Приложение B
Таблица В-1
Результаты оценки уравнения (71)
Dependent Variable: LNM0 Method: Least Squares Sample: 1995Q1 2010Q3
| Included observations: 63 |
| |||
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| C | -20.29121 | 0.905157 | -22.41732 | 0.0000 |
| LNP | 0.816336 | 0.034536 | 23.63702 | 0.0000 |
| LNRGDP | 3.105891 | 0.118643 | 26.17841 | 0.0000 |
| INFL | -1.634612 | 0.226551 | -7.215193 | 0.0000 |
| D1 | 0.378913 | 0.039359 | 9.627045 | 0.0000 |
| D2 | 0.274120 | 0.034850 | 7.865728 | 0.0000 |
| D3 | -0.112286 | 0.032439 | -3.461425 | 0.0010 |
| CRISIS98 | 0.715116 | 0.098388 | 7.268323 | 0.0000 |
| F-squared | 0.996403 | Mean dependent var | 6.489559 | |
| Adjusted F-squared | 0.995946 | S.D. dependent var | 1.412057 | |
| S.E. of regression | 0.089912 | Akaike info criterion | -1.861806 | |
| Sum squared resid | 0.444628 | Schwarz criterion | -1.589662 | |
| Log likelihood | 66.64690 | F-statistic | 2176.703 | |
| Durbin-Watson stat | 1.549707 | Prob(F-statistic) | 0.000000 | |
Таблица В-2
Результаты оценки уравнения (72)
Dependent Variable: LNM0 Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| C | -20.47257 | 0.821390 | -24.92429 | 0.0000 |
| LNP | 0.793283 | 0.031450 | 25.22340 | 0.0000 |
| LNRGDP | 3.135303 | 0.107526 | 29.15847 | 0.0000 |
| INFL | -1.811006 | 0.274855 | -6.588947 | 0.0000 |
| D1 | 0.378913 | 0.035198 | 10.76514 | 0.0000 |
| D2 | 0.294535 | 0.031578 | 9.327259 | 0.0000 |
| D3 | -0.117652 | 0.029019 | -4.054348 | 0.0002 |
Таблица В-2, окончание
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| CRISIS98 | 0.685537 | 0.100835 | 6.798589 | 0.0000 |
| DELTAINFL | 0.655160 | 0.164694 | 3.978050 | 0.0002 |
| R-squared | 0.997024 | Mean dependent var | 6.536775 | |
| Adjusted R-squared | 0.996574 | S.D. dependent var | 1.372531 | |
| S.E. of regression | 0.080332 | Akaike info criterion | -2.071815 | |
| Sum squared resid | 0.342022 | Schwarz criterion | -1.763037 | |
| Log likelihood | 73.22626 | R-statistic | 2219.278 | |
| Durbin-Watson stat | 1.334532 | Prob(R-statistic) | 0.000000 | |
Таблица В-3
Коррелограмма и результаты теста Люнга-Бокса для остатков долгосрочного коинтеграционного соотношения (72)
Sample: 1995Q1 2010Q3
Included observations: 62
| Autocorrelation | Partial Correlation |
| AC | PAC | Q-Stat | Prob |
| . |*. | | . |*. | | 1 | 0.176 | 0.176 | 2.0181 | 0.155 |
| . | . | | . | . | | 2 | -0.005 | -0.038 | 2.0200 | 0.364 |
| . | . | | . | . | | 3 | -0.030 | -0.023 | 2.0802 | 0.556 |
| . |*. | | . |*. | | 4 | 0.088 | 0.101 | 2.6129 | 0.625 |
| **| . | | **| . | | 5 | -0.224 | -0.271 | 6.1202 | 0.295 |
| . |** | | . |*** | | 6 | 0.209 | 0.347 | 9.2236 | 0.161 |
| . | . | | .*| . | | 7 | 0.035 | -0.135 | 9.3124 | 0.231 |
| . | . | | . |*. | | 8 | 0.039 | 0.071 | 9.4231 | 0.308 |
| .*| . | | .*| . | | 9 | -0.186 | -0.176 | 12.021 | 0.212 |
| . | . | | . | . | | 10 | -0.004 | -0.042 | 12.023 | 0.284 |
| .*| . | | . | . | | 11 | -0.123 | 0.035 | 13.200 | 0.280 |
| . | . | | .*| . | | 12 | -0.005 | -0.122 | 13.201 | 0.355 |
| .*| . | | .*| . | | 13 | -0.179 | -0.093 | 15.806 | 0.260 |
| . | . | | .*| . | | 14 | -0.043 | -0.110 | 15.959 | 0.316 |
| .*| . | | .*| . | | 15 | -0.169 | -0.079 | 18.373 | 0.244 |
| .*| . | | .*| . | | 16 | -0.083 | -0.073 | 18.962 | 0.271 |
| .*| . | | . | . | | 17 | -0.081 | 0.003 | 19.541 | 0.298 |
| . | . | | .*| . | | 18 | -0.045 | -0.188 | 19.727 | 0.348 |
| .*| . | | . | . | | 19 | -0.159 | -0.047 | 22.059 | 0.281 |
| .*| . | | .*| . | | 20 | -0.065 | -0.124 | 22.452 | 0.316 |
Таблица В-3, окончание
| Autocorrelation | Partial Correlation |
| AC | PAC | Q-Stat | Prob |
|
| . | . | | 21 | -0.029 | 0.025 | 22.535 | 0.369 |
|
| .*| . | | 22 | -0.021 | -0.089 | 22.581 | 0.426 |
|
| . | . | | 23 | 0.060 | 0.053 | 22.945 | 0.464 |
|
| .*| . | | 24 | 0.037 | -0.105 | 23.089 | 0.515 |
|
| . | . | | 25 | 0.017 | 0.019 | 23.119 | 0.571 |
|
| . | . | | 26 | 0.036 | 0.016 | 23.266 | 0.618 |
|
| .*| . | | 27 | 0.060 | -0.072 | 23.679 | 0.648 |
|
| .*| . | | 28 | -0.040 | -0.067 | 23.866 | 0.689 |
Таблица В-4
Результаты оценки уравнения (73)
Dependent Variable: LNM1 Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
| Variable | Coefficient | Std. Error | t- Statistic | Prob. |
| C | -19.83176 | 0.918443 | -21.59280 | 0.0000 |
| LNP | 0.837553 | 0.034630 | 24.18581 | 0.0000 |
| LNRGDP | 3.128892 | 0.120145 | 26.04264 | 0.0000 |
| INFL | -1.587717 | 0.301048 | -5.273970 | 0.0000 |
| D1 | 0.399374 | 0.039395 | 10.13777 | 0.0000 |
| D2 | 0.272454 | 0.034862 | 7.815152 | 0.0000 |
| D3 | -0.117624 | 0.032446 | -3.625243 | 0.0006 |
| CRISIS98 | 0.629393 | 0.112767 | 5.581341 | 0.0000 |
| R-squared | 0.996330 | Mean dependent var | 7.227140 | |
| Adjusted R-squared | 0.995855 | S.D. dependent var | 1.396490 | |
| S.E. of regression | 0.089910 | Akaike info criterion | -1.860094 | |
| Sum squared resid | 0.436528 | Schwarz criterion | -1.585625 | |
| Log likelihood | 65.66293 | R-statistic | 2094.556 | |
| Durbin-Watson stat | 1.277990 | Prob(R-statistic) | 0.000000 | |
Таблица В-5
Результаты оценки уравнения (74)
Dependent Variable: LNM1 Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| C | -19.97405 | 0.813827 | -24.54336 | 0.0000 |
| LNP | 0.815274 | 0.031161 | 26.16354 | 0.0000 |
| LNRGDP | 3.153502 | 0.106536 | 29.60027 | 0.0000 |
| INFL | -1.811148 | 0.272324 | -6.650702 | 0.0000 |
| D1 | 0.398964 | 0.034874 | 11.44014 | 0.0000 |
| D2 | 0.292965 | 0.031287 | 9.363755 | 0.0000 |
| D3 | -0.122790 | 0.028752 | -4.270719 | 0.0001 |
| CRISIS98 | 0.613408 | 0.099907 | 6.139798 | 0.0000 |
| DELTAINFL | 0.650829 | 0.163177 | 3.988472 | 0.0002 |
| F-squared | 0.997178 | Mean dependent var | 7.227140 | |
| Adjusted F-squared | 0.996752 | S.D. dependent var | 1.396490 | |
| S.E. of regression | 0.079592 | Akaike info criterion | -2.090315 | |
| Sum squared resid | 0.335753 | Schwarz criterion | -1.781538 | |
| Log likelihood | 73.79978 | F-statistic | 2340.693 | |
| Durbin-Watson stat | 1.162168 | Prob(F-statistic) | 0.000000 | |
Таблица В-6
Результаты оценки уравнения (75)
Dependent Variable: LNREALM1 Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| C | -16.82980 | 0.480325 | -35.03838 | 0.0000 |
| LNRGDP | 2.717420 | 0.058414 | 46.51963 | 0.0000 |
| INFL | -0.706778 | 0.208328 | -3.392623 | 0.0013 |
| D1 | 0.289345 | 0.034519 | 8.382325 | 0.0000 |
| D2 | 0.205146 | 0.033687 | 6.089691 | 0.0000 |
| D3 | -0.109384 | 0.033249 | -3.289797 | 0.0018 |
| CRISIS98R | 0.317447 | 0.055478 | 5.722000 | 0.0000 |
Таблица В-6, окончание
| Variable | Coefficient | Std. Error f-Statistic | Prob. |
| R-squared | 0.980578 | Mean dependent var | 5.235910 |
| Adjusted R-squared | 0.978460 | S.D. dependent var | 0.629548 |
| S.E. of regression | 0.092396 | Akaike info criterion | -1.819458 |
| Sum squared resid | 0.469538 | Schwarz criterion | -1.579297 |
| Log likelihood | 63.40319 | R-statistic | 462.8184 |
| Durbin-Watson stat | 0.884334 | Prob(R-statistic) | 0.000000 |
Таблица В-7
Результаты оценки уравнения (77)
Dependent Variable: LNREALM1 Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
Newey-West HAC Standard Errors amp; Covariance (lag truncation=3)
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| C | -16.56218 | 1.016700 | -16.29013 | 0.0000 |
| LNRGDP | 2.685568 | 0.121548 | 22.09466 | 0.0000 |
| INFL | -0.830105 | 0.234868 | -3.534350 | 0.0008 |
| D1 | 0.282804 | 0.036338 | 7.782545 | 0.0000 |
| D2 | 0.214509 | 0.024531 | 8.744350 | 0.0000 |
| D3 | -0.111418 | 0.019622 | -5.678149 | 0.0000 |
| CRISIS98R | 0.298181 | 0.038148 | 7.816381 | 0.0000 |
| DELTAINFL | 0.395562 | 0.127775 | 3.095761 | 0.0031 |
| R-squared | 0.982149 | Mean dependent var | 5.235910 | |
| Adjusted R-squared | 0.979835 | S.D. dependent var | 0.629548 | |
| S.E. of regression | 0.089398 | Akaike info criterion | -1.871527 | |
| Sum squared resid | 0.431566 | Schwarz criterion | -1.597058 | |
| Log likelihood | 66.01733 | R-statistic | 424.4366 | |
| Durbin-Watson stat | 0.758355 | Prob(R-statistic) | 0.000000 | |
Таблица В-8
Результаты оценки уравнения (77)
Dependent Variable: LNM2 Method: Least Squares Sample: 1995Q1 2010Q3
Included observations: 63
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| C | -24.37968 | 0.999326 | -24.39612 | 0.0000 |
| LNP | 0.753637 | 0.038129 | 19.76529 | 0.0000 |
| LNRGDP | 3.756137 | 0.130986 | 28.67578 | 0.0000 |
| INFL | -1.653634 | 0.250121 | -6.611342 | 0.0000 |
| D1 | 0.526801 | 0.043454 | 12.12321 | 0.0000 |
| D2 | 0.354234 | 0.038476 | 9.206709 | 0.0000 |
| D3 | -0.101902 | 0.035814 | -2.845306 | 0.0062 |
| CRISIS98 | 0.692379 | 0.108624 | 6.374092 | 0.0000 |
| R-squared | 0.996143 | Mean dependent var | 7.595022 | |
| Adjusted R-squared | 0.995652 | S.D. dependent var | 1.505395 | |
| S.E. of regression | 0.099266 | Akaike info criterion | -1.663862 | |
| Sum squared resid | 0.541955 | Schwarz criterion | -1.391718 | |
| Log likelihood | 60.41165 | R-statistic | 2029.157 | |
| Durbin-Watson stat | 1.186936 | Prob(R-statistic) | 0.000000 | |
Таблица В-9
Результаты оценки уравнения (78)
Dependent Variable: LNM2 Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| C | -24.55529 | 0.941651 | -26.07683 | 0.0000 |
| LNP | 0.731708 | 0.036055 | 20.29424 | 0.0000 |
| LNRGDP | 3.784472 | 0.123269 | 30.70081 | 0.0000 |
| INFL | -1.816484 | 0.315097 | -5.764838 | 0.0000 |
| D1 | 0.526840 | 0.040352 | 13.05625 | 0.0000 |
| D2 | 0.373580 | 0.036201 | 10.31955 | 0.0000 |
| D3 | -0.107009 | 0.033268 | -3.216615 | 0.0022 |
Таблица В-9, окончание
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| CRISIS98 | 0.663064 | 0.115599 | 5.735909 | 0.0000 |
| DELTAINFL | 0.621587 | 0.188807 | 3.292184 | 0.0018 |
| F-squared | 0.996591 | Mean dependent var | 7.642109 | |
| Adjusted F-squared | 0.996076 | S.D. dependent var | 1.470167 | |
| S.E. of regression | 0.092094 | Akaike info criterion | -1.798541 | |
| Sum squared resid | 0.449506 | Schwarz criterion | -1.489764 | |
| Log likelihood | 64.75478 | F-statistic | 1936.559 | |
| Durbin-Watson stat | 0.976428 | Prob(F-statistic) | 0.000000 | |
Таблица В-10
Результаты оценки уравнения (80)
Dependent Variable: LNBROADM Method: Least Squares Sample: 1995Q1 2010Q3
Included observations: 63
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| C | -18.93903 | 0.667331 | -28.38028 | 0.0000 |
| LNP | 0.876116 | 0.024904 | 35.17917 | 0.0000 |
| LNRGDP | 3.079975 | 0.087261 | 35.29610 | 0.0000 |
| INFL | -0.957782 | 0.163310 | -5.864795 | 0.0000 |
| D1 | 0.426328 | 0.028451 | 14.98463 | 0.0000 |
| D2 | 0.287318 | 0.025151 | 11.42384 | 0.0000 |
| D3 | -0.081386 | 0.023383 | -3.480560 | 0.0010 |
| CRISIS98 | 0.470397 | 0.070901 | 6.634523 | 0.0000 |
| CRISIS09 | 0.247962 | 0.028120 | 8.818020 | 0.0000 |
| F-squared | 0.998320 | Mean dependent var | 7.835262 | |
| Adjusted F-squared | 0.998071 | S.D. dependent var | 1.474990 | |
| S.E. of regression | 0.064776 | Akaike info criterion | -2.504212 | |
| Sum squared resid | 0.226577 | Schwarz criterion | -2.198050 | |
| Log likelihood | 87.88267 | F-statistic | 4011.683 | |
| Durbin-Watson stat | 1.653025 | Prob(F-statistic) | 0.000000 | |
Таблица В-11
Результаты оценки уравнения (81)
Dependent Variable: LNBROADM Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| C | -18.99096 | 0.603526 | -31.46665 | 0.0000 |
| LNP | 0.860450 | 0.022634 | 38.01507 | 0.0000 |
| LNRGDP | 3.091540 | 0.078823 | 39.22126 | 0.0000 |
| INFL | -1.165262 | 0.197652 | -5.895520 | 0.0000 |
| D1 | 0.425390 | 0.025387 | 16.75654 | 0.0000 |
| D2 | 0.302219 | 0.022732 | 13.29512 | 0.0000 |
| D3 | -0.084887 | 0.020870 | -4.067410 | 0.0002 |
| CRISIS98 | 0.471185 | 0.072507 | 6.498498 | 0.0000 |
| CRISIS08 | 0.251064 | 0.025081 | 10.00994 | 0.0000 |
| DELTAINFL | 0.471136 | 0.118448 | 3.977567 | 0.0002 |
| R-squared | 0.998636 | Mean dependent var | 7.879783 | |
| Adjusted R-squared | 0.998400 | S.D. dependent var | 1.443723 | |
| S.E. of regression | 0.057746 | Akaike info criterion | -2.718832 | |
| Sum squared resid | 0.173400 | Schwarz criterion | -2.375746 | |
| Log likelihood | 94.28379 | R-statistic | 4230.745 | |
| Durbin-Watson stat | 1.734448 | Prob(R-statistic) | 0.000000 | |
Таблица В-12
Результаты оценки уравнения (82)
Dependent Variable: LNREALBROADM Method: Least Squares Sample: 1995Q1 2010Q3
Included observations: 63
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| C | -16.76751 | 0.380754 | -44.03769 | 0.0000 |
| LNRGDP | 2.782846 | 0.046518 | 59.82307 | 0.0000 |
| INFL | -0.313075 | 0.120456 | -2.599075 | 0.0120 |
| D1 | 0.326311 | 0.025250 | 12.92306 | 0.0000 |
| D2 | 0.220946 | 0.024706 | 8.942899 | 0.0000 |
| D3 | -0.092558 | 0.024183 | -3.827443 | 0.0003 |
Таблица В-12, окончание
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| CRISIS98R | 0.227635 | 0.038599 | 5.897355 | 0.0000 |
| CRISIS08 | 0.254843 | 0.030142 | 8.454624 | 0.0000 |
| R-squared | 0.991267 | Mean dependent var | 5.875639 | |
| Adjusted R-squared | 0.990156 | S.D. dependent var | 0.676486 | |
| S.E. of regression | 0.067120 | Akaike info criterion | -2.446494 | |
| Sum squared resid | 0.247782 | Schwarz criterion | -2.174350 | |
| Log likelihood | 85.06455 | R-statistic | 891.8540 | |
| Durbin-Watson stat | 0.881383 | Prob(R-statistic) | 0.000000 | |
Таблица В-13
Результаты оценки уравнения (83)
Dependent Variable: LNREALBROADM Method: Least Squares Sample (adjusted): 1995Q2 2010Q3 Included observations: 62 after adjustments
Newey-West HAC Standard Errors amp; Covariance (lag truncation=3)
| Variable | Coefficient | Std. Error | f-Statistic | Prob. |
| C | -16.58083 | 0.833010 | -19.90473 | 0.0000 |
| LNRGDP | 2.760469 | 0.100204 | 27.54842 | 0.0000 |
| INFL | -0.369733 | 0.176902 | -2.090038 | 0.0414 |
| D1 | 0.322582 | 0.024991 | 12.90780 | 0.0000 |
| D2 | 0.227798 | 0.014582 | 15.62138 | 0.0000 |
| D3 | -0.094128 | 0.014547 | -6.470805 | 0.0000 |
| CRISIS98R | 0.209510 | 0.034701 | 6.037551 | 0.0000 |
| CRISIS08 | 0.256328 | 0.020461 | 12.52786 | 0.0000 |
| DELTAINFL | 0.284282 | 0.096794 | 2.936984 | 0.0049 |
| R-squared | 0.991789 | Mean dependent var | 5.888554 | |
| Adjusted R-squared | 0.990549 | S.D. dependent var | 0.674132 | |
| S.E. of regression | 0.065535 | Akaike info criterion | -2.478974 | |
| Sum squared resid | 0.227629 | Schwarz criterion | -2.170196 | |
| Log likelihood | 85.84819 | R-statistic | 800.1993 | |
| Durbin-Watson stat | 0.760504 | Prob(R-statistic) | 0.000000 | |