پایان نامه درمورد criterion، dependent، t-Statistic، Dickey-Fuller

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var
0.000513
Adjusted R-squared
0.264680
    S.D. dependent var
0.007930
S.E. of regression
0.006800
    Akaike info criterion
-7.093808
Sum squared resid
0.001711
    Schwarz criterion
-7.008497
Log likelihood
140.3293
    Hannan-Quinn criter.
-7.063199
F-statistic
14.67821
    Durbin-Watson stat
2.119636
Prob(F-statistic)
0.000478

نتایج بررسی آزمون پایایی متغیر GINI با استفاده از آزمون KPSS
با عرض از مبداء و روند
Null Hypothesis: D(GINI) is stationary

Exogenous: Constant, Linear Trend

Bandwidth: 4 (Newey-West using Bartlett kernel)

LM-Stat.

Kwiatkowski-Phillips-Schmidt-Shin test statistic
 0.159623
Asymptotic critical values*:
1% level

 0.216000

5% level

 0.146000

10% level

 0.119000

*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1) 

Residual variance (no correction)
 4.73E-05
HAC corrected variance (Bartlett kernel)
 0.000107

KPSS Test Equation

Dependent Variable: D(GINI)

Method: Least Squares

Date: 06/08/14 Time: 12:24

Sample (adjusted): 1350 1389

Included observations: 40 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

C
-0.017615
0.002275
-7.744105
0.0000
@TREND(1349)
0.000140
9.67E-05
1.445663
0.1565

R-squared
0.052131
    Mean dependent var
-0.014750
Adjusted R-squared
0.027187
    S.D. dependent var
0.007157
S.E. of regression
0.007059
    Akaike info criterion
-7.020401
Sum squared resid
0.001893
    Schwarz criterion
-6.935957
Log likelihood
142.4080
    Hannan-Quinn criter.
-6.989868
F-statistic
2.089941
    Durbin-Watson stat
1.265032
Prob(F-statistic)
0.156469

نتایج بررسی آزمون پایایی متغیر LTRADE با استفاده از آزمون ADF
با عرض از مبداء و روند
Null Hypothesis: D(LTRADE) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic
  Prob.*

Augmented Dickey-Fuller test statistic
-6.025410
 0.0001
Test critical values:
1% level

-4.211868

5% level

-3.529758

10% level

-3.196411

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LTRADE,2)

Method: Least Squares

Date: 06/08/14 Time: 11:47

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTRADE(-1))
-0.867253
0.143933
-6.025410
0.0000
C
-0.016308
0.017360
-0.939397
0.3538
@TREND(1349)
0.000472
0.000730
0.646909
0.5218

R-squared
0.509554
    Mean dependent var
-0.003924
Adjusted R-squared
0.482307
    S.D. dependent var
0.071133
S.E. of regression
0.051181
    Akaike info criterion
-3.033104
Sum squared resid
0.094301
    Schwarz criterion
-2.905138
Log likelihood
62.14552
    Hannan-Quinn criter.
-2.987191
F-statistic
18.70128
    Durbin-Watson stat
2.011337
Prob(F-statistic)
0.000003

نتایج بررسی آزمون پایایی متغیر LTRADE با استفاده از آزمون ADF
با عرض از مبداء و بدون روند
Null Hypothesis: D(LTRADE) has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic
  Prob.*

Augmented Dickey-Fuller test statistic
-6.129813
 0.0000
Test critical values:
1% level

-3.610453

5% level

-2.938987

10% level

-2.607932

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LTRADE,2)

Method: Least Squares

Date: 06/08/14 Time: 11:49

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTRADE(-1))
-0.873406
0.142485
-6.129813
0.0000
C
-0.006411
0.008141
-0.787548
0.4360

R-squared
0.503853
    Mean dependent var
-0.003924
Adjusted R-squared
0.490443
    S.D. dependent var
0.071133
S.E. of regression
0.050777
    Akaike info criterion
-3.072828
Sum squared resid
0.095397
    Schwarz criterion
-2.987517
Log likelihood
61.92015
    Hannan-Quinn criter.
-3.042219
F-statistic
37.57461
    Durbin-Watson stat
1.973683
Prob(F-statistic)
0.000000

نتایج بررسی آزمون پایایی متغیر LTRADE با استفاده از آزمون PP
با عرض از مبداء و روند
Null Hypothesis: D(LTRADE) has a unit root

Exogenous: Constant, Linear Trend

Bandwidth: 3 (Newey-West using Bartlett kernel)

Adj. t-Stat
  Prob.*

Phillips-Perron test statistic
-6.012743
 0.0001
Test critical values:
1% level

-4.211868

5% level

-3.529758

10% level

-3.196411

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

Residual variance (no correction)
 0.002418
HAC corrected variance (Bartlett kernel)
 0.002529

Phillips-Perron Test Equation

Dependent Variable: D(LTRADE,2)

Method: Least Squares

Date: 06/08/14 Time: 13:07

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTRADE(-1))
-0.867253
0.143933
-6.025410
0.0000
C
-0.016308
0.017360
-0.939397
0.3538
@TREND(1349)
0.000472
0.000730
0.646909
0.5218

R-squared
0.509554
    Mean dependent var
-0.003924
Adjusted R-squared
0.482307
    S.D. dependent var
0.071133
S.E. of regression
0.051181
    Akaike info criterion
-3.033104
Sum squared resid
0.094301
    Schwarz criterion
-2.905138
Log likelihood
62.14552
    Hannan-Quinn criter.
-2.987191
F-statistic
18.70128
    Durbin-Watson stat
2.011337
Prob(F-statistic)
0.000003

نتایج بررسی آزمون پایایی متغیر LTRADE با استفاده از آزمون PP
با عرض از مبداء و بدون روند

Null Hypothesis: D(LTRADE) has a unit root

Exogenous: Constant

Bandwidth: 2 (Newey-West using Bartlett kernel)

Adj. t-Stat
  Prob.*

Phillips-Perron test statistic
-6.096432
 0.0000
Test critical values:
1% level

-3.610453

5% level

-2.938987

10% level

-2.607932

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

Residual variance (no correction)
 0.002446
HAC corrected variance (Bartlett kernel)
 0.002780

Phillips-Perron Test Equation

Dependent Variable: D(LTRADE,2)

Method: Least Squares

Date: 06/08/14 Time: 13:09

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTRADE(-1))
-0.873406
0.142485
-6.129813
0.0000
C
-0.006411
0.008141
-0.787548
0.4360

R-squared
0.503853
    Mean dependent var
-0.003924
Adjusted R-squared
0.490443
    S.D. dependent var
0.071133
S.E. of regression
0.050777
    Akaike info criterion
-3.072828
Sum squared resid
0.095397
    Schwarz criterion
-2.987517
Log likelihood
61.92015
    Hannan-Quinn criter.
-3.042219
F-statistic
37.57461
    Durbin-Watson stat
1.973683
Prob(F-statistic)
0.000000

نتایج بررسی آزمون پایایی متغیر LTM با استفاده از آزمون ADF
با عرض از مبداء و روند

Null Hypothesis: D(LTM1) has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 3 (Automatic based on SIC, MAXLAG=9)

t-Statistic
  Prob.*

Augmented Dickey-Fuller test statistic
-3.629931
 0.0424
Test critical values:
1% level

-4.262735

5% level

-3.552973

10% level

-3.209642

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LTM1,2)

Method: Least Squares

Date: 06/08/14 Time: 11:53

Sample (adjusted): 1357 1389

Included observations: 33 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTM1(-1))
-0.827236
0.227893
-3.629931
0.0012
D(LTM1(-1),2)
0.421851
0.190845
2.210441
0.0357
D(LTM1(-2),2)
0.372711
0.177224
2.103052
0.0449
D(LTM1(-3),2)
0.059076
0.171443
0.344581
0.7331
C
0.076681
0.027144
2.824986
0.0088
@TREND(1349)
-0.000260
0.000547
-0.474793
0.6388

R-squared
0.398752
    Mean dependent var
-0.001707
Adjusted R-squared
0.287410
    S.D. dependent var
0.034113
S.E. of regression
0.028797
    Akaike info criterion
-4.094159
Sum squared resid
0.022389
    Schwarz criterion
-3.822067
Log likelihood
73.55363
    Hannan-Quinn criter.
-4.002609
F-statistic
3.581315
    Durbin-Watson stat
2.081502
Prob(F-statistic)
0.012982

نتایج بررسی آزمون پایایی متغیر LTM با استفاده از آزمون ADF
با عرض از مبداء و بدون روند

Null Hypothesis: D(LTM1) has a unit root

Exogenous: Constant

Lag Length: 2 (Automatic based on SIC, MAXLAG=9)

t-Statistic
  Prob.*

Augmented Dickey-Fuller test statistic
-3.715929
 0.0083
Test critical values:
1%

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