22.12.11

Dependent Variable: D(Y)
Method: Least Squares
Date: 12/22/11 Time: 10:58
Sample: 2 201
Included observations: 200
Variable	Coefficient	Std. Error		t-Statistic		Prob.
D(X)	0.037630	0.075556		0.498038		0.6190
C	0.008500	0.076928		0.110488		0.9121
R-squared	0.001251	Mean dependent var				0.010443
Adjusted R-squared	-0.003793	S.D. dependent var				1.084469
S.E. of regression	1.086524	Akaike info criterion				3.013794
Sum squared resid	233.7458	Schwarz criterion				3.046777
Log likelihood	-299.3794	Hannan-Quinn criter.				3.027142
F-statistic	0.248042	Durbin-Watson stat				2.510489
Prob(F-statistic)	0.619010

Коинтеграция временных рядов. Метод Энгеля-Гренджера

Dependent Variable: CONSUM
Method: Least Squares
Date: 12/22/11 Time: 11:06
Sample: 1971Q1 1985Q2
Included observations: 58
Variable	Coefficient	Std. Error	t-Statistic		Prob.
INCOME	0.869020	0.007497	115.9105		0.0000
C	176.8484	258.4149	0.684359		0.4966
R-squared	0.995849	Mean dependent var			26772.86
Adjusted R-squared	0.995775	S.D. dependent var			13927.30
S.E. of regression	905.2705	Akaike info criterion			16.48822
Sum squared resid	45892826	Schwarz criterion			16.55927
Log likelihood	-476.1583	Hannan-Quinn criter.			16.51589
F-statistic	13435.25	Durbin-Watson stat			1.675463
Prob(F-statistic)	0.000000

Тест Дики-Фулера

Null Hypothesis: RESID01 has a unit root
Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=10)
			t-Statistic		Prob.*
Augmented Dickey-Fuller test statistic				-2.519154		0.1169
Test critical values:	1% level		-3.562669
	5% level		-2.918778
	10% level		-2.597285
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID01)
Method: Least Squares
Date: 12/22/11 Time: 11:12
Sample (adjusted): 1972Q3 1985Q2
Included observations: 52 after adjustments
Variable	Coefficient	Std. Error	t-Statistic		Prob.
RESID01(-1)	-0.470862	0.186913	-2.519154		0.0154
D(RESID01(-1))	-0.270932	0.208677	-1.298327		0.2008
D(RESID01(-2))	-0.138328	0.217832	-0.635020		0.5286
D(RESID01(-3))	-0.203033	0.195278	-1.039712		0.3040
D(RESID01(-4))	0.604356	0.176048	3.432911		0.0013
D(RESID01(-5))	0.352645	0.153697	2.294423		0.0265
C	-15.44715	77.92626	-0.198228		0.8438
R-squared	0.814262	Mean dependent var			-29.22999
Adjusted R-squared	0.789496	S.D. dependent var			1223.549
S.E. of regression	561.3724	Akaike info criterion			15.62330
Sum squared resid	14181252	Schwarz criterion			15.88596
Log likelihood	-399.2057	Hannan-Quinn criter.			15.72400
F-statistic	32.87937	Durbin-Watson stat			1.997370
Prob(F-statistic)	0.000000

Уравнение авторегрессии

Dependent Variable: Y
Method: Least Squares
Date: 12/22/11 Time: 11:15
Sample: 1 33
Included observations: 33
Variable	Coefficient	Std. Error		t-Statistic		Prob.
X	5.577356	0.281428		19.81808		0.0000
C	346.3549	158.5970		2.183868		0.0367
R-squared	0.926845	Mean dependent var				3369.603
Adjusted R-squared	0.924485	S.D. dependent var				906.7583
S.E. of regression	249.1773	Akaike info criterion				13.93290
Sum squared resid	1924769.	Schwarz criterion				14.02360
Log likelihood	-227.8928	Hannan-Quinn criter.				13.96342
F-statistic	392.7562	Durbin-Watson stat				0.978581
Prob(F-statistic)	0.000000

Dependent Variable: Y
Method: Least Squares
Date: 12/22/11 Time: 11:17
Sample (adjusted): 2 33
Included observations: 32 after adjustments
Variable	Coefficient	Std. Error	t-Statistic		Prob.
X	1.175306	0.163727	7.178472		0.0000
Y(-1)	0.807534	0.028359	28.47534		0.0000
C	84.69335	33.51265	2.527205		0.0172
R-squared	0.997258	Mean dependent var			3414.550
Adjusted R-squared	0.997069	S.D. dependent var			883.1282
S.E. of regression	47.80810	Akaike info criterion			10.66133
Sum squared resid	66282.81	Schwarz criterion			10.79874
Log likelihood	-167.5812	Hannan-Quinn criter.			10.70688
F-statistic	5274.533	Durbin-Watson stat			1.731151
Prob(F-statistic)	0.000000

Dependent Variable: Y
Method: Least Squares
Date: 12/22/11 Time: 11:18
Sample (adjusted): 2 33
Included observations: 32 after adjustments
Variable	Coefficient	Std. Error	t-Statistic		Prob.
X(-1)	5.422722	0.267216	20.29340		0.0000
C	497.2444	149.5859	3.324139		0.0023
R-squared	0.932099	Mean dependent var			3414.550
Adjusted R-squared	0.929836	S.D. dependent var			883.1282
S.E. of regression	233.9273	Akaike info criterion			13.80836
Sum squared resid	1641659.	Schwarz criterion			13.89997
Log likelihood	-218.9337	Hannan-Quinn criter.			13.83872
F-statistic	411.8221	Durbin-Watson stat			1.538353
Prob(F-statistic)	0.000000