 0, yt = 0, t/t* ^ 0.
30 yt:
0.768
0.000
1.010
0.000
0.000

2.911
1.233
0.000
2.487
0.060

0.461
1.868
1.422
3.469
3.198

0.000
0.709
1.543
1.778
5.546

0.678
0.000
4.411
2.931
1.546

0.000
0.000
2.385
1.283
4.680

) - yt-
?
) ) 0 yt.
12.8. 100
(x,y,z).

12
10
20
0
8
28
22
0

0
0
0
0
1
1
1
1

0
0
1
1
0
0
1
1

0
1
0
1
0
1
0
1

) %- ( = 1) = ( + ( + jz)
z .
) P(j/ = 1) = + / + jz
z .

352 . 12.
12.9. (/3, 2)

{1~ ),

yl = x't/3 + et,

, = 0, V(e) = 2I.

= {*, },

12.10. \ = /?i +02xt2 + + , ~ N(0,a2) .


1) d :
^

fl,
|,

y*t > ,
.

) , dt = 1, .
) (xu,dt)?
)
.
) , xt2 .
.
2)

_ *> \ > ,
1 0,

) (.Tt,l/t)'
) xta
\.
)
. 1 ) .
?
12.11. = +2 + . ,
\ = 1 = 1, = 0 = 1>
= 0 = 0. , /(/-,
probit-, .

353

12.12. ,
- ( /3) .
. , +
>()/() > 0, .
12.13. :

1, \ > ,
, ,

= ' + st, et .
) /3. /3?
) , /3, probit-,
,
.
?
12.14. yl = x't(3 + et, et f(x)

/,*, < $ < 2,


2 , 2/J1 > ) yt) /3.
) (8)/().
12.15. , (12.40) rjt .
12.16. (. 6.14).
. . = 0 22.5%
. , -
, .
tobit-, >3.

354 . 12.

12.16.1. ) , = 1,
v3 > 0 = 0, = 0.
) ( , 6.14.1-6.14.10). . ? ?
) , . 0 1?
12.16.2. ) probit- . .
) . ).
) , - . . .
) /,, .. yi = 1.
probit.
12.16.3. ) 12.16.2, logit- probit-.
) , probit logit-.
12.16.4. ) tobit- = 1( + 1), , 12.16.2.
) , probit'
, logit- &-.
12.17. 16
. . , . , ,
, ,
. , .
(UK
National Child and Development Survey).
, 1958 .
(Micklewright, 1986).
.

355

( , ).
. choice.xls 3
(. 12.3):

*16

ableJ
loginc
ctratio
oldsib
yngsib
etot

female

12.3

, 16- (1 , 2 , 3 )
,
7-
( 16 )
(, )
( 16 )
( 16 )

( 16 , )
(1 , 0 )

12.17.1.
, . 6 . .
12.17.2. school, 1, atl6 = 1,
0 . /-
school . ?
12.17.3. 12.17.2, probit logit.
12.17.2.
12.17.4. logit- probit- . , .
3


http://www.data-archive..uk/findingData/ncdsNews.asp

356 . 12.
12.17.5. logit- probit-
( female). .
12.17.6.
, ( ).
12.17.7. , , ,
.
().
12.17.8. , school = 0,
job, 1, atl6 = 3 ( ), ,
= 2 ( ).
12.17.1-12.17.7 ,
.
12.17.9. , , ,
(school = 0 job = 1) . ().

13


13.1.

(Panel data)
(, , , , . .), .

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

,
, , ,
.
, -

36?

358

. 13.

, .
, 1, , (Ben-Porah,
1973). ,
, 50%.
?
. , ,
50% . , , 50%
, 50% . ,

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

13.1.

359


.

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

. , ,
. ,
(. . 4.4). ,
.
, ,
,
(
) .
-, . , National Longitudinal Survey of Labor Market Experience (NLS),
http://www.bls.gov/nls/home.htm.
, Michigan Panel Study of Income Dynamics (PSID),
http://www.isr.umich.edu/src/psid/,
. (Russia Longitudinal Monitoring Survey, http://www.cpc.unc.edu/rlms/), -

. 13.

360

(, , ..).

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

13.2.

, . t,
() ( ) , = 1,..., n, t = 1,..., .
'-

1\

:
,

( ?/, 1 , X .)

13.2.

361


= x'it/3 + sit

(13.1)

e,

(13.2)

, , . , # , t, .
{pooled model). - /3OLS
.
, . :
= { + '(3 + , ^
(13.3)
,
,
.
,
.

= + \ + %,

(13.4)

, /- '
.

( )

362

. 13.

, , . .
yit = /J. + x'itp + qiPk+i + ,

(!3-5)

qi . , - (13.4)' . qi ,

(13.3). . Pk+i>
(13.5) ,
/3.
.
(fixed effect model): , (13.3) .
(random effect model): , (13.3) = fi + , / ,
, ,
.

. .

13.3.

(fixed effect model) (13.3), . , :


1) *,
) = 0, V(e) = al2) Xjs
i,j,t,s.
: <% = 1, - j , dy = 0, j ,

13.3.

363

(13.3)

= 5 3 ajdij + ' + elt.

(13.6)

> =

= In


= [1,..., 1]' , 1 , = [ai,..., ]',
(13.6) (13.2) :

= Da + (3 + .

(13.7)


,/3 .
1)-3) -
. - (Least Squares
Dummy Variable estimator, LSDV). .

,
. (, /3), ,
, . - ,
.

364

. 13.

.

( ). ,
(13.7), . , ,
(3. (13.3) :
(13.8)
{ = ^Yd=\Viu Vi = ?Tf=ixit,
(13.8) (13.3),

i = ^Yl^\it-

Vit ~ = ( it - Xi)'/3 + it - i-

, (13.3),
. (13.9) :

= /3

+ >,

(13-)

Mr, = 1 D(D'D)~1D'
,
. (within
transformation).
(13.9) ( (13.10)),

3 = {X'MDX)~l ',

(13.11)

- /3 (13.7), .. -
(. 4.3). (within estimator) (fixed effect estimator): /3 = 3w = 3FE-
:

13.3.

365

1)-2), , .

Si = i /, = 1,..., . , ,

t > .
(13.11)
/3 :
1

V(3FB) = ^(')-

-1

I
=1

tei

(13.12)

, <Tg (13.9)
( (13.10)), :

1
1

--,.

V-^,

. ,t ,

_w^

( 1 3 1 3 )


( > ), (t-, .F-)
/3.
.
^ , . , , , /
.
. , (13.9)
(, , [D X] (13.7) ), ,
, .

366

. 13.

,
, ,
, .

- .
() . . .

.
- .
, ,
48466 1993-2000 . 1020 . ,
- Q = AKaL^, Q ,
, L , .
, /3 () .

STATA.
, .
1. () . ,/3 \nQu
In , In :
Dependent Variable: lnQ
Variable
Coefficient
\nK
0.32957
lnL
0.92838
const
-2.48807
R-squared

Std. Error
0.01636
0.02465
0.02465

t-Statistic
20.148
37.657
-31.084

Probability
0.000
0.000
0.000

0.5805


, , : ,
1. ,

13.4.

367

,
.
2. .
Dependent Variable: inQ
t-Statistic
Probability
Variable
Coefficient
Std.Error
4.777
0.02391
0.000
In
0.11421
18.986
0.03181
0.000
inL
0.60393
3.917
0.19401
0.000
const
0.75995
2.17317
0.763405
(fraction of variance due to a-)
0.890154
p
F-test that all ati = 0: F(2402,6013) = 17.62 Prob > F = 0.0000
,
: , . , ,
F-
( ).
, .

13.4.

(random effect model)


= / + '/3 + + ,
(13.14)
/ , ,
. ,
, . ,
:
1) , () = 0,
V(e tt ) = 2;
2) XjS ,
3, *, ;
3) , ) = 0, () = \

. 13.

368

4) Xjt ,
5) Ejt i, j , t.
(13.14)
, = + .
13.2, (13.14)
{ = + + Wi
(13.15)
, ,
(13.16)

= + (3 + .

, (3
(13.16) . 1)-3) . (13.16) ,
(. . 5.2).
, w\ = [ 4- ,... , + &]',
Wi (13.15)

S =

*2

<rl

(13.16) :

ft = E(ww') =

= 1


(5.4) /, /3 X. -

13.4.

369

,
(13.17)

(1
1
, . 18) fl" = In <g> S " . (5.4)

( (

(1>

(13.20)
(13.18), (13.20) , /3 (random effect): 3GLS = 3RE-
, , /3 R E .
(. 13.3) , (13.3)
(13.9).
(13.14), :
{ = [ + (3 + +.
(13.21)
, (13.21)
, (between estimator): /3 = /3g, ,
,

. 13.

370

> , . , 13.3, (13.21)


:
1
=1

=1

=1

=1 =1

=1

=1 =1

.
(13.20) , S " 1 (13.17),
(13.18)
:

(13.22)
(. 13.2), W ,
, /3Q ( .
(Hsiao, 1986)).
,
- . , 3OLS>
( (13.2)),
- (. 13.3).
, , ' = S " 1 ,
(13.16)
~
, , .. / 3 R E (. . 5.2).

13.4.

371

(. 13.4),

(

(13.23)

^' . :
- (1 - % = (1 - 0)/Z + (Xit - (1 ) () .
, / 3 R E (3^(= /3FE)
-+ 0 3 R E - 3OLS

^ - * 1-

(
),

(13.25)
(. 13.5).
(13.12) (13.25), , (
) V(/3RE) ^ V(/3W).
% .
(13.20) (. . , . . 5, . 5.3), \
of. . of
(13.13) . (13.21) :

$ = {+) = * + 1*.

(13.26)

372

. 13.


:
2

\
_

(13-27)

=1

, (13.26) \

^2

-~2

^ ~2

/in \

, .
(13.28)
\. , ,
, .
\,
.
(Greene, 1997, 14.4).

.
- . 1 (. . 13.3, . 366).
- -
:
Dependent Variable: inQ
Variable
Coefficient
In if
0.24671
lnL
0.77544
const
-1.13749
1.94279
cru
0.76341

Std. Error
0.01763
0.02578
0.11982

z-Statistic
13.990
30.078
-9.494

Probability
0.000
0.000
0.000

,
. ,
,
.

13.5.

373

.

/3:
1) - (13.1).
2) , .
(13.9).
3) (13.21).
4) , (13.14).
/3 O L S , 3GLS - (, , ).

13.5.

( , ) R?
R^-. ,
. . -,
. -,
,
.
,
R2

374

. 13.

(. 1
2.7) .
(. . )
= r\yit - Vi, mt - ,

(13-29)

~ ( - )'/3 (,)
( ).

:
between =),

(13.30)

yi = ' ( ).
,
R
ZvctM=r2{yitSit),
(13.31)
=
'.
(13.29), (13.30), (13.31) , /3 (3. , , , = '(3,
^^, = ^ Yjt=\ 1=1 - , ,
STATA: (13.29), (13.30), (13.31) ,
.
,
,
, . ,
, , ,
, , .
.

13.6.

375

,
.
,
.

13.6.

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

. .
.
, Xjt, .. Xjt.
, . ,

376

. 13.

( (13.5)) , , Xjt: . Xjt (., , (Johnston and DiNardo, 1997),


(Hsiao, 1986)).
, , ,

. . ,
.
, ,
.
, .
(Searle, Casella, McCulloch, 1992).

.

, . :
1) (13.2) (13.3), = ,
= 1, . . . , ;

13.6.

377

2) (13.2) (13.14), ( ) <\ = 0;


3) ,
Xjt.

, , , .
1. . .F-, HQ : = =
(13.7).

-
: .F(2402,6013) = 17.62,
Prob > F = 0.0000. , .
2. .
(13.14)
: 0- (Breusch and Pagan, 1980) ,
:

LM=r^-

_: _v

-i

eit (13.2). LM - . D ,
13.3,
LM:

fe'DD'e

378

. 13.

, LM > (1)>
, (1) ~ - - .
:
Breusch and Pagan LM-test for random effects: Ho : Var() = 0
2
X (l)
6504.28
Probability
0.0000
,
.
3. . , . , :
Cov(aj, Xjt) = 0. ,
.

(Hausman, 1978), 8.
/3, .
, /3RE
,
. 3 R E , .
,
/3RE 3 F E , ,
^ . ,
/^ ~ /3RE ^,
V(/3PE - /3RE) . , ^
3RE "
()
V(3PE

3RE)

= V(3 FB ) -

V(3RE)-

in =

3RE)'(V(3FE)

V ^ R E ) ) - 1 (3FE

3RE)

(13-32)

13.7.

379

- , V(/3FE)> V ( / 3 R E ) ,
/3 (. 8.4).
, :
Hausman specification test:
Coefficients
In Q
Fixed Effects
Random Effects
\nK
0.11421
0.24671
In I,
0.60393
0.77544
Test: difference in coefficients not systematic
2

X (2)

141.01

Probability

Difference
-0.13250
-0.17151

0.0000

,
.
^ , , V(/3pE) V((3J{E)
,
.
/3.
,
,
, . , , STATA, .

13.7.


. ,

380

. 13.

, , , . ,
,
.

,
, ,
(13.3) :
= + '(3 + 72/-1 + -

(13.33)

, . , , ,
, . ,
-\
. , \
= & + 7-1 + ,

< 1.

(13-34)

(13.34) , :
Vit ~Vi = 7(-1 ~ Vi,-i) + it - i,

(13.35)

, , ^ : { = {l/T)-j=1yit,
yi%_x = (1/) ^ = 1 ^ _
, (13.35) yu-i-%,-i

13.7.

381

Sit i , , , -. , - 7 ( )
: (Hsiao, 1986; Verbeek, 2000),

,
7 (. . 8),


.
. (13.35) :
~ Vit-i = 7(/-1 ~ -2) + - #-i),

(13.37)

Qj. , , , j/_i -\- , , -2- , , ~\ - -2


E(i/ f t -2(eit-e-i))=0.

(13-38)

=1 J2t=2 -2(-1 ~ -2)


( ) (Andersen and Hsiao, 1981). , , -2~--

382

. 13.


, .
:

- ?

(GMM),
13.9.
,
. , (Arellano and Bond, 1991),
, t. , , (Verbeek,
2000).
(13.37) t 2
E((e i 2 -ei)y,)=0.
t = 3 :
- )) = 0,

(( - 2)) = 0.

t ( - 1)
tt

- _1),) = 0, (( - _))
e ) ! / )
0

= 0,...,

, 1 + 2+ + ( 1) = ( - 1)/2
. (13.40), ( - 1) 1

13.7.

383

( - 1) ( - 1)/2

[,]

, 2/-2]_

(13.40)
E ( Z | ) = ,
:
(13.41)
( : =
(aotui,...,^)',
(-1) = (, ...> h = ot-i)- 7
(. (13.55)):

m i n

'

=1

5 . (13.42) 7> ;
7GMM =

. 13.

384


(. . ) (. (13.56)):
v-1

(13.44)



(13.45)
^ , (13.37) - 7, ,
, (13.42)
S = I,
,
eit. ,
, ,
\. ,

(;<) =

"2 - 1 0 ... "


- 1 2 - 1 ...
- 1 2

2j

**(=*"<
, 7, , ,

.

13.7.

385


(13.33)
= a.i + x'it(3 + 72/-1 + eit,

- ytt-i = (xit - xu-iY/3 + (-1 - -2) + fat ~Sit-i), (13.46)


, , (13.37).
,
E{xisAeit)

s,t.
, (13.40), . ,
t ,..., ^
, .
,
, , . ., .
, , (Greene, 1997),
(Verbeek, 2000).
.
1.
, .
2. (
> ) .
3. .

386

13.8.

. 13.

, , ..
0 1. , (. (12.4) (12.5)):
+ ,

(13-47)

= 1,
^ 0,
(13.48)
yit = 0,
y*t < ,
i,t ,
oti, , . ( ). , , 12, a.i, = 1,...,, /3 ( ). * .
, , , .^ 1,...,, * , , , = 1,...,, (3
.
,
/3.
( ) y*t, (13.47).
, - * (
~ -)-

13.8.

387

,
(Andersen, 1970), (Chamberlain, 1980). /(,..., | ,)
,- ,%,
-. , S{ (.. , ),

/( , I <Xi,P) - f(yn, , I Si,(3). ,

- J\f{ya,...,yiT
(3. , ,
.
, , ,
Si . , , ,
probit- ( ) .
(13.47) (logit-),
, , si = ]C*=i - ,
= 2.
,
( = 0,yi2 = 0 | S i = 0) = 1,( = 1, = 1 I Si = 2) = 1.
, ,
,
. , ( = 0, = 1) = (0,1), ( = 1, = 0) = (1,0).

IV-(

) | Si - 1) -

.
p(s =

1}

( ( 0 )1)} + ((1)

))

388

. 13.

, .

,
(. (Chamberlain, 1980), (Maddala,
1987)). , /^-
/3.
.
(13.47) = + ,
(13.47), (13.48) ,
(12.4), (12.5),
: , t = 1,... ,,
, , t = 1,... ,,
t (
, , ). , f(ya,.-.,yiT
| ,...,XiT,/3)
, ,
,
.
, .
, , . , %
, t, , t = l,..-,T

13.9.

389

.
---,ViT I
,...,,)

= / f{vn ,---,\,...,

xiT, p, )/()(1

Joo

/7

(/(1/|5,/3,)/^-

(13-49)

/3. ,
^, .
, , . . probit- .
, i ~ iV(0, ^), ~ (, ag),
% t . , {) = V(Q;J +) 1,
, of = \ \. , (13.49) :

(13.50)

, f(a>i) (13.49)
:

( -
2

13.9.

,
-

390

. 13.

.
,
.

. ,
, , ,
.
, , Xi, Zi,
1,... , , :
(^{,,,))

= 0,

j = l,...,l,

(13.51)

m,j(yi,Xi,Zi,e) ,
9 /- . (
yi , Xi
, Z{ .)
(13.51)
. -
m(yh

Xi, Zi, ) = (mi (yh x{, zh ),...,

rni{yu xh z{, ))',

(13.51)
E{m{yi,xhZi,e))

= 0.

(13.52)

1=1

(13.52):
(,,,) = .

(13.53)

(,, Z,&) = (). > I (


(13.53) ),
. () (.. (13.53) ),

13.9.

391

( ) (13.53) .
(. 7).
( < I), (13.53)
.
,
. , 0 , , , ()
. ,

'(9)() = J )

-> min.

(13.54)

3=1

(. (Hansen, 1982)),
, , , .

{) , ,
g\9)Sg(e) -> min,

(13.55)

.S
( 1x1). ,
(13.55),
GMM- (Generalized Method of Moments, GMM):
GMM

, S
() #GMM- , (. . ) S , , ( )
:
1

(13.56)

392

. 13.


0,
. , 0() (13.54) (.. ).
1

, (13.55) S = 5 * #GMM-
.
,
#GMM :

V = (
D

{w


: ,
. .
., ,
(Greene, 1997), (Johnston and DiNardo, 1997), (Verbeek, 2000).
.
1. .

% :
0,

i=l,...,fc,tal,...,rt.

(13.6?)

13.9.

393

(13.57) () :
E(xt(yt - 0))

(13.58)

(. (13.52)).
. (13.58) ( , . 3):
1 \"^/

- ')
) = n-(' - X'XfS) = 0.

J2(tyt

(13.59)

t=\

(13.59) /3, :
x x
= (
'
4=1 t 't)
'
t=i

.. :
2. . z% I x 1
, I > ,
/3. ( )
(13.58):

-
1

9--2zt{vt

- ^/) = -{Z'y - Z'

4=1


E(mm') = E (zt(yt - x't(3)2z't) =

a2ztz't)

394

. 13.


(Z'y - Z'XpYiZ'Zy^Z'y

- Z'X/3) - min,

(13.60)

/3GMM = (X'ZiZ'Z^Z'Xy'X'ZiZ'Zr'Z'y,

(13.61)


(. (8.5) 8): /3QMM = Av .

13.1. (13.17) (13.18).


13.2. (13.22).
13.3. , S, S > ,
1 - S > 0,
/3 O L S - /3 (13.2).
13.4. (13.23).
13.5. (13.25).
13.6. , (13.42)
(13.43).
13.7. (13.47), (13.48).
13.8.
=7-1 +&i + u,
2

eit ~ iid(0, ) yjs s < I.


(13.35)
-= 1{-1 - j//,_i) + eit - i

395

. , - 7
(, ,
7 = 0 plimj ~ -1/2).
13.9.
- .
fuel. xls , ,
- 1993-2000 . (. . , ). 2400 ,
.
.
13.1


OKONH

YEAR

ROUT

EMP

-
WOR
RK

13.9.1. .
13.9.2. -
.
?
13.9.3. 13.9.2
. .
13.9.4. ? :
- ;
- ;
- .
13.9.5. . , , .

13

396

13.10. (Tammo Bijmolt, Erwin Charlier)



( )
. 24 104 .
( 13.2) brand_a.xls 2 .

salesa
totsales
regpra
actpra
feata
displa

ftdpla

regprc
actprc
regprd
actprd

13.2





(1
, , 0 )
(1
, , 0 )
(1
,
, 0 )
(, , D )



D
D

13.10.1. . (, ),
.
13.10.2. (pooled)
.
2


http://center.uvt.nl/staff/charlier/paneldata.html

397

, regpri discounU = regpri actpri ( = , , , d).


13.10.3. .
? , ? (
, .)
13.10.4. 13.10.3, , 13.10.2.
13.10.5. (between-group) . ,
.
13.10.6. . 13.10.4
13.10.5.
13.10.7. ( , LM-
-), .
13.10.8. , salesa
0.5 salesa, , 13.10.7, .

14

: *
14.1.

, , ,
. , .
. , ,
( , , ..), . ,
.
, , , preiesi-
"' ,
.
1
, , .

398

14.1.

399

(, ).
= /3 + 7* + ,
/3, , z. ,
. i- 7>
, , \t\
,
(7 0) (7 = 0). /3 . (3
, ,
, , . ()
,
, ,
.
, pretest-, , . , , , pretest-
,
2. . ,
( ) , ,
.
, , (,
).

400

14.2.

. 14. :


(. . 3.1)
y = X(3 + Z*f + e,

(14.1)

( 1) , X Z
( ) (n x )
, ( 1) /3 7 ~
() (fcxl) ( m x l )
. , ^ 1, m ^ 1, ^ 1,
[X Z] + ,
2
: ~
N(0,a In).

, , X Z. ()
, / . . , , , ,
, , , .
( ) X.
,
i-, (3.
, Z ( ), .
. /3. Z
,
/3, j (, (nuisance)) .

14.3.

401

:
1

= 1 - {')- ';
x

Q =

l\

(14 2 )

<
] , Q () X Z. , Q = 0 ,
Z X. - /3 7
(. (4.19))

= {'1

= {


(7 = 0) . 77 = /, r\ ~ N(rj,Im). , ,
<2 ,
, <2 .

14.3.

, . Si - m x ? 1 ,
^ 0, S'{ = [Irt 0], . S'ff = 0 , 7 3.
:

= 0 Si , , -

402

. 14. :

14.1. - /3 7 < (14.1) S'^ = 0

Pi = {Z'MZy^SitSW

MZ)-lSi)~
Si)l


ri ri . (Pi = 0 ,
= 0)
=

MZ(Z'MZ)-1^Wi{Z'MZ)-1^Z'M

= -

(
+ ). (3/

3 W - N (/3 +
s^ = '^^/( - - + )
X2- (. ; . 3)
(n-k-m

+ Ti) sh

^2

~ X ( -- + , rfPiri).


(. 14.2). , /9(
(. 14.1) / *? 7(i) , /3,..

14.4. Pretest-

14.4.

403

Pretes/i-

,
, .. = 1.
: (7 = 0) . ,
, /3, ,.;
,
/. i- j , .
, /3 :
3 _ , |ty| < ,
\,
|* 7 | > ,
^ 0. , = 1.96
= 2.58 5%- 1%-
( ; ^
). , /3 / (
, t. ^
: /3 = ( + (1 )/,

\ 0, |* 7 | < ,
11, \\ > .

, /3
( ( .
= 2 :
(7i = 72 = 0)>
(71 0, 72 = 0 71 = , 72 )

(7i 0 72 0). 2 ', 71 > >7


( ,
0.) Prefesi- /3 1) ( t- F-

404

. 14. :

) , , 2) /3
.
,
My, .
. (, -
e(j) = DiMy Di.)
.

14.5.

WALS-

pretest- , , . ,
1. /3 = / + (1 X)f3r,
7.
. ( ,
5% 1%, , , 50%
95%?)
WALS- (weighted-average least-squares)
/3 :

2 , jj .
, { :

WALS- :

3=

14.6.

405

=1

, Pi Wi , W , {Aj}
.
, preiesf-
WALS-, , * 0,
, 1.

14.6.

, 1 ,
t- ^-, 9. , 2 , s\ (, -
). t- F (, sfy. . 3.1 , s
(/3tt)7). , / s\ (0, s^). , , 2
s., () , Si (. . 14.3),
t- F- (, s%). My, 7() (*)
My. , , - 0 , , i- F-
(.
.

14.2. ( ).
3 = *3(*)> * = Xi(My), * ^ 0 , * = 1.

= /5 - <?QE(W?j - 7), V(3) = ^ {(')-1


+QV(Wr))Qf),
, ,
MSE(3) = 2 {{'1 + Q MSE(Wrj) Q') .

406

. 14. ;

. , ( My ,

| My) = (-),

I My) = V(3r)-

(3 | My) = E(3 r I My) - QE(W0 | My)


= E0r) - eQWrj = (3- aQ{Wr) ~ rj)
V(3 I My) = V(3r I My) = V(3r) = ^(X'X)" 1 .

= ((3 | My)) = (/3 - aQ(Wrj - rj))

V(3) = E(V(3 I My)) + V(E(3 I My))


1

+ V(/3 - ^Q(W^ +a2QV(Wr})Q'.

MSE(3) = V(3) + E(3 - /3)(3 - /3)'


^

a2Q V(Wr])Q'
ri)E{Wfj - ~n)'Q'
QMSE(Wri)Q').

.
14.2 (Magnus and
Durbin, 1999).
(Danilov and Magnus, 2002).
,
; , Wrj ), \{ WALS- /3.
/3 , , /
rj ~ N(r],Im).

14.7.

14.7.

407

^, Wrj Tj, ,
. ( = 1
(Magnus, 2002).) pretest-.
= (3 4- Z'j + e,
2
~ iV(0, a ln) .
.

2 , .
2
(3 . pretest- /3 ( s 2 ).
^ 0, , 1. 14.2,
,
My, , ,
2 .
^
/3
14.2

MSE(3) = ^((')-1

+ QMSE(Wfj)Q').


3)
, /3> (. 14.1)4

Reported MSE, .. MSE,


.

408

. 14. :

W = W{ - . , MSE(/3) , W . , ()
() '(3, 1
. , '/
2

MSE(w'/3) = {'{')-

+ JQ MSE(Wfj)Q'u)

(14.3)

,

2

MSE (u//3) = ('{'

+ U'QWQ'UJ),

(144)

MSE MSE {underreporting ratio)5 UR, 1


(14.4) (14.3). :
U R

MSE(u/3)

MSE(u;'3)

q'(R - W)g

fRv + OhY

, q'q = 1. UR ,
W , \. UR,
, ) R(r]).
, MSE(/3) E(MSE(/3)) (.. ), , ,
, , (underreporting).'

14.7.

409

, MSE.
2

MSE(WT7) = J2
=1

,
2

\^ ^ ((WiTj rj)(Wirj rf)' WA

(14.6)

=1

. , (
14.4), (14.6)
. .
, (14.6)
. E(UR)
0 1. , <$ ( ) 0, : E(UR) * 0.
# ,
E(UR) 1.
E(W) ( )
, , , : 1, [0,1].
:
0 < < &(W) < 1 - < 1

(j = 1, . , ),

j{A) j-e ,
(Pi - 0), .
(Pi Im)-

410

. 14. :

E(UR)
q ( q'q 1), q%, rj, Z'MZ ( ).
q
in

E(UR) < ql max^j- ((Im + qlR)~ {R

- EW)(Ir,

:
E*(UR) = maxE(UR),
q,n2

, q% > ,
E*(UR) = 1 -

min

^=.
(14.7)
max4(it)
rj Z'MZ ( ). (14.7)
, UR
1, R
rj. = 1 ( , , i-),
^ 2.
E(UR) Z'MZ,
. ZJ , Z'JMZJ = 1 j = 1,... ,.
, Zj ( , Mz{ MZJ
j). Z'MZ = Im, .
14.3. () = 1 \\ > , () ='0,
> 0. , Z'MZ = Im
1 , :
() , ZJ, t- ^j.
() /, Zj ,
t- rjj , \rjj\ > , > 0. W ,

14.7
w

411

n = %)> MSE(Wr7) = V + ddl, V -


, a d 1
v33 = W(X{ff3)fi3)t

d3 = %)% - v3).

. 14.1
1
f
S ^ S j S J " ^ . S t [1 0] (
), S[SZ = J 7 . t)
, , ,
Wt , cmr
=
14.1 7() 7 S'^ = 0 7j
j- 7()>
0 ( z3 ),
3 ( z3 ). , , perpeccop z3, my oice
7j, , 7
tf- 7j rf3 = 03/, ()
W , Wt .
j- w33 0 (
z3 ), 1 ( z3
). , w33 = X(rj3). Wrj, ().
.
,
( ) , Z'MZ = Im>
pretest-
, . (

m 1
> 2.)

412

. 14. :

14.8.

()
: (3 + ^z + , 7 ~ .
: (W\ = 1, /3^ = /, Ai = ) =
(W^ = 0, /3(2) , = 1 ).

3 = \ + (1 - )3 )

W = X,

MSE(Wry) = MSE(AT?) = (?7 - rjf,

EW = EX.

(/) = 1, \rj\ > > 0, (77) = 0,


|7?| < ,

= (, - ,)*

gg

^ W A

, 1 (, = 1.96). rj, R
}, UR q$ fj ( ) ) ( ).
, UR R(rj). ,
Xrf, rj,
. , . 14.1.
} ] > 0 0.66 rj = 1.46.
0.28 rj = 0 2.23 ) = 2.34.

14.8. .

413

2.5
\
2

MSE(A?7)

15

/V(A5?)

0.5

0.5

15

2.5

3.5 ^ 4

. 1 4 . 1 . ( = 1, = 1.96)

, . ] = 0
2.46 ) = 2.16. 77
, , , .
Xff
] = 1.96 , MSE(^) ( , = 1).
0 1, () ( = 1). , () = (|?| > )
0.05 \ = 0 1 \ = . , MSE(A?7) > (). E(UR) = 0.18 ? = 0
0.57 \ 1.73.
E(UR) ( 0 0.57) ), , pretest 2.3 -

. 14. :

414

0.2

0.5

1.5

2.5

3.5 \ 4

. 14.2. E(UR) max(E(UR)) (m = 1, = 1.96)

(1/(1 0.57) = 2.3).


E(UR) q. . 14.2.
. 14.2 E(UR) q\: 0, 0.1,1,10 . q\ = 0
. q% = E(UR) ;
rj = 0.82 E(UR) = 0.87.
, 1 E(UR) ), ) = 1 / 1 ,
,
(. 14.3). , , . . ,
pretest-, / = 1. ( ) q%,
UR. q$ UR,
], . 14.2, E(UR).

14.9.

415

E(UR) ) = rf
. E(UR), 0.87, qfi = oo
?7 = 0.82. , pretest- 13%
.

14.9.

( = 1) . - j .
|*| > , ( ^
AJ) ( /)-
m > 1 . m = 2 : t-. t- . , 1.
z\
Z2, 71 72, z[Mzi z'2Mz2 = 1.

\\ < 1,

r
2
'
2
i-, . ( ii *2)> 72 = 0 (-

416

. 14. :
=

t^) 71

( (2))-
=
V
(?7 )' 14.1
i- , 'h = -/9771

*(1) = aVl

+ PV2>

*(2) = PVl

? + = 1, i- , . , / fj,
, tn\ t%, tm t\.
Corr(ti,t ( 1 ) ) = Corr(t2,*(2)) = V l - r 2 > ,

Corr(i b t2) = -r,

Corr(t ( 1 ) , i ( 2 ) ) = r.

l<il > l*2| = ^ |*(i)| > |(2)l ^=^> \m\ > \m\ i- , () , , 1.96.
pretest-:
.
: MQ , \
z\ (72 = 0), Mi
, (71 = )
.\ .
( )
:
) , t\ *2!

t-

14.9.

417

) *i *2 , ;
) :
1) |*i| > |* 2 |, Mi t^y t^
, Mi, ;
2) |ti | ^ |*21, % *(2)- 2)
, Mi, MQ.
( ):
) , \
*- t^ (2) >
) t^ *(2)

) , *i *2 .12, t\ *2 ;
) \ ( |*(i)| > |*(2)|)
( |* ( 1 ) | < | * ( 2 ) | ) .

= 0.8 {,) . 14.3 14.4.
|*(i)| < < |*i|, |* 2 | < < |i( 2 )|
| < |*21, |*i | < < |*(i)| , , , , *i 2 ,
*(!) *(2) . ,
. = 0,
*! = ^ = 2 = t(2) = ?72,
. \\ > 1 .


pretest- .

. 14 :

418

_8

-4

-2

6 Jji8

. 14.3. :

- 8 - 6 - 4 - 2

6 rji$

. 14.4, :

14.10. .

14.10.

419

= 1 E(UR) ( )
: qfi ( ) - (). = 2, E(UR) ( )
5 . : gg, q ( q'q = 1) , 772 .
, .
:
, .\; , \
(72 = 0) .2 (71 = 0);
(71 =72 = 0).
E(UR) 5 ,
( 6 ).
R = MSE(W?7)
E(W)
,
. ' , \ . 14.7, E(W) . R
,
,

maxi?(m,7?2,r) -* 00
,12

- 1.

R

. 14.5,
E**(UR) = maxE*(UR) = l - m i n mint
.

420

. 14. :
1.00

0.96

0.92

0.88

0.84
-1.0

-0.6

-0.2

0.2

0.6

1.0

. 14.5. E**(UR) ( = 2)
E**(UR) = 0. = 0 0.90. E**(UR) 1 0 1. E**(UR)
, 1 0.87,
= 1 ( ).
\\ 1, .. , Mz\ Mzi
.
. = 1
, , = - = . rj Mi
Mi 0.
MQ , 0.95, \ , 0.05. -

14.10. .

421

, 1 -* , E(UR)
1 q%. ( ,
2
pretest- / ,
fj > .) pretest-oupimvi , , , E*(UR) < 1 ( (14.7)).
, . . . , ( )
^reifesif- , ,
.


= 0 E**(UR) = 0.87
= 1 E**(UR) = 0.90 2. , . 2 , ,
2, , i- 771, . . . , },
, , . , Z'MZ = Im.
Mz% , m- (. 14.3). E**(UR)
. 14.6.
, E**(UR) , , .
Z'MZ = I m , , , .

422

. 14. :
1.00

0.84

. 14.6. E**(UR) (Z'MZ = /,)


q%, q , 772 . . , , <? = ^>
q = (1/3, (2/3) \/2)' (q'q = 1) = 0.8.
. 14.7 14.8 E(UR)
??1 772,
, . E(UR) 0 1,
(,) = (0,0). (r/i5 *72)
.
(. 14.7) E(UR) = 0
(771,772) = (4,-4), 0.6551 (0.4,1.6). (. 14.8)
E(UR) , 0 (4,4), 0.8798 (4, -4). (
) ,
.
.

14.10. .

E(UR)

. ;_.

423

4-4
. 14.7. E(UR) ?2:

E(UR)
0.8J

-4-4
. 14.8. B(UR) 2: *

. 14. :

424

7/2

-4

4-4

4 0

<Zo2
10 - 1 0

1-1

1.0
0.8
0.6
0.4
0.2
0.0

?2

-4

4-4

4 0

10

-1

1-1

1.0
0.8
0.6
0.4
0.2
0.0

. 14.9. E(UR). :
; :


(771,772) = (1,-1). . 14.9 - .

5 : 771, V2, <7> #1 (


q), r,
.
E(UR) <? ( ) 771, 772, 9i, .
. 14.9 , E(UR) 771 772- , E(UR) QQ,
, . E(UR) q, .. q\. ,
(3
.
, . 14.9,
(1) -

14.11.

425

771 772,
q$, q, r.

14.11.

" , ,
. , . , ,
:
= (3 +

IZ-\-E.

, z .
: ^- 7,
, |i|, .
+1, . , , pretesf-, (
) , . , .
, ,
.
, (14.1), , 7 0. S'tf = 0 , -,

+1 =

426

. 14. :

C n + 1 = Q'xn+1 -

(Z'MZy^Zn+u

a xn+i zn+i , .
, ,
,

2
( ). , WALS-
A

+ = Y, ^nii = <& - <+iWfj.

(14.8)

, arj = , , , +\ , W
, \ .
yn+i = 4 + 1 /3+;4 + 1 7++ (FE)

FE = yn+i - +1
- /3) - crC,'n+1Wr) - az'n+l{Z'MZ)-l'2-q
r

~ /3 - <?Qri) - aC'n+1(Wri -7))-

- en+i
en+l.

.
14.4 ( ).
/,
WALS-

V(FE) = <72
MSE(FE) = a2{x'n^{X'X)~lxn+1

+ {'n+iMSE(Wrj)Cn+1 + 1).

14.11.

427

. , ( My , , MX = 0.
/ Wr). , /3r, Wfj, e n + i
. .
14.4. -,

, , ) 2
/3. -, . Aj, Wr) ] ( ), Aj
yn+i. Aj,
WALS- (3.
14.4
, , . . , , ( ), (. (7.8))
MSE(FE) = 0 - 2 + 1 ( ' ) - 1 + 1 + WC n + i + 1),
, 95%-
yn+i

+i 1.96 ^x'n+l{X'X)^xn+l

+ C.iW<n+i + 1,

(14.9)

. ,
+
. ^}) -02(^7) :

Cn+1

428

. 14. :

, W
. 14.4
E(FE) = -,

V(FE) = a\M-n)

+ !)

95%- +\

+

+ ((1) 1.96^2(?) + l ) .

(14.10)

, FE ( , ). , (14.9)
rj . ,
] rj .
,
, rj ], V(rj) = Im. , rj , . ,
rj ),
+1 + ) < +i < +i + vC2(rj),

(14.11)

Cx{rj) = mm
C2(rj)=

max

m- ,
H(fj) = {) : \rji - 1{\ < a m , % = 1,... ,m}, am
,
(|| < am)m = 0.95.
(Danilov and Magnus, 2003)
. ,
, ,

14.12.

429

. , ,
. , , ,
.

14.12.

1
14.1 ,
2 , ,
2 . , , ,
, <2 .
, . 14.3, = 1, g2 = i
= 1.96. , <72 , E(UR) 0.82, 0.86, 0.79, 0.19 ),
0,1, 2, 4.
2
n-k-.
14.1 .
14.1
V

10
30

50
00

'

0
0.76
0.80
0.81
0.82

1
0.83
0.85
0.86
0.86

2
0.77
0.78
0.79
0.79

4
0.26
0.22
0.21
0.19

, , 2, , , , \}\
1 2. E(UR).

430

. 14. :


, , .
. ,
, , ,
. , ,
= + Z m + -^272 + ,
Z^- 14.2
- . Z<i , =
72
0- pretest- / , . , Z'xM.Zi = ,
' ^ ' - 1 / 2
{i = 1,2),
E(w'/3) = w'/3 - cr (w'QiEiWirJ!

- tji) - u/Q2?2)

,
//3
u}'Q2ri2, , , . , ,
.

. - . (. 8), ,
~1 [X Z]' [X Z] . 14.2 ,
= /3 - a{nl'2Q)E{W{~1'2\)

- "

14.12.

431

W
V{fj) = Im, V(Wrj)
> (. 14.5). ,
1 2
/3 , " / ( (Wfj rj)) ,
>
, , (W7 7) (Potscher, 1991, . 164),
(pretest-) ,, .
pretest- .
preiesi- , %
( 1,..., ) ,
7 0 * . 7
, = 0.
, ,
, ,
. preiesi- .
,
(Potscher 1991, ^2). = 1. 7 = 0) / ] , ,
/3 = (+(1\)(
. 7 0, / , (
. , , , plimA = 1 , , /3
.
1/2(^9 /3) V(Wrj) . 1. 7 0,
-^-> 1 V(Ar7) V(ff) = 1- Xrfr} .
<: 7 = 0, rj ~ iV(0,1), , , = 1.96 1 0.05, 0

432

. 14. :

0.95, V(A?7) = 0.28 (. . 14.1).


\rj-r)
0.28, , , .
, . = 1
7 ^ 0 . 7 = 0
((0) - 0.05)/(0) = 0.82.

14.13.

.
:
1) , .
E(UR) ?
2) pretest- ;
2 , t- F. 14.2 , , , .
(Magnus, 2002).
3) E(UR) ). ?
rj }. .
, X Z, .. max T? E(UR).
, . 14.7 14.8 0.6551 (
) 0.8798 ( ). ,
.

14.13.

433

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

. . -, pretest-? , WALS-, ; ,
0 1.
. (Magnus, 2002) (Danilov, 2002)
,
.


, , (Bancroft, 1944).
Judge
, (Judge and Bock, 1978). (Giles and Giles, 1993) (Magnus, 1999).

(Magnus and Durbin, 1999). (Danilov and Magnus, 2002)
.
(Danilov and Magnus, 2003) . (Magnus, 2002) (Danilov,
2002) -

434

. 14. :

, .
pretest-
(Potscher, 1991).
(Danilov
and Magnus, 2002, 2003).

14.1. , / 9 .
14.2. 14.1, .
) X = [X Z],p[ = [(3' 7'] R = [0 ]. ,
- /3* = */3 + Rf3^ = :

= {1

) ,

z'x z'z
J

{X'X^
+ QQ'
l 2
{Z'MZ)~
l
Q'
r

(Z'MZ)-

) 14.1.
14.3. , \ = 1 ,
( ).
14.4. , .
14.5. , V(Wrj) > .
14.6. Xq ~] ) 0,
7 = 0.

15


*
-
.
.
, , , , .. , . , :
?
?
, ,
?
,
.
* ,
.

435

436

. 15.

.
. , . ,

,
. , ,
(assets) .

15.1.

.
Pt (, ) t.
(, , , ) Pt+i Pt

Pt+1

- Pt

,
+i = In --

= Pt+i ~

pt , pt In Pt. \Rt\ <C 1, : = In (I + Rt) .


:
.
- In ^ - in (
+ - - p - - 1 I
rtJ

= + + + _ 1 -I

P t + n

^+n-i

t+i \
.... - I

h rt+\.


. ,

15.1.

437

Wi ,

=1

t Pt ,
Pt+i . rt /^ = ()
of = V(rj). , < , , . .
,
. . 15.1
1
7 1999 .-22 2002 .,
6.5 3, .
200

150-

100.

Series: RRTS
Sample 4/08/1999 7/23/2002
Observations 859
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosls

0.001828
0.000392
0.155569
-0.176592
0.028606
-0.129014
6.496774

Jarque-Bera
Probability

440.0231
0.000000

. 15.1.
, ,
.
1

, - .

438

15.2.

. 15.

2
(Bachelier , 1900),
5 , .
, .
(., , (Fama, 1970), (Malkiel, 1992))
. .
(Efficient Markets
Hypothesis, EMH) . ,
t It . , , It.
.
, , It,
- ,
.
It :
1) (weak form) EMH: It =
.
2) (semistrong form) EMH: h = .
3) (strong form) EMH: It = , , .

(Courtaulfc J.-M. ct al., 2000).

15.2.

439

?
.
(Lo, 2000) (Campbell, Lo and MacKinlay, 1997).
,
.
(, ),
, , . . , .
,
. ,
, ,
.
, ,
/
r t = In P t + i - I n P t = ju+ e t ,

(15.1)


, In Pt . . ,
, , ,
/3 = 0 :
+f

(15.2)

, ,
, .
15.1
7.04.1999 .22.08.2002 3 .
3

http: //www. r t s . ru/


allrts.Jtls.

440

. 15.
15.1

Dependent Variable: RRTS


Variable
Coefficient
Std.Error
t-Statistic
const
0.001728
0.001016
1.701080
RRTS(-1)
0.103753
0.034711
2.989094
R-squared
0.010766
Mean dependent var
S.E. of regression
0.029073
S.D. dependent var
Sum squared resid
0.693954
Akaike info criterion
Log likelihood
1744.936
Schwarz criterion

Probability
0.0893
0.0029
0.001928
0.029213
-4.235568
-4.224115

, /3
. ,
.
(. . 6.1) (15.2). 15.2 .
15.2
Dependent Variable: RRTS
Variable
Coefficient
const
0.001728
RRTS(-l)
0.103753

Std.Error
0.001026
0.043025

t-Statistic
1.683112
2.411490

Probability
0.0927
0.0161

LM- GARCH-.
15.3 (15.2)
GARCH(1,1) (. . 11.5) - /3
.
, ,
. ,
.
,
.
, . ,
, -

15.2.

441

,
().
15.3
Dependent Variable: RRTS
Variable
Coefficient
const
0.001801
RRTS(-l)
0.097411
Variance Equation
const
3.07 10~5

ARCH(1)

0.111132

Std.Error
0.000805
0.036863
1.39 10~s

0.029963

z-Statistic
2.235704
2.642499
2.212160

3.708923

GARCHjl)
0.854125
0.034255
24.93406
R-squared
0.010721
Mean dependent var
S.E. of regression
0.029127
S.D. dependent var
Sum squared resid
0.693985
Akaike info criterion
Log likelihood
1800.647
Schwarz criterion

Probability
0.0254
0.0082
0.0270

0.0002
, 0.0000
0.001928
0.029213
-4.363663
-4.335030

, . .
, (15.1)
.
, ( 15.3)
1% .
0.1% 95%-
(4.8%, 4.6%). ( , 23 2002 ., -1.6%).
(., , (Lo, 2000)), ,
^ . ,
, (, )

( , ,
).,

442

. 15.


. .
r5,t = Pt - Pt--

(15-3)

(15.4), (15.2)
5 + T7t(15.4)
, , {overlapping samples problem).
, .
fS,t = + rt-\ + -2 + -Z + -4,
r\t f,... ,t-4> , ^ 4 r5,t ^^-
, (15.4) r)t . ,
- (15.4)
- (. . 6.1).
, .
( ),
.. , ,
, . ,

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

15.2.

443

,
.

(. (15.3)).
(15.4), , -.
15.4.
15.4
Dependent Variable: R5RTS
Newey-West Standard Errors and Covariance (lag truncation=6)
Variable
Coefficient
Std.Error
z-Statistic
Probability
const
0.009546
0.004987
1.914190
0.0559
R5RTS(-5)
-0.002585
0.069876
-0.037000
0.9705
R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.000007
0.071290
4.172510
1006.760
0.336499

Mean dependent var


S.D. dependent var
Alcaike info criterion
Schwarz criterion

0.009522
0.071247
-2.441701
-2.430248

, .
(15.4) ( ACF )
(4). , GARCH- , , , 15.5.
, 15.5, /3 (15.4). (. . 11.4). , ,
: .
, (15.4)
ARMA(1,4) ,
. -

. 15.

444

15.5
Dependent Variable: R5RTS
Coefficient
Variable

Std.Error

z-Statistic

Probability

0.005147
0.039117
0.040560
0.006943
0.012031
0.011387
0.006391

2.007160
-1.157013
2.397804
142.4168
81.86410
84.75081
153.0775

0.0447
0.2473
0.0165
0.0000
0.0000
0.0000
0.0000

9.95 10- 6
2.782892
ARCH{1)
0.106619
0.020391
5.228640
GARCH(1)
0.863495
0.025436
33.94805
R-squared
0.831180
Mean dependent var
S.E. of regression
0.029435
S.D. dependent var
Sum squared resid
0.704410
Akaike info criterion
Log likelihood
1794.529
Schwarz criterion
Durbin-Watson stat
1.981054

0.0054
0.0000
0.0000

const
R5RTS(-5)
AR(1)
MA(1)
MA(2)
MA(3)
MA(4)

0.010331
-0.045259
0.097254
0.988829
0.984931
0.965062
0.978367

Variance Equation
const
2.77 10~5

0.009522
0.071247
-4.336645
-4.279379

ARMA(4,0) , 15.6, , . , ,
- ( 15.4) (.,
, (Fama and French, 1988)).
. ,
-, - . . . , . ,
, , , . .
(15.4), -

15.2.
Dependent Variable: R5RTS
Variable
Coefficient
const
R5RTS{~5)
AR(1)
AR(2)
AR(3)
ARU)

15.6
Std. Error

z-Statistic

Probability

0.007844
0.035023
0.040131
0.058009
0.053008
0.035134

1.890206
-13.83349
25.15665
-0.281704
-2.158563
-0.313627

0.0587
0.0000
0.0000
0.7782
0.0309
0.7538

1.31 10~5
0.022677
0.027567

2.299433
4.738562
31.50761

0.0215
0.0000
0.0000

0.014826
-0.484490
1.009572
-0.016341
-0.114422
-0.011019

Variance Equation
const
3.01 10" 5
ARCH {I)
0.107456
GARCH{1)
0.868575
R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

445

0.769671
0.034361
0.961055
1669.040
1.978055

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.009522
0.071247
-4.034120
-3.982581

15.7
Dependent Variable: R5RTS
Newey-West Standard Errors and Covariance (lag truncation=6)
Probability
Std.Error
t-Statistic
Coefficient
Variable
0.0546
0.004791
1.924524
0.009220
const
0.8933
-0.134154
0.071298
-0.009565
R5RTS(~5)
R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.000092
0.069733
4.162506
1068.472
0.339157

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

0.009133
0.069696

-2.485948
-2.474865

, (.
15.7 15..4):
,
.

446

. 15.

(nonsynchronous trading). ,
. 2 ,
.
,
. , ,
, . (Campbell, Lo and
MacKinlay, 1997, 3).

15.3.

.
, -*
, . , >
4.
: t = 0 t = 1. = {R\,... ,Rn)' "
,
w = (w\,... ,wn)' , ;
2=1 wi ' = I. 6 t =

-1

2:
IX = () = w'm,

2 = V{R) = w'Sw,

(15.7)

wt , . .
449.
5
5
, = ( 1 , 1 , . . . , 1)'.

15.3.

447

() = ,

V(r) = .


,
(variance) (mean) ,
mean-variance investor.
:
w'llw > min,

w'm = w'% = 1.

(15.8)

, :
L(w) = w"Sw - 2A(u/m - ) - 25(w'z - 1).

(15.9)

:
- Am - 5 = 0,

w = IT^Am +

fo).

(15.10)

,
3:
m ' S " 1 (Am+ &) = /*,

*'S- 1 (Am + 5t) = l.

(15.11)

(15.11)
=

( 1 5 2 )

- ', = m ' S ~ 4 = '~. (15.12)


(15.10), \
,

448

. 15.

W(/J,) , , . (15.13) ,
w(fi) /, (15.7) ,
() /, , , /
(, ) , /, . () (efficient frontier).
. 15.2
, (mu3),
(mu4) (mu5) . 1996 .- 2002 . DJINDUS (Dow Jones Industrials,
-), NASA100 (NASDAQ 100, ) DJEURS$ (DJ EURO STOXX $,
). , 4 ,
RSRTSIN, , , 5
, DJTITAS (Dow Jones Asian Titans 50 ($),
) 6 .
, .
S .
,
- ,
.

(feasible set). , (15.13)
, .
6

monthly_data.xls.

15.3.

449

0.30

-0.05
0.00

0.50

1.00

1.50

2.00

2.50

3.00

. 15.2. 3, 4 5
(short sale), . (,
), , , J^o- \
. , \ > 0.
, , ..
wi ^ 0, , ,
, wi = 0.
.
1. , , .
. w (. (15.13)).

450

.15.

2. . ,
x = E(B ff ) = | ,

/ e

= -\

2 = (,) = 1 .

(15.14)

(15.7) (15.13), ,
( (. 15.1)
2

(16.15)

3. , HI 2) (.
15.2)

^
15.4.

( )(-) +

(16)

. 15.2 , . ,
, ().
, , :
?
? , .
, X .
rx = (Rx,i>---Rx,n)'- X . :
, m ? : , ,

15.4, ...

451

X (), ; , X Y.

XY
=

=
()
=

=
\1
l
] . v (15.17)

[m
[\ \
'
[\
[ SyyJ
'
Y

(15.13) , ,
-
-*

-
-&

, Y (. .
), wy = 0

= S [f ^l J = [
[ ^ " \ = '*7,[\
\] + ,
\\ (15-19)

(15.19)

= \ ( + ^)

(15.20)


(15.19):
SyxSjfif (7/i"x + 0*) =

+ -

(15.21)

,
,
X Y X, (15.21)
(J,. , 7/i .

= ,

,
, , -

452

. 15.

, , ,
(15.22).
(15.22).
= + , = 0 = S y x S ^ x - : =
= \ ! , () = E(-uy) = 0,
= + + ,

(15.23)

= - ,
: Cov(e, ry) = Cav(uy ,)

- . = 0.
(15.23),
-
,
:

_
(15.24)
= "
, ,
(15.23):
= 0,

= .

(15.25)

, Y ( = 1), (15.23). , ,

Ry,t = + P'rx,t + t

(15.26)

(15.25), :
= 0,

(' = 1.

(15.27)

.
(15.26) (15.27) , -

15.4. ...

453

Ry Y , ,
() .
() = 0 Cov(e,rx) = 0, Ry
,
, , , ,
Ry .

(DeRoon F. and Nijman ., 2001).

(. . 15.2). 15.8 (15.26) (15.27)
.
15.8
Dependent Variable: RSRTSIN
Variable
Coefficient Std.Error
t-Statistic Probability
0.255439
0.7991
0.063431
0.248322
const
3.386301
0.0011
0.568730
1.925889
DJINDUS
-0.086599
0.9312
0.273536
-0.023688
NASA100
0.416731
0.6781
0.570956
0.237935
DJEURS
0.247658
Mean dependent var
0.247452
R-squared
2.179939
S.D. dependent var
2.464450
S.E. of regression
356.4101
Akaike info criterion
4.445777
Sum squared resid
-171.6082
Schwarz criterion
4.565749
Log likelihood
Probability
Test Statistic
Value
df
0.0334
F-statistic
(2, 75)
3.557057
0.0285
Chi-square
2
7.114113
, 5%- , . .
.
15.9 (15.26)
(15.27)
DJTITAS.

454

. 15.

15.9
Dependent Variable: DJTITAS
Variable
Coefficient
const

-0.122446
0.476694
0.129076
0.223752
0.037811

DJINDUS
NASA100
DJEURS

RSRTSIN

R-squared
S.E. of regression
Sum squared resid
Log likelihood
Test Statistic
F-statistic
Chi-square

Std. Error

t-Statistic

Probability

0.069360
0.170492
0.076373
0.159591
0.032238

-1.765383
2.795995
1.690075
1.402036
1.172867

0.0816
0.0066
0.0952
0.1651
0.2446

0.485761
0.608621
27.41104
-70.28531
Value
2.284456
4.568912

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

df
(2, 74)
2

-0.045929
0.826671
1.905957
2.055922
Probability
0.1090
0.1018

, 5%- , . . DJTITAS
.



.
,
IX.
?
,
(15.21), \i.
V = /,

- = 1(

- )-

(15.28)

(. (15.23)):

~ = + (

- ) + .

(15.29)

15.4. ...

455

, , ,
, . .
0. , .
(15.29),
= WY (

(15.30)

. . . = 0. (. (15.26)), , Y
( = 1),
(15.29).
-et

(15.31)


(15.32)

= 0.10, DJINDTJS, NASA100 DJEURSS,
RSRTSIN.
1} 0.0534, (15.31)
15.10.
15.10
Dependent Variable: RSRTSIN - ETA
'
Variable
Coefficient Std.Error t-Statistic Probability
const
0.124346
0.245787
0.505908
0.6144
3.386301
0.0011
DJINDUS-ETA
1.925889
0.568730
0.9312
NASA100 - ETA
-0.023688 0.273536 -0.086599
0.416731
0.6781
DJEURS - ETA
0.237935
0.570956
0.194025
Mean dependent var
0.247658
R-squared
2.179939
S.D. dependent var
2.464450
S.E. of regression
356.4101
Akaike info criterion
4.445777
Sum squared resid
-171.6082
Schwarz criterion
4.565749
Log likelihood
, 0 ( 0.61), ,

456

. 15.


\i = 0.10 RSRTSIN. , , .

15.5.

.
, (risk-free) , , Rf, . ,
2
< 0.
, , .

(15.8)(15.12); (. 15.3).
.
. 15.3
, . 15.2. , . . (, ), .
Wp
^.
,
, 1 Wp. (, ,
, .)
:

^ = ' + (1-,

| = (1-* a)VJ; 0- = (l- a )v

533

15.5.

457

fj, , (, )
, (0,Rf) (, ) (. . 15.3).

0.16

0.12-

0.08-

0.04

0.00

0.60

1.20

1.80

. 15.3.

, wp
,
(0, Rf),
. > Rf, , , ( )
, Wd ,
, . .

458

. 15.

. :

(15.34)

bLzIL.

w w^ ( ) .
(15.34)

w'm - Rf

w'(m - R*%)

, (15.35) w'i = 1. Wi
.
,

, (15.35),

m-Rh

( l\w'(m-Rh)

~ Rflt)

-w'jrn-

Rfi) Su>

3 2

(w'Ew) /

g.

'

(15.36) , = \( Rh),
.
:

(15.37)

- Rh)f

'

15.5.

459

. 15.3 , , Bf = 0.04.
, () .

() 0,

\ .
,
,
, ,
() ,
w^.
, ,
(15.31) : = 0.
(15.31)?
,

(1539)

, .

() (, /),
, , (15.15).
dpi

(15.40)

(-).

(15.15) /,
2 ^ = 1(2^-25),
dp, D

D=

AC-B2.

460

. 15.

(, fip),
dy,
da

Dar,

(15.41)

-)

(15.40) :
(15.42)

(-).

(15.42) = 0 (15.15)
(, ), /.:

(15.39) },
.
, , / /,
(15.31) :
Ry,t -Rf

= a + p'(rx,t ~ &)

+ et.

(15.44)

15.11 RSRTSIN,
(DJINDUS, NASA100 DJEURSS)
Rf = 0.04.
16.11
Dependent Variable: RSRTSIN - 0.04
Variable
Coefficient Std.Error
const
0.109037
0.246174
DJINDUS-0M
1.925889
0.568730
JVAS,4100 - 0.04
-0.023688
0.273536
DJEURS - 0.04
0.237935
0.570956

-Jt-Statistic Probability_
0.442924
0.6591
3.386301
0.0011
-0.086599
0.9312
0.416731
0.6781

, = 0
(- 0.66), ,
Rf = 0.04
RSRTSIN. '

15.6.

15.6.

461

, 7
, .
. , - ,
4 = 1. ,
. X , (, ) .
, (payoff), .
( t = 0)
. X {X}
( ). ()
(t = 0) X, .. X. :
1) X , .. \,
X, , X = \ + X.
2) (\ + ) = ap(Xi) + (2) ( , law
of one price). , X.
. ,
,
(. 15.4). 2) ,
, .
1) 2) , (0) = 0, . .
, 0 ,
0.
X X, ()
X. , () X.
7

(Cohrane,
2001).

462

. 15.

, , t = 1 , s = 1,2, ...,S. ps > 0. :


X (1,2,... ,xs), s
R .

3=1

, X =
s
(xi,X2,...,xs)
Y = {yi,y2i---,ys) R . , X Y ,

E(XY) = 0.
. , X R
(
).
. / (stochastic discount factor),
X {) =

().
1) 2)
.
. 1) 2), X* X, X X
() = (*).

(15.45)

.
, /(),
, f(x) = (, ) (. 15.5). -

15.6.

463


.
. .
= X* + ,

X X,

() = 0.

(15.46)

, X X*.
. ( ?). , X () , X X, , X ^ 0
{ > 0} > 0, , {) > 0.
,
, 0, , .
.
. , > 0.
,
, .


, , R , R /(). R
X p(R) = 1. X (returns).
8


n (Kabanov, 2001), (, 1998)

464

. 15.

71 ,

X:
Y*

X*

X, 1 t = 1,

71 X.
e

R 71
e

R ) = (1 R ) = E(R *R ).

(15.47)

, , .
. R
:
R=R*

+ >yRe*+n,

(15.48)

7 , , () = 0,
E{R*Re*) = E(iTn) = E(Re*n) = 0.
.
R R*.
(R
R*)
=
p(R)
p(R*)
=
1
1 = 0, R - R* 71 . 7# *
P
RR* *,
= (R - R*) - ^Re* Re*. R* II,
Re 0 = p(Re) = E(X*Re) = p(X*)E(R*Re),
* Re*. (15.47) {) = E(Re*n) = 0.
.

15.6.

465

(15.47) R:
(15.49)
, 7
, = 0.
,
e
R R* + jR *, (
(, //))



, () = ()
= + b'f, b , / . . ,

'Ri-Rf
(15.51)

Ri , a R? .


, X G
X. X 1 ( )

:
X = (30 +/* + ,

()=0,

(*) = 0.

(15.52)

466

. 15.

:
2

() = (*) = (0* + PiX* + *) = (0 +


V(X) = V(Po + PiX*) + V(e).

(15.53)

(15.53) , , , /? + PiE(X*) X.
j = 1,..., J. X? = +
fi\X* j . , (market
portfolio)

(15.54)

X* (15.54):
*


(15.55)

-Rf).

,
(15.51), (Capital Asset Pricing Model).
/3-. . R
1 = p(R) = E(mR) = Cov(m, R) + ()().

(15.56)


( 1)

()'

(15.56)
- Cov(m, R) = = ~ L i Cov(J?m, ). (15.57)

15.6.

467

7 1

(15.57) ' ,

E(Rm - Rf) = ~^llv(Rm).

(15.58)

, , (15.57) (15.58),
f

( - R ) = ^, T\ m^E(R
V (R )

- R ) = / - R ).

(15.59)

, (15.54), M X* , /^- -
f

E(R-R )

= /3E(R -R ),

(15.60)

(,

R)

Cov(RM - /, _ Rf)

, ,
E(R) =
^ + fiE(RM - Rf). , ,
.
$ (15.61) /3
e,
(15.62)
, = 0
(15.62).
(
) -
, , ,
S&P500.

468

.15.

, , (15.51).
,
. ,
(15.59):

( - R ) = ^(3kE(Rk

- R ).

(15.63)

fc=i

(15.63) , (15.59). (15.63)

R-Rf = Y/ - Rf) + e,

(15.64)

fc=i

() = 0. ,
v(R-

Rf) =v (^20k(Rk- Rf)) +v(e),


\fc=l

(15.65)

a
p(e) = E(me) = E((o + b'f)e) = 0.

(15.66)

, XlfcLi Pk(Rk - Rf) , ,


. , . = 0.
/.

R-R*

= a + Y,Pk(Rk-Rf)+e.

(15.67)

/=1

, - = 0.

15.6.

469

(15.67) R, , , ,
f

= () - + JTPkE(Rk -R ))-

(15.68)

, ,
.
,
(15.67) . -
(Jensen's alpha) R . > 0, (overperformance) ( ). 0 ,
< 0 , ,
(underperformance).
, , (Sharpe ratio)

(. (15.34)). ,
. , . , ,
.
.
(mutual funds) ,
( ) , . (15.62) (15.67) , - . Bull h Bear
U.S. & Overseas, 5-

. 15.

470

, MSCI (, , , )9.
15.12 (15.62),
15.13 (15.67). 1996 .- 1998 . .
15.12
Dependent Variable: BBUO - RFUSM
Coefficient
Std.Error
Variable

t-Statistic

Probability

const

-1.998535

0.G10759

-3.272213

0.0025

USA - RFUSM

1.135910

0.123267

9.215072

0.0000

R-squared

0.714088

1.811360

Durbin-Watson stat

15.13
Dependent Variable: BBUO - RFUSM
Variable
Coefficient Std. Error
-2.010744

const

USA - RFUSM
EUROPE - RFUSM
JAPAN - RFUSM
WORLD-RFUSM
R-squared

0.746870

0.034784 0.984426
-0.172594 0.710937
-0.360471 0.337891
1.749027
1.939281

0.761283

t-Siatistic

Probability

-2.692230

0.0113

0.035335

0.9720

-0.242769

0.8098

-1.066825

0.2943

0.901895

0.3741

Durbin-Watson stat

1.805166

, -
0.
. , 0. , , .
,
.
" data_description.doc, mutual_ftmd.xls,
index.xls, interest_rates.xls.

471

15.1. (15.14) (15.15).


15.2. (15.16).
15.3. , (15.13), (15.8)(15.12) (15.13), .. ,

.
15.4.
(law of one price) (.461).
15.5. , (.462).
15.6 index.xls
.
) , . ,
.
) , , , ,
6%, 9%, 12%, 15% 18%.
) ,
, , 12% 15% .
) .
) , ), ,
.
) ), ), ), ) ,
( ).
) ,
6%.

16

16.1.

,
. ,
, .

, . ,
. , .

, , , , .
, , , ,
, , ,
, , , . ,
.
472

16.2. ?

16.2.

473

58000 .
30 , , , , , -, , ,
. ?
, ,
. .
58 000 .
.
.

. , 40 60
. , ,
" , 50 5.
. , , ,
( = 50, = 5) .
.
, . , ,
.
( ) ,
, . ,
. ? ,

474

. 16.

, ,
, - (Keuzenkamp, Magnus, 1995).
, . !

16.3.

, ,
,
- , . , .
, ,
.
. , , .
, ,
,
, . , ,
, , . , ,
, , , , ,
, ,
.
1675 ., , 214 000 /,
30% .
. , , ,

16.4.

475

, .

16.4.

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

476

. 16.

. , .

,
. .1 , ,
. , ,
. 1949 . ,
, , (mans ., 1949).

16.5.

, , , .

, , .
,
, , . , - , - .
, ,
(Learner, 1978).
. ,
, , , , . , ,
. .

16.6.

477

. .
. , ,

. , , , . , , . ,
? , .
, ,
.
. , , , ? - . , - . ?
- . , - , . ?
- , , ,
. , -
.

16.6.

? , ,
, . , , . .
?
, ,
, . ,

478

16.

: , , , , , , . ,
, , ,
. , ,
,
. .
, , . , : (, ),
, ,
. ,
. .
,
. , , ,
. ,
, . () .
,
. : , , . ,
.
, , ,
. . () 1985 . 1988 . .
, ,

16.6.

479

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


.
, ,
.

480

. 16.

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

16.7.

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

. (,
, -) , ,
. ,

16.9.

481

, . ,
? , . , ,
. ,
, . , ,
,
,
.

16.8.

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

16.9.

,
,
. ,

482

. 16.

,
. : ,
.
?
?
, .

. , ? : ,
, , - .
, , . :
, .
, ,
,
. , ,
, ,
, , , , !

16.10.

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

16.10.

483

( ,
,
?).
, . , , .


. , ,
( ) .

1.

. L, ,
().
1. , : , L =$ + L.
2. + b = + , L ().
3. +(+) = (+)+ , 6, 6 L ().
4. 0, , 0 + = + 0 =
a G L.
5. L R
L.
6. ( + /3) = + ( ,/3 R n a e
484

L.

485

7. ( + ) = + R , 6 G L.
8. = 0 L.
9. 1 = L.

2.

i?n

(, ) n
R -,

\ +\
=

.
, 0.
. , , . . (1)-(9) .

3.

. \,.
, ,
QI2C12

, =* 0.

, ^ (.1)

486

a i , . . . , , , i = 1, ,, ,
(.1).

4.

. L
L,
, . . , , , , +
.
n

. R ,
, 0.
, Rn, Rk.
.
1 , . . . , L \\ + 22 + + /, R
, / 1,...,. (, L.)
L
, .

5.

. ,..., L
L, :
1. o i , . . . , ,
2. , \,..., ,
cL.

487

. ^, % = 1,...,, , -, 0, - 1,
n
R .

/ l , = .7,
10, j .

. L
,
dim() L.
.

Rn dim(i? n ) = .

.
, . .
: = a\ei + ^ +
h a n e n , cxi e R.

6.

.
L , : L *
, :
1. ( + 6) = {) + () a,b e L,
2. () = () R, L.
A' L -> 1(),
(), L. 1(.)
.

488

A: L > (),
L, , () 0. ()
L.

7.
. , , n- L, e

ef = .\.\ + a.i i + <


at R. , , -

: {) = a\A(ei) + 2(2)

h unA(en).

A(ej), j 1,..., , li, = 1,... , ( - ):


a

Mej) = YHLI ijh ,


{ej}, {} L,

ayi

...

^22

...

21

(.)

, (.), , .
, : , -
m- (, ).
1 -;
1 -; 1 x 1
. , ,
-^

489

, ,
, 0, :

Ai

0
0

1 = (<5),
1, ( ).
,
.

8.

(, . .)
.
. , .
. = () = () + = () = + , ..
.
. = ()
R = = ()
= , ..
.
. :

( + ) = + ,

4)

490

. , ,
= {)
' = (^-), '^ = a,ji. ,
-I I

"1 2"
4 5
-3 0

1 4 -3
2 5 0

...

On

. :
( + )' = ' + ',

(') = .

.
, . . . ,
, :
i = l,...,m,

j-!,...,&.

8=1

1 0"
0 1
2 3

1 -1 2
0 3 4

"1-1 + 0 - 0 1 ( - 1 ) + 0 - 3
0-1 + 1-0 0 (1) + 1
2-1 + 3-0 2-(-1) + 3
1 - 1 2'
0 3 4
2 7 16

1-2 + 0-4"
2 +1
2 +3

491

.
"1 0'
0 1
2 3

1 -1 2
0 3 4

1 - 1 + (1) - 0 + 2 - 2 1 -0 + ( - 1 ) - 1 + 2 - 3
0-1 + 3-0 + 4-2
0-0 + 3-1 + 4 - 3

5 5]
8 15J
, , , : .
, ,
.
. , , ' b'a = aibi + 2 +
..
.

' =

1
2
3

"2"
0
-1

= [12

3]

0
-1

= 1-2 + 2-0

(-1) = 1.

1. , j - - j-R - .
2.
6.
,
Ab =

"1 2 3"
1 0 1
2 4 6

"1"
= bi 1
2

+b

"1 h
= 1
2 bi

"3"
"2"
0 + 3 1
3
6

-
2 02 1-3
0 b2 H-
4 b 6
-
2

492

, {.
- () -, bi.
. :
AI = A, IA {I ) ,
{ + ) = + ,
() = (),
( = 'A', (ABC)1 = ''',
0 = 0.

9.

: ,

, : () .
. (trace)
tr(A) = + 2 2 + + = ] .

(.5)

/. :
tr(AB) = tv(BA),
tv(In) = n,
tr(aA) = otr(A),
tr(A') = tr(A),

(.6)

a -, tr(aa') = tr(a'a) = a'a (a'a


a).

493

. {) det(A) = \A\
, :
1. = 1, det(A) = ;
2. / > 1:
i+i7


= " = 1 (-l) "|Ay|, - ( - 1) ( - 1) , -
j-ro . || 1 .
1, 2
. :

n = 2: det

1 21

= 3: det

U21

12

G
0,22

23

13 21 32

. :
det(AB) = det(A)det(B),
det(A) = det(Ai<5ij) = =1 A i.
det(I n ) = 1,
det(a J 4) = a n det(A),
det(A') = det(A),
()
,
0,
(),
, () (),
0 ,
() .

494

10.

( ).
. n
R , - .
. m
R , - .
. . (
, .)
/. , : rank(A).
. :
rank(A) < min(m,n),
rank(AB) < min(rank(A),rank(.B)),
nxn , () =
rank(A),

rank(A),

, rarik(J3A) =

rank(A) = rank(AA') = rank(A'A), '


, a A'A nxn .

. A: Rn - Rm, rn x n . 1.()
Rm,
Rn .
: dim(Im(A)) = rank(A).

11.

495

.
. ,
: rank(A) = .
. , ,
, ~, , ~1 = ~1 = I.
. n x n
() ~1.
.
~1.
||

'

^^ , - j-ro .
.
11

12

i-i

22

0
0

2
,

0"
*

-1

\11

22

12

-21

11

...
1

"

An

...

" :
"

"

. :
1

(" )- -,
/ * 1

\ "1

~ J5" 1 , (AJ3)" = ~ .
(,
.)

496

12.

= ,
(.7)

= ,

= () , = (\,... ,)'
= (bi,..., bn)' -.
. ,
(.7) : = ~1.
/. = 0
, :
\\ = 0.

13.

A: Rn Rn.
. , 0,
( )
, ( , ), ,

= .

(.8)


.
(.8) :
- = 0,

( - ) - 0.

497
n

jR . ,
0: \ 1\ = 0.
, \ 1\
.
. \ 1\ = 0 . ( ,
).
.

1 4
1 1 '
det(A - XI) =

7I

2
2
\ =(1-) ~4 = -2-3 =

11

= -1,

2 = 3.

1. Rn: {e-i} {lj}. = {cij} {lj}


{ej}: lj = ^2s csjes-
{;} {lj} .
= '1 .

(.9)

. ,
, (JIA.9), .
-

{lj}.
det(B-XI) = detiC-1 AC - XI) = detiC^AC - XC~lIC)
= det(C- 1 (>l - XI)C) = dettC- 1 ) det(A - XI) det(C)
= det(A - XI) det(C) det(C)- 1 = det(A - XI).

498

, . :
.

( ).
. .
.
.

1

= '

(.10)

, .
, ,
, . (JIA.9),
, , , , .

14.

.
' = .

.
1
-2
4

-2 4
2 5
5 3

. ' .

, {')' = '(1)' = ',

499

. ( ), ci,...,Cn,
. ( , , .)
, , {^} , , . . :

= {,

c'iCj = 0,

'{ = 1,

j.

(.10)
, Cj.
^^,

(.11)

.
. , , .
, :
' = I.
. , ' = " 1 .
.
+1 1.

.
.
.

' = .
(.12)
. (.12) :

5QQ

= ' = ^ A s c s c ' a .

(.13)

(.13)
.

15.

. ,

' > 0.

(.14)

. .
,
' ^ 0.
(.15)
. '
. ,
'(') = ()'() = ' > 0.
, , , .
.
. , ^ 0, , > 0, .
, ^ ( > JB), ( ).
. ^ , ^ .
( ' - )
=

(Sii,5i2,...,Sin)'.)

> ^ 0 , + > .

501

>

. (
)
().
, , , . . = . , ' > 0. ' = ' = ' > 0,
, > 0 (' > 0,
).

.

(.13):
=

'.

, , (. ).

= 1 / 2 1 / 2 / = 1 = ,
(
).
, ,

...

...

AJ/ 2 J

502

16.

. ,
2
: = 2W . ,
. .
.
/. 0 1.
,
, ,
2
2
2
\ = = = = = , ( - ) = ,
(1 ) = 0.
. .
() . (.13) ',
( ). (. JIA, . 10) ,
rank(M) = rank(A), ..
(det(O) = 1). , ,
, . . , 1. tr(M) = tr(OAO') =
tr(O'OA) = tr(A), , 1, .
. 1 -,
. = I ^'. ,
.
M2=(l\

- (i - -1) =1 ) \
)

1
-1 + ^'
= 1--' = .

( ):

503

\ X

= =

X =

=1

. , , I ~'
, = ( 1 , . . . , 1)'.

17.

, , (). ,
:
=

[ 12 1

(.16)

, ^ mi 2 , ^ .^
, 22 ~ "^2 2 , = mi + m.2, n = + n 2 .
, (..
Aij Bij ),
Ail
, , . . ,
( , Bjf.
, j , )
'

2\

\
A11B12 + A i 2 B 2 2 l
A21B12
\

504


(.16),
2 2 . :

i-^ii -^ -^-21-^41 A i 2 | | 2 2 | |

, Ai 2 A 2 i (
-)

0

L = \Mi\\An\.

,
-

"4 0 l " 1 ^ [Af/


0 A22J
[ 0

(.
.9)
] " 1

11

[A2i A22J

[-^],/

22
-^
22 12

(7)

J'

18.

. (.18)

,
, ,
.
. ( ) ( / Z)

505

km 1:

4 2

'

21

'22

LIB

( .19)

[1

[ 3 J [ l

"2 0'
1 4
5
2
1 4

"2 0 1 4
=
2 0
1 4

"2 0 4
1 4 2

0'
8
0 0 6 0
0 0 3 12

.
1

-1

1. , , [ ] " = A

" .

2. , det(A
) = (det(A)) n (det(B))"\

4.

19.

, (Magnus, Neudecker,
1988).
.
ip(x) 1 = (xi7... ,)' 1
(-)
<() _ (()
'

V 1

<()
' " '

(.20)

. 1 /()
1 ** ( * . , . , % ) ' m x n

506
,
\

df(x)
'

dfm(x)
j

( ).

(.21)

, = 1 .

1. (() ', (ai,...,an)',

)
' '

= (\,...

(')
~ '

,)'

X 1 -

(.22)

=Z

"

2. <() = ', .
() _ (') _ ,
'
'

(.23)

= d(x A x )
3

st

s t
xsAsi6ti) =
s

( 5ij (.2)).
, , (.23)
(()

(')

'

'

= 2'.

3. f(x) = , .
df ()

__

(.24)

<-25)

(Magnus, Neudecker, 1988).

507

. 1 . , tn(AB)
.)

= tr(BA). (.

.2. , tr(A ) = tv(A) tr(J5).


.. , (')~1'

.4. . , = IA
= 0.
.5. = (1 )1 + ', = [1 ... 1)'
n x 1 . .
.6. , =
A(t), 1.
)

d(x'Ax)/dt.

) d(x'Ax)/dt,

t: *= x(t).

.7. : L -* , dim(L) = n, dim(M) = .


,
) 1(), Kev(A) ;
) dim(Im(.4)) < rnin(ra, 7);
) (()) + dim(Im(.4)) = .
.8. , ()
L.
) L.
) L.
: () -> dp(x)/dx; : () > ( - 1).
.
.9. (.17), (.18)
. (.
. 17 ).

508

.10. , :
da'fjx) _
&)

df(x)_

'
)


,
. .

1.


- ,
, .
X ,
(Ti,P): X =
(), . X ,
509

510

F(x) = ( < ),

x e R

(MC.1)

(R ). , , F(x) Fx(x). :
F1) 0 ^ F(X) < 1 R;
F2) F(x) , ;
F3) Hm^-oo F(x) = 0, lim^oo F(a;) = 1.
, . . ,
F1)~F3),
. ,

X. , ( (,\) = F(b) F(a)
^ .
. X , .
,

X , , . . () = F'(x), X. () AC. R

( ) = / {) dx.
JA

()

, F(x) = J^O0p(y)dy.
:

511

pi) {) ^ 0 G R;

2) f^p(y)dy

= l.

, , pi),
2), .
()
, {) = () .

, , .
/ ( )
X, (.2),

E(X) = Y,xkPk

(MC.4)

. X ()
/+00

()= /

xp(x)dx

(MC.5)

J00

, . f*^ xdF(x), (.4) (.5). (X, , a, b


):

1) ( + ) = () + ();
2) X ^ , () ^ ();
) X
(), a g(x), x e R ,
= ()

512

()= /

g{x)p{x)dx.

(MC.6)

X ,
.
2

V{X)=E{X-EX) .
= /~)
X.
1) ,
2

V(X) = ( ) - () .

2
/() = ( ) . .
4) /() = (),

min/(c)=VpO.


.
X F(x) 0 < q < 1. q
( q-) F(x)
uq, F(uq) = 1?( < uq) = q. X ,
, uq ,
. x'q < x"q
, F(x'q) ^ q, F{x'ql) > q. ^-
, ' x'L
F{x) q-, , tq (0 < q < 1)
g- F(x),
(|| ^ tq) = q.
0 < < 1. -
F(x) wa, 1-F(wa) = ( > wa) .

513

, . , uq = w\-q.
= (Xi,...,Xn)'

\,..., - , Xi - . (.1)
:
,
,
n- ,
:

,
(.):

( ) = / p(x)dx= /
JA

JA

p(xi,...,xn)dxi--dxn

() Rn. Fl)-F3)
pi), 2) . . , - -() = ( # ,),
, ( ), = {\,...,Xk)',
k < ,

{\,...,xk)=

)(1, ,xk+u , )dxk+i dxn.

.
"..., ,

P(Xi ...,

An) = P ( * i 6 Ai) ( )

() { R, i = 1,..,,?. ,
= (,...,)'
,

514

,
, , Xi ,

:
--- FXn {xn),
{, . . . , ! ) = PXi(xi)

---

=
n
(,... ,)' R , ^. =
(EXi,... ,)'. )
. ()
n
m
g: R > R -.

{) = / ()() dx.
,
n-
? , (, j)-&

Cov(Xi,Xj) = E{(Xi - EXi){Xj - EXj))


Xj. , . ,
.
. n-
()
m- .
+
() = AE(aj) + ,

V{y) = AV(aj)A'.

(MO.7)

515

:
rl) 1 ^ r(X, ) < 1 X Y\
2) r(X, Y) = 1, Y = + b, > 0;
(, ) = - 1 , = + b, a < 0;
) X , (, ) = 0.
X , (, ) = 0, . , ) , ,
, . 1) ,
X
V(X + ) = V(X) + () + 2 Cov(X, );
, ( ) X
V(X + ) = V(X) + V(Y).

(MC.8)

. n-, /-
.

- ){ - )').
Cov(x,y) = 0 , ,
n
. z = + , = By + , A: R -+ ,
: Rk -> Rp,
b e Rq () . , ,

516

Cov(z, ) = Cov( + a, By + )
= (( + - ( + a)) (By + - ( + ))')

(MC.9)

= ACov{x,y)B'.

2.

i ? " , (, ), R, Ra.
(\)=

.,
. , |( I ) ,
() 0, ( ) pi), 2).
dVx, dVy
Rm Rn . ,
, ,
(,), ( dVx | dVy) \( I
)|4|, \dVx\ dVx,
, dVx, dVy. .
(conditional expectation) , = ,

h(y) =\

= )= / \(
m
JR

| ) dx.

517

1)-3),
. h(y) . h(y) ,
h(y),
( | ).
.
1) :
n
k
: R > R ~ ()
* = 9(),
E(E(x\y)\z)=E(x\z).
, (( | )) = ().
2) {) ,

) ,

( | ) = ().
, 4). , X , n- /: Rn > Rl .
( - /()) 2 /, . , 1), 2), .
4) E(X-f(y))2
/()=('|).

518

3.

,
, .
1. . vn(p), ,...,


.
. . , ,
, .
.
- { = 1, -
, j = 0, - .
j, = 1,..., ,

=1

1) (.8) ,
{) = ,

(()) = {1 ~ ).

2. . (), = 0,1,...
Pfc = -j-e~"\

= 0,1,...,

>0,

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

519

3. . X,

, .

I -.

, [,],

() = <
(,

'
$[,],

[, ]. ,

12
4. {) . X,

/- ,

()
V J = <

[0,

>0,

<0,


. , . . ,

'

5. {) . X,

{)

=
/27

( ~ ),
2<J
V
/

R,

m e R,

> 0.

2 .
X ~ N{m,a2). = 0 2 = 1 . X ~ N{m,a2),
Z = (X - )/ .

520

.
, , , ,
.
,
2
() = , Vpf) = a .
.
6. . X
~
2

N(m,cr ). Y = . ,

1 / (\ -)2
P ( ) = 2

I
,

. ,
/ g\

() = ( + 2/2),

V(Y) = exp(2m + <2)((2) - l ) .

7. -^-. ei,...,en
(.. \ ~ iV(0,1), =
1,... ,). , 2 () = ]=1 f
X - . 2 ( )
x\n/2~l
2
-,
+

T(t)= /
Jo

x^e^dx,

, T(h) = (fe - 1)! fc,

t>0,

521

,
2

= ,

V(X )=2n.

8. (t-). 0)
..., .

t-
. t(ri)

(( + 1)/2)

'
()1/2(/2) V
1 .
, > 2

)
9.

(F-).

i , . . . , m ,

r / i , . . . , }
.
1 v-^m

_2

n L i i i

_i_()
n

F-
(^) .
F(m,n)

(/2)(/2)

() = 0,

^ 0.

, > 4
)

j ^ ,

v(^(m,n)) -

522

, .
>
.
10.
2 -. Xi,...,Xn
: Xi ~ JV(m;,l).
, = \ + ... + % 2-.
: = ]C=i 1 ~~
( ).
2 (, ).
, 2 ( 5 )
. = ( m i , . . . , mn)'
| | | | . Q , '/, '/ . ,
{, = (Xi,..., )', z Qx QYQ
; z (Zi,..., Zn)'. Q = \+.. .+Xl = |||| 2 = \\zf = 2%+.. .+Z*.
( , .4, N5) , .Z\,...,Z n , Z\ ~ ./V(||m||, 1)
Zi ~ iV(0,1), = 2,...,. ,
||ra||.
, = 0
2
(, ) 2() % 2 ("^) :
1) Yi, Yi ~ X2("i,Ai), = 1,2, Y = Y\ + Y<i ^-:
~ 2{> ), = Ai + 2 = + .
2) ~ 2{ ), () = + V(Y) = 2 + 4.

523

3) % (, )

() = exp ( - - j exP ( - - )

> 0 () = ^ .
11. .

X Y 2
N(m,l) ().

:
() =

'2
(-2/2)
(/2)(1/2) ( +

xVr
12. . -(1,2, Ai,A2) \
2 Ai 2

7i F 2 x 2 (ni,Ai) 2(2>2) 2 = 0.
> 4
2,Xi,0) :

(2-2)2(2-4)

524

4.

= (\,.. .,)'
{) ,

(.10)
R () , , (.. = ' > 0). = 1 ,
. 3. , X ~ N(m,Ti). , = , = / ( ), .
( ), .
rank() = / < 1 / = + i ? n fc-
, Rn,
. , ,
| | ( 0) , ~ 1
. , L
(.10) ( ;- L), .
.
n

N1) ~ N(m, ) , () = rn, V(as) = .


N2) .
N3) .
z =

N4) z =

525


\\
, .
n

N5) : R - R n
k
R R , I
k
R . ~ N(m,?j), =
+1 +1 ',
n
fc
( R i? = + l, Z,
.)
,
)
;
)

.
~ iV(m,S). S
, , ( JIA,
. 15), *, = 1,... ,, , = P ' S P ,
,
, = 1,... ,. s = ' - ' N5) , (.7) , Es = 0
V(s) = . , s , N4) . ,
= Ps + m,
, s
. 1 ' 2
,
, . ,
(.7), , = 1 / 2 + m
S, . . . ,

526

N6)
.
(.9) N4) :
N7) n-
n
p
n
q
= + , = + , A: R - R , : R -> R p
g
R ,b G R () . Cov(cc,y) = ',
, ,
' 0.
, rank(M) = (.
, . 16), -
. (. , . 13, . 16),
',
, , ,
. 2 = '.
2

X = ' = '' = ()' = s'As,


N5) s . , 2 , . ,
N8) 2 = ' 2(?'),
= rank(M).
.
N9) ~ N(m, E) S .
( - / " 1 ( - ) 2().

527

N7)
N8).
... 1

1 ... 1
2

, N : = JV,
rank(JV) = 1. , 1
= (\,..., )' Nx , X = i YA=I ^i- = I N, I
n- . < ,
rank(M) = 1 MN' = MN = 0. , ,

= '2 = ((I - N)x)'((I - N)x) = EtiWi

'

~ X?-

, \,...,

" 2. \

Xi-m

, = 1,...,

i=l

- ) 2 = -2 53( * ~ ^ ) 2 a

=1

N 7

)N 8 )

N10) X Y2=ii - X)2 .


1

X)2 2
N11) ^(-* - X)

, V(e) =
(-)

528

N12)
(X )/

1 .
N10)-N12)
.
II

z =

, = -, = ,

V(y) .
N13) = .
( | - ) ~ Cov(a3,y)[V(y)]~1(?/ - ) + ..
, .

5.

, ,
. ()
(). .
1. \,
2,... X
(- = X ..),
Xi(w),X2(u),...
-

()}
:

,
w, w
.
.

529

2. \,
~2,... X
(plim n _ o o = X, = probability),

lim (\ -\>)

=0

> 0.
3. Xi,
2,..., Fi(x),F2(x),...,
X
F(x), (1_ = X) > X (d =
distribution), lim n _ +00 F n (a;) = F(a;) ,
F .
,
, . , ,
, ,
, .
, .
.
X . > 0
( >)^

^ 1 .

(.11)

, ,
X (),
/+

() = / () dx^
xp(x) dx^c
p(x)dx ^ { ^ ),
)
Jc
Jc
(.).
.
Y
> 0

(.12)

530

, (.11) X = ( - ()) , =
:

(| - | > ) = (( - )2 > 2) < 1.


Xi,X2,... , (;) = , V(Xj) =

=1

plim Sn = .

Ti

, 1) (.8) ,
| -Sn) = , V ( - 5 n ) = . , (.12)
\ )
\ )

= Sn, :

> 0 >

> 0.

.
.

lim Sn = ..

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

Ti, ,...

531

. ,
1

( < ^ ) - -==. / expl


)dx
V 2
V 2 /

->

< .
,
. ,
.
, . , {Xi, = 1,2,...}, j = 1,..., , (\,... ,.Tfc).
.

{XI} : ^ ^ ^ 3,
j = 1,..., , g (ci,..., ^).
plim^oo g{X\,...,%) = g(cu..., ck).

6.

. Xi,
... , , \,...,
X F(x). ,
Xi,...,Xn
X (
F(x)). - \,... ,
, F(x).

Xi,...,Xn

. , '.

532

: X = ^Xj]

i=i

1
: Var(X) = s\ =
: d = max { - min

2 _ ] - X) ;
=1

Yi,... ,Yn, :
:
)=

CXY

"

i=i

: =
,
1/( 1), 1/,
.
.
.
,
X ( )
(, ) :
F(x) = F(x;0), 0 i?.m. - \,...,.
. ipn: Rn * G
( ) .
= ipn(Xx,... ,).
, , <,
\,... ,. , ipn estimator, estimate.
ipn ,
0, -

533

. , , ,
.
Dn(Xi,... ,) 0
1 ( 100(1 )%- ), (0 Dn{X\,...,))
= 1 ,
0 < . < 1. 9 1 .
, , , .
.

. . , , ,

ZQ 9 ,
Z\ 9.
: 9 ZQ H I : 6 Z\.
Xi,...,Xn
()

Hi.

.

7.

9 = (pn(Xi,...,)
.
,
^))-

(.13)

9 9 . (.13)
, F(x\9). ,
(9) = . X
X, . , -

534

() , 1) ,
{) = . , E(s 2 ) = V(X), .. .
1/( 1). .
.
= (pn(Xi,... ,) ,
plim^oo 4>n(Xi,.. .,) = . ,
.

= ((,..., ) ,
{((1,...,)-9)((1,...,)-)
=
(((1,...,)-)((1,...,)-)/),
. ,
.
,
;
, . , , ,
.
, , . .
.
,
.

535

-.
{; 9) n
= (Xi,.. .,), R , 9. ,
:
1) G = { Rn:
{ ),

{;9) > 0} 0

2) {\9)
eG
2
2
I n = {\(])\ ( ; ) d x

L{)

= )

9 =. ipn(Xi,...
9 {-)
-^.

(.14)
,) (MC.15)

J-n

In (.14) 9 . ,..., {;9), 1 ,


, / = n/i, h ~ 9 ^;- h = [\{\9)/9}. - , - 9
(.15) , , 9
( ).^ , X
. - , 9 (
1 ). ,
, (.15).

.

536

= (\, ...,), (]), . (likelihood function) L (;) (;). L


I = \nL. 0ML> ( ) L (, , I), .. = (),
(;())
= .(;). ML Maximum Likelihood estimation. (;)/ = , . , Xi,...,Xn

(;9),
R1,
( ).
. . ,
,

2

m M L = a UL = 1 EILiC^-X) = a=l e a, E ( ^ L ) = ^ < .



.

.
\,...,
X,
:

F{x)=F{x;e),

, #i(:r),... ,gm(x) ,

537

)
fe = l , . . . , m ;

(MC.16)

) (.16),
9, .
9
(.16)
() = ^=19(), = 1,...,, .. ( 9)
fc = l , . . . , m ,

(MC.17)

9 .
\(),... ,(), , . , () = ,
, (.16)
X. , ,
, , ,
, .

.

,
. , = (Xi>... ,)
< < 1 Dn = D n (-Xi,... ,) 9,
(0 Dn(Xi,...,Xn))
= 1 - . Dn 1 (
100(1 )%- ). .
. . ,
hn{xi)... ,. ;), hn(Xi,... ,\9)
(, ).

538

0 < < 1 1 , P(hn(Xi,...,


; ) 1) 1 . hn(Xx,... ,;) G 1
0, .. Dn Dn{X\,...,)
0,

hn(Xi,...,Xn;e)

In 4$ 9 Dn(Xi,...,Xn),

, Dn
1 . , .
.

. \,..., 2
( , < ). N12)
(X )/
I 1 V"

(-

_ (X )/
Sx

"2

- 1 ( hn). 0 < < 1 (,


) 100(/2)%- ta/2. , ,

sx
m, /

Qv

Qv

/=^/2, j=tal

. N11)

2 ( " - - 1) ( hn).
0 < < 1, X\-a/2i X2ani

539

(?_ / 2 ^ Ipr^x ^ /2) = I - . 22


< ,

8.


. .
Xi,..., m
F(x) = F(x; ), 9 R .
, ,
: 0 ZQ H I : Z\, ZQ , Z\ 9 . ,
Hi . Z
(Z = {0}), , .
, ,
Zx = Q\Z0.

, \,..., , :
1) () ;
2)
Hi.

Xi,...,Xn,ro,
, .
:
: ,
;
: ,
.

540

= P(Hi | ) = ( 0 | ]) .
, 1 (3 .

, , .
:
, ( , ).
. ,
tn tn(X\,... ,), , tn (, ).
, ( ) = 1 (,
, ). :
1) \,... ,
;
2) \
3) tn G , (); tn x a ,
.
tn , . ,
X2, . , , -. tn,

, , - P ( | i n | > ||)

541

( > )
X2 . , -
. ,
, - .

. , , 9 Dn 1 , ,
, . . : = #-
, Dn,
.


. , ,
. ,
(MacKie-Mason (1992), . (1989),
, (1991), Greene (1997)), .
, ,
, . Windows (
Unix Macintosh).

GAUSS, MicroTSP, Microfit386, Econometric Views, STATA, Statgraphics, TSP,
SAS, SPSS, RATS.
542

1.

543

.
Windows-.

, RATS, SAS, STATA, TSP,


SPSS, SORITEC, SYSTAT,
.
FORTRAN.
, FORTRANe. ( , )
. , PC (, GAUSS, Microfit,MicroTSP, E Views,),
, , ,
, PC.
, PC, , ,
,
. , FORTRANe, , TSP, STATA, SPSS,
SYSTAT, SAS,
.
/ . , , (, , , ..),
.
, ,
(, )
( , ..).
,
, Excel.

544

2.

SAS (Windows)
. .
. , ,
. .
PC- . ,
, .
. .
SAS Institute SAS. ,

SPSS, GAUSS, STATA.
SAS http://www.sas.com/.
GAUSS
.
,
, GAUSS (.,
, http://www.aptech.com/links.html).
GA USS. . GAUSS
http://www.aptech.com/.
STATA
.
. -

545

. .
STATA
http://www.st ata.com/.

TSP
. .
, GMM. . . TSP
http://www.tsp.com/.

SPSS
Windows-.
. (http://www.spss.ru). . SPSS http://www.spss.com/.

Microfit386
Hashem Pesaran, Bahram Pesaran ( ).
.
. .

Econometric Views
Windows- MicroTSP, DOS- .
Windows-
. (help), , , . EViews
http://www.eviews.com/.

546

3.

, .
, , , .
Views,
TSP, STATA, Micro fit. . Views
,
outreach , ,
. (
http://www.nes.ru/
outreach@nes.ru).
,
, , MicroTSP, Microfit, Minitab.

-

adaptive expectation
adjusted R2 R2
augmented test ,
autocorrelation function (ACP)
autoregressive conditional heteroscedasticity (ARCH) model

autoregressive (AR) model
autoregressive integrated moving average (ARIMA) model

autoregressive moving average (ARMA) model
best linear unbiased estimator (BLUE) ( )

binary variable ,
1
547

548

Box-Jenkins model = ARIMA - =



censored model , . . ,
, ,
central limit theorem (CLT)
classical normal regression (CNR) ,
classical regression (CR) ,
, ,

coefficient of determination (i?-squared) ?
cointegrated processes , ,
conditional distribution
conditional expectation ,
confidence interval
consistent estimator
convergence in distribution (law)
convergence in probability
correlation
correllogram ()

correlation coefficient
covariance
cross-section data , ,

549

curve fitting
density function
dependent (endogenous) variable ()
distributed lags model
distribution
distribution function
d u m m y variable , , , 0 1
dummy t r a p ,
, , ,

duration model , -
efficient estimator , ( )
efficient frontier
endogenous (dependent) variable ()
error correction model
estimate
estimator ,
exogenous (independent) variable ()
,
expectation (mean) ,
explanatory variables , ,

explained (unexplained) variance ()
exponential smoothing
fitted value

550

first-order

condition (FOC)

generalized autoregressive conditional heteroscedasticity


(GARCH) model
generalized least squares (GLS) estimation
goodness-of-fit
hazard rate ,
heteroscedasticity
homoscedasticity
idempotent matrix
independence of irrelevant alternatives
independent (exogenous) variable ()

indirect least squares


information matrix
instrumental variable (IV)
instrumental variables estimator (IV-estimator)
intercept
joint distribution
lag operator
lagged variable ,
latent variable ,
law of large numbers (LLN)
likelihood function
linear probability model ,

551

linear regression model


logit model logit-,
loglikelihood function
loss function ,
marginal distribution , . .
maximum likelihood (ML)
maximum likelihood estimate
maximum likelihood estimator

mean absolute deviation
mean absolute percentage error
mean squared error
model specification
moving average
moving average (MA) model
multicollinearity
multinomial logit model logit-
multiple regression model
normal (Gaussian) distribution ()

nuisance parameter ()
OLS-estimator, OLS-estimate

552

omitted variables ( , )
ordinary least squares (OLS) method
,
outliers (,
)
panel data , , (,
)
partial adjustment model
partial autocorrelation function (PACF)
partial correlation coefficient
pretest estimator ,
probit model probit-,

qualitative variable ,
random walk
ranking variable , ,
reduced form of the model
residuals
restricted regression ,
return
sample
sample mean (variance, covariance, moment etc.) (, , . .)
seemingly unrelated regression (SUR)

553

sensitivity analysis
serial correlation ( )
,
significance level
simultaneous equations
slope

spurious regression ,
standard deviation ( )
stationary time series ( )
stochastic discount factor

strictly stationary process ,


time-series data , ,
time series, integrated of order p , , -
truncated model , . . ,
two-stage least squares (2SLS)
unbiased estimator ()
under-, overestimation , ( )
unit root hypothesis
unrestricted regression ,
variance

554

variance (covariance) matrix

weakly stationary process ,


weighted least squares
white noise ,

1.

0.0
0.1
0.2
0.3
0.4

0.5000
0.5398
0.5793
0.6179
0.6554

0.01
0.5040
0.5438
0.5832
0.6217
0.6591

0.02
0.5080
0.5478
0.5871
0.6255
0.6628

0.03
0.5120
0.5517
0.5910
0.6293
0.6664

0.04 0.05 0.06


0.5160 0.5199 0.5239
0.5557 0.5596 0.5636
0.5948 0.5987 0.6026
0.6331 0.6368 0.6406
0.6700 0.6736 0.6772

0.07 0.08 0.09


0.5279 0.5319 0.5359
0.5675 0.5714 0.5753
0.6064 0.6103 0.6141
0.6443 0.6480 0.6517
0.6808 0.6844 0.6879

0.5
0.6
0.7
0.8
0.9

0.6915
0.7257
0.7580
0.7881
0.8159

0.6950
0.7291
0.7611
0.7910
0.8186

0.6985
0.7324
0.7642
0.7939
0.8212

0.7019
0.7357
0.7673
0.7967
0.8238

0.7054
0.7389
0.7704
0.7995
0.8264

0.7088
0.7422
0.7734
0.8023
0.8289

0.7123
0.7454
0.7764
0.8051
0.8315

0.7157
0.7486
0.7794
0.8078
0.8340

0.7190
0.7517
0.7823
0.8106
0.8365

0.7224
0.7549
0.7852
0.8133
0.8389

1.0
1.1
1.2
1.3
1.4

0.8413
0.8643
0.8849
0.9032
0.9192

0.8438
0.8665
0.8869
0.9049
0.9207

0.8461
0.8686
0.8888
0.9066
0.9222

0.8485
0.8708
0.8907
0.9082
0.9236

0.8508
0.8729
0.8925
0.9099
0.9251

0.8531
0.8749
0.8944
0.9115
0.9265

0.8554
0.8770
0.8962
0.9131
0.9279

0.8577
0.8790
0.8980
0.9147
0.9292

0.8599
0.8810
0.8997
0.9162
0.9306

0.8621
0.8830
0.9015
0.9177
0.9319

1.5
1.6
1.7
1.8
1.9

0.9332
0.9452
0.9554
0.9641
0.9713

0.9345
0.9463
0.9564
0.9649
0.9719

0.9357
0.9474
0.9573
0.9656
0.9726

0.9370
0.9484
0.9582
0.9664
0.9732

0.9382
0.9495
0.9591
0.9671
0.9738

0.9394
0.9505
0.9599
0.9678
0.9744

0.9406
0.9515
0.9608
0.9686
0.9750

0.9418
0.9525
0.9616
0.9693
0.9756

0.9429
0.9535
0.9625
0.9699
0.9761

0.9441
0.9545
0.9633
0.9706
0.9767

555

556

1.
dt

< ~^

0.01

0.02

0.03

0.04

0.05

0.06

0.07

0.08

0.09

2.0
2.1
2.2
2.3
2.4

0.9772
0.9821
0.9861
0.9893
0.9918

0.9778
0.9826
0.9864
0.9896
0.9920

0.9783
0.9830
0.9868
0.9898
0.9922

0.9788
0.9834
0.9871
0.9901
0.9925

0.9793
0.9838
0.9875
0.9904
0.9927

0.9798
0.9842
0.9878
0.9906
0.9929

0.9803
0.9846
0.9881
0.9909
0.9931

0.9808
0.9850
0.9884
0.9911
0.9932

0.9812
0.9854
0.9887
0.9913
0.9934

0.9817
0.9857
0.9890
0.9916
0.9936

2.5
2.6
2.7
2.8
2.9

0.9938
0.9953
0.9965
0.9974
0.9981

0.9940
0.9955
0.9966
0.9975
0.9982

0.9941
0.9956
0.9967
0.9976
0.9982

0.9943
0.9957
0.9968
0.9977
0.9983

0.9945
0.9959
0.9969
0.9977
0.9984

0.9946
0.9960
0.9970
0.9978
0.9984

0.9948
0.9961
0.9971
0.9979
0.9985

0.9949
0.9962
0.9972
0.9980
0.9985

0.9951
0.9963
0.9973
0.9980
0.9986

0.9952
0.9964
0.9974
0.9981
0.9986

3.0

0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990

. z N(0,1). ( < 0.31) = (0.31) = 0.6217 (.


, ).

2. ta ()
\
\

0.40

0.30

0.25

0.20

0.10

0.05

0.025

1
2
3
4
5

0.325
0.289
0.277
0.271
0.267

0.727
0.617
0.584
0.569
0.559

1.000
0.816
0.765
0.741
0.727

1.376
1.061
0.978
0.941
0.920

3.078
1.886
1.638
1.533
1.476

6.314
2.920
2.353
2.132
2.015

12.706
4.303
3.182
2.776
2.571

31.821
6.965
4.541
3.747
3.365

63.657
9.925
5.841
4.604
4.032

6
7
8
9
10

0.265
0.263
0.262
0.261
0.260

0.553
0.549
0.546
0.543
0.542

0.718
0.711
0.706
0.703
0.700

0.906
0.896
0.889
0.883
0.879

1.440
1.415
1.397
1.383
1.372

1.943
1.895
1.860
1.833
1.812

2.447
2.365
2.306
2.262
2.228

3.143
2.998
2.896
2.821
2.764

3.707
3.499
3.355
3.250
3.169

0.01

0.005

, 100% .

557

2. ta(n) ()
0.40

0.30

0.25

0.20

0.10

0.05

0.025

0.01

0.005

11
12
13
14
15

0.260
0.259
0.259
0.258
0.258

0.540
0.539
0.538
0.537
0.536

0.697
0.695
0.694
0.692
0.691

0.876
0.873
0.870
0.868
0.866

1.363
1.356
1.350
1.345
1.341

1.796
1.782
1.771
1.761
1.753

2.201
2.179
2.160
2.145
2.131

2.718
2.681
2.650
2.624
2.602

3.106
3.055
3.012
2.977
2.947

16
17
18
19
20

0.258
0.257
0.257
0.257
0.257

0.535
0.534
0.534
0.533
0.533

0.690
0.689
0.688
0.688
0.687

0.865
0.863
0.862
0.861
0.860

1.337
1.333
1.330
1.328
1.325

1.746
1.740
1.734
1.729
1.725

2.120
2.110
2.101
2.093
2.086

2.583
2.567
2.552
2.539
2.528

2.921
2.898
2.878
2.861
2.845

21
22
23
24
25

0.257
0.256
0.256
0.256
0.256

0.532
0.532
0.532
0.531
0.531

0.686
0.686
0.685
0.685
0.684

0.859
0.858
0.858
0.857
0.856

1.323
1.321
1.319
1.318
1.316

1.721
1.717
1.714
1.711
1.708

2.080
2.074
2.069
2.064
2.060

2.518
2.508
2.500
2.492
2.485

2.831
2.819
2.807
2.797
2.787

26
27
28
29
30

0.256
0.256
0.256
0.256
0.256

0.531
0.531
0.530
0.530
0.530

0.684
0.684
0.683
0.683
0.683

0.856
0.855
0.855
0.854
0.854

1.315
1.314
1.313
1.311
1.310

1.706
1.703
1.701
1.699
1.697

2.056
2.052
2.048
2.045
2.042

2.479
2.473
2.467
2.462
2.457

2.779
2.771
2.763
2.756
2.750

40

0.255

0.529

0.681

0.851

1.303

1.684

2.021

2.423

2.704

60

0.254

0.527

0.679

0.848

1.296

1.671

2.000

2.390

2.660

100

0.254

0.526

0.677

0.845

1.290

1.660

1.984

2.364

2.626

200

0.254

0.525

0.676

0.843

1.286

1.652

1.972

2.345

2.601

0.253

0.524

0.675

0.842

1.282

1.645

1.960

2.326

2.576

, 100% .
. t ,
5 . *.25(5) = 2.571, ..
( > 2.571) = 0.025 (. ,
).

558
3.

\
1
2
3
4
5

0.995

0.990 0.975 0.950 0.900 0.100 0.050 0.025 0.010 0.005

0.000039 0.00016 0.00098 0.0039 0.0158


0.0100 0.0201 0.0506 0.1026 0.2107
0.0717 0.115 0.216 0.352 0.584
0.297 0.484 0.711 1.064
0.207
0.554 0.831 1.15 1.61
0.412

2.71 3.84 5.02 6.63


4.61 5.99 7.38 9.21
6.25 7.81 9.35 11.34
7.78 9.49 11.14 13.28
9.24 11.07 12.83 15.09

7.88
10.60
12.84
14.86
16.75

6
7
8
9
10

0.676
0.989
1.34
1.73
2.16

0.872
1.24
1.65
2.09
2.56

1.24
1.69
2.18
2.70
3.25

1.64
2.17
2.73
3.33
3.94

2.20
2.83
3.49
4.17
4.87

10.64
12.02
13.36
14.68
15.99

12.59
14.07
15.51
16.92
18.31

14.45
16.01
17.53
19.02
20.48

16.81
18.48
20.09
21.67
23.21

.18.55
20.28
21.96
23.59
25.19

11
12
13
14
15

2.60
3.07
3.57
4.07
4.60

3.05
3.57
4.11
4.66
5.23

3.82
4.40
5.01
5.63
6.26

4.57
5.23
5.89
6.57
7.26

5.58
6.30
7.04
7.79
8.55

17.28
18.55
19.81
21.06
22.31

19.68
21.03
22.36
23.68
25.00

21.92
23.34
24.74
26.12
27.49

24.73
26.22
27.69
29.14
30.58

26.76
28.30
29.82
31.32
32.80

16
18
20
24
30

5.14
6.26
7.43
9.89
13.79

5.81
7.01
8.26
10.86
14.95

6.91
8.23
9.59
12.40
16.79

7.96
9.39
10.85
13.85
18.49

9.31
10.86
12.44
15.66
20.60

23.54
25.99
28.41
33.20
40.26

26.30
28.87
31.41
36.42
43.77

28.85
31.53
34.17
39.36
46.98

32.00
34.81
37.57
42.98
50.89

34.27
37.16
40.00
45.56
53.67

40

20.71

22.16

24.43

26.51 29.05 51.81 55.76 59.34 63.69 66.77

60

35.53

37.48

40.48 43.19 46.46 74.40 79.08 83.30 88.38 91.95

80

51.17

53.54

57.15

60.39 64.28 96.58 101.88 106.63 112.33 116.32

100

67.33

70.06

74.22

77.93 82.36 118.50 124.34 129.56 135.81 140.17

120

83.85

86.92

91.58

95.70 100.62 140.23 146.57 152.21 158.95 163.64

, 100% .
. 2 ~ , 2
5 . .(5) = .07, .. ( 2 > 11.07) =
0.05 (. , ).

559

4. 5%-

2)

10

1
2
3
4
5

161
18.5
10.13
7.71
6.61

200
19.0
9.55
6.94
5.79

216
19.2
9.28
6.59
5.41

225
19.2
9.12
6.39
5.19

230
19.3
9.01
6.26
5.05

234
19.3
8.94
6.16
4.95

237
19.4
8.89
6.09
4.88

239
19.4
8.85
6.04
4.82

241
19.4
8.81
6.00
4.77

242
19.4
8.79
5.96
4.74

6
7
8
9
10

5.99
5.59
5.32
5.12
4.96

5.14
4.74
4.46
4.26
4.10

4.76
4.35
4.07
3.86
3.71

4.53
4.12
3.84
3.63
3.48

4.39
3.97
3.69
3.48
3.33

4.28
3.87
3.58
3.37
3.22

4.21
3.79
3.50
3.29
3.14

4.15
3.73
3.44
3.23
3.07

4.10
3.68
3.39
3.18
3.02

4.06
3.64
3.35
3.14
2.98

11
12
13
14
15

4.84
4.75
4.67
4.60
4.54

3.98
3.89
3.81
3.74
3.68

3.59
3.49
3.41
3.34
3.29

3.36
3.26
3.18
3.11
3.06

3.20
3.11
3.03
2.96
2.90

3.09
3.00
2.92
2.85
2.79

3.01
2.91
2.83
2.76
2.71

2.95
2.85
2.77
2.70
2.64

2.90
2.80
2.71
2.65
2.59

2.85
2.75
2.67
2.60
2.54

16
17
18
19
20

4.49
4.45
4.41
4.38
4.35

3.63
3.59
3.55
3.52
3.49

3.24
3.20
3.16
3.13
3.10

3.01
2.96
2.93
2.90
2.87

2.85
2.81
2.77
2.74
2.71

2.74
2.70
2.66
2.63
2.60

2.66
2.61
2.58
2.54
2.51

2.59
2.55
2.51
2.48
2.45

2.54
2.49
2.46
2.42
2.39

2.49
2.45
2.41
2.38
2.35

21
22
23
24
25

4.32
4.30
4.28
4.26
4.24

3.47
3.44
3.42
3.40
3.39

3.07
3.05
3.03
3.01
2.99

2.84
2.82
2.80
2.78
2.76

2.68
2.66
2.64
2.62
2.60

2.57
2.55
2.53
2.51
2.49

2.49
2.46
2.44
2.42
2.40

2.42
2.40
2.37
2.36
2.34

2.37
2.34
2.32
2.30
2.28

2.32
2.30
2.27
2.25
2.24

30

4.17

3.32

2.92

2.69

2.53

2.42

2.33

2.27

2.21

2.16

40

4.08

3.23

2.84

2.61

2.45

2.34

2.25

2.18

2.12

2.08

60

4.00

3.15

2.76

2.53

2.37

2.25

2.17

2.10

2.04

1.99

120

3.92

3.07

2.68

2.45

2.29

2.18

2.09

2.02

1.96

1.91

2.37

2.21

2.10

2.01

1.94

1.88

1.83

>

3.84

3.00

2.60

\ ,
.

560

4. 5%- F{kxJ ) ('


12

15

20

24

30

40

60

120

1
2
3
4
5

244
19.4
8.74
5.91
4.68

246
19.4
8.70
5.86
4.62

248
19.4
8.66
5.80
4.56

249
19.4
8.64
5.77
4.53

250
19.5
8.62
5.75
4.50

251
19.5
8.59
5.72
4.46

252
19.5
8.57
5.69
4.43

253
19.5
8.55
5.66
4.40

254
19.5
8.53
5.63
4.37

6
7
8
9
10

4.00
3.57
3.28
3.07
2.91

3.94
3.51
3.22
3.01
2.85

3.87
3.44
3.15
2.94
2.77

3.84
3.41
3.12
2.90
2.74

3.81
3.38
3.08
2.86
2.70

3.77
3.34
3.04
2.83
2.66

3.74
3.30
3.01
2.79
2.62

3.70
3.27
2.97
2.75
2.58

3.67
3.23
2.93
2.71
2.54

11
12
13
14
15

2.79
2.69
2.60
2.53
2.48

2.72
2.62
2.53
2.46
2.40

2.65
2.54
2.46
2.39
2.33

2.61
2.51
2.42
2.35
2.29

2.57
2.47
2.38
2.31
2.25

2.53
2.43
2.34
2.27
2.20

2.49
2.38
2.30
2.22
2.16

2.45
2.34
2.25
2.18
2.11

2.40
2.30
2.21
2.13
2.07

16
17
18
19
20

2.42
2.38
2.34
2.31
2.28

2.35
2.31
2.27
2.23
2.20

2.28
2.23
2.19
2.16
2.12

2.24
2.19
2.15
2.11
2.08

2.19
2.15
2.11
2.07
2.04

2.15
2.10
2.06
2.03
1.99

2.11
2.06
2.02
1.98
1.95

2.06
2.01
1.97
1.93
1.90

2.01
1.96
1.92
1.88
1.84

21
22
23
24
25

2.25
2.23
2.20
2.18
2.16

2.18
2.15
2.13
2.11
2.09

2.10
2.07
2.05
2.03
2.01

2.05
2.03
2.01
1.98
1.96

2.01
1.98
1.96
1.94
1.92

1.96
1.94
1.91
1.89
1.87

1.92
1.89
1.86
1.84
1.82

1.87
1.84
1.81
1.79
1.77

1.81
1.78
1.76
1.73
1.71

30

2.09

2.01

1.93

1.89

1.84

1.79

1.74

1.68

1.62

40

2.00

1.92

1.84

1.79

1.74

1.69

1.64

1.58

1.51

60

1.92

1.84

1.75

1.70

1.65

1.59

1.53

1.47

1.39

120

1.83

1.75

1.66

1.61

1.55

1.50

1.43

1.35

1.25

1.75

1.67

1.57

1.52

1.46

1.39

1.32

1.22

1.00

/ci ,
.
. F ,
^(3,5). Fo.o6(3,5) = 5.41, .. P(F > 5.41) = 0.05
(. , ).


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(ACF), 277
- - , 290
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, 184,

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,
524
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154, 168
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, 40, 154

, 448, 463

209

, 424
, 463

, 247

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(2SLS), 216, 237, 238
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, 533,
537
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537

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149, 158, 160, 161, 221

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205
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233, 234
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212, 214-217
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535
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, 283
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(t-), 521
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35
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226, 231
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255, 272
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448, 463
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575
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339

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(PACF), 290
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446
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ARCH, 311, 312
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Dummy trap, 114, 181
GARCH, 311, 313
Heckman lambda, 344
Multinomial logit model, 332
-, 540
Payoff, 461
Pooled model, 361
Pretest-, 399, 403, 405, 407
Pretesting, 398
Q- -, 306
WALS-, 404


. ,
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24.12.2002 .
12.11.2003. 60 901 ,. . .
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""
119571, , - , 82
. 433-2510, 433-2502
E-mail: rieb@ane.ru
Internet: itttp://wwu:deb.ane.iv
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1150S8, , ., 24

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