гр. Менеджмент (стр. 2 )

ADF Test Statistic	-9.028584	1% Critical Value*	-2.6211
		5% Critical Value	-1.9492
		10% Critical Value	-1.6201
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(CREDIT,3)
Method: Least Squares
Date: 10/12/08 Time: 09:27
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(CREDIT(-1),2)	-3.457827	0.382987	-9.028584	0.0000
D(CREDIT(-1),3)	1.606158	0.296047	5.425344	0.0000
D(CREDIT(-2),3)	0.740923	0.155619	4.761140	0.0000
R-squared	0.852876	Mean dependent var	10.87750
Adjusted R-squared	0.844924	S. D. dependent var	602.0634
S. E. of regression	237.0909	Akaike info criterion	13.84680
Sum squared resid	2079847.	Schwarz criterion	13.97347
Log likelihood	-273.9361	Durbin-Watson stat	1.851016

PP Test Statistic	-14.56950	1% Critical Value*	-2.6182
		5% Critical Value	-1.9488
		10% Critical Value	-1.6199
*MacKinnon critical values for rejection of hypothesis of a unit root.
Lag truncation for Bartlett kernel: 3	( Newey-West suggests: 3 )
Residual variance with no correction	89590.37
Residual variance with correction	33422.53
Phillips-Perron Test Equation
Dependent Variable: D(CREDIT,3)
Method: Least Squares
Date: 10/12/08 Time: 09:42
Sample(adjusted): 1996:4 2007:1
Included observations: 42 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(CREDIT(-1),2)	-1.475855	0.138007	-10.69405	0.0000
R-squared	0.736040	Mean dependent var	8.900000
Adjusted R-squared	0.736040	S. D. dependent var	589.6499
S. E. of regression	302.9447	Akaike info criterion	14.28850
Sum squared resid	3762795.	Schwarz criterion	14.32987
Log likelihood	-299.0585	Durbin-Watson stat	2.227383

Переменная BASIS

ADF Test Statistic	1.409924	1% Critical Value*	-2.6211
		5% Critical Value	-1.9492
		10% Critical Value	-1.6201
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(BASIS)
Method: Least Squares
Date: 10/16/08 Time: 06:05
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
BASIS(-1)	0.034950	0.024788	1.409924	0.1674
D(BASIS(-1))	-0.091843	0.174474	-0.526400	0.6019
D(BASIS(-2))	-0.252891	0.193948	-1.303914	0.2008
D(BASIS(-3))	-0.144863	0.199699	-0.725407	0.4730
D(BASIS(-4))	0.476497	0.198642	2.398772	0.0219
R-squared	0.217960	Mean dependent var	0.063250
Adjusted R-squared	0.128584	S. D. dependent var	0.184452
S. E. of regression	0.172185	Akaike info criterion	-0.564023
Sum squared resid	1.037672	Schwarz criterion	-0.352913
Log likelihood	16.28046	Durbin-Watson stat	1.737865
PP Test Statistic	2.697277	1% Critical Value*	-2.6155
		5% Critical Value	-1.9483
		10% Critical Value	-1.6197
*MacKinnon critical values for rejection of hypothesis of a unit root.
Lag truncation for Bartlett kernel: 3	( Newey-West suggests: 3 )
Residual variance with no correction	0.031029
Residual variance with correction	0.021029
Phillips-Perron Test Equation
Dependent Variable: D(BASIS)
Method: Least Squares
Date: 10/12/08 Time: 09:42
Sample(adjusted): 1996:2 2007:1
Included observations: 44 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
BASIS(-1)	0.028638	0.013470	2.126052	0.0393
R-squared	-0.002284	Mean dependent var	0.057727
Adjusted R-squared	-0.002284	S. D. dependent var	0.177984
S. E. of regression	0.178187	Akaike info criterion	-0.589496
Sum squared resid	1.365283	Schwarz criterion	-0.548946
Log likelihood	13.96891	Durbin-Watson stat	2.062726

Переменная ∆ BASIS