پایان نامه درمورد dependent، criterion، t-Statistic، variance

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level

-3.639407

5% level

-2.951125

10% level

-2.614300

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LTM1,2)

Method: Least Squares

Date: 06/08/14 Time: 11:55

Sample (adjusted): 1356 1389

Included observations: 34 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTM1(-1))
-0.708791
0.190744
-3.715929
0.0008
D(LTM1(-1),2)
0.263526
0.175357
1.502802
0.1433
D(LTM1(-2),2)
0.288908
0.167816
1.721576
0.0954
C
0.061956
0.017515
3.537271
0.0013

R-squared
0.322795
    Mean dependent var
4.48E-06
Adjusted R-squared
0.255075
    S.D. dependent var
0.035043
S.E. of regression
0.030245
    Akaike info criterion
-4.048808
Sum squared resid
0.027444
    Schwarz criterion
-3.869236
Log likelihood
72.82974
    Hannan-Quinn criter.
-3.987569
F-statistic
4.766581
    Durbin-Watson stat
1.734644
Prob(F-statistic)
0.007808

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

Null Hypothesis: D(LTM1) has a unit root

Exogenous: Constant, Linear Trend

Bandwidth: 6 (Newey-West using Bartlett kernel)

Adj. t-Stat
  Prob.*

Phillips-Perron test statistic
-3.002224
 0.1456
Test critical values:
1% level

-4.234972

5% level

-3.540328

10% level

-3.202445

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

Residual variance (no correction)
 0.000899
HAC corrected variance (Bartlett kernel)
 0.000426

Phillips-Perron Test Equation

Dependent Variable: D(LTM1,2)

Method: Least Squares

Date: 06/08/14 Time: 13:11

Sample (adjusted): 1354 1389

Included observations: 36 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTM1(-1))
-0.496743
0.146373
-3.393688
0.0018
C
0.046685
0.019940
2.341244
0.0254
@TREND(1349)
-0.000203
0.000515
-0.393882
0.6962

R-squared
0.261047
    Mean dependent var
-0.001935
Adjusted R-squared
0.216262
    S.D. dependent var
0.035371
S.E. of regression
0.031313
    Akaike info criterion
-4.009890
Sum squared resid
0.032357
    Schwarz criterion
-3.877930
Log likelihood
75.17802
    Hannan-Quinn criter.
-3.963832
F-statistic
5.828896
    Durbin-Watson stat
1.807705
Prob(F-statistic)
0.006795

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

Null Hypothesis: D(LTM1) has a unit root

Exogenous: Constant

Bandwidth: 6 (Newey-West using Bartlett kernel)

Adj. t-Stat
  Prob.*

Phillips-Perron test statistic
-3.102032
 0.0353
Test critical values:
1% level

-3.626784

5% level

-2.945842

10% level

-2.611531

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

Residual variance (no correction)
 0.000903
HAC corrected variance (Bartlett kernel)
 0.000416

Phillips-Perron Test Equation

Dependent Variable: D(LTM1,2)

Method: Least Squares

Date: 06/08/14 Time: 13:15

Sample (adjusted): 1354 1389

Included observations: 36 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(LTM1(-1))
-0.483842
0.140877
-3.434496
0.0016
C
0.040973
0.013515
3.031778
0.0046

R-squared
0.257573
    Mean dependent var
-0.001935
Adjusted R-squared
0.235737
    S.D. dependent var
0.035371
S.E. of regression
0.030922
    Akaike info criterion
-4.060755
Sum squared resid
0.032509
    Schwarz criterion
-3.972782
Log likelihood
75.09359
    Hannan-Quinn criter.
-4.030050
F-statistic
11.79576
    Durbin-Watson stat
1.820133
Prob(F-statistic)
0.001581

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

Null Hypothesis: D(TG) 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
-4.471515
 0.0051
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(TG,2)

Method: Least Squares

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

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(TG(-1))
-0.738998
0.165268
-4.471515
0.0001
C
0.003305
0.003598
0.918428
0.3645
@TREND(1349)
2.07E-05
0.000151
0.136986
0.8918

R-squared
0.359535
    Mean dependent var
-0.000217
Adjusted R-squared
0.323953
    S.D. dependent var
0.012802
S.E. of regression
0.010526
    Akaike info criterion
-6.196055
Sum squared resid
0.003989
    Schwarz criterion
-6.068089
Log likelihood
123.8231
    Hannan-Quinn criter.
-6.150142
F-statistic
10.10456
    Durbin-Watson stat
2.085201
Prob(F-statistic)
0.000329

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

Null Hypothesis: D(TG) has a unit root

Exogenous: Constant

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

t-Statistic
  Prob.*

Augmented Dickey-Fuller test statistic
-4.554161
 0.0008
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(TG,2)

Method: Least Squares

Date: 06/08/14 Time: 12:16

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(TG(-1))
-0.735979
0.161606
-4.554161
0.0001
C
0.003723
0.001875
1.986029
0.0545

R-squared
0.359201
    Mean dependent var
-0.000217
Adjusted R-squared
0.341882
    S.D. dependent var
0.012802
S.E. of regression
0.010386
    Akaike info criterion
-6.246816
Sum squared resid
0.003991
    Schwarz criterion
-6.161505
Log likelihood
123.8129
    Hannan-Quinn criter.
-6.216207
F-statistic
20.74038
    Durbin-Watson stat
2.091238
Prob(F-statistic)
0.000055

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

Null Hypothesis: D(TG) has a unit root

Exogenous: Constant, Linear Trend

Bandwidth: 0 (Newey-West using Bartlett kernel)

Adj. t-Stat
  Prob.*

Phillips-Perron test statistic
-4.471515
 0.0051
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)
 0.000102
HAC corrected variance (Bartlett kernel)
 0.000102

Phillips-Perron Test Equation

Dependent Variable: D(TG,2)

Method: Least Squares

Date: 06/08/14 Time: 13:32

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(TG(-1))
-0.738998
0.165268
-4.471515
0.0001
C
0.003305
0.003598
0.918428
0.3645
@TREND(1349)
2.07E-05
0.000151
0.136986
0.8918

R-squared
0.359535
    Mean dependent var
-0.000217
Adjusted R-squared
0.323953
    S.D. dependent var
0.012802
S.E. of regression
0.010526
    Akaike info criterion
-6.196055
Sum squared resid
0.003989
    Schwarz criterion
-6.068089
Log likelihood
123.8231
    Hannan-Quinn criter.
-6.150142
F-statistic
10.10456
    Durbin-Watson stat
2.085201
Prob(F-statistic)
0.000329

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

Null Hypothesis: D(TG) has a unit root

Exogenous: Constant

Bandwidth: 0 (Newey-West using Bartlett kernel)

Adj. t-Stat
  Prob.*

Phillips-Perron test statistic
-4.554161
 0.0008
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)
 0.000102
HAC corrected variance (Bartlett kernel)
 0.000102

Phillips-Perron Test Equation

Dependent Variable: D(TG,2)

Method: Least Squares

Date: 06/08/14 Time: 13:33

Sample (adjusted): 1351 1389

Included observations: 39 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

D(TG(-1))
-0.735979
0.161606
-4.554161
0.0001
C
0.003723
0.001875
1.986029
0.0545

R-squared
0.359201
    Mean dependent var
-0.000217
Adjusted R-squared
0.341882
    S.D. dependent var
0.012802
S.E. of regression
0.010386
    Akaike info criterion
-6.246816
Sum squared

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