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it = t + r
t + a(t
t ) + ay(yt yt)
it
t
rtytyt
a aya ay
it = 1 + 0.5(yt yt) + 1.5t
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it1
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if.t = f+fif.t1+fyf.t+ff.t+fCf.t+fHPf.t+fM
Sf.t+fIBf.t+fSPf.t+f.t
ie.t = e+eie.t1+eye.t+ee.t+eCe.t+eHPe.t+eM
Se.t+eIBe.t+eSPe.t+e.t
iii.tyi.tCi.tHPi.tM Si.t
IBi.tSPi.t
R2
H0 : yt = yt1 + ut , vs.H1 : yt = yt1 + ut, < 1
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yt
yt = yt1 +
pi=1
yti + ut
ut
yt = yt1 + ut
H0 : = 0 , vs.H1 : < 0
H0 : yt I(2) , vs.H1 : yt I(1)
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= 1 = 0.95
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yt = xt + (yt xt) + ut
yt xt
f.t e.t
H0 : unitroot incointegrating regression s residuals , vs.H1 :
residuals f rom cointegrating regression are stationary.
f.t e.tif.t = f + fif.t1 + fyf.t + . . . + fSPf.t + f.t +
f.t
ie.t = e + eie.t1 + eye.t + . . . + eSPe.t + e.t + e.t
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if.t = f+fif.t1+fyf.t+ff.t+fCf.t+fHPFf.t+fM
Sf.t+fIBf.t+fSPf.t+f.t
R2
f.t
f.t
f.tif.t = f + fif.t1 + fyf.t + . . . + fSPf.t + f.t + f.t
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f.tR2
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f.t
f.t I(0)
AIC = ln(2) + 2 kT
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if.t = 0.002+0.61if.t1+0.1f.t+0.4IBf.t+0.09yf.t0.57 f.t1+f.t
H0 : normalityofresiduals, vs.H1 : non normality of
residuals.
S =
E(u)
3
K = E(u) 4
W = T
S
6
2
+(K 3)
2
24
2(2)
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if.t = 0.01+0.64if.t1+0.1f.t+0.48IBf.t+0.08yf.t0.47D1987Q3
+0.74D2001Q3 0.85D2008Q3 0.68 f.t1 + f.t
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f.t1
R2 = 0.85
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yt = 0 + 1x1t + 2x2t + ut
ut 2ut
ut = 0 + 1x1t + 2x2t + 3x21t + 4x22t + 5x1tx2t + tR2
R2 2
2
R2
i, j) i = j
t t
t = 1t1 + 2t2 + . . . + rtr + ut ut N(0, 2)
H0 : 1 = 0 and2 = 0 a nd...a ndr = 0H1 : 1 = 0 or 2 = 0 o r . .
. o r r = 0
tt1 t2 . . . tr R2R2 2
R2
if.t1, f.t, IBf.t, yf.t, D1987Q3,D2001Q3, D2008Q3, f.t1
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ie.t = e+eie.t1+eye.t+ee.t+eCe.t+eHPe.t+eM
Se.t+eIBe.t+eSPe.t+e.t
2.48.107
2.27.106
6.87.105
e.t
e.t I(0)
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ie.t = 0.07+0.37ie.t10.07e.t+0.36IBe.t+0.09ye.t0.0006M Se.t0.42
e.t1+e.t
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ie.t1, e.t, IBe.t, ye.t, M Se.t,
e.t1
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if.t = 0.01+0.64if.t1+0.1f.t+0.48IBf.t+0.08yf.t0.47D1987Q3
+0.74D2001Q3 0.85D2008Q3 0.68 f.t1 + f.tie.t =
0.07+0.37ie.t10.07e.t+0.36IBe.t+0.09ye.t0.0006M Se.t0.42
e.t1+e.t
it1t
IBtyt
M St e.t1
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it1
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