гр. Менеджмент (стр. 4 )

ADF Test Statistic	-2.601999	1% Critical Value*	-3.6019
		5% Critical Value	-2.9358
		10% Critical Value	-2.6059
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(CHAIN)
Method: Least Squares
Date: 10/16/08 Time: 06:11
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
CHAIN(-1)	-0.978130	0.375915	-2.601999	0.0135
D(CHAIN(-1))	-0.105327	0.306597	-0.343535	0.7333
D(CHAIN(-2))	-0.141494	0.248516	-0.569357	0.5728
D(CHAIN(-3))	-0.345441	0.162558	-2.125025	0.0407
C	1.014012	0.389691	2.602095	0.0135
R-squared	0.672175	Mean dependent var		0.001250
Adjusted R-squared	0.634709	S. D. dependent var
S. E. of regression	0.093934	Akaike info criterion
Sum squared resid	0.308824	Schwarz criterion
Log likelihood	40.51975	F-statistic
Durbin-Watson stat	1.642054	Prob(F-statistic)

PP Test Statistic	-7.836227	1% Critical Value*	-3.5889
		5% Critical Value	-2.9303
		10% Critical Value	-2.6030
*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	0.009165
Residual variance with correction	0.008336
Phillips-Perron Test Equation
Dependent Variable: D(CHAIN)
Method: Least Squares
Date: 10/12/08 Time: 09:36
Sample(adjusted): 1996:3 2007:1
Included observations: 43 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
CHAIN(-1)	-1.195380	0.153929	-7.765799	0.0000
C	1.234658	0.160105	7.711530	0.0000
R-squared	0.595292	Mean dependent var	-0.003256
Adjusted R-squared	0.585421	S. D. dependent var	0.152264
S. E. of regression	0.098040	Akaike info criterion	-1.761496
Sum squared resid	0.394082	Schwarz criterion	-1.679580
Log likelihood	39.87217	F-statistic	60.30764
Durbin-Watson stat	1.945175	Prob(F-statistic)	0.000000

Переменная ∆ CHAIN

ADF Test Statistic	-8.634905	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(CHAIN,2)
Method: Least Squares
Date: 10/12/08 Time: 09:30
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(CHAIN(-1))	-3.075129	0.356128	-8.634905	0.0000
D(CHAIN(-1),2)	1.241484	0.274724	4.519016	0.0001
D(CHAIN(-2),2)	0.603322	0.136851	4.408606	0.0001
R-squared	0.880290	Mean dependent var	0.004500
Adjusted R-squared	0.873819	S. D. dependent var	0.280978
S. E. of regression	0.099809	Akaike info criterion	-1.699082
Sum squared resid	0.368586	Schwarz criterion	-1.572416
Log likelihood	36.98165	Durbin-Watson stat	1.765226

PP Test Statistic	-19.31851	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	0.014121
Residual variance with correction	0.005140
Phillips-Perron Test Equation
Dependent Variable: D(CHAIN,2)
Method: Least Squares
Date: 10/12/08 Time: 09:35
Sample(adjusted): 1996:4 2007:1
Included observations: 42 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(CHAIN(-1))	-1.617726	0.121953	-13.26511	0.0000
R-squared	0.811000	Mean dependent var	0.003333
Adjusted R-squared	0.811000	S. D. dependent var	0.276650
S. E. of regression	0.120271	Akaike info criterion	-1.374616
Sum squared resid	0.593070	Schwarz criterion	-1.333243
Log likelihood	29.86693	Durbin-Watson stat	2.183823

Переменная KPREDGOD