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 **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.509583
 61.27492
 52.36261
 0.0048
At most 1
 0.365502
 39.12326
 46.23142
 0.2354
At most 2
 0.337285
 35.38123
 40.07757
 0.1539
At most 3
 0.288819
 29.31124
 33.87687
 0.1593
At most 4
 0.219193
 21.27870
 27.58434
 0.2597
At most 5
 0.158470
 14.83793
 21.13162
 0.3004
At most 6
 0.078474
 7.028284
 14.26460
 0.4858
At most 7
 0.000258
 0.022233
 3.841466
 0.8814

 Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

مدل بازده دارایی‌ها و تورم- وقفه‌ی سه الگوی چهارم

Sample (adjusted): 1371Q2 1392Q3

Included observations: 86 after adjustments

Trend assumption: Linear deterministic trend (restricted)
Series: LTEPIX LCPI LHP LCOIN LEX LGDP LM LOIL 

Exogenous series: D72 D91 

Warning: Critical values assume no exogenous series

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.613431
 258.9201
 187.4701
 0.0000
At most 1 *
 0.395627
 177.1819
 150.5585
 0.0007
At most 2 *
 0.345814
 133.8755
 117.7082
 0.0032
At most 3 *
 0.310550
 97.38028
 88.80380
 0.0104
At most 4 *
 0.259294
 65.40017
 63.87610
 0.0370
At most 5
 0.217785
 39.58709
 42.91525
 0.1035
At most 6
 0.153767
 18.46328
 25.87211
 0.3136
At most 7
 0.046608
 4.104660
 12.51798
 0.7269

 Trace test indicates 5 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.613431
 81.73816
 56.70519
 0.0000
At most 1
 0.395627
 43.30643
 50.59985
 0.2337
At most 2
 0.345814
 36.49524
 44.49720
 0.2832
At most 3
 0.310550
 31.98011
 38.33101
 0.2236
At most 4
 0.259294
 25.81308
 32.11832
 0.2415
At most 5
 0.217785
 21.12381
 25.82321
 0.1850
At most 6
 0.153767
 14.35862
 19.38704
 0.2310
At most 7
 0.046608
 4.104660
 12.51798
 0.7269

 Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

مدل بازده دارایی‌ها و تورم انتظاری- وقفه‌ی سه و الگوی دوم

Sample (adjusted): 1372Q2 1392Q3

Included observations: 82 after adjustments

Trend assumption: No deterministic trend (restricted constant)
Series: LTEPIX LCPIF LHP LCOIN LEX LGDP LM LOIL 

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.628660
 248.6748
 169.5991
 0.0000
At most 1 *
 0.398887
 167.4426
 134.6780
 0.0001
At most 2 *
 0.380485
 125.7068
 103.8473
 0.0008
At most 3 *
 0.301777
 86.44367
 76.97277
 0.0079
At most 4 *
 0.259891
 56.98787
 54.07904
 0.0269
At most 5
 0.207461
 32.30935
 35.19275
 0.0991
At most 6
 0.100194
 13.24326
 20.26184
 0.3447
At most 7
 0.054392
 4.586049
 9.164546
 0.3319

 Trace test indicates 5 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.628660
 81.23226
 53.18784
 0.0000
At most 1
 0.398887
 41.73576
 47.07897
 0.1667
At most 2
 0.380485
 39.26312
 40.95680
 0.0767
At most 3
 0.301777
 29.45580
 34.80587
 0.1895
At most 4
 0.259891
 24.67852
 28.58808
 0.1459
At most 5
 0.207461
 19.06609
 22.29962
 0.1332
At most 6
 0.100194
 8.657212
 15.89210
 0.4714
At most 7
 0.054392
 4.586049
 9.164546
 0.3319

 Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

مدل بازده دارایی‌ها و تورم انتظاری- وقفه‌ی سه و الگوی سوم

Sample (adjusted): 1372Q2 1392Q3

Included observations: 82 after adjustments

Trend assumption: Linear deterministic trend

Series: LTEPIX LCPIF LHP LCOIN LEX LGDP LM LOIL 

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.626826
 227.6461
 159.5297
 0.0000
At most 1 *
 0.386522
 146.8179
 125.6154
 0.0013
At most 2 *
 0.366786
 106.7519
 95.75366
 0.0071
At most 3
 0.278202
 69.28218
 69.81889
 0.0551
At most 4
 0.208995
 42.54935
 47.85613
 0.1439
At most 5
 0.181262
 23.32435
 29.79707
 0.2305
At most 6
 0.076705
 6.925057
 15.49471
 0.5864
At most 7
 0.004635
 0.380961
 3.841466
 0.5371

 Trace test indicates 3 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.626826
 80.82821
 52.36261
 0.0000
At most 1
 0.386522
 40.06605
 46.23142
 0.1968
At most 2
 0.366786
 37.46969
 40.07757
 0.0956
At most 3
 0.278202
 26.73283
 33.87687
 0.2779
At most 4
 0.208995
 19.22500
 27.58434
 0.3973
At most 5
 0.181262
 16.39930
 21.13162
 0.2024
At most 6
 0.076705
 6.544095
 14.26460
 0.5444
At most 7
 0.004635
 0.380961
 3.841466
 0.5371

 Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

مدل بازده دارایی‌ها و تورم انتظاری- وقفه‌ی سه و الگوی چهارم

Date: 09/30/14 Time: 23:24

Sample (adjusted): 1372Q2 1392Q3

Included observations: 82 after adjustments

Trend assumption: Linear deterministic trend (restricted)
Series: LTEPIX LCPIF LHP LCOIN LEX LGDP LM LOIL 

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.645271
 271.4823
 187.4701
 0.0000
At most 1 *
 0.473557
 186.4974
 150.5585
 0.0001
At most 2 *
 0.385461
 133.8852
 117.7082
 0.0032
At most 3 *
 0.339857
 93.96082
 88.80380
 0.0201
At most 4
 0.242026
 59.90632
 63.87610
 0.1031
At most 5
 0.186895
 37.18366
 42.91525
 0.1663
At most 6
 0.174029
 20.21830
 25.87211
 0.2151
At most 7
 0.053864
 4.540295
 12.51798
 0.6632

 Trace test indicates 4 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.645271
 84.98488
 56.70519
 0.0000
At most 1 *
 0.473557
 52.61219
 50.59985
 0.0305
At most 2
 0.385461
 39.92439
 44.49720
 0.1446
At most 3
 0.339857
 34.05449
 38.33101
 0.1430
At most 4
 0.242026
 22.72266
 32.11832
 0.4385
At most 5
 0.186895
 16.96536
 25.82321
 0.4607
At most 6
 0.174029
 15.67801
 19.38704
 0.1596
At most 7
 0.053864
 4.540295
 12.51798
 0.6632

 Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

پیوست10: برآورد بردار هم‌انباشتگی بلندمدت با استفاده از روشVECM- بردار بازده سهام و تورم

الگوی VECM بازده مسکن و تورم

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