
of CE(s) 0.363152 88.06504 68.52 76.07 None ** 0.303217 50.61344 47.21 54.46 At most 1 * 0.151700 20.62711 29.68 35.65 At most 0.071212 6.971874 15.41 20.04 At most 0.010073 0.840294 3.76 6.65 At most *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 2 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) FUEL LN_NEERI LN_MONEY LN_RCONS LN_OIL C 1.000000 0.047784 -0.847002 0.891407 -0.595410 4. (0.06916) (0.06701) (0.35324) (0.04250) Log likelihood 759.Series: MACHIN LN_NEERI LN_MONEY LN_RCONS LN_OIL Lags interval: 1 to Likelihood 5 Percent 1 Percent Hypothesized Eigenvalue Ratio Critical Value Critical Value No. of CE(s) 0.308433 75.19348 68.52 76.07 None * 0.228614 44.58344 47.21 54.46 At most 0.124096 23.03947 29.68 35.65 At most 0.114067 12.04205 15.41 20.04 At most 0.023686 1.989558 3.76 6.65 At most *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 1 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) MACHIN LN_NEERI LN_MONEY LN_RCONS LN_OIL C 1.000000 0.414710 -0.371708 -0.372111 -0.198897 7. (0.06785) (0.06219) (0.28441) (0.03119) Log likelihood 872.Series: NON_FERR_M LN_NEERI LN_MONEY LN_RCONS LN_OIL Lags interval: 1 to Likelihood 5 Percent 1 Percent Hypothesized Eigenvalue Ratio Critical Value Critical Value No. of CE(s) 0.284627 70.41554 68.52 76.07 None * 0.207811 42.94960 47.21 54.46 At most 0.186796 23.84726 29.68 35.65 At most 0.063425 6.891838 15.41 20.04 At most 0.018350 1.518698 3.76 6.65 At most *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 1 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) NON_FERR_M LN_NEERI LN_MONEY LN_RCONS LN_OIL C 1.000000 -1.755844 -2.679305 9.453707 -0.177498 -43. (3.02309) (2.70296) (10.5399) (0.37404) Log likelihood 776.Series: OIL_CHEM LN_NEERI LN_MONEY LN_RCONS LN_OIL Lags interval: 1 to Likelihood 5 Percent 1 Percent Hypothesized Eigenvalue Ratio Critical Value Critical Value No. of CE(s) 0.445084 94.24246 68.52 76.07 None ** 0.246029 45.36058 47.21 54.46 At most 0.147520 21.92132 29.68 35.65 At most 0.070438 8.674093 15.41 20.04 At most 0.030975 2.611623 3.76 6.65 At most *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 1 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) OIL_CHEM LN_NEERI LN_MONEY LN_RCONS LN_OIL C 1.000000 0.300672 -0.501011 0.887566 -0.227925 -0. (0.05653) (0.04913) (0.24107) (0.02815) Log likelihood 828.Series: TEXTILE LN_NEERI LN_MONEY LN_RCONS LN_OIL Lags interval: 1 to Likelihood 5 Percent 1 Percent Hypothesized Eigenvalue Ratio Critical Value Critical Value No. of CE(s) 0.317976 76.02141 68.52 76.07 None * 0.229268 44.25809 47.21 54.46 At most 0.140834 22.64372 29.68 35.65 At most 0.072587 10.04490 15.41 20.04 At most 0.044640 3.790364 3.76 6.65 At most 4 * *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 1 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) TEXTILE LN_NEERI LN_MONEY LN_RCONS LN_OIL C 1.000000 0.405010 -0.489375 0.541757 -0.182787 1. (0.05189) (0.04873) (0.24383) (0.02760) Log likelihood 883.Series: WOOD LN_NEERI LN_MONEY LN_RCONS LN_OIL Lags interval: 1 to Likelihood 5 Percent 1 Percent Hypothesized Eigenvalue Ratio Critical Value Critical Value No. of CE(s) 0.281337 70.81381 68.52 76.07 None * 0.229250 43.39374 47.21 54.46 At most 0.146567 21.78122 29.68 35.65 At most 0.062591 8.626713 15.41 20.04 At most 0.038539 3.261966 3.76 6.65 At most *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 1 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) WOOD LN_NEERI LN_MONEY LN_RCONS LN_OIL C 1.000000 -0.032402 -0.794677 1.386328 -0.706175 0. (0.29927) (0.24185) (1.01899) (0.23101) Log likelihood 876.Series: LN_CPI LN_NEERI LN_RCONS LN_OIL Lags interval: 1 to Likelihood 5 Percent 1 Percent Hypothesized Eigenvalue Ratio Critical Value Critical Value No. of CE(s) 0.314014 60.43736 47.21 54.46 None ** 0.194484 27.27035 29.68 35.65 At most 0.088111 8.238368 15.41 20.04 At most 0.001380 0.121524 3.76 6.65 At most *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 1 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) LN_CPI LN_NEERI LN_RCONS LN_OIL C 1.000000 1.031916 -2.019811 -0.086584 15. (0.03319) (0.29847) (0.07904) Log likelihood 716.Series: LN_PPI LN_NEERI LN_RCONS LN_OIL Lags interval: 1 to Likelihood 5 Percent 1 Percent Hypothesized Eigenvalue Ratio Critical Value Critical Value No. of CE(s) 0.431645 80.54317 47.21 54.46 None ** 0.219978 30.82240 29.68 35.65 At most 1 * 0.095472 8.960329 15.41 20.04 At most 0.001478 0.130192 3.76 6.65 At most *(**) denotes rejection of the hypothesis at 5%(1%) significance level L.R. test indicates 2 cointegrating equation(s) at 5% significance level Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s) LN_PPI LN_NEERI LN_RCONS LN_OIL C 1.000000 0.849128 -1.680591 -0.248795 13. (0.02484) (0.22250) (0.05196) Log likelihood 629.Проверка стационарности остатков *MacKinnon critical values for rejection of hypothesis of a unit root.
Method: Least Squares Included observations: 86 after adjusting endpoints Dependent Variable: D(UU_CPI) ADF Test Statistic -5.482979 1% Critical Value* -2. 5% Critical Value -1. 10% Critical Value -1.Augmented Dickey-Fuller Test Equation Variable Coefficient Std. Error t-Statistic Prob.
UU_CPI(-1) -0.332756 0.060689 -5.482979 0.R-squared 0.257420 Mean dependent var 0.Adjusted R-squared 0.257420 S.D. dependent var 0.S.E. of regression 0.027801 Akaike info criterion -4.Sum squared resid 0.065696 Schwarz criterion -4.Log likelihood 186.5851 Durbin-Watson stat 1.Dependent Variable: D(UU_PPI) ADF Test Statistic -3.906768 1% Critical Value* -2. 5% Critical Value -1. 10% Critical Value -1.Augmented Dickey-Fuller Test Equation Variable Coefficient Std. Error t-Statistic Prob.
UU_PPI(-1) -0.230419 0.058979 -3.906768 0.R-squared 0.149335 Mean dependent var 0.Adjusted R-squared 0.149335 S.D. dependent var 0.S.E. of regression 0.070466 Akaike info criterion -2.Sum squared resid 0.422059 Schwarz criterion -2.Log likelihood 106.6004 Durbin-Watson stat 2.Dependent Variable: D(UU_FOOD) ADF Test Statistic -4.205652 1% Critical Value* -2. 5% Critical Value -1. 10% Critical Value -1.Augmented Dickey-Fuller Test Equation Variable Coefficient Std. Error t-Statistic Prob.
UU_FOOD(-1) -0.297066 0.070635 -4.205652 0.D(UU_FOOD(-1)) 0.205682 0.100411 2.048389 0.R-squared 0.183867 Mean dependent var 0.Adjusted R-squared 0.174034 S.D. dependent var 0.S.E. of regression 0.041871 Akaike info criterion -3.Sum squared resid 0.145514 Schwarz criterion -3.Log likelihood 150.1209 F-statistic 18.Durbin-Watson stat 1.973625 Prob(F-statistic) 0.Dependent Variable: D(UU_GOODS) ADF Test Statistic -2.954303 1% Critical Value* -2. 5% Critical Value -1. 10% Critical Value -1.Augmented Dickey-Fuller Test Equation Variable Coefficient Std. Error t-Statistic Prob.
UU_GOODS(-1) -0.118944 0.040261 -2.954303 0. R-squared 0.086051 Mean dependent var 0.Adjusted R-squared 0.086051 S.D. dependent var 0.S.E. of regression 0.055784 Akaike info criterion -2.Sum squared resid 0.264507 Schwarz criterion -2.Log likelihood 126.6934 Durbin-Watson stat 1.Dependent Variable: D(UU_SERV) ADF Test Statistic -4.750893 1% Critical Value* -2. 5% Critical Value -1. 10% Critical Value -1.Augmented Dickey-Fuller Test Equation Variable Coefficient Std. Error t-Statistic Prob.
UU_SERV(-1) -0.293236 0.061722 -4.750893 0.D(UU_SERV(-1)) -0.165694 0.094264 -1.757762 0.D(UU_SERV(-2)) -0.221504 0.092946 -2.383149 0.R-squared 0.271348 Mean dependent var 0.Adjusted R-squared 0.253356 S.D. dependent var 0.S.E. of regression 0.058555 Akaike info criterion -2.Sum squared resid 0.277727 Schwarz criterion -2.Log likelihood 120.7104 F-statistic 15.Durbin-Watson stat 1.985156 Prob(F-statistic) 0.Dependent Variable:
D(UU_BUILD_M) ADF Test Statistic -4.078703 1% Critical Value* -2. 5% Critical Value -1. 10% Critical Value -1.Augmented Dickey-Fuller Test Equation Variable Coefficient Std. Error t-Statistic Prob.
UU_BUILD_M(-1) -0.200232 0.049092 -4.078703 0.R-squared 0.158758 Mean dependent var 0.Adjusted R-squared 0.158758 S.D. dependent var 0.S.E. of regression 0.038004 Akaike info criterion -3.Sum squared resid 0.122763 Schwarz criterion -3.Log likelihood 159.7008 Durbin-Watson stat 1.Dependent Variable: D(UU_CHEM) ADF Test Statistic -1.780725 1% Critical Value* -2. 5% Critical Value -1. 10% Critical Value -1.Augmented Dickey-Fuller Test Equation Variable Coefficient Std. Error t-Statistic Prob.
UU_CHEM(-1) -0.081097 0.045541 -1.780725 0. R-squared 0.035300 Mean dependent var -0.Adjusted R-squared 0.035300 S.D. dependent var 0.S.E. of regression 0.043053 Akaike info criterion -3.Sum squared resid 0.157553 Schwarz criterion -3.Log likelihood 148.9718 Durbin-Watson stat 1.Perron test for stationarity with structural changes has shown that this is a stationary series with a step Dependent Variable:
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