Error
t-Statistic
Prob.
C
0.045940
0.005867
7.829698
0.0000
AR(1)
0.697010
0.255112
2.732177
0.0078
AR(2)
-0.091203
0.144034
-0.633203
0.5285
AR(3)
0.055176
0.117929
0.467877
0.6412
AR(4)
0.466694
0.118125
3.950843
0.0002
AR(5)
-0.439296
0.124631
-3.524764
0.0007
MA(1)
-0.257616
0.287778
-0.895191
0.3734
R-squared
0.423545
Mean dependent var
0.046131
Adjusted R-squared
0.379202
S.D. dependent var
0.028622
S.E. of regression
0.022552
Akaike info criterion
-4.667251
Sum squared resid
0.039669
Schwarz criterion
-4.466092
Log likelihood
205.3582
Hannan-Quinn criter.
-4.586339
F-statistic
9.551631
Durbin-Watson stat
1.973933
Prob(F-statistic)
0.000000
Inverted AR Roots
.79-.22i
.79+.22i
-.03-.88i
-.03+.88i
-.83
Inverted MA Roots
.26
پیوست5: توابع خودهمبستگی نگار باقیماندههای مدل پیشبینی تورم ARIMA(4,1,2)
پیوست6: آزمون ریشه واحد باقیماندههای مدل پیشبینی تورم ARIMA(4,1,2)-با عرض از مبدأ
Null Hypothesis: RESIDUALEINF has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic – based on SIC, maxlag=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-8.099042
0.0000
Test critical values:
1% level
-3.509281
5% level
-2.895924
10% level
-2.585172
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESIDUALEINF)
Method: Least Squares
Sample (adjusted): 1371Q3 1392Q3
Included observations: 85 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RESIDUALEINF(-1)
-0.900824
0.111226
-8.099042
0.0000
C
0.000225
0.002383
0.094466
0.9250
R-squared
0.441433
Mean dependent var
-0.000252
Adjusted R-squared
0.434703
S.D. dependent var
0.029209
S.E. of regression
0.021961
Akaike info criterion
-4.775852
Sum squared resid
0.040030
Schwarz criterion
-4.718378
Log likelihood
204.9737
Hannan-Quinn criter.
-4.752735
F-statistic
65.59449
Durbin-Watson stat
1.976973
Prob(F-statistic)
0.000000
با عرض از مبدأ و روند
Null Hypothesis: RESIDUALEINF has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic – based on SIC, maxlag=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-8.036351
0.0000
Test critical values:
1% level
-4.069631
5% level
-3.463547
10% level
-3.158207
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESIDUALEINF)
Method: Least Squares
Sample (adjusted): 1371Q3 1392Q3
Included observations: 85 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RESIDUALEINF(-1)
-0.899734
0.111958
-8.036351
0.0000
C
0.001338
0.005265
0.254031
0.8001
@TREND(1370Q1)
-2.32E-05
9.77E-05
-0.237282
0.8130
R-squared
0.441816
Mean dependent var
-0.000252
Adjusted R-squared
0.428202
S.D. dependent var
0.029209
S.E. of regression
0.022087
Akaike info criterion
-4.753009
Sum squared resid
0.040002
Schwarz criterion
-4.666798
Log likelihood
205.0029
Hannan-Quinn criter.
-4.718333
F-statistic
32.45250
Durbin-Watson stat
1.980686
Prob(F-statistic)
0.000000
پیوست7: آزمون ریشه واحد فصلی متغیرها
LCPI
Dependent Variable: D4LCPI
Method: Least Squares
Sample (adjusted): 1371Q1 1392Q3
Included observations: 87 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
0.028587
0.014401
1.985067
0.0505
Z1(-1)
-0.000442
0.000677
-0.652794
0.5157
Z2(-1)
-0.865182
0.118644
-7.292281
0.0000
Z3(-1)
0.553698
0.096438
5.741506
0.0000
Z4(-1)
-0.350111
0.095954
-3.648752
0.0005
R-squared
0.903400
Mean dependent var
0.185590
Adjusted R-squared
0.898688
S.D. dependent var
0.080597
S.E. of regression
0.025654
Akaike info criterion
-4.432496
Sum squared resid
0.053966
Schwarz criterion
-4.290777
Log likelihood
197.8136
Hannan-Quinn criter.
-4.375430
F-statistic
191.7157
Durbin-Watson stat
2.156893
Prob(F-statistic)
0.000000
Wald Test:
Equation: Untitled
Test Statistic
Value
df
Probability
F-statistic
88.75652
(2, 82)
0.0000
Chi-square
177.5130
2
0.0000
Null Hypothesis: C(3)=0, C(4)=0
Null Hypothesis Summary:
Normalized Restriction (= 0)
Value
Std. Err.
C(3)
-0.865182
0.118644
C(4)
0.553698
0.096438
Restrictions are linear in coefficients.
LTEPIX
Dependent Variable: D4LTEPIX
Method: Least Squares
Sample (adjusted): 1371Q1 1392Q3
Included observations: 87 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
0.019534
0.032278
0.605195
0.5467
Z1(-1)
0.000726
0.002121
0.342436
0.7329
Z2(-1)
-0.594248
0.114831
-5.175005
0.0000
Z3(-1)
0.786817
0.101731
7.734303
0.0000
Z4(-1)
-0.388509
0.104516
-3.717216
0.0004
R-squared
0.893407
Mean dependent var
0.227017
Adjusted R-squared
0.888207
S.D. dependent var
0.316486
S.E. of regression
0.105819
Akaike info criterion
-1.598428
Sum squared resid
0.918200
Schwarz criterion
-1.456709
Log likelihood
74.53163
Hannan-Quinn criter.
-1.541362
F-statistic
171.8203
Durbin-Watson stat
1.961057
Prob(F-statistic)
0.000000
Wald Test:
Equation: Untitled
Test Statistic
Value
df
Probability
F-statistic
79.04984
(2, 82)
0.0000
Chi-square
158.0997
2
0.0000
Null Hypothesis: C(3)=0, C(4)=0
Null Hypothesis Summary:
Normalized Restriction (= 0)
Value
Std. Err.
C(3)
-0.594248
0.114831
C(4)
0.786817
0.101731
LHP
Dependent Variable: D4LHP
Method: Least Squares
Sample (adjusted): 1371Q1 1392Q3
Included observations: 87 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
0.061691
0.016098
3.832296
0.0002
Z1(-1)
-0.001408
0.000659
-2.134771
0.0358
Z2(-1)
-0.727729
0.113707
-6.400049
0.0000
Z3(-1)
0.508889
0.091710
5.548916
0.0000
Z4(-1)
-0.331086
0.091732
-3.609290
0.0005
R-squared
0.851640
Mean dependent var
0.179589
Adjusted R-squared
0.844403
S.D. dependent var
0.062847
S.E. of regression
0.024790
Akaike info criterion
-4.500975
Sum squared resid
0.050394
Schwarz criterion
-4.359256
Log likelihood
200.7924
Hannan-Quinn criter.
-4.443909
F-statistic
117.6779
Durbin-Watson stat
1.993213
Prob(F-statistic)
0.000000
Wald Test:
Equation: Untitled
Test Statistic
Value
df
Probability
F-statistic
64.19116
(2, 82)
0.0000
Chi-square
128.3823
2
0.0000
Null Hypothesis: C(3)=0, C(4)=0
Null Hypothesis Summary:
Normalized Restriction (= 0)
Value
Std. Err.
C(3)
-0.727729
0.113707
C(4)
0.508889
0.091710
LCOIN
Dependent Variable: D4LCOIN
Method: Least Squares
Sample (adjusted): 1371Q1 1392Q3
Included observations: 87 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
0.054121
0.057788
0.936546
0.3517
Z1(-1)
-0.000865
0.002178
-0.397361
0.6921
Z2(-1)
-1.206685
0.126600
-9.531495
0.0000
Z3(-1)
0.364303
0.081728
4.457494
0.0000
Z4(-1)
-0.117099
0.082215
-1.424304
0.1582
R-squared
0.846311
Mean dependent var
0.208057
Adjusted R-squared
0.838814
S.D. dependent var
0.219411
S.E. of regression
0.088089
Akaike info criterion
-1.965182
Sum squared resid
0.636295
Schwarz criterion
-1.823463
Log likelihood
90.48542
Hannan-Quinn criter.
-1.908116
F-statistic
112.8859
Durbin-Watson stat
2.000992
Prob(F-statistic)
0.000000
Wald Test:
Equation: Untitled
Test Statistic
Value
df
Probability
F-statistic
112.9693
(2, 82)
0.0000
Chi-square
225.9386
2
0.0000
Null Hypothesis: C(3)=0, C(4)=0
Null Hypothesis Summary:
Normalized Restriction (= 0)
Value
Std. Err.
C(3)
-1.206685
0.126600
C(4)
0.364303
0.081728
LEX
Dependent Variable: D4LEX
Method: Least Squares
Sample (adjusted): 1371Q1 1392Q3
Included observations: 87 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
0.172461
0.122049
1.413048
0.1614
Z1(-1)
-0.004161
0.003464
-1.201392
0.2331
Z2(-1)
-0.542939
0.099451
-5.459366
0.0000
Z3(-1)
0.560629
0.098489
5.692293
0.0000
Z4(-1)
-0.517635
0.099084
-5.224184
0.0000
R-squared
0.807841
Mean dependent var
0.144827
Adjusted R-squared
0.798468
S.D. dependent var
0.199030
S.E. of
