پایان نامه درمورد مدل ARIMA، ریشه واحد

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پیوست‌ها

پیوست1: آزمون ریشه واحد LCPI و نمودار همبستگی نگار DLCPI
آزمون ریشه واحد (ADF) با عرض از مبدأ و بدون روند

Null Hypothesis: LCPI has a unit root

Exogenous: Constant

Lag Length: 5 (Automatic – based on SIC, maxlag=11)

t-Statistic
  Prob.*

Augmented Dickey-Fuller test statistic
-1.064321
 0.7265
Test critical values:
1% level

-3.510259

5% level

-2.896346

10% level

-2.585396

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LCPI)

Method: Least Squares

Sample (adjusted): 1371Q4 1392Q3

Included observations: 84 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

LCPI(-1)
-0.002815
0.002645
-1.064321
0.2905
D(LCPI(-1))
0.483643
0.109027
4.436011
0.0000
D(LCPI(-2))
-0.018797
0.104569
-0.179759
0.8578
D(LCPI(-3))
0.029595
0.105016
0.281813
0.7788
D(LCPI(-4))
0.468538
0.104665
4.476532
0.0000
D(LCPI(-5))
-0.370973
0.114002
-3.254099
0.0017
C
0.030867
0.014520
2.125774
0.0367

R-squared
0.423553
    Mean dependent var
0.046208
Adjusted R-squared
0.378635
    S.D. dependent var
0.028785
S.E. of regression
0.022690
    Akaike info criterion
-4.654096
Sum squared resid
0.039644
    Schwarz criterion
-4.451528
Log likelihood
202.4720
    Hannan-Quinn criter.
-4.572665
F-statistic
9.429492
    Durbin-Watson stat
2.100311
Prob(F-statistic)
0.000000

با عرض از مبدأ و روند

Null Hypothesis: LCPI has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 5 (Automatic – based on SIC, maxlag=11)

t-Statistic
  Prob.*

Augmented Dickey-Fuller test statistic
-2.860362
 0.1807
Test critical values:
1% level

-4.071006

5% level

-3.464198

10% level

-3.158586

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LCPI)

Method: Least Squares

Sample (adjusted): 1371Q4 1392Q3

Included observations: 84 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

LCPI(-1)
-0.054081
0.018907
-2.860362
0.0055
D(LCPI(-1))
0.435445
0.106176
4.101153
0.0001
D(LCPI(-2))
0.004449
0.100783
0.044142
0.9649
D(LCPI(-3))
0.044395
0.100998
0.439560
0.6615
D(LCPI(-4))
0.477358
0.100568
4.746598
0.0000
D(LCPI(-5))
-0.305175
0.112093
-2.722531
0.0080
C
0.150006
0.045719
3.281025
0.0016
@TREND(1370Q2)
0.002116
0.000773
2.736273
0.0077

R-squared
0.475249
    Mean dependent var
0.046208
Adjusted R-squared
0.426917
    S.D. dependent var
0.028785
S.E. of regression
0.021791
    Akaike info criterion
-4.724246
Sum squared resid
0.036088
    Schwarz criterion
-4.492740
Log likelihood
206.4183
    Hannan-Quinn criter.
-4.631182
F-statistic
9.832958
    Durbin-Watson stat
2.082930
Prob(F-statistic)
0.000000

نمودار همبستگی نگار تورم

پیوست2: برآورد و و پیش‌بینی تورم انتظاری مدل ARIMA(4,1,1)

Dependent Variable: DLCPI

Method: Least Squares

Sample (adjusted): 1371Q2 1392Q3

Included observations: 86 after adjustments

Convergence achieved after 12 iterations

MA Backcast: 1371Q1

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

C
0.045502
0.007867
5.784088
0.0000
AR(1)
-0.204767
0.136561
-1.499454
0.1377
AR(2)
0.176638
0.108510
1.627853
0.1075
AR(3)
0.022395
0.101073
0.221574
0.8252
AR(4)
0.469983
0.100078
4.696158
0.0000
MA(1)
0.693877
0.135381
5.125354
0.0000

R-squared
0.385659
    Mean dependent var
0.045831
Adjusted R-squared
0.347263
    S.D. dependent var
0.028588
S.E. of regression
0.023097
    Akaike info criterion
-4.631008
Sum squared resid
0.042678
    Schwarz criterion
-4.459774
Log likelihood
205.1333
    Hannan-Quinn criter.
-4.562094
F-statistic
10.04416
    Durbin-Watson stat
1.992404
Prob(F-statistic)
0.000000

Inverted AR Roots
      .84
    -.05-.77i
  -.05+.77i
     -.94
Inverted MA Roots
     -.69

پیوست3: برآورد و و پیش‌بینی تورم انتظاری مدل ARIMA(4,1,2)
Dependent Variable: DLCPI

Method: Least Squares

Sample (adjusted): 1371Q2 1392Q3

Included observations: 86 after adjustments

Convergence achieved after 17 iterations

MA Backcast: 1370Q4 1371Q1

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

C
0.045803
0.007820
5.856908
0.0000
AR(1)
0.362298
0.105565
3.431973
0.0010
AR(2)
-0.590729
0.106267
-5.558936
0.0000
AR(3)
0.345622
0.101256
3.413352
0.0010
AR(4)
0.349231
0.102099
3.420515
0.0010
MA(1)
-0.008661
0.026897
-0.322010
0.7483
MA(2)
0.958746
0.017333
55.31219
0.0000

R-squared
0.552910
    Mean dependent var
0.045831
Adjusted R-squared
0.518954
    S.D. dependent var
0.028588
S.E. of regression
0.019828
    Akaike info criterion
-4.925542
Sum squared resid
0.031059
    Schwarz criterion
-4.725770
Log likelihood
218.7983
    Hannan-Quinn criter.
-4.845143
F-statistic
16.28303
    Durbin-Watson stat
1.891343
Prob(F-statistic)
0.000000

Inverted AR Roots
      .81
     .00+.98i
   .00-.98i
     -.45
Inverted MA Roots
 .00+.98i
     .00-.98i

پیوست4: برآورد و و پیش‌بینی تورم انتظاری مدل ARIMA(5,1,1)
Dependent Variable: DLCPI

Method: Least Squares

Sample (adjusted): 1371Q3 1392Q3

Included observations: 85 after adjustments

Convergence achieved after 32 iterations

MA Backcast: 1371Q2

Variable
Coefficient
Std.

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