Совершенствование модели трансмиссионного механизма (стр. 3 из 4)
3. Проверка на наличие тренда и сезонности. Визуальный просмотр графиков переменных показывает отсутствие в них сезонности и тренда[3] (Рисунок П.1).
Рисунок П1
ПРИЛОЖЕНИЕ 2
Тесты на наличия автокорреляции (Q-статистика)
| Date: 09/19/08 Time: 15:15 | ||||
| Sample: 1997Q4 2008Q2 | ||||
| Included observations: 43 | ||||
| AC | PAC | Q-Stat | Prob | |
| 1 | 0.226 | 0.226 | 2.3482 | 0.125 |
| 2 | 0.071 | 0.021 | 2.5846 | 0.275 |
| 3 | -0.044 | -0.067 | 2.6763 | 0.444 |
| 4 | -0.320 | -0.315 | 7.7527 | 0.101 |
| 5 | 0.070 | 0.244 | 8.0035 | 0.156 |
| 6 | -0.056 | -0.113 | 8.1696 | 0.226 |
| 7 | 0.087 | 0.115 | 8.5736 | 0.285 |
| 8 | 0.192 | 0.055 | 10.609 | 0.225 |
| 9 | -0.009 | 0.025 | 10.613 | 0.303 |
| 10 | -0.035 | -0.156 | 10.686 | 0.382 |
| 11 | -0.294 | -0.212 | 15.903 | 0.145 |
| 12 | -0.162 | 0.038 | 17.550 | 0.130 |
| 13 | -0.046 | -0.029 | 17.688 | 0.170 |
| 14 | -0.050 | -0.063 | 17.853 | 0.214 |
| 15 | 0.050 | -0.104 | 18.024 | 0.261 |
| 16 | -0.000 | 0.056 | 18.024 | 0.323 |
| 17 | 0.074 | 0.054 | 18.427 | 0.362 |
| 18 | 0.202 | 0.247 | 21.593 | 0.251 |
| 19 | 0.108 | 0.092 | 22.532 | 0.259 |
| 20 | -0.053 | -0.153 | 22.767 | 0.300 |
ПРИЛОЖЕНИЕ 3
Тесты на наличие множественной корреляции Лагранжа
| Breusch-Godfrey Serial Correlation LM Test: | ||||
| F-statistic | 1.674353 | Prob. F(4,30) | 0.181918 | |
| Obs*R-squared | 7.847656 | Prob. Chi-Square(4) | 0.097321 | |
| Test Equation: | ||||
| Dependent Variable: RESID | ||||
| Method: Least Squares | ||||
| Date: 09/19/08 Time: 15:22 | ||||
| Sample: 1997Q4 2008Q2 | ||||
| Included observations: 43 | ||||
| Presample missing value lagged residuals set to zero. | ||||
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| DLOG(DEPOZITINBWU(-2)) | 0.077849 | 0.136774 | 0.569175 | 0.5735 |
| INF(-3) | -0.001379 | 0.005419 | -0.254494 | 0.8009 |
| DLOG(KREDTENURRATE(-1)) | 2.13E-05 | 0.120591 | 0.000177 | 0.9999 |
| D(DLOG(GDP(-1))) | 0.021286 | 0.052025 | 0.409143 | 0.6853 |
| D(DLOG(WAGE(-3))) | 0.021213 | 0.076211 | 0.278343 | 0.7827 |
| DLOG(EXRATE(-2)) | -0.050215 | 0.161525 | -0.310880 | 0.7580 |
| DLOG(OILPRICEWORLD(-4)) | -0.024481 | 0.082535 | -0.296608 | 0.7688 |
| DUMMY2006Q4 | -0.041081 | 0.065378 | -0.628364 | 0.5345 |
| C | -0.000250 | 0.016186 | -0.015451 | 0.9878 |
| RESID(-1) | 0.217369 | 0.185156 | 1.173975 | 0.2496 |
| RESID(-2) | -0.005782 | 0.223775 | -0.025840 | 0.9796 |
| RESID(-3) | 0.022541 | 0.193163 | 0.116692 | 0.9079 |
| RESID(-4) | -0.421485 | 0.202413 | -2.082307 | 0.0459 |
| R-squared | 0.182504 | Mean dependent var | -1.45E-17 | |
| Adjusted R-squared | -0.144495 | S.D. dependent var | 0.053049 | |
| S.E. of regression | 0.056753 | Akaike info criterion | -2.655576 | |
| Sum squared resid | 0.096626 | Schwarz criterion | -2.123120 | |
| Log likelihood | 70.09488 | F-statistic | 0.558118 | |
| Durbin-Watson stat | 1.796813 | Prob(F-statistic) | 0.857474 | |
ПРИЛОЖЕНИЕ 4
Тесты на наличие гетероскедастичности Уайта
| White Heteroskedasticity Test: | ||||
| F-statistic | 0.992979 | Prob. F(15,27) | 0.488671 | |
| Obs*R-squared | 15.28765 | Prob. Chi-Square(15) | 0.430903 | |
| Test Equation: | ||||
| Dependent Variable: RESID^2 | ||||
| Method: Least Squares | ||||
| Date: 09/19/08 Time: 15:23 | ||||
| Sample: 1997Q4 2008Q2 | ||||
| Included observations: 43 | ||||
| Collinear test regressors dropped from specification | ||||
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| C | 0.003517 | 0.001721 | 2.043510 | 0.0509 |
| DLOG(DEPOZITINBWU(-2)) | 0.004006 | 0.011336 | 0.353401 | 0.7265 |
| (DLOG(DEPOZITINBWU(-2)))^2 | -0.034171 | 0.050946 | -0.670737 | 0.5081 |
| INF(-3) | -0.000935 | 0.000902 | -1.036664 | 0.3091 |
| INF(-3)^2 | 9.36E-05 | 8.54E-05 | 1.095870 | 0.2828 |
| DLOG(KREDTENURRATE(-1)) | 0.002867 | 0.009463 | 0.302953 | 0.7642 |
| (DLOG(KREDTENURRATE(-1)))^2 | -0.000566 | 0.047759 | -0.011852 | 0.9906 |
| D(DLOG(GDP(-1))) | 0.001410 | 0.003573 | 0.394671 | 0.6962 |
| (D(DLOG(GDP(-1))))^2 | -0.012353 | 0.019544 | -0.632065 | 0.5327 |
| D(DLOG(WAGE(-3))) | -0.004048 | 0.007054 | -0.573855 | 0.5708 |
| (D(DLOG(WAGE(-3))))^2 | 0.063653 | 0.041595 | 1.530289 | 0.1376 |
| DLOG(EXRATE(-2)) | -0.039896 | 0.030777 | -1.296270 | 0.2059 |
| (DLOG(EXRATE(-2)))^2 | 0.080059 | 0.079653 | 1.005098 | 0.3238 |
| DLOG(OILPRICEWORLD(-4)) | 0.003153 | 0.005079 | 0.620773 | 0.5400 |
| (DLOG(OILPRICEWORLD(-4)))^2 | 0.006888 | 0.025130 | 0.274088 | 0.7861 |
| DUMMY2006Q4 | -0.009008 | 0.004650 | -1.937261 | 0.0632 |
| R-squared | 0.355527 | Mean dependent var | 0.002749 | |
| Adjusted R-squared | -0.002514 | S.D. dependent var | 0.003571 | |
| S.E. of regression | 0.003576 | Akaike info criterion | -8.150545 | |
| Sum squared resid | 0.000345 | Schwarz criterion | -7.495214 | |
| Log likelihood | 191.2367 | F-statistic | 0.992979 | |
| Durbin-Watson stat | 2.692040 | Prob(F-statistic) | 0.488671 | |
ПРИЛОЖЕНИЕ 5