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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

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