гр. Менеджмент (стр. 3 )

ADF Test Statistic	-1.498812	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,2)
Method: Least Squares
Date: 10/16/08 Time: 06:09
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(BASIS(-1))	-0.412562	0.275260	-1.498812	0.1426
D(BASIS(-1),2)	-0.538430	0.249732	-2.156030	0.0378
D(BASIS(-2),2)	-0.624530	0.237320	-2.631600	0.0124
D(BASIS(-3),2)	-0.615526	0.174790	-3.521524	0.0012
R-squared	0.594176	Mean dependent var	-0.001750
Adjusted R-squared	0.560358	S. D. dependent var	0.263223
S. E. of regression	0.174532	Akaike info criterion	-0.558781
Sum squared resid	1.096608	Schwarz criterion	-0.389893
Log likelihood	15.17561	Durbin-Watson stat	1.800824
PP Test Statistic	-5.927700	1% Critical Value*	-2.6168
		5% Critical Value	-1.9486
		10% Critical Value	-1.6198
*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	0.034674
Residual variance with correction	0.034923
Phillips-Perron Test Equation
Dependent Variable: D(BASIS,2)
Method: Least Squares
Date: 10/12/08 Time: 09:42
Sample(adjusted): 1996:3 2007:1
Included observations: 43 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(BASIS(-1))	-0.918789	0.155062	-5.925282	0.0000
R-squared	0.454979	Mean dependent var	-0.006279
Adjusted R-squared	0.454979	S. D. dependent var	0.255213
S. E. of regression	0.188412	Akaike info criterion	-0.477389
Sum squared resid	1.490963	Schwarz criterion	-0.436431
Log likelihood	11.26387	Durbin-Watson stat	1.984668

Переменная ∆2 BASIS

ADF Test Statistic	-8.962171	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,3)
Method: Least Squares
Date: 10/12/08 Time: 09:28
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(BASIS(-1),2)	-3.459934	0.386060	-8.962171	0.0000
D(BASIS(-1),3)	1.602664	0.298981	5.360426	0.0000
D(BASIS(-2),3)	0.740149	0.156314	4.735021	0.0000
R-squared	0.854392	Mean dependent var	0.008250
Adjusted R-squared	0.846521	S. D. dependent var	0.452944
S. E. of regression	0.177447	Akaike info criterion	-0.548249
Sum squared resid	1.165037	Schwarz criterion	-0.421583
Log likelihood	13.96499	Durbin-Watson stat	1.862013

PP Test Statistic	-14.77383	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	0.049666
Residual variance with correction	0.018713
Phillips-Perron Test Equation
Dependent Variable: D(BASIS,3)
Method: Least Squares
Date: 10/12/08 Time: 09:41
Sample(adjusted): 1996:4 2007:1
Included observations: 42 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(BASIS(-1),2)	-1.486931	0.137147	-10.84189	0.0000
R-squared	0.741341	Mean dependent var	0.006667
Adjusted R-squared	0.741341	S. D. dependent var	0.443504
S. E. of regression	0.225560	Akaike info criterion	-0.116943
Sum squared resid	2.085963	Schwarz criterion	-0.075570
Log likelihood	3.455800	Durbin-Watson stat	2.224368

Переменная CHAIN