гр. Менеджмент (стр. 1 )

гр. Менеджмент

Приложение из EViews

Переменная Credit

ADF Test Statistic	1.391883	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)
Method: Least Squares
Date: 10/15/08 Time: 22:59
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
CREDIT(-1)	0.034279	0.024628	1.391883	0.1727
D(CREDIT(-1))	-0.082688	0.173920	-0.475439	0.6374
D(CREDIT(-2))	-0.257106	0.193216	-1.330664	0.1919
D(CREDIT(-3))	-0.137926	0.198875	-0.693532	0.4926
D(CREDIT(-4))	0.481475	0.197861	2.433394	0.0202
R-squared	0.222214	Mean dependent var	85.05750
Adjusted R-squared	0.133324	S. D. dependent var	247.4073
S. E. of regression	230.3249	Akaike info criterion	13.83333
Sum squared resid	1856734.	Schwarz criterion	14.04444
Log likelihood	-271.6665	Durbin-Watson stat	1.730982

PP Test Statistic	2.693884	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	55829.34
Residual variance with correction	38149.26
Phillips-Perron Test Equation
Dependent Variable: D(CREDIT)
Method: Least Squares
Date: 10/12/08 Time: 09:43
Sample(adjusted): 1996:2 2007:1
Included observations: 44 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
CREDIT(-1)	0.028614	0.013406	2.134519	0.0385
R-squared	-0.002198	Mean dependent var	77.70455
Adjusted R-squared	-0.002198	S. D. dependent var	238.7517
S. E. of regression	239.0140	Akaike info criterion	13.81339
Sum squared resid	2456491.	Schwarz criterion	13.85394
Log likelihood	-302.8945	Durbin-Watson stat	2.041026

Переменная ∆ CREDIT

ADF Test Statistic	-1.486891	1% Critical Value*
		5% Critical Value
		10% Critical Value
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(CREDIT,2)
Method: Least Squares
Date: 10/15/08 Time: 23:04
Sample(adjusted): 1997:2 2007:1
Included observations: 40 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(CREDIT(-1))	-0.406329	0.273274	-1.486891	0.1458
D(CREDIT(-1),2)	-0.537955	0.248044	-2.168788	0.0368
D(CREDIT(-2),2)	-0.631261	0.234957	-2.686705	0.0109
D(CREDIT(-3),2)	-0.618374	0.173905	-3.555816	0.0011
R-squared	0.592484	Mean dependent var		-2.497500
Adjusted R-squared	0.558524	S. D. dependent var		351.1309
S. E. of regression	233.3041	Akaike info criterion		13.83720
Sum squared resid	1959509.	Schwarz criterion
Log likelihood	-272.7440	Durbin-Watson stat

PP Test Statistic	-5.864110	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										62308.49
Residual variance with correction										62192.00
Phillips-Perron Test Equation
Dependent Variable: D(CREDIT,2)
Method: Least Squares
Date: 10/12/08 Time: 09:43
Sample(adjusted): 1996:3 2007:1
Included observations: 43 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(CREDIT(-1))	-0.908917	0.154979	-5.864782	0.0000
R-squared	0.449869	Mean dependent var	-8.627907
Adjusted R-squared	0.449869	S. D. dependent var	340.5260
S. E. of regression	252.5708	Akaike info criterion	13.92424
Sum squared resid	2679265.	Schwarz criterion	13.96520
Log likelihood	-298.3712	Durbin-Watson stat	1.982483

Переменная ∆2 CREDIT