‫أساسيات القياس‬

‫االقتصادي باستخدام‬

‫‪EViews‬‬
‫أساسيات القياس االقتصادي‬
‫باستخدام‬

‫‪EViews‬‬
˻̀˼ ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍


†ëæĮ…
 Ìb@]]sL¯Ø?m@Ê°·?Á£Î]]»@£Î]]8ºÇÚ?¹s¬·?





 Panel Data

 Growth rates Levels



 Histogram

 XY

 Eviews’Eλc°»8Ë¿@P·?¹s¬·?


 (ASCII)

 Excel


 ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍ ˻̀˽




 View

 Quick/Graph



 Histograms



 EViews


 ÊkH·?Ëí…?f?cŠØ?Vdȕ8Q·@P·?¹s¬·?





 EViews

 Coveriance Variance

 Goodness of Fit

 R2



˻̀˾ ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍


 log-linear

 linear-log

 log-log


 bc¤Lš?f?cŠØ?Vdȕ8¥G?g·?¹s¬·?


 Forecast





 F


 Eviews

 F




 H0

 RESET

 The short way

 ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍ ˻̀˿

The long way

 ÎÊí…?§N@¯Ù¤·?8l»@…?¹s¬·?
 Pololynomials

 Dummy Variable


 log-linear

 HeteroskedasticityÁÉ@HL·?N@HO¾c£θ´o»8mb@k·?¹s¬·?

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 White

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 eÖt 1 eÖt
 NEWEY-WEST

 AR(I)
˻̀̀ ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍


 AR(I)

 Autocorrelation

 Residual correlogram

 Lagrange multiplier (LM)

 Durbin-Watson

 Autoregressive

 AR

 Finite Distribution Lags

Autoregressive Distribution Lags Models

 (ARDL)

 Instrumental VariablesÍ?bÚ?N?¨Lš?8Á»@P·?¹s¬·?


 Hausman test



 Simultaneous Equations ModelsÎÊ¿Ü?NØb@¤š?Vd@•8¥j@L·?¹s¬·?

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 TSLS

 TSLS


 ¶oš?¹»@´L·?Ç ÎÊÀ»i·?¹jÙk·?ÂÈ´j¾c£8gn@¤·?¹s¬·?
 Stationary and Nonstationary

 Spurious Regression
 ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍ ˻̀́

Unit Root


 Order of integration

 Cointegration


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 Volatility

 ARCH Effects

 ARCH

 ARCH

 GARCH

 GARCH-in- Mean

 Panel DataN@¿@ÊH·?¾iWVdȕ8go£Q·@P·?¹s¬·?

 Stacking data


 Pool

 Seemingly Unrelated Regression (SUR)

 Contemporaneous
˻̀̂ ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍

Cross- equation



 Fixed effects


 Pooled Least squares




 NLS

 Fixed effects

 Random effects

 Random effects


ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍ ˻́˹

˻́˺ ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍


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ÍÈí] ÍÈí] ?ÄF?jV ÎʬʳÇ Ìa?rK¯Ø> l?Ê°·> ²f{ I?K´·> >dà \fnÉ
l?Ê°·> ÎG¸í· bʬ» ÈÃÇ )Ìa?rK¯Ø> l?Ê°¸· Eviews ÎʅfF ¾>b^Ki?F
¹Ê¸WK· Eviews ¾>b^Ki?F H§fÉ Á™Ç leb¼¸· bʬ» Èà ?¼³ )Ìa?rK¯Ø>
?ÄR?KŒ ·> M?£Èuș> H¸§@ I?K´·> >dà Á¼vKÉÇ +ÎÉa?rK¯Ø> M?¯Ù¤·>
+ÅN?}@›ÇÅKi>ea›H·?í·>

ñ?ÊÒ?rV> ?ĸʸ€Ç µJ?¿?ÊF Íe>aD ϸ£ Íeb°·> Eviews ÎʅfF µWÀ“ ?¼³
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[email protected]
+962777409853


ϱΩΎμΘϗϻ΍αΎϴϘϟ΍ϦϋΔϣΎϋΔϣΪϘϣ | ˺Ϟμϔϟ΍ ˻́˻



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 ‫الفصل ‪ | 2‬مقدمة إلى ‪EViews‬‬ ‫‪41‬‬

‫حدد دورية البيانات (سنوي‪ ،‬ربعي‪ ).. ،‬وتاريخ البداية وتاريخ‬

‫النهاية‪ .‬سنستخدم يف املثال أدناه بيانات مقطعية ‪cross-sectional‬‬
‫‪ data‬تتكون من ‪ 13‬مشاهدة بدون تاريخ ‪.undated‬‬
‫اخرت ‪ unstructured/ undated‬من خانة ‪workfile‬‬
‫‪ structure type‬أدخل الرقم ‪ 13‬يف خانة ‪ Observation‬من‬
‫‪ Data Range‬لتحديد مدى املشاهدات‪.‬‬

‫توصيف أشكال البيانات‪:‬‬

‫‪ o‬سنوي ‪ :Annual‬حدد السنة مثل ‪.99 ،991 ،3991‬‬

‫سنوات القرن احلادي والعشرين جيربك أن تكتب السنة كاملة‬
‫مثل ‪ ،0131 ،0111‬أما سنوات ما قبل القرن العشرين جيب‬
‫كتابتها كاملة كذلك مثل ‪ ،3489‬أما سنوات القرن العشرين‬
‫ميكن كتابتها خبانتني أو أربع خانات مثل ‪ 96‬أو ‪3996‬‬
‫وتعترب كل خانتني أنهما خيصان القرن العشرين‪.‬‬

‫‪ o‬ربع سنوي ‪ :Quarterly‬السنة يتبعها نقطتان فوق بعضهما‬

‫البعض ( ‪ ) :‬ورقم الربع مثل ‪.0119:8 ،63:1 ،3998:3‬‬
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NéÜí†Èm
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Mean 1422.254 6058.839
Median 1384.65 5329
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Std. Dev. 359.7448 1510.401
Skewness 0.455243 1.530971
Kurtosis 2.519941 4.37084
Jarque-Bera 2.383743 25.32304
Probability 0.303652 0.000003
Sum 76801.7 327177.3
Sum Sq. Dev. 6859066 1.21E+08
Observations 54 54

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View/Actual, Fitted Residual/Actual, Fitted Residual Table

pbÈiŠ½a
ïÓaìië
ñ‰†Ô½a
Yˆ
áîÓë
PC
áîÓ
åàšní
düë†u
ŠèÄí


N ê
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ñ‰†Ô½a
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View/Representation
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Substituted
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LCoefficients

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bi
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ZïÜí
bà×
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PC = -95.2445157803 + 0.794517400244*GDP

Z|j–nÛ
bèÜí†Èm
åع
lÛaë

PC t = - 95.245 + 0.795 GDPt

N‰a†−üa
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µg
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View/Estimation output
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ïÓaìjÛa
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scalar yhat11000= -95.2445157803 + 0.794517400244*(11000)

ïÛbº⁄a
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µg
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Substituted Coefficients


NEViews
Šßaëc
ò‘b‘

êˆç
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Yhat11000
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Quick/Estimate Equation
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Forecast sample


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Coveriance<Õ;<¹]<àè^fjÖ]æ<Variance<àè^fjÖ]<†è‚Ïi<IRIO


NEQ3_1
òÛ…bȽa
åàšní
ðˆÛa
table03_1
Ñܽa
|nÏa
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 ا‬٣
‫ا‬

ZòîÛbnÛa
òàè½a
pbßìÜȽa
œÈi
wöbnäÛa
åàšnm
Sum
bèãc
∑ eˆt2
ôŠÌ–Ûa
pbÈiŠ½a
ïÓaìi
ÉiŠß
Êìà©
´jí •
269.606
ðëb.më
squared resid

éäØÛ
(T-2)
|튕
ÝØ’i
ò튧a
pbu‰…
Eviews
ŠèÄí
ü •
Included observations:
ZïÜí
bà×
pa†çb’½a
…†Ç
ŠèÄí
31

ïç
dݨa
åíbjnÛ
ñ‰†Ô½a
òàîÔÛa
EViews
´jí
ü •

σ̂
ñ‰†Ô½a
ð‰bîȽa
dݨa
òàîÓ
´jí
b¸g
σˆ 2 = ∑ eˆt2 (T − 2)

ð‰bîȽa
dݨaë
"S.E. of regression 269.606"
Ýrß
S.D. dependent var åÇ
ÑÜn¥
ïçë
‰a†−ýÛ
Ny
ÉibnÛa
aÌn½a
áîÓ
òäîÈÛ
ð‰bîȽa
ÒaŠ−üa
2114.701
 ‫ | ذج ا ار ا
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¿
ôŠÌ–Ûa
pbÈiŠàÜÛ
‰†Ô½a
Úe’½a
åíbjnÛaë
åíbjnÛa
5ŠÈÛ •


View, Covariance Matrix
ŠÔãc
LwmbäÛa
Ší†Ôm
ñˆÏbã

ð‰bîȽa
dݨa
æc
std. Error
l
æìäȽa
sÛbrÛa
…ìàÈÛa
´jí •

ë
se(b1 ) = 86.870
ðëb.í
pýßbÈàÜÛ
‰†Ô½a

ðëb.í
‰†Ô½a
pýßbȽa
åíbjm
æhÏ
Čáq
åßë
L se(b2 ) = 0.018

ÉiŠß
ïç
lÛaë
var(b2 ) = 0.0003
ë
var(b1 ) = 7546.40

ë
var(b1 ) = [se(b1 )]
2

Ýrß
ð‰bîȽa
dݨa


var(b2 ) = [se(b2 )]2
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Goodness of Fit<íÏe^޹]<àŠu<Œ^éÎ<<ISIO
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ŠèÄm
òàîÓ
Þëc
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‰a†−üa
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R 2 = 0.984288
Úýèn
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Þbrß
¿
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L‰a†−üa

¿
aÌnÛa
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Úýèn
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¿
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µg
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NÝ;†Ûa

bà×
R 2 = 1 − SSE SST
æc
EViews
¿
‰a†−üa
wöbnã
ŠèÄm


Z‰a†−üa
pýßbÈß
ŠèÄm
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EQ3_1
òÛ…bȽa
ŠíŠÔm
wöbnã
¿
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kÜİní
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ñˆÏbäÛa
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¿
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êˆç
lb.§


ZòîÛbnÛa
SSE
ôŠÌ–Ûa
pbÈiŠ½a
ïÓaìi
pbÈiŠß
Sum squared resid 2107939


Zåß
òîÜØÛa
pbÈiŠ½a
Êìà©
óÜÇ
Ý–−
S.D. dependent var 2114.701
(S.D.
ïç
lÛa
y
áîÔÛ
òäîÈÜÛ
ð‰bîȽa
ÒaŠ−üa
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aˆÛ


Zïç
dependent var)
2

S.D. dependent var = S y =

∑ (y i − y)
N −1


ZóÜÇ
Ý–−
N-1
¿
bèiŠ™ë
òàîÔÛa
êˆç
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a‡hÏ

∑ ( y i − y )2 = (N − 1)S y2

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†Èi
bèîÜÇ
Þì–§a
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bd íë†í
bèîÜÇ
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Zbd äàšnß
EViews
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aìi
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‰a†−üa
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@sddep ÉibnÛa
aÌnàÜÛ
ð‰bîȽa
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@ssr ïÓaìjÛa
pbÈiŠß
Êìà©



 ‫ | ذج ا ار ا
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ZòîÛbnÛa
Šßaëþa
ↂn.ã
R 2
lb.§
aˆÛ
Scalar sst = (N-1)*(@sddep)^2
Scalar r2 = 1-@ssr/sst


ZïÜí
bà×
N
òàîÔÛa
k.¤ë
Scalar n = @regobs
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Éîiei
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Áî.jÛa
‰a†−üa
x‡ì¸
¿
R 2
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´i
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ë
X
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Âbjm‰üa
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ZåíaÌn½a
´i
Âbjm‰üa
@cor
òÛa†Ûa
k.¤ë
LòÈÓìn½a
áîÔÛaë
Scalar r2_xy = (@cor(gdp,pc))^2
Scalar r2_yyhat = (@cor(pc,pcf))^2
tƒ^ÛßÖ]<Äèçßi<<ISIO
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EViews
¿
aÌn½a
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aîÌm

GDP
bîÓ
†íŠã
bäãc
5ŠÏa
LéÐíŠÈm
ñ…bÇgë
†í†u
aÌnß
õb’ãg

ZïÛbnÛa
aÌn½a
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‰bäí…
æìîܽa
åß
ü
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‰bäí…
ÑÛþbi

òibn×ë
Genr
óÜÇ
ŠÔäÛbi
ÙÛ‡ë
GDP_1000JD = 1000*GDP


ZïÛbnÛa
—äÛa

LOK
ŠÔãc


ZŠßaëþa
Šİ

¿
kn×c
ëc
Series GDP_1000JD = 1000*GDP
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‫ا‬

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aÌn½a
âa†‚n

bi
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Quick/Estimate Equation
óÜÇ
ŠÔäÛbi
ÙÛ‡ë


ZïÛbnÛa

ZŠßaëþa
Šİ

¿
kn×c
ëc
LOK
ŠÔãc
LS PC C GDP_1000JD


ZòîÛbnÛa
òvînäÛa
ŠèÄn

Dependent Variable: PC
Variable Coefficient Std. Error t-Statistic Prob.
C -95.24452 86.87086 -1.096392 0.2819
GDP_1000JD 0.000795 1.86E-05 42.62268 0.0000
R-squared 0.984288 Mean dependent var 2978.848
Adjusted R-squared 0.983746 S.D. dependent var 2114.701
S.E. of regression 269.6063 Akaike info criterion 14.09414
Sum squared resid 2107939 Schwarz criterion 14.18666
Log likelihood -216.4592 Hannan-Quinn criter. 14.1243
F-statistic 1816.693 Durbin-Watson stat 0.704266
Prob(F-statistic) 0.000000

aÌm
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GDP
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bà×
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EViews
¿
‰a†−üa
Šßaëc
æc
ÒŠÈã
æc
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åßë
NòÔib.Ûa

ÙÛ‡ë
wöbnäÛa
›Ðã
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Ý–−ë
ñŠ‘bjß
aÌn½a
Ýíìzni
|à.m


ZïÛbnÛa
Šßþa
òibnØi
Ls pc c (1000*gdp)

ZïÜí
bà×
‰a†−üa
pýßbÈß
òvînã
æìØmë
 ‫ | ذج ا ار ا
 ا‬٣
‫ا‬ ٦٦

Dependent Variable: PC
Variable Coefficient Std. Error t-Statistic Prob.
C -95.24452 86.87086 -1.096392 0.2819
1000*GDP 0.000795 1.86E-05 42.62268 0.0000

log-linear<êŞ}IêÛjè…^ÆçÖ<tƒç´<INITIO

a’ã
ðˆÛa
"ïÈîjİÛa
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µg
paaÌn½a
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k.y
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Ší†ÔnÛë
Llog
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ání‰bËìÜÛa
òÌî•
µg
ÉibnÛa
aÌn½a
Þì−
log-linear
òÌî•


ZïÜí
bà×

Series lpc = log(pc)

òÌî–Û
ÞìQa
ÉibnÛa
aÌn½a
âa†‚n

a
†äÇ
wöbnäÛa
aÌnm
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ln(y) = β1 + β2 x + e
òÛ…bȽa
êˆç
òÌî•
k.y
_ání‰bËìÜÛa

y
òàîÓ
ñ…bí‹
µg
ð…ûî

ñ†yaë
ñ†yë
‰a†Ô¶
x
ñ…bí‹
æhÏ

x‡ì¸
¿
aˆç
ÉibnÛa
aÌn½a
ↂn
a
Z 100β 2 %
òj.äi
òÈÓìn½a


‰a†−üa

ls lpc c gdp


ZòvînäÛa
æìØn

Dependent Variable: LPC

Variable Coefficient Std. Error t-Statistic Prob.
C 6.67724 0.080968 82.46808 0.0000
GDP 0.000275 1.74E-05 15.81398 0.0000
R-squared 0.896088 Mean dependent var 7.740292
Adjusted R-squared 0.892505 S.D. dependent var 0.766429
S.E. of regression 0.251285 Akaike info criterion 0.137885
Sum squared resid 1.831184 Schwarz criterion 0.2304
Log likelihood -0.137216 Hannan-Quinn criter. 0.168043
F-statistic 250.0819 Durbin-Watson stat 0.190421
Prob(F-statistic) 0.000000
٦٧ ‫ | ذج ا ار ا
 ا‬٣
‫ا‬

‰bäí…
æìîÜß
‰a†Ô¶
GDP
ñ…bí‹
ædi
ÞìÔÛbi
òvînäÛa
Îì–ã

òj.äi
˜b¨a
Úýèn
üa
ñ…bí‹
µg
ð…ûî

Hñ†yaë
ñ†yëI

†Ó
R 2
æhÏ
òÔíŠİÛa
êˆèi
ÉibnÛa
aÌn½a
bäÛìy
bäãþë
L٪P~PRWU

õb’ãg
åß
ü
d †ië
LÕib.Ûa
Ší†ÔnÛa
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æ‰bÔí
üë
aÌm

‰a†−üa
òÌî•
¿
ñŠ‘bjß
ÝíìznÛa
õaŠug
Éîİn.ã
lpc = log(pc)


ZïÜí
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Dependent Variable: PC
Variable Coefficient Std. Error t-Statistic Prob.
C -16410.27 1703.082 -9.635629 0.0000
LGDP 2424.588 211.9722 11.43824 0.0000
R-squared 0.818561 Mean dependent var 2978.848
Adjusted R-squared 0.812304 S.D. dependent var 2114.701
S.E. of regression 916.1702 Akaike info criterion 16.54062
Sum squared resid 24341666 Schwarz criterion 16.63314
Log likelihood -254.3796 Hannan-Quinn criter. 16.57078
F-statistic 130.8332 Durbin-Watson stat 0.120923
Prob(F-statistic) 0.000000
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Dependent Variable: LPC
Variable Coefficient Std. Error t-Statistic Prob.
C 0.010772 0.142264 0.075715 0.9402
LGDP 0.966568 0.017707 54.58745 0.0000
R-squared 0.990362 Mean dependent var 7.740292
Adjusted R-squared 0.990029 S.D. dependent var 0.766429
S.E. of regression 0.076531 Akaike info criterion -2.2399
Sum squared resid 0.169852 Schwarz criterion -2.14739
Log likelihood 36.7185 Hannan-Quinn criter. -2.20975
F-statistic 2979.79 Durbin-Watson stat 0.608413
Prob(F-statistic) 0.000000

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ÉÓìnÛa
bßc
LRPPW
òäÜÛ
òÜibÔ½a
ñ†çb’½bi
éÛ
ð‰bîȽa
dݨaë

ŠèÄn5
RPPV
µg
QYWV
åß
pa†çb’àÜÛ
ð‰bîȽa
dݨaë


Nbn Ôib5
bçbã…†y
zÛa
òÈÓìn½a
òäîÈÜÛ
òèib’ß
LNA

Mˆ = 9820.613
bàç
bh
ð‰bîȽa
ÒaŠ−üaë
ÉÓìn½a
M
òàîÓ

ÉÓìnÛa
ñ_Ï
lb§
bàèßa†‚n5a
bääع
se( f ) = 609.8912 ë


Mˆ ± t(1−α 2, 28 ) × se( f )
ZïÜí
bà×
٨١ ‫ | ذج ا
ار اد‬٤
‫ا‬

< <`ޤ]<àè^fi<†è‚Ïi<<IOIP

Ší‰bÔm
¿ë
σ 2
dݨa
†y
åíbjni
ð…b–nÓüa
KbîÔÛa
ìrybi
ánèí
"S.E. of
ÝØ‘
óÜÇ
σ
ïÈîi_Ûa
ꉈu
ŠèÄí
Eviews

æhÏ
òîã…‰þa
pa…‰ìn½a
òÛ…bÈß
wöbnã
ïÐÏ
Lregression"

óÜÇ
Þì–zÜÛ
bèÈîiŠm
ò–bi
ÝØi
Éîİnmë
σ = 492.6520

L (492.6520)2 = 242705.993104
ìç
ðˆÛa
σ 2
õbİþa
åíbjm

bè㌱
zÛa
EViews
wöbnã
âa†‚n5a
Éîİnã
òàîÔÛa
êˆç
lb§


Zbèäß
L‰a†−ýÛ
Ší†Ôm
Ý×
†Èi

@ncoef

ñ‰†Ô½a
pbàÜȽa
…†Ç
Êìà©
@regobs

‰a†−üa
¿
ò߆‚n½a
pa†çb’½a
…†Ç
@sddep

‰a†−ýÛ
ð‰bîȽa
ÒaŠ−üa
@ssr


HïÓaìjÛaI
dݨa
pbÈiŠß
Êìà©


ZòÛ…bÈàÜÛ
dݨa
åíbjm
lby
ñ…bÇ⁄
òîÛbnÛa
Šßaëþbi
Ú…ëŒä5

Coef(5) sigma2




sigma2(1) = @ssr




sigma2(2) = @regobs


sigma2(3) = @ncoef




sigma2(4) = @ssr/(@regobs-@ncoef)




sigma2(5) = (@ssr/(@regobs-@ncoef))^.5


 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٨٢

sigma2
åß
U
ë
T
õŒ¦a
æìØî5
sigma2
óÜÇ
´mŠÔã
ŠÔãa

σ
óÜÇ
Þì–§a
æc
òÄyýß
Éß
LïÛaìnÛa
óÜÇ
σ ë
σ 2
ïç


@se
Þý
åß
ò㌂½a
wöbnäÛa
åß
< <ï†Ç’Ö]<l^Ãe†¹]<l]…‚Ϲ<Õ01¹]<àè^fjÖ]æ<àè^fjÖ]<†è‚Ïi<<IPIP

òÏìЖßë
ôŠÌ–Ûa
pbÈiŠ½a
Ší†Ôm
HòîÓìqìßI
òÓ†i
ánèã
å−

Variance-Covariance matrix
Ú_’½a
åíbjnÛaë
åíbjnÛa

óÜÇ
Þì–zÜÛë
LòÓ†Ûa
áîîÔnÛ
åíbjnÛbi
ÕÜÈní
—‚ܶ
bã…ëŒm

wöbnã
åß
…an5üa
òÛa†Û
Variance-Covariance
òÏìЖß
View/Covariance Matrix
_a
‰a†−üa

ZïÜí
bà×
Covariance
òÏìЖß
æìØn5

٨٣ ‫ | ذج ا
ار اد‬٤
‫ا‬

ÝØ’Û
Freezing
Þý
åß
Table04_1
éœa
Þë†u
ø’ää5

Variance-Covariance
òÏìЖß

pa‰†Ôß
åíbjm
Ýr·
ŠİÔÛa
¿
âbÓ‰þa
æhÏ
Þ놦a
aˆç
¿

Ýr·
ŠİÔÛa
Ë
¿
âbÓ‰þaë
b3
ë
b2
ë
b1
ôŠÌ–Ûa
pbÈiŠ½a

LÞbr½a
Ýîj5
óÜÇ
LôŠÌ–Ûa
pbÈiŠ½a
pa‰†Ô½
Ú_’½a
åíbjnÛa

Ìnß
óÜÇ
var (b2 )
ðc
b2
òàÜȽa
åíbjm
ìç
0.002529
áÓŠÛa

åíbjnÛa
Ýr¹
5.526676
áÓŠÛa
L…†Èn½a
‰a†−üa
x‡ì¸
¿
GDP

GDP
paÌn½a
pbàÜȽ
cov(b2 , b3 )
ðc
b3
ë
b2
´i
Ú_’½a


NïÛaìnÛa
óÜÇ
RER
ë
< <†è‚ÏjÖ]<l]0Ê<h^Šu<<IQIP

b3
ë
b2
´nàÜÈàÜÛ
100 (1 − α ) %
٪YU
òÔq
ñ_Ï
lb§


ZòîÛbnÛa
òÌî–Ûa
kyë
ò㌂½a
‰a†−üa
wöbnã
ↂn5a
bK ± t (1−α 2, N − K ) × se (bK )

ë
se(bK )
ë
bK
òàîÓ
òÏŠÈß
òÔrÛa
ñ_Ï
lb§
xbn−

Ší†Ôm
åß
áÜÈm
bà×
Lòîib§a
pbîÜàÈÛa
ðŠ¬
áq
t (1−α 2, N − K )

ëc
LÝàÈÛa
ÑÜß
¿
C
¿
挂n5
bK
æc
ôŠÌ–Ûa
pbÈiŠ½a



↓‚nm
zÛa
@coefs
òÏì“Ж½a
¿
ò㌓«
ïèÏ
ݓí†i
Ýؓ’i
 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٨٤

´ànèß
bä×
a‡hÏ
LC=@coefs
æc
sîy
LŠí†ÔnÛa
pa_Ï
lb§

æhÏ
b2
Ýrß
L bK
pbàÜȽa
ô†yhi

ð‰bîȽa
dݨa
æhÏ
Ýr½bië
C(2)=@coefs(2)=0.868227

æc
sîy
@stderrs
òÏìЖ½a
¿
挫

ë
@coefs
ë
C
æc
Åyü
L@stderrs(2)=0.050290

oä×
a‡hÏ
Lt†yþa
ñ‰†Ô½a
òÛ…bȽa
åß
áîÓ
ôìn¤
@stderrs

bèîÏ
ánèm
zÛa
ñ‰†Ô½a
òÛ…bȽa
Ší†Ôm
†Çc
bèmbíìnª
åß
Ù‘
¿

âa†‚n5a
åØßìí
L t (1−α 2, N − K )
òÏŠÈß
kÜİnm
òàîÔÛa
oÛa‹
üë

1 − α 2
ðëbm
P
æc
sîy
@qtdistn(p,v)
EViews
Þaë…

æhÏ
òÛb§a
êˆç
¿ë
Lò튧a
pbu‰…
òàîÓ
ν
ë

œÈi
Éß
bèÈîº
Š•bäÈÛa
êˆç
É™
L N − K = 31 − 3 = 28

ôìnß
†äÇ
Ší†ÔnÛa
ñ_ÐÛ
bîÜÈÛaë
bîã†Ûa
…놧a
óÜÇ
Ý–−


ZòîÛbnÛa
Šßaëþa
Õîjİm
åß
b3
ë
b2
´nàÜÈàÜÛ
٪YU
òíìäÈß

Scalar tc = @qtdist(0.975, 28)

Scalar beta2_low=c(2) - tc*@stderrs(2)
Scalar beta2_up=c(2) + tc*@stderrs(2)
Scalar beta3_low=c(3) - tc*@stderrs(3)
Scalar beta3_up=c(3) + tc*@stderrs(3)

ÁÌšÛa
†Èi
Eviews
ñˆÏbã
óÜÇc
¿
ò܆½a
Šßaëþa
êˆç
ˆÐäm

¿

“i
òàÜÈß
âbÓ‰d×
pbibu⁄a
挥ë
enter
¡bnÐß
óÜÇ


NÝàÈÛa
ÑÜß
٨٥ ‫ | ذج ا
ار اد‬٤
‫ا‬

óÜÇ
´mŠÔã
ŠÔãc
Ší†ÔnÛa
pa_ÐÛ
bîã†Ûaë
bîÜÈÛa
…놧a
¢ŠÈÛ

LEviews
ñˆÏbã
ÝÐ5c
¿
òibug
Ý×
ŠèÄn5
Ñܽa
¿
âbÓ‰þa
Ý×


ZóÜÇ
Ý–−
†yaë
oÓë
¿
áîÔÛa
ÙÜm
Éîà£ë












< <l^镆ËÖ]<…^fj}]<IRIP

pbÐÛa
‰bjna
‰bjnÇüa
´Èi
ˆdä5
‰bjnüa
aˆç
¿

pa‰bjna
kÜËcë
L…†Èn½a
‰a†−üa
x‡ì¸
¿
òí…ŠÏ
pbàÜȽ

…an5üa
òÛa…
¿
‚n‚ä5
L´Üíˆi
‰bjna
ìç
òí…ŠÐÛa
pbàÜȽa

a‡g
bàîÏ
ÙÛˆ×ë
pa…‰ìn½a
óÜÇ
Šqûí
݆Ûa
æb×
a‡g
bàîÏ

´Üíˆi
òîÓìqì½a
‰bjnü
Npa…‰ìn½a
óÜÇ
Šqûm
‰bÈ5þa
oãb×


ZïÜí
bà×
pbÐÛa
êˆç
‚n‚ä5
ŠÈÛaë
݆Ûa
qdnÛ

݆ÜÛ
qdm
†uìí
ü
݆ÜÛ
qdm
†uìí


H0 : β2 = 0

H1 : β 2 ≠ 0

‰bÈ5ÿÛ
qdm
†uìí
ü
‰bÈ5ÿÛ
qdm
†uìí


H 0 : β3 = 0

H1 : β 3 ≠ 0

pa‰bjnüa
êˆh
p
òàîÓë
t
òàîÓ
lb§
Eviews
âa†‚n5bi

òÛ…bȽa
ðc
‰†Ôã
b߆äÇ
aˆÛ
Lbh
‰bjnÇa
ü
ñÌ•
oãb×
zÛaë

µg
…ìÈä5
ïç
åíc
ôŠäÛ
LïöbÔÜm
ÝØ’i
áîÔÛa
êˆç
kzn5


imports_function
“Û
ôŠÌ–Ûa
pbÈiŠ½a
wöbnã
 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٨٦

Šqc
‰bjna
òÛby
ïÐÏ
_âbÓ‰þa
êˆç
ïmdm
åíc
åß
ÒŠÈm
Ýç

òîib§a
òîÜàÈÛa
õaŠug
Þý
åß
t
òàîÓ
óÜÇ
Ý–−
݆Ûa

òàîÔÛaë
t = 290.2812 149.3796 = 1.943245
ZòîÛbnÛa
:òİ5aìi
p-value
òîÛbànyüa
( ) (
p − value = P t(28) > 1.943 + P t(28) < −1.943 )
( )
= 2 × P t(28) < −1.943 = 0.0621

Eviews
åß
kÜİÛbi
êýÇc
òvînäÛa
åß
†×dnÛa
Éîİnãë

ZïÛbnÛa
Šßþa
âa†‚n5bi
êýÇc
òîÛbànyüa
òàîÔÛa
lby
Scalar pee= 2*@ctdist(-1.943, 28)

L P(t(v ) < x )
òàîÔÛa
Éí‹ìm
òÛa…
@ctdist(x, v)
òÛa…
k¤

ò‘b‘
óÜÇc
¿
Šßaëþa
Šİ5
¿
éÛb…g
†Èi
Šßþa
aˆç
áníë

â†Ç
ëc
œÏŠÛ
òîÏb×
òßìÜÈß
æìØm
p
òàîÓ
òÏŠÈß
æcë
LEviews

†äÇ
H 0 : β 3 = 0
œÏŠã
ü
å−
ŠÈÛa
òÛby
ïÐÏ
L H 0
œÏ‰

LP~PU
åß
‚×c
ïç
0.0621
“Û
p
òàîÓ
æþ
٪U
òíìäÈß
ôìnß

òiìBa
t
òàîÓ
òã‰bÔ¶
H 0
Þìy
‰aŠÓ
õaŠug
†íŠã
bäãg
¢ŠÏa

Ý–−
ÑîØÏ
L٪U
òuŠ§a
òàîÔÛa
†äÇ
1.943246
ðëbm
zÛa

Ýrß
-tc
ë
tc
òàîÔÛa
xbn−
_òuŠ§a
òàîÔÛa
óÜÇ

Eviews
Šßaëdi
bèîÜÇ
Þì–§a
åعë
L P (t (28 ) < t c ) = 0.975


ZïÜí
bà×
٨٧ ‫ | ذج ا
ار اد‬٤
‫ا‬

Scalar tc=@qtdist(0.975,28)

œÏ‰
µg
òàîÔÛa
êˆç
ð…ûmë
t = 2.0484
æc
òvînäÛa
æìØm

p
òàîÓ
bßc
L 1.9432 < 2.0484
æþ
H 0 : β 3 = 0
òÐÛa

¿
ñbİȽa
ïç
H 1 : β 2 ≠ 0
Éß
òã‰bÔß
H 0 : β 2 = 0
‰bjnü

Eviews
ↂn5a
åíŠàn×ë
LP~PPPP
“i
Eviews
‰a†−a
wöbnã


N 4.424 × 10 −10
òàîÔÛ
ò튒ÈÛa
pbãb¨a
åß
†íŒ½a
æbîjÛ
< <Äée†i<ë^Òæ<F<…^fj}]<ISIP

¿
ñ†yaë
òàÜÈß
Þìy
òî5b5þa
òÐÛa
‚n®
Ñî×
bäÏŠÇ

bã…‰c
a‡g
Z´iìÜ5di
‰bjnüa
aˆç
Éî5ìm
åعë
L‰a†−üa
x‡ì¸

Ýà’m
single null hypothesis
ñ†yaë
òî5b5c
òÏ
‰bjna

ò×_’ß
òî5b5c
òÏ
‰bjna

bã…‰c

a‡g

ëc
LŠr×c
ëc
´nàÜÈß

LŠr×c
ëc
´nàÜȽ
Šr×c
ëc
åí†îÔi
񅆪
joint null hypothesis

òî5b5þa
òÐÛa
óÜÇ
†ànÈí
ïöb–y⁄a
‰bjnüa
‰bîna
æhÏ

âc
†yaë
Ýíˆi
ìç
Ýç
‰bjnüa
óÜÇë
ò×_’ß
ëc
ñ…ŠÐß
ïç
Ýç

Lñ…ŠÐ½a
òî5b5þa
òÐÜÛ
†yaë
Ýíˆi
‰bjnüa
ˆûí
_´Üíˆi

‰bjna
ìç
éîÏ
ÕÜÈn½a
ïöb–y⁄a
‰bjnüa
æhÏ
òÛb§a
êˆç
¿ë

bßg
Zñ…ŠÐ½a
òÐÜÛ
´Üíˆi
‰bjnüa
âa†‚n5a
Éîİnmë
L t( N − K )

æa‰bjnüa
æaˆç
L F(1, N − K )
òîöb–yg
ëc
t( N − K )
òîöb–yg
‰bjna

åع
ðˆÛa
ŠŁa
‰bjnüa
bßc
L t(2N −k ) = F(1, N − K )
æþ
æb÷ÏbØnß

òîöb–yg
ↂní
ðˆÛa
Chi-square test
‰bjna
ìç
éßa†‚n5a

òîöb–yg
òàîÓ
Ýqb·
χ (21)
ñ†yaë
òíŠy
òu‰†i
ÉîiŠm
ðb×

ðˆÛa
Éí‹ìnÛa
æþ
ÑÜn«
ìç
‰bjnüa
aˆç
åØÛ
L F(1, N − K )

F
‰bjna
bßc
LÑÜn«
p-value
Þbànyüa
òàîÓ
lb§
ↂní

LnbîÈîj–
òÛ…bȽa
õb“İc
Ê‹ìnm
b߆äÇ
nbßb·
񅆪
òäîÇ
‰bjna
ìç



k“Üİnm
ü
nbjíŠÔm
ñ“j×
òä“îÇ
‰bjnü
ↂ“ní
χ 2
‰b“jna
bßc
 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٨٨

éãhÏ
ò×_’½a
òî5b5þa
òÐÛa
‰bjna
bßc
NòîÈîjİÛa
òÏ

‰bjna
ê‚nÈã
ü
bäãc
bà×
Lt
‰bjna
âa†‚n5a
k5bäß
Ë
æìØí

Ë
Šr×c
ëc
†yaë
†îÓ
bh
H 1
òÜí†jÛa
òÐÛaë
L†yaë
Ýíˆi

χ 2
‰bjna
ëc
F
‰bjna
âa†‚n5a
åعë
L H 0
¿
…ìuìß

LòîÈîjİÛa
òÐÛ
âbØnyüa
â†Ç
ëc
âbØnyüa
óÜÇ
an…bànÇa

numerator
ÁjÛa
òíŠy
pbu‰…
H 0
¿
…ìîÔÛa
…†Ç
ïİÈíë

åí‰bjnüa
æhÏ
aˆÛ
L χ 2
òîöb–yg
òíŠy
pbu‰…ë
F
òîöb–y⁄

åß
pbîöb–y⁄a
ô†yg
òàîÓ
lby
åع
åØÛ
[´ÐÜn«
bàç

L F( J , N − K ) = χ (2J ) J
ZòîÛbnÛa
òÓýÈÛa
âa†‚n5bi
ôŠþa
òàîÔÛa


ZïÛbnÛa
Þ놦a
¿
ò–‚Üß
bèÈîº
êˆçë

òî5b5þa
òÐÛa


H0


òÓýÈÛa

òîöb–y⁄a

‰bjnüa
Êìã

…†Ç
…†Ç


…ìîÔÛa

pbàÜȽa

Ýí‡
Lñ…ŠÐß
H 0




t(N −K )

1

≥1

†yaë

F(1, N − K )
ëc
t ( N − K )


t(
2
= F(1, N − K ) = χ (21)

1 ≥ 1

´Üí‡
Lñ…ŠÐß
H 0
N −k )


χ (21)
ëc


F( J , N −K ) = χ (2J ) J

χ (2J )
ëc
F( J , N − K )

J ≥ 2

≥ 2

ò×_’ß
H 0

òîÐî×
æbîjÛ
Þbrà×
æ…‰þa
¿
…an5üa
òÛa…
ↂnã
Òì5

Òì5ë
LòÐÜn‚½a
pa‰bjnüa
êˆç
õaŠu⁄
Eviews
âa†‚n5a


Zïç
F
òàîÔÛ
òßbÈÛa
òÌî–Ûaë
L χ 2
ë
F
‰bjna
óÜÇ
Œ×Šã

F =
(SSE R − SSEU ) J
SSEU ( N − K )
٨٩ ‫ | ذج ا
ار اد‬٤
‫ا‬

‰†Ô½a
x‡ìàäÛa
åß
õbİþa
ÉiŠß
Êìà©
ìç
SSE R
æc
sîy

pbÈiŠß
Êìà©
SSEU
ë
H 0
¿
…ìîÔÛa
…ìuë
´™_Ðß

“i
óİÈmŽ
χ 2
òàîÓ
Ýr½bi
L†îÔ½a
Ë
x‡ìàäÛa
åß
õbİþa

χ 2
ë
F
lb§
Eviews
âa†‚n5a
Éîİnãë
L χ 2 = J × F

Eviews
âa†‚n5a
Éîİnã
ëc
LnbîöbÔÜm
bàh
òîÛbànyüa
áîÔÛaë

SSEU
ë
SSE R
†¬ë
L†îÔ½a
Ëë
†îÔ½a
x‡ìàäÛa
lb§


N χ 2
ë
F
k−
ïÛbnÛbië
LwöbnäÜÛ

< <l^Û×ù]<Víèçßù]<…^fj}]<IMISIP

òÜí†jÛa
òÐÛbi
òã‰bÔß
H0 : β2 = 0

‚n®
Þëþa
bäÛbrß
¿


ZïÛbnÛa
x‡ìàäÛa
¿
H 1 : β 2 ≠ 0

M = β1 + β 2GDP + β 3 RER + e

_òÛ…bȽa
¿
GDP
´àšm
kuaìÛa
åß
Ýç
LôŠc
ñ‰bjÈi

åØà½a
åß
éãc
†vä5ë
L‰bjnüa
aˆç
Ýr½
t
‰bjna
ↂnä5

Éîİnã
Ñî×
ôŠã
bäÇ…
aˆÛ
L‰a†−üa
pbuŠ«
wöbnã
ñõaŠÓ


N χ 2
ë
F
‰bjna
âa†‚n5a

< <Eviews<…^fj}]<Ý]‚~j‰]<I_MISIP

imports_function
òÛ…bȽa
|nÏaë
table03_1
Ñܽa
|nÏa

View/Coefficient Test/Wald Coefficient
Šßþa
_aë


Restriction
 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٩٠

ÝØ‘
óÜÇ
Ýîİn½a
¿
H 0 : β 2 = 0
òî5b5þa
òÐÛa
kn×a

òàÜȽa
µg
’îÛ
C(K)
ÝØ’Ûa
Eviews
ↂníë
C(2)=0

ky
LNNN
LC(3)
ë
C(2)
ë
C(1)
pbàÜȽa
kmŠmë
L β K

kîm_Ûa
kyë
Equation Estimation
¿
…†Ba
kîm_Ûa


Z‰a†−üa
pbuŠ«
êŠèÄm
ðˆÛa

٩١ ‫ | ذج ا
ار اد‬٤
‫ا‬

Zêbã…c
pbuŠ‚½a
ŠèÄn5
OK
ŠÔãc

ZïÜí
bß
òÄyýß
ÙîÜÇë

t
‰bjna
LWald test
†Ûaë
‰bjnbi
‰bjnüa
aˆç
óàí
M
Q


N‰bjnüa
aˆç
òÔjİi
òÔÜÈnß
‰a†−üa
pbàÜȽ
F
‰bjnaë

ÝÐ5c
¿
Normalized Restriction (=0)
òîÈîjİÛa
Š‘
M
R

aˆÛ
Lòî5b5þa
òÐÛa
áîÄäm
ñ…bÇg
µg
’í
Þ놦a

æhÏ
Þbr½a
aˆç
¿
LŠÐ•
ìç
H 0
¿
†îÔÜÛ
å¹þa
kãb¦a

“Û
å¹þa
kãb¦a
æþ
ð‰ëŠ™
Ë
áîÄänÛa
ñ…bÇg


NŠÐ•
ìç
H 0 : β 2 = 0

Š’Û
std. Err.
ð‰bîȽa
ÒaŠ−üaë
value
òàîÔÛa
’m
M
S

ñ‰†Ô½a
òàîÔÛa
æc
µg
Normalized Restriction
òîÈîjİÛa

êˆç
¿
Lbh
ð‰bîȽa
ÒaŠ−üaë
H 0
“Û
Šíþa
kãbvÜÛ
ïç


N se(b2 ) = 0.868227
ë
b2 = 0.050290
òÛb§a
 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٩٢

F = χ 2 = 298.06
bn jíŠÔm
ðëbm
òiìBa
χ 2
ë
F
òàîÓ
M
T

H 0 (J = 1)
¿
†yaë
†îÓ
…ìuìÛ
æýqbànß
bàçë


NòÐÛa
êˆç
‰bjnü
t
òàîÔÛa
ÉiŠß
ðëbmë
2 2
 b 

 2  = 
0.050290 

 = 298.06
 se (b )
2   0 . 868227 

‰bjnü
1
ë
F
‰bjnü
(1, 28)
ïç
(df )
ò튧a
pbu‰…
M
U
2


N χ

ïç
åí‰bjnüa
åß
ÝØÛ
p-values
òîÛbànyüa
áîÔÛa
M
V

pbíìnß
Éîº
†äÇ
H 0 : β 2 = 0
œÏŠä5
aˆÛ
P~PPPP


Nñ‚nȽa
òíìäȽa
F<íÇé‘<Ý]‚~j‰]<IhMISIP

SSE R
áîÓ
òÏŠÈß
µg
xbn−
F
òÌî•
âa†‚n5bi
‰bjnüa
õaŠu⁄

åß
SSEU = 6795769.
òàîÔÛa
ñõaŠÓ
Éîİnãë
SSEU
ë


N‰a†−üa
pbuŠ«

‰b–na
ïçë
@ssr
òàîÔÛa
Eviews
挱
Ší†ÔnÛa
õaŠug
†Èi

“Û
SSR
ↂní
—äÛa
æc
b¶ë
L"Sum squared residual"

ð…ûí
†Ó
Šßþa
aˆç
æhÏ
L"regression sum of squares"


ZEviews
Šßc
âa†‚n5a
Éîİnãë
Lbä×bi‰g
µg
Scalar sse_u=@ssr
٩٣ ‫ | ذج ا
ار اد‬٤
‫ا‬

¢ŠÐÛa
aˆç
æc
‰bjnÇa
óÜÇ
x‡ìàäÛa
‰†Ôã
SSE R
…b¯⁄

ZïÜí
bà×
x‡ìàäÛa
æìØíë
L|îz•
ìç
H 0 : β 2 = 0
M = β1 + β 3 RER + e

†uë
x‡ìàäÛa
aˆç
Ší†ÔnÛ
Eviews
ↂn5a

N‰a†−üa
pbuŠ«
åß
bèmõaŠÓ
åع
zÛa
SSE R = 79137542

ZïÛbnÛa
Eviews
Šßc
ↂnã
òàîÔÛa
êˆç
å팂nÛ
Scalar sse_r = @ssr


Zïç
òiìÜݽa
F
òàîÓ
æhÏ
aˆÛ
Scalar f_val = (sse_r - sse_u)/ (sse_u/(31-3))


ZïÜí
bà×
òiìBa
òàîÔÛa
ŠèÄm

LòuŠ§a
òàîÔÛa
ëc
p-value
òàîÓ
‰bjnüa
aˆh
xbn−
aˆÛ

Éí‹ìm
òÛa†Û
Eviews
Šßaëc
âa†‚n5bi
bèîÜÇ
Þì–§a
Éîİnãë


ZïÜí
bà×
p
òàîÔÛë
F
pbäî÷ß
òÛa…ë
F
Scalar pp = 1-@cfdist(f_val, 1, 28)

ZòuŠ§a
òàîÔÛa
óÜÇ
Þì–zÜÛ

Scalar fc = @qfdist(0.95, 1, 28)

 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٩٤

ðëbm
òuŠ§a
òàîÔÛa
æhÏ
ÙÛˆ×
L H 0
œÏ‰
µg
ð…ûí
aˆçë

L FC = 4.19597 = tC2 = (2.04841)2
Zt
“Û
òuŠ§a
òàîÔÛa
ÉiŠß

æc
sîy
LF
òàîÓ
€Ðã
ïç
χ 2
òàîÓ
_ χ 2
‰bjna
åÇ
a‡bß

òàîÔÛaë
p
òàîÓ
óÜÇ
Þì–§a
Éîİnãë
χ 2 = 298.0633


χ 2
pbäî÷ß
òÛa…ë
χ 2
Éí‹ìnÛ
Eviews
Šßaëc
âa†‚n5bi
òuŠ§a

Scalar chi_pee = 1- @cchisq(f_val,1)

Scalar chic = @qchisq(0.95, 1)

òvînã
æc
üg
LòÐÜn«
χ 2
ë
F
‰bjnü
p-values
áîÓ
æc
Åyü


NbèÐã
ïç
‰bjnüa

< <tƒçÛßÖ]<Víèçßù]<…^fj}]<INISIP

pbuŠ«
¿
ñbİÈß
ïç
x‡ìàäÛa
òíìäÈß
‰bjnü
F
‰bjna
òàîÓ

‰bjnüa
aˆh
òÐÛa
æìØm
…an5üa
òÛa…
ïÐÏ
L‰†Ô½a
‰a†−üa


ZïÜí
bà×

H 0 : β2 = 0 and β 3 = 0

H1 : β 2 ≠ 0 and / or β 3 ≠ 0

bàç
Håí†îÓI
´–Š‘
…ìuìÛ
naŠÄã
ò×_’ß
òî5b5þa
òÐÛa
æg

ïç
H0
æc
†îÔ½a
x‡ìàäÛa
¢_Ðíë
β 3 = 0
ë
β 2 = 0


ZòÛ…bȽa
æìØm
aˆÛ
Lòzîz•

M = β1 + e
٩٥ ‫ | ذج ا
ار اد‬٤
‫ا‬

aˆç
òíìäÈß
‰bjnaë
LòíÐm
paÌnß
åàšní
ü
x‡ìàäÛa
aˆç

Ìn½a
óÜÇ
Šqûm
òíÐm
paÌnß
ðc
‰bjna
Ýqb¹
x‡ìàäÛa

†îÔ½a
Ë
x‡ìàäÜÛ
õbİþa
pbÈiŠß
Êìà©
æìØíë
LÉibnÛa

Êìà©
ðëbí
N SSEU = 79137542
ÕibÛa
¿
ìç
bà×
éÐã

pbÏaŠ−üa
pbÈiŠß
Êìà©
†îÔ½a
x‡ìàäÜÛ
õbİþa
pbÈiŠß

pbÈiŠ½a
Êìàvà×
ÒŠÈí
ÙÛˆ×
Lbèİ5ë
Þìy
pa…‰ìnàÜÛ

pbÈiŠ½a
pa‰Č†Ôß
æþ
òîÓbi
òvînäÛa
êˆç
L (TSS )
òîÜØÛa

æc
Åyü
Lpa…‰ìn½a
òäîÇ
Á5ë
ïç
β1
“Û
ñ†îÔ½a
ôŠÌ–Ûa


ZïÜí
bà×
ñbİÈß
y
òÜÜÜÛ
(TSS )

TSS = ∑ ( yi − y ) = ∑ yi2 − N y 2
2

ë
@mean( ⋅ )
ïç
∑ y
ë
y
“Û

2
i EViews
Þaë…

æìØmë
LpbßìÜȽa
êˆç
âa†‚n5bi
LïÛaìnÛa
óÜÇ
@sumsq( ⋅ )


ZïÜí
bà×
òiìÜݽa
p
òàîÓë
F
òàîÓ
lb§
EViews
Šßaëc
Scalar tss=@sumsq(M)-31*(@mean(M))^2
Scalar f_model=((tss-sse_u)/2)/(sse_u/(31-3))
Scalar p_model=1-@cfdist(f_model,2,28)


Zwnäm
zÛa

‰a†−a
pbuŠ«
¿
bn îöbÔÜm
p
òàîÓë
F
òàîÓ
ŠèÄm
imports_function
 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٩٦

< <ĉç¹]<tƒçÛßÖ]<…^fj}]<ITIP
< <tƒçÛßÖ]<†è‚Ïi<IMITIP

ïÔîÔ§a
ÒŠ–Ûa
ŠÈ5
ÉiŠß
éäîàšni
x‡ìàäÛa
Éî5ìm
bääع

†í†¦a
x‡ìàäÛa
|j–í
ÙÛˆië
LòíÐnÛa
paÌn½a
†yc
|j–îÛ


ZïÛbnÛa
ìzäÛa
óÜÇ

M = β1 + β2 GDP + β3 RER + β 4 (RER )2 + e

‰bn®
áq
Object/New Object
‰bn‚ä5
x‡ìàäÛa
aˆç
Ší†ÔnÛ

òÛ…bȽa
êˆç
óàãë
Type of Object
ò‘b‘
åß
Equation


Name of Oject
òãb
¿
Eqn_4_1

٩٧ ‫ | ذج ا
ار اد‬٤
‫ا‬

Equation
¿
òîäߌÛa
Ý5ýÛa
õbœc
݆ä5

†§a
éÈjní
Lnüëc
M
ÉibnÛa
Ìn½a
knØã
sîy
Specification

zÛa
RER2
ë
RER
ë
GDP
òíÐnÛa
paÌn½a
áq
C
oibrÛa

bà×
ñ†í†u
òÜÜ×
ôŠc
òÔíŠİi
éÏŠÈã
æc
ëc
RER^2
knØm


ZïÜí
Series RER2=RER^2


NòíÐnÛa
paÌn½a
†yd×
RER2
Ìn½a
݆ãë

Equation
òÛ…bȽa
…a†Çg
¿
ìç
bà×
ïÔi
Ší†ÔnÛa
lìÜ5cë

ôŠÌ–Ûa
pbÈiŠ½a
Method
òÔ튖
âa†‚n5bi
òÔibÛa
Setting

QYWV
paìäÜÛ
ïç
Sample
òäîÈÛaë
Least Squares


RPPW

Nbç‚n®
áq
wöbnäÛa
ŠèÄm
ïÜí
bàîÏë
 ‫ | ذج ا
ار اد‬٤
‫ا‬ ٩٨

< <°jÛ×ÃÚæ<íÒ01Ú< H 0 <VtƒçÛßÖ]<…^fj}]<INITIP

ÝØ‘
óÜÇ
òÛ…bȽa
¿
´mŠß
ŠèÃ
ïÔîÔ§a
ÒŠ–Ûa
ŠÈ5
æc
b¶

ïÔîÔ§a
ÒŠ–Ûa
ŠÈ5
æb×
a‡g
bàîÏ
‰bjna
ánî5
RER2
ë
RER

òî5b5þa
òÐÛa
‚n‚ä5
aˆÛ
_ü
âc
pa…‰ìn½a
óÜÇ
qdm
éÛ

òÜí†jÛa
òÐÛa
ÝibÔß
β 4 = 0
ë
H 0 : β3 = 0
ædi
òÜöbÔÛa

òî5b5þa
òÐÛa
óàmë
[ β 4 ≠ 0
ë
H 1 : β 3 ≠ 0
ædi
òÜöbÔÛa

ëc
´–Š‘
ðìn¤
bèãþ
joint
ò×_’½a
òî5b5þa
òÐÛbi

òÛ…bȽa
|nÏa
EViews
¿
‰bjnüa
aˆç
õaŠu⁄ë
Låí†îÓ
View/Coefficient Test/Wald
_aë
Eqn_4_1
Coefficient Restrictions

٩٩ ‫ | ذج ا
ار اد‬٤
‫ا‬

ŠÔãaë
C(3)=0, C(4)=0
Z´îÛbnÛa
´–Š’Ûa
Ýîİn½a
¿
kn×c

OK

ZòîÛbnÛa
pbßìÜȽa
êýÇc
wöbnäÛa
åàšnm

¿
Normalized Restriction (=0)
òîÈîjİÛa
Š‘
’í
M
Q

òî5b5þa
òÐÛa
¿
Håí†îÔÛaI
´–Š’Ûa
µg
ÝÐ5þa
õŒ¦a

ü
Þbr½a
aˆç
¿ë
LŠÐ•
ðëbí
å¹þa
kãb¦a
¿
bèjîmŠmë

ŠÐ•
ðëbí
å¹þa
kãb¦a
æþ
kîm_ÜÛ
ñ‰ëŠ™
†uìí


β 4
ë
β 3
ìç
Šíþa
kãb¦aë
 ‫ | ذج ا
ار اد‬٤
‫ ا‬١٠٠

Normalized Restriction
¿
Std. Err.
ë
Value
’m
M
R

…ìîÔÛa
kîmŠm
ky
Šíþa
kãb¦a
¿
ñ‰†Ô½a
áîÔÛa
µg

ë
b3 = 498.9292
Zïç
áîÔÛaë
Lð‰bîȽa
bèÏaŠ−aë

ë
se(b3 ) = 928.2649
ð‰bîÈß
ÒaŠ−bi
b4 = -47.03175



se(b4 ) = 206.4187

ë
F = 1.850128
ïç
H 0
‰bjnü
òiìBa
χ 2
ë
F
òàîÓ
M
S


Nåí†îÓ
†uìí
éãþ
χ 2 = 2 × F
ëc
χ 2 = 3.700255

χ 2
‰bjnüë
(2, 27 )
ïç
F
‰bjnü
df
ò튧a
pbu‰…
M
T

2
ïç

ë
0.1766
ïç
χ 2
ë
F
‰bjnü
p
òîÛbànyüa
áîÔÛa
M

U

ë
H 0 : β 3 = 0
òÐÛa
ÝjÔä5
aˆÛ
LïÛaìnÛa
óÜÇ
0.1572


NP~PU
òíìäÈß
ôìnß
†äÇ
β 4 = 0
< <½^fi…÷]<íÊçË’Ú<IUIP

òßbç
ña…c
ïç
òíÐnÛa
paÌn½a
´i
pb–bjm‰üa
òÏìЖß

œÈi
…bÈjn5a
ëc
xa‰…g
†äÇ
wöbnäÛa
òî5by
ô†ß
áîîÔnÛ

óÜÇ
Þì–zÜÛ
NÕîÓ…
Ë
Ší†ÔnÛ
òÜànBa
lbj5þaë
paÌn½a

òÛ…bȽa
¿
òu‰†½a
paÌnàÜÛ
Âbjm‰üa
òÏìЖß

Þý
åß
c†jã
æc
Ltable04_1
Ñܽa
¿
imports_function
NpaÌn½a
ÙÜm
óÜÇ
ðìn¤
òÇìà©
õb’ãg

µg
kç‡a
òÇìà«a
¿
paÌnàÜÛ
Âbjm‰üa
òÏìЖß
¢ŠÈÛ

View/Covariance Analysis
١٠١ ‫ | ذج ا
ار اد‬٤
‫ا‬

…†Ç
†vn5
Covariance Analysis
åíbjnÛa
Ýîܤ
ÉiŠß
¿

óÜÇ
ÁÔÏ
Œ×_î5
bn îÛby
bäßbànça
æc
üg
Lpa‰bî¨a
åß
j×
Single
†yaë
Þë†u
¿
¢ŠÈí
ðˆÛa
Correlation
Âbjm‰üa

òäîÈÛ
Ordinary
bn í…bÇ
Method
lìÜ5þa
æìØî5ë
Ntable


NBalance sample
òã‹aìnß

 ‫ | ذج ا
ار اد‬٤
‫ ا‬١٠٢

ZïÛbnÛa
Þ놦a
wnäí
OK
ŠÔãc

RESET<…^fj}]<IMLIP

áîÜÈmë
xëŒÛa
áîÜÈm
ky
ñŠ5þa
݆i
ïÛbnÛa
Þbr½a
ÕÜÈní

Ëë
òÏëˆBa
paÌn½a
Šqc
¡Š’ä5ë
ÞbЖþa
…†Çë
òuëŒÛa

—öb–¨a
òÛ…bȽa
Ší†Ôm
wöbnã
—‚Üm
NÝîÜznÛbi
òÜ–Ûa
pa‡

RESET
‰bjna
‚nÈíë
Âbjm‰üa
òÏìЖß
bèîÏ
b¶
òîöb–y⁄a

æbîjÛ
áèß
Âbjm‰üa
òÏìЖß
lbyë
Lx‡bàäÛa
´i
ŒîànÜÛ
ña…d×

Âbjm‰üa
åÇ
Ñ’ØÛa
¿
†îÐßë
òÜàè½aë
òÏëˆBa
paÌn½a
Šqc

òîÐî×
óÜÇ
bäç
Œ×Šä5
NpaÌn½a
´i
Collinearity
ïݨa


ZïÛbnÛa
x‡ìàäÜÛ
RESET
‰bjna
òîöb–yg
òàîÓ
lby

Famin = β1 + β 2 H edu + β 3Wedu + β 4 K L 6 + e

ïàîÜÈnÛa
ôìn½a
H edu
ë
LñŠ5þa
Ý…
Famin
æc
sîy

ÞbЖþa
…†Ç
K L 6
ë
òuëŒÜÛ
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Famin = β1 + β 2 H edu + β 3Wedu + β 4 K L 6 + γ 1 Fˆamin 2 + e

Famin = β1 + β 2 H edu + β 3Wedu + β 4 K L 6 + γ 1 Fˆ amin + γ 2 Fˆamin + e
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Eqn_4_2
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µg
kç‡a
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p-value

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pbÈÓìnÛa
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µg
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View/Coefficient Tests/Wald µg
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wöbnäÛa
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View/Coefficient Tests/Wald µg
kç‡a
wöbnäÛa
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 ‫ | ا ت  ا‬٥
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Z‰ìuþa

wage = β1 + β2 educ + β3 exper + β4 exper 2 + e

ë
β 3 > 0
æìØm
æa
ÉÓìnã
U
ÝØ’Ûa
lìÜÔß
óÜÇ
Þì–zÜÛ

‰†Óë
wage_5.wf1
ÑÜß
|nÏa
ÙÛ‡
óÜÇ
Þbrà×ë
β 4 < 0


ZïÛbnÛa
Šßþa
Ý…cë
ïÈîiQÛa
ÝØ’Ûbi
‰ìuþa
òÛ…bÈß

LS wage c educ exper exper^2

ZïÛbnÛa
Ší†ÔnÛa
µa
ð…ûí
aˆçë
Dependent Variable: WAGE
Method: Least Squares
Date: 01/27/10 Time: 19:31
Sample: 1 1000
Included observations: 1000
Variable Coefficient Std. Error t-Statistic Prob.
C -9.8177 1.054964 -9.3062 0.0000
EDUC 1.210072 0.070238 17.22821 0.0000
EXPER 0.340949 0.051431 6.629208 0.0000
EXPER^2 -0.00509 0.001198 -4.25151 0.0000
R-squared 0.270934 Mean dependent var 10.21302
Adjusted R-squared 0.268738 S.D. dependent var 6.246641
S.E. of regression 5.341743 Akaike info criterion 6.192973
Sum squared resid 28420.08 Schwarz criterion 6.212604
Log likelihood -3092.49 Hannan-Quinn criter. 6.200434
F-statistic 123.3772 Durbin-Watson stat 0.491111
Prob(F-statistic) 0.000000
١١١ ‫ | ا ت  ا‬٥
‫ا‬

L†è¦a
œÈi
kÜİní
pa5ÌnàÜÛ
ïİ
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x‡ì¸
ÝîØ’nÛ

ÝßbȽa
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5qdm
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æc
ÉÓìníë

Šuc
ñ…bí‹
µg
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br
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Éß
‰ìuþa
óÜÇ
ñX‚ÜÛ
ð†§a
Šqþa
æcë


Zìç
ònibq
ôŠþa


∂E (wage) = β3 + 2β4 Exper
∂exper

ñX¨a
paìä-
Ýrß
ð…ŠÐÛa
ôìne½a
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ð†§a
Šqþa
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aˆç
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Lòä-
QX
ðëbem
wÛa

Šßþa
Qg
wage_quadratic
‰a†−⁄a
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EViews


View/Coefficient Test/Wald Coefficient Restriction

 ‫ | ا ت  ا‬٥
‫ ا‬١١٢

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Šqþa
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¿
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†îÔÛa
æg
L C (4) = b4
ë
C (3) = b3
æhÏ
aˆÛ

ŠÐ•
ðëbeí
ðˆÛa
ð†§a
Šqþa
ìç
êbäÜ…c
ðˆÛa
Restriction

ð†§a
Šqþa
òÏ
Xn±
ü
Òì-
Šßþa
aˆç
LêýÇa
ÝØ’Ûa
¿

ke°ë
ð†§a
Šqþa
ke°
b¸g
LÁÔÏ
ŠÐ•
ðëbeí
ðˆÛa


NÙÛˆ×
ð†§a
ŠqÿÛ
ð‰bîȽa
ÒaŠ−üa

١١٣ ‫ | ا ت  ا‬٥
‫ا‬

(wage, exper,
pa5Ìn½a
êˆr
ïЕìÛa
õb–yüa
lbe§

View/Descriptive
Qa
áq
bèîÜÇ
5‘bnÛbi
áÓ
educ)


Stats/Common Sample
EDUC EXPER WAGE
Mean 13.28500 18.78000 10.21302
Median 13.0000 18.00000 8.790000
Maximum 18.0000 52.00000 60.19000
Minimum 1.00000 0.000000 2.030000
Std. Dev. 2.468171 11.31882 6.246641

ñX¨a
ðëbem
b߆äÇ
bèîÜÇ
Ý–−
‰ìuc
ó–Óc
æìØm

Qaë
wage_quadratic
|nÏa
L − β 3 2β 4


View/Coefficient Test/Wald Coefficient Restriction

òä-
SS~TW
ñX
†äÇ
éîÜÇ
Ý–−
Šuc
ó–Óc
æìØí
ÙÛˆië


NŠí†ÔnÛa
ñQÏ
lbey
Éîİneã
ð‰bîȽa
ÒaŠ−üa
âa†‚n-bië

Normalized
Restriction (= 0) Value Std. Err.
-1 / 2 * C(3) / C(4) 33.47192 3.393876
 ‫ | ا ت  ا‬٥
‫ ا‬١١٤

< <Dummy Variable<íéÛâçÖ]<l]Çj¹]<INIQ

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binary
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Large
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ZÝàÈÛa
aˆç
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wÛa
pa†çb’½a
µa
ŠÄãc

obs SQM LARGE

1 120.0000 0.000000
2 140.0000 0.000000
3 180.0000 1.000000
4 100.0000 0.000000
5 200.0000 1.000000
١١٥ ‫ | ا ت  ا‬٥
‫ا‬

< <àè†ÛjŠÚ<àèÇjÚ<°e<ØÂ^ËjÖ]<IOIQ

ôŠÌ–Ûa
pbÈiŠ½a
‰a†−a
‰†Óë
Pizza.wf1
Ñܽa
|nÏa


income
ë
age
óÜÇ
Pizza
5ÌnàÜÛ
Ls pizza c age income

income
ë
age
ÝÇbÐm
Ñîšã
Ls pizza c age income age*income

Dependent Variable: PIZZA

Method: Least Squares
Date: 01/27/10 Time: 22:06
Sample: 1 40
Included observations: 40
Variable Coefficient Std. Error t-Statistic Prob.
C 161.4654 120.6634 1.338147 0.1892
AGE -2.97742 3.352101 -0.88823 0.3803
INCOME 0.009074 0.00367 2.472717 0.0183
AGE*INCOME -0.00016 8.67E-05 -1.84715 0.0730
R-squared 0.387319 Mean dependent var 191.55
Adjusted R-squared 0.336262 S.D. dependent var 155.8806
S.E. of regression 126.9961 Akaike info criterion 12.62083
Sum squared resid 580608.7 Schwarz criterion 12.78972
Log likelihood -248.417 Hannan-Quinn criter. 12.68189
F-statistic 7.586038 Durbin-Watson stat 0.932029
Prob(F-statistic) 0.000468

Zìç
age
ŠàÈÜÛ
ð†§a
Šqþa

∂E (Pizza) = β 2 + β 4 Income
∂Age
 ‫ | ا ت  ا‬٥
‫ ا‬١١٦

L Income = 25000
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æìØí
b߆äÇ
aˆç
ð†§a
Šqþa
áîîÔnÛ

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View/Representation
‰a†−üa
ñˆÏbã
åß
Qa
Estimation Equation:
=========================
PIZZA = C(1) + C(2)*AGE + C(3)*INCOME + C(4)*AGE*INCOME

View/Coefficient Test/Wald Coefficient
Qa

Restriction

òÐÛa
òÜØ’m
ðˆÛa
ð†§a
Šqþa
Wald
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ø’äíë
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ání‰bËìÜÛa
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b牆Ôíë
ïÈîjİÛa
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Hcps_small
Ñܽa
Ls log(wage) c educ female
١١٧ ‫ | ا ت  ا‬٥
‫ا‬

ZïÜí
bà×
òvînäÛa
æìØnÏ
Dependent Variable: LOG(WAGE)
Method: Least Squares
Date: 01/28/10 Time: 06:36
Sample: 1 1000
Included observations: 1000
Variable Coefficient Std. Error t-Statistic Prob.
C 0.929036 0.083748 11.09319 0.0000
EDUC 0.102566 0.006075 16.8824 0.0000
FEMALE -0.2526 0.029977 -8.42658 0.0000
R-squared 0.266837 Mean dependent var 2.166837
Adjusted R-squared 0.265366 S.D. dependent var 0.552806
S.E. of regression 0.473814 Akaike info criterion 1.346993
Sum squared resid 223.8265 Schwarz criterion 1.361716
Log likelihood -670.497 Hannan-Quinn criter. 1.352589
F-statistic 181.4308 Durbin-Watson stat 0.524339
Prob(F-statistic) 0

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View/Coefficient Test/Wald Coefficient Restriction

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exp
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exponential
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 ‫ | ا ت  ا‬٥
‫ ا‬١١٨

Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

100 * (-1 + EXP(C(3))) -22.3224 2.328539

Delta method computed using analytic derivatives

ke°ë
٪RR~SRM
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ïÛbnÛa
Þbr½a


ln(wage) = β1 + β2 educ + β3 exper + γ (educ × exp er )


ZïÛbnÛa
Šßþa
knØã
x‡ìàäÛa
aˆç
Ší†ÔnÛ
Ls log(wage) c educ exper educ*exper

bà×
áîÜÈnÛa
õbÔi
Éß
òîÏb™þa
ñX¨a
òäeÛ
*íŠÔnÛa
Šqþa
æìØí


Zìç


100 (β 3 + γ educ) %
View/Coefficient Test/Wald
Qaë
wèä½a
<Ðã
ↂn-a
Coefficient Restriction

٪P~YU
ïç
òîÏb™⁄a
ñX¨a
òä-
òÈÐäß
Ší†Ôm
òvînã
5’më
Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.

100 * (C(3) + 16*C(4)) 0.951838 0.215985

Restrictions are linear in coefficients.



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bèvöbnã
åß
†îÐnã
Òìë

â†Ç
òî•b¢
òî•b¨a
êˆç
óàmë
[pa†çb’àÜÛ
ŠČîÌní
ðˆÛaë

ïÓaìi
Cn‚ä
aˆ
LHeteroskedasticity
åíbjnÛa
pbjq

†íaŒm
Éß
ñ†íaŒnß
oãb×
a‡g
bàîÏ
†×dnÜÛ
ôŠÌ–Ûa
pbÈiŠ½a

dݨa
åíbjm
ædi
ÞìÔã
bç†äÇ
ñ†íaŒnß
oãb×
a‡hÏ
_ü
âc
Ý+†Ûa


NòØÜ’½a
êˆç
…ìuë
†×ûäÏ
Ý+†Ûa
Éß
…a…Œí


 ‫ |  م
ت ا‬٦
‫ ا‬١٢٠

< <l]‚â^¹]<܉…<IMIMIR

LáŠÛa
bèäß
ôŠÌ–Ûa
pbÈiŠ½a
ïÓaìi
‰bjn+ü
ÖŠY
ñ†Ç
Úbäç
View/Actual,
[+a
˜b¨a
Úýènüa
òÛ…bÈß
Ší†Ôm
†ÈjÏ


ZòîÛbnÛa
pa‰bî¨a
bèîÏ
ò‘b‘
ŠèÄn
Fitted, Residual

Z`Èm
òîbþa
pa‰bî¨a
êˆçë

Actual = Consumption = C

Fitted = Cˆ = b + b GDP
1 2

resid = eˆ = C − Cˆ


ê σ̂
áîÓ
á‰
ìç
Standardized Residual Graph
bßc

ÒaŠ−⁄a
óÜÇ
bènàÔi
ÙÛ‡ë
òí‰bîÈß
ïÓaìjÛa
æìØm
b߆äÇ
ðc


Ndݨa
†§
‰†Ô½a
ð‰bîȽa

Þbr½a
Ýîj
óÜÈÏ
Lñ†çb’½a
áÓ‰
ÝibÔß
òîäߌÛa
ÝýÛa
áŠã


ZïÜí
bà×
Residual Graph
[+g

١٢١ ‫ |  م
ت ا‬٦
‫ا‬

âbÓ‰a
p…a‹
bàÜ×
ñ…bíŒÛa
µg
Ýî·
bèãc
ïÓaìjÛa
ÝØ‘
ŠèÄí

ky
ojm‰
pa†çb’½a
æa
ÙÛ‡
¿
kjÛaë
Lpa†çb’½a

CnÈíë
LÝ+†Ûa
ñ…bí‹
Éß
…a…Œm
ïÓaìjÛa
ë
LÝ+†Ûa
áîÓ
¿
ñ…bíŒÛa

bèjzí
ü
lÛa
pa†çb’½a
åß
mðc
‰bjn+ü
nbàèß
ïÓaìjÛa
á‰

oË
pa†çb’½a
åß
ðc
áîîÔm
¿
ñ†ÇbàÜÛ
‰†Ô½a
x‡ìàäÛa

ð‰bîÈß
ÒaŠ−a
†äÇ
ÂbÔäÛa
òîİÔäÛa
Âìݨa
áŠmë
Lòîu‡ìàäÛa


NŠ–äÈÜÛ
ÝibÔ½a
kãb¦a
ÙÛˆ×ë
(σˆ = 269.6063)
†yaë

< <íèŠËjÖ]<l]Çj¹]<܉…<INIMIR

Residuals
ïÓaìjÛa
òîàni
c†jä
Ý+†Ûa
ÝibÔß
ïÓaìjÛa
áŠÛ


ZïÜí
bà×
Fitted values
ñ‰†Ô½a
áîÔÛaë
Series ehat=resid
Series c_hat=pc-ehat

[+g
áq
LŠßaëþa
Šİ
Þý+
åß
Šßaëþa
ñˆç
ˆîÐäm
åع
ë

ÝØ’Ûa
ïuë
Graph
[+gë
Object/New object



ehat_on_GDP
 ‫ |  م
ت ا‬٦
‫ ا‬١٢٢

LÝØ’Ûa
¿
b b+…a
†íŠm
lÛa
òîäߌÛa
ÝýÛa
…†yë
OK
ŠÔãc


N`îÛa
‰ìva
nüëc
ñ‰bn¥
ðˆÛa
oÌn½a
Ýr¹
ñ…bÇë

NÝàÈÛa
ÑÜß
¿
ÝØ’Ûa
å팥
ánî
OK
ŠÔãc

áq
åßë
Options
[+a
áq
|nÐî
Ò† a
aˆç
óÜÇ
´mŠÔã
ŠÔãa

[+a
áq
NOK
ŠÔãaë
Apply
ŠÔãa
áq
Type/Scatter
[+a

ÝØ’Ûa
¿
bà×
ŠÐ–Ûa
†äÇ
ïÔÏþa
Á¨a
†í†znÛ
Line/Shade


Zêbã…a
١٢٣ ‫ |  م
ت ا‬٦
‫ا‬

ïÓaìjÛa
æc
òÄyýß
Éß
LlìÜݽa
ÝØ’Ûa
óÜÇ
Ý–¤
OK
ŠÔãc

â†Ç
µg
o’í
aˆçë
C×a
Ý+†Ûa
æìØí
b߆äÇ
bènßb‚™
…a…Œm


NåíbjnÛa
pbjq

 ‫ |  م
ت ا‬٦
‫ ا‬١٢٤

< <Heteroskedasticity-consistent standard error<…^fj}]<INIR

‰bjn+aë
ôŠÌ–Ûa
pbÈiŠ½a
pa[Ï
Ší†Ôm
|îz–m
pa‰bî+
†ya

â†Ç
~ŠÏ
o¤
ñoj×
pbàçbß
b
†uìí
ü
lÛa
pbÐÛa
White's heteroskedasticity-‰bjn+a
ìç
åíbjnÛa
pbjq

òí‰bîȽa
pbÏaŠ−üa
wnämë
Lconsistent standard error

Options
‰bî+
[+a
áq
LŠí†ÔnÛa
pa‰bî+
‰bîn+bi
EViews
¿


ZEquation Estimation
ÉiŠß
¿
…ìuì½a

heteroskedasticity-
[+a
áq
LS & TSLS Options
[+aë

ŠÔãa
áq
White
bèÈjmaë
consistent coefficient covariance


OK

١٢٥ ‫ |  م
ت ا‬٦
‫ا‬

bàç
Ú[’½a
åíbjnÛaë
ð‰bîȽa
ÒaŠ−üa
æc
wöbnäÛa
ÚC‚n

heteroskedasticity-consistent

Weighted<ívq†¹]<ï†Ç’Ö]<l^Ãe†¹]<IOIR

oibq
oË
ìç
‰a†−üa
dİ+
åíbjm
æc
~[Ðí

sîy
σ i2 = σ 2 xi
ÝØ‘
óÜÇ
æìØíë
heteroskedasticity

pýßbȽ
åíbjm
óã…a
æhÏ
Ñ•ìÛa
aˆç
ÝÃ
¿ë
L GDP = xi
æc

ôŠÌ–Ûa
pbÈiŠ½a
pa‰†Ôß
ïç
β2
ë
β1
ñ‹bzäß
oË
‰a†−a

òzuŠ½a
ôŠÌ–Ûa
pbÈiŠ½a
pa‰†Ô¶
‰†Ô½a
aˆç
ÒŠÈíë
LòààȽa

Ý×
æc
sîy
Weighted least squares estimator


Z‰a†Ô½bi
òzuŠß
ïç
ñ†çb’ß
1 1
=

xi GDPi

ôŠÌ–Ûa
pbÈiŠ½a
pa‰†Ôß
óÜÇ
Þì–zÜÛ
æbiìÜa
bàçë


NòÜíìİÛa
òÔíŠİÛaë
ñŠ–n‚½a
òÔíŠİÛa
ZòzuŠ½a

솒j~¹]<íÏè†ŞÖ]<<IMIOIR

Ší†ÔnÛ
Š+e
‰bî+
ïç
òzuŠ½a
ôŠÌ–Ûa
pbÈiŠ½a

ïç
òía†jÛa
òİÔã
æhÏ
ÙÛˆÛ
LEquation EstimationòÛ…bȽa


Zbàçë
LWhite
oíaìÛ
ð‰bîȽa
ÒaŠ−üa
¿
bà×
bèÐã
 ‫ |  م
ت ا‬٦
‫ ا‬١٢٦

LS&TSLS
åß
Weighted LS/TSLS
[+a
òÛb§a
êˆç
¿

ZòîÛbnÛa
ñ‰bjÈÛa
Weight
òãb+
¿
kn×aë
Options

¿
ïÈîi[Ûa
‰ˆ¦a
òÛa…
ïç
sqr
æc
sîy
1 sqr (GDP)


EViews

١٢٧ ‫ |  م
ت ا‬٦
‫ا‬

í×èçŞÖ]<íÏè†ŞÖ]<INIOIR

óÜÇ
bènàÔi
ÙÛ‡ë
paoÌn½a
Ý×
Þì−
òÔíŠİÛa
êˆç
¿

Éîİnmë
L|îuŠm
æë†i
ôŠÌ–Ûa
pbÈiŠ½a
Õjİã
áq
GDP

oÌnß
Ý×
òàÔi
ëc
ñ†í†u
paoÌnß
õb’ãbi
paoÌn½a
Ýíì¤

Ýý
õb’ãa
p[+a
a‡hÏ
LòÛ…bȽa
Ñî•ìm
†äÇ
GDP
óÜÇ


ZòîÛbnÛa
Šßaëþa
ↂna
ñ†í†u
series wt = 1/ sqr(GDP)
series ystar = pc*wt
series x1star = wt
series x2star = gdp*wt
 ‫ |  م
ت ا‬٦
‫ ا‬١٢٨

Equation
Öë†ä•
µg
ñ†í†¦a
ÝýÛa
Ý+…c

specification

òÔíŠİÛa
¿
bèÐã
ïç
ꉆԽa
wöbnäÛa
ë†jn
OK
ŠÔãa


NñŠ–n‚½a

Goldfeld- Quandt<kÞ]çÒI‚×éÊ‚Öçq<…^fj}]<IPIR

oãaì×M
†ÜîφÛìu
‰bjn+a
ↂnã
åíbjnÛa
pbjq
â†Ç
‰bjn+ü

ïç
oãaì×M
†ÜîφÛìu
‰bjn+a
òîöb–yaë
LåíbjnÛa
òÛa…
‰bjn+aë

æb×
a‡hÏ
Lpa†çb’½a
åß
´nîÇŠÏ
´näîÇ
åß
õbݨa
åíbjm
òjã

òîÇŠÏ
òäîÇ
‰a†−a
åÇ
æb£bäÛa
σˆ 22
ë
σ̂ 12
bàç
æaŠí†ÔnÛa
æaˆç

LïÛaìnÛa
óÜÇ
(N 2 − K 2 )
ë
(N1 − K1 )
bà
òíŠy
pbu‰†i


ZæhÏ
H 0 : σ 12 = σ 22
òîbüa
òÐÜÛ
σˆ 22
F= ~ F (N 2 −K2 , N1 − K1 )

σˆ 12
١٢٩ ‫ |  م
ت ا‬٦
‫ا‬

ôìnß
†äÇ
H 1 : σ 12 ≠ σ 22
òÜí†jÛa
òÐÛa
æìØm
b߆äÇ
ÙÛ‡ë

òuŠy
òàîÓë
´Üíˆi
‰bjn+a
âa†‚na
bßc
N٪U
òíìäÈß

†yaë
Ýíˆi
‰bjn+üaë
F (0.025, N − K , N − K )
ë
F (0.975, N − K , N − K )
2 2 1 1 2 2 1 1

òàîÔÛaë
H 1 : σ 22 > σ 12
òÜí†jÛa
òÐÜÛ
٪U
òíìäÈß
ôìnß
†äÇ

éãhÏ
H 1 : σ 22 < σ 12
òÜí†jÛa
òÐÜÛ
N F (0.95, N − K , N − K )
òuŠ§a
2 2 1 1

åع
ëc
L‰bjn+ýÛ
ò튧a
pbu‰…ë
âbÔ½aë
ÁjÛa
ூ
åع


F (0.05, N − K , N − K )
òuŠ§a
òàîÔÛa
âa†‚na
2 2 1 1

Õøãj‰÷]<íÖ]6<IMIP<IS

´nîÇŠÏ
´näîÇ
bäí†Û
†uìí
ü
éãhÏ
Úýènüa
òÛa…
Þbr½
òjäÛbi

pbjqü
Ú[’½a
åíbjnÜÛ
òjäÛbi
L σ 22
ë
σ 12
åíbjnÜÛ
´nÏŠÈß

åíbjn×
σ 12
ˆ+dã
òzîz•
H 1
æìØm
b߆äÇ
H 0
œÏ‰
ò•ŠÏ

æa
sîyë
Lñ†çb’ß
QU
Š+e
åíbjnÛ
σ 22
ë
ñ†çb’ß
QU
Þëþ

ïÜva
wmbäÛa
…a…Œí
b߆äÇ
…a…Œm
σ i2
æc
ïç
òÜí†jÛa
òÐÛa

¿
a†Çbí
bàèäØÛ
LòîÜÈÏ
pbäíbjm
bnîÛ
σ 22
ë
σ 12
ë
LïÛbºüa

áîÓ
ky
pa†çb’½a
kmŠã
bäÛbrß
ïÐÏ
L‰bjn+üa
paõaŠug

åß
ïãbrÛa
Ñ–äÛa
¿
Ý+†Ûa
áîÓ
æìØm
sîy
GDP
Ý+†Ûa

æhÏ
aˆÛ
LòäîÈÛa
åß
Þëþa
Ñ–äÛa
¿
lÛa
ÙÜm
åß
C×a
òäîÈÛa

Lòzîz•
H 1
æìØm
b߆äÇ
σ̂ 12
åß
C×c
æìØm
æþ
Ýî·
σˆ 22

pbãbîjÛa
oãb×
a‡g
bßc
Lòzîz•
H 0
æìØm
b߆äÇ
òèib’nß
bèäØÛ

bèjîmŠm
ñ…bÇbi
âìÔã
GDP
Ý+†Ûa
áîÓ
ñ…bí‹
ky
òjmŠß
oË


ZŠßþa
âa†‚nbi
sort GDP
 ‫ |  م
ت ا‬٦
‫ ا‬١٣٠

âa†‚nü
NGDP
ky
Ñܽa
¿
ÝýÛa
Éîº
Šßþa
kmŠí

bà×
bçŠí†ÔnÛ
Sample
òäîÈÛa
†îÔã
σ 12
Ší†ÔnÛ
ñ†çb’ß
QU
Þëc


Zêbã…c
ë†jm

S.E. of regression
òàîÓ
ÉîiŠm
åß
σˆ 12
òàîÓ
óÜÇ
Ý–−
sig1_sq
òîàãë
LŠí†ÔnÛa
wöbnã
åß

scalar sig1_sq=@se^2
Dependent Variable: PC
Method: Least Squares
Date: 01/30/10 Time: 20:44
Sample: 1976 1990 ñ†çb’ß
QU
Þëc σˆ 12 = (102.2961)2 = 10464.49
Included observations: 15
Variable Coefficient Std. Error t-Statistic Prob.
C 110.6419 70.55184 1.568236 0.1408
GDP 0.726664 0.039207 18.53393 0.0000
R-squared 0.963535 Mean dependent var 1323.153
Adjusted R-squared 0.96073 S.D. dependent var 516.2127
S.E. of regression 102.2961 Akaike info criterion 12.21719
Sum squared resid 136038.3 Schwarz criterion 12.31159
Log likelihood -89.6289 Hannan-Quinn criter. 12.21618
F-statistic 343.5065 Durbin-Watson stat 0.77362
Prob(F-statistic) 0.000000
١٣١ ‫ |  م
ت ا‬٦
‫ا‬

NòäîÈÛa
åß
ïãbrÛa
Ñ–äÜÛ
òÔibÛa
paìݨa
‡Ðã
Éjnã
Ýr½bi

Dependent Variable: PC
Method: Least Squares
Date: 01/30/10 Time: 21:12
Sample: 1992 2006 ñ†çb’ß
QU
Š+e σˆ 12 = (267.2432)2 = 71418.93
Included observations: 15
Variable Coefficient Std. Error t-Statistic Prob.
C -920.928 236.9946 -3.88586 0.0019
GDP 0.915311 0.036984 24.74882 0.0000
R-squared 0.979217 Mean dependent var 4690.3
Adjusted R-squared 0.977618 S.D. dependent var 1786.314
S.E. of regression 267.2432 Akaike info criterion 14.13776
Sum squared resid 928446.2 Schwarz criterion 14.23217
Log likelihood -104.033 Hannan-Quinn criter. 14.13676
F-statistic 612.5041 Durbin-Watson stat 1.642622
Prob(F-statistic) 0.000000

scalar sig2_sq = @se^2

òàîÓ
lby
pbjÜİnß
óÜÇ
Ý–−
´ÔibÛa
åíŠßþa
ˆîÐäm
†Èië


Zòã‰bÔàÜÛ
٪U
òíìäÈß
ôìnß
†äÇ
F
scalar f_val = sig2_sq/sig1_sq
scalar f_crit = @qfdist(0.95, 13, 13)
 ‫ |  م
ت ا‬٦
‫ ا‬١٣٢

Variance Function<àè^fjÖ]<íÖ]6<…^fj}]<IQIR

pbjq
â†Ç
‰bjn+ü
òÜí†jÛa
pa‰bjn+üa
åß
oj×
…†Ç
Úbäç


ZåíbjnÛa
òÛa…
Ší†Ôm
óÜÇ
na…bànÇa
åíbjnÛa
eˆ 2 = α 1 + α 2 z 2 + α 3 z 3 + ... + α S z S + ν

NNN
L z3
L z 2
ë
ôŠÌ–Ûa
pbÈiŠ½a
ïÓaìi
ÉiŠß
ïç
ê 2
æc
sîy

ñ‰†Ó
EViews
¿
†uìíë
LåíbjnÛa
òÛ…bÈß
pa‰†Ôß
ïç
z S
L

ôŠÌ–Ûa
pbÈiŠ½a
Ší†Ôm
|nÏa
Z‰bjn+üa
òîöb–ya
áîÓ
lb§
View/Residual Test/ Heteroshedasticity
[+aë
òÛ…bÈàÜÛ



Tests

Breusch-Pagan
‰bjn+a
Zbàç
åí‰bjn+a
‰bjnÇüa
´Èi
ˆ+dn


NWhite
‰bjn+aë
١٣٣ ‫ |  م
ت ا‬٦
‫ا‬

Breusch-Pagan
…^fj}]<IM<IQIR

‰bjn+a
åß
Breusch-Pagan
‰bjn+a
‰bîn+a
åع
"z-
‰bîn+ü
‰bî+
Ùí†Ûë
LHeteroshedasticity Tests

Ý+†î
EViews
æhÏ
õï‘
ðc
Cn¥
‹
a‡hÏ
variable"

GDP
Þb+…aë
‰a†−üa
òÛ…bÈß
Áìnß
¿
paoÌn½a
êˆç
nbîöbÔÜm


NòÔyýÛa
ñŠÔÐÛa
¿
White
‰bjn+a
µg
ð…ûí
GDP2
ë

 ‫ |  م
ت ا‬٦
‫ ا‬١٣٤

ïç
ÉîiŠm
ðb×
òîöb–ya
òàîÓ

ïç
p
òàîÓë
χ 2 = N × R 2 = 31× 0.169213 = 5.2456

L٪U
òíìäÈß
ôìnß
†äÇ
H 0
œÏ‰
µg
ð…ûm
0.0220


ZïÜí
bà×
åíŠ+Ła
åí‰bjn+üa
òîöb–ya
Ší†Ôm
áí
ÙÛˆ×ë
F=
(SST − SSE ) (S − 1)
SSE ( N − S )
SST − SSE
χ2 =

2σˆ e2
White<…^fj}]<<IN<IQIR

z-variables
Éß
Breusch-Pagan
‰bjn+a
ìç
White
‰bjn+a

æg
bàèÈYbÔm
wmbã
ÙÛˆ×ë
bèmbÈiŠßë
x-variables
Ýrß
ñ‰bn«

éua
x-variables
†yaë
oÌnß
ÁÔÏ
Úbäç
bäÛbrß
¿
L†uë

¿ë
GDP2
ë
GDP
bàç
z-variables
æhÏ
ïÛbnÛbië
x = GDP

ëc
òÛb§a
êˆç
Ýrß
¿
éãc
üg
Lbàèäîi
ÉYbÔm
†uìí
ü
òÛb§a
êˆç


Include White cross terms
óÜÇ
o‘dnÛbi
áÓ
bè߆Ç
١٣٥ ‫ |  م
ت ا‬٦
‫ا‬

òàîÓ
æhÏ
ÙÛˆië
LwöbnäÛa
ŠèÄn
OK
ŠÔãc
White
‰bîn+a
†Èi

ïç
ÉîiŠm
ðb×
òîöb–ya

ïç
P
òàîÓ
Ýr½bië
χ 2 = N × R 2 = 31× 0.169280 = 5.24768

ëc
L٪U
òíìäÈß
ôìnß
†äÇ
H 0
ÞìjÓ
µg
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0.0725


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series
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ehat = resid


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 ‫ | اذج اآ وار ط اا‬٧ 
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١٤٣ ‫ | اذج اآ وار ط اا‬٧ 
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ZïÜí
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òÄyýß
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AR(1)
áa
kãb 
ŠèÄí
ρˆ = 1.102648
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M
Q

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S.E. of regression
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R



σˆν = 0.012189
ð‰bîȽa
dİ‚ÜÛ
Dependent Variable: LOG(CPI)
Method: Least Squares
Date: 02/06/10 Time: 09:05
Sample (adjusted): 1999Q2 2008Q2










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Included observations: 37 after adjustments ïݨa
MË
‰†Ô½a
Ší†Ôm
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Convergence achieved after 7 iterations

Variable Coefficient Std. Error t-Statistic Prob.

C 4.558856 0.351815 12.95809 0.0000

LOG(M1) 0.004146 0.04824 0.085946 0.9320
AR(1) (ρ̂ ) 1.102648 0.029236 37.71503 0.0000

R-squared 0.985606 Mean dependent var 4.701671

Adjusted R-squared 0.984759 S.D. dependent var 0.098737
( )
S.E. of regression σˆν 0.012189 Akaike info criterion -5.89888
Sum squared resid 0.005052 Schwarz criterion -5.76827
Log likelihood 112.1293 Hannan-Quinn criter. -5.85283
F-statistic 1164.028 Durbin-Watson stat 1.794578
Prob(F-statistic) 0.000000
Inverted AR Roots 1.10
Estimated AR process is nonstationary
 ‫ | اذج اآ وار ط اا‬٧ 
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1999Q2 2008Q2

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Convergence achieved after 7 iterations

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١٤٧ ‫ | اذج اآ وار ط اا‬٧ 
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|™aë
ïma‡
Âbjm‰a
†uìí
ü
ðc
ŠÐ–Ûa
åÇ


N٪U
òíìäÈß
Lagrange multiplier (LM)<…^fj}]<INIP<IS

ìç
õbİ4ÿÛ
AR(1)
rÛ
Lagrange multiplier
‰bjn4a

åß
ðþ
ôŠÌ–Ûa
pbÈiŠ½a
Ší†Ôm
ìçë
L ρ̂
òÛü†Û
‰bjn4a


Z´nÛ…bȽa


ln(CPI t ) = β1 + β2 ln(M1t ) + ρeˆt −1 + ν t
 ‫ | اذج اآ وار ط اا‬٧ 
‫ ا‬١٥٠

eˆt = γ 1 + γ 2 ln(M1t ) + ρeˆt −1 +ν t

Œ×Šäë
LôŠÌ–Ûa
pbÈiŠ½a
ïÓaìi
ïç
ê t
æhÏ
´nÛb§a
ý×
¿

F
‰bjn4a
wöbnã
æhÏ
´nÛ…bȽa
åß
Ý×
¿ë
LòîãbrÛa
òÛ…bȽa
óÜÇ

xbnãg
ñŒîß
bèîÏ
òîãbrÛa
òÛ…bȽaë
L ρ̂
òÛü†Û
òÜqbànß
ò£bäÛa
t
ë

†Çc
áîÔÛa
ÙÜm
óÜÇ
Þì–zÜÛë
L LM = T × R 2
‰bjn4üa
òàîÓ

View/Residual
D4aë
ñ‰†Ô½a
ôŠÌ–Ûa
pbÈiŠ½a
òÛ…bÈß
|nÏ

Test/Serial Correlation LM Test

òÛb§a
êˆç
¿ë
Lb™b4…g
…aŠ½a
paõbİiüa
…†Ç
åÇ
ÙÛaû
ánî

AR(1)
‰bîn4a
óÜÇ
bäßbànça
k–äíë
LÁÔÏ
Q
…†ÈÛa
…†−

å¹þa
kãb¦a
óÜÇ
ê t
ïÓaìjÜÛ
†yaë
õbİig
bäí†Ûë
õbİ4ÿÛ

‰bjnÇüa
´Èi
ˆ4ÿÛ
ↂní
correlogram
æg
LòÛ…bÈàÜÛ


NïÓaìjÜÛ
ïmaˆÛa
Âbjm‰ýÛ
òßbÈÛa
—öb–¨a

١٥١ ‫ | اذج اآ وار ط اا‬٧ 
‫ا‬

ZòîÛbnÛa
wöbnäÛa
ŠèÄm

òàîÓ
ZwöbnäÛa
óÜÇc
¿
ñbİÈß
b™
p-value
áîÓë
åí‰bjn4üa
áîÓ

ïÓaìjÛa
ÝßbÈß
ŠèÄíë
L ρ̂
òÛü†Û
‰bjn4a
ìçë
F = 107.9563

æþ
LwöbnäÛa
ÝÐc
Ñ–näß
¿
RESID(-1)

Ýr¹
æc
åع
‰bjn4üa
aˆçë
L F = 107.9563 = t 2 = 10.39020 2

ý×
¿
bèÐã
ïç
0.0000
b™
p-value
ë
F
ë
t
‰bjn4a

ñbİÈß
‰bjn4a
òàîÔi
χ 2
‰bjn4a
ìç
Š4Ła
‰bjn4üa
L´nÛb§a
p-

ë
LM = T × R 2 = 38 × 0.755170 = 28.69646

òîbþa
òÐÛa
æhÏ
´nÛb§a
åß
Ý×
¿
Lvalue=0.0000


N٪U
òíìäÈß
ôìnß
†äÇ
œÏŠm
H 0 = ρ = 0

Durbin-Watson<…^fj}]<IOIP<IS

ÝØ’i
æìmaëM
åi‰ë…
òàîÔi
ôŠÌ–Ûa
pbÈiŠ½a
wöbnã
bã…ëŒm

AR(1)
x‡ìàäÛ
‰bjn4a
ìç
æìmaëMåi‰ë…
‰bjn4a
æg
LïöbÔÜm

dýè
YîÛ
p-value
òàîÓ
ëc
òuŠ§a
bènàîÓ
lbyë
Lõbİ4ÿÛ
 ‫ | اذج اآ وار ط اا‬٧ 
‫ ا‬١٥٢

lb§
Šßc
EViews
¿
†uìí
üë
L—Óbänm
‰bjn4b×
énîjÈ‘ë

p-
ëc
òuŠ§a
òàîÔÜÛë
æìmaëMåi‰ë…
‰bjn4a
òîöb–yg
òàîÓ
M
åi‰a…
òîöb–yg
òàîÓ
æhÏ
rough (ρ )
êëŠÛ
ÝîÛ†×
Lvalue

Lïma‡
Âbjm‰a
…ìuë
|™ìm
ÝÓc
ëc
Q~S
oãb×
a‡g
æìmaë

ïç
á‚šnÛa
òÛ…bȽ
ôŠÌ–Ûa
pbÈiŠ½a
Ší†Ôm
åß
òàîÔÛa
oãb×ë


0.255092

< <<Autoregressive<êi]„Ö]<…]‚©÷]<tƒ^´<<IQ<IS

ání
b¸g
[ÁÔÏ
òÛ…bÈß
ðc
õbİ4þ
ïmaˆÛa
‰a†−üa
x‡b¸
‰†Ôm
ü

†íŒí
õbİig
åß
Šr×c
åàšnm
paMÌnß
pa†çb’½
ÙÛˆ×
bçŠí†Ôm

á‚šnÛa
ކȽ
AR(3)
x‡ì¸
‰bjnÇüa
´Èi
ˆ4dã
†ÔÏ
LQ
åÇ


ZïÛbnÛa

inflnt = δ + θ1inflnt −1 + θ 2 inflnt −2 + θ3inflnt −3 + νt

¿
infln
ë
CPI
pa†çb’½
ò•b¨a
—öb–¨a
œÈi
tn®
bäÇ…

inflation.wf1
ÑÜß

< <<AR<êi]„Ö]<…]‚©÷]<tƒ^´<†è‚Ïi<<IMIQ<IS

Lñ†çb’ß
SX
åàšníë
CPI
MÌnß
inflation.wf1
ÑÜß
ôìn°


ZïÛbnÛa
Šßþa
ↂnã
infln
òÜÜ
õb’ã⁄ë

series infln = (log(CPI) – log(CPI(-1)))*100

١٥٣ ‫ | اذج اآ وار ط اا‬٧ 
‫ا‬

ÉiŠÛa
¿
Þëþa
ŠİÛa
æhÏ
infln
lb§
CPI(-1)
xbn−
bäãþ

éÜvíë
ñ†çb’ß
ðc
éîÏ
ŠÏìní
ü
QYYY
âbÇ
åß
Þëþa

Ší†ÔnÛ
ñ†çb’ß
SW
ïÔjí
aˆç
aˆçë
LNA
éãc
óÜÇ
EViews

inflnt-1
áîÔÛa
xbn−
AR(3)
ÕibÛa
x‡ìàäÛa
Ší†ÔnÛë
Lx‡ìàäÛa

òäîÈÛa
ávy
œÐ±
aˆçë
Ší†ÔnÛa
òîÜàÇ
¿
inflnt-3
ë
inflnt-2
ë

ST
µg
òäîÈÛa
Ý–nÛ
òîÏb™g
pa†çb’ß
týri
Ší†ÔnÛa
¿


Nñ†çb’ß

Þý4
åß
ôŠÌ–Ûa
pbÈiŠ½a
âa†‚nbi
AR
x‡ì¸
Ší†Ôm
åع

†í†¤
Éîİnã
Ñî×
åØÛ
LEquation Estimation
ñˆÏbã

paMÌnà×
inflnt-3
ë
inflnt-2
ë
inflnt-1
paMÌn½a
õbİig

ë
infln(-1)
ZòîÛbnÛa
pbÄyý½a
ↂnã
Òì
_òíMÐm

êˆç
òibnØÛ
ñŠ–n«
òÔ튇
êˆçë
infln(-3)
ë
infln(-2)

ÝšÐí
éãhÏ
daMj×
paMÌn½a
…†Ç
æb×
a‡g
bßc
LtýrÛa
paMÌn½a
infln(-1 to -3)
ZïÛbnÛa
Šßþa
âa†‚na

ZïÜí
bà×
òvînäÛa
ŠèÄn
 ‫ | اذج اآ وار ط اا‬٧ 
‫ ا‬١٥٤

êˆç
Lïma‡
Âbjm‰a
ðc
Ýà¤
ü
æc
k¯
AR
x‡ì¸
Ší†Ôm
ïÓaìi

|nÏ
†Èi
LïÓaìjÛa
correlogram
‰bjn4bi
bè–zÏ
åع
òÔîÔ§a
View/Residual Tests/Correlogram–Q
D4a
òÛ…bȽa

…aŠ½a
paõbİiüa
…†Ç
åÇ
EViews
ÙÛdî
Statistics

Âbjm‰üa
Šíì–m
ŠèÄî
QV
áÓŠÛa
kn×c
Lbèäîàšm

ð…b–Ûa
‰ì‰a
óÜÇ
õbİig
æìØí
sîy
correlogram

pb‡bjm‰üa
æc
ôŠã
ÙÛˆië
LsîÛa
‰ì‰a
óÜÇ
pb‡bjm‰üaë


NòÛü…
pa‡
MËë
da†u
ñMÌ•
bèÈîº

١٥٥ ‫ | اذج اآ وار ط اا‬٧ 
‫ا‬

< <<Finite Distribution Lags<:æ‚6]<Ňç¹]<ð^Şeý]<INIQ<IS

Ê‹ì½a
õbİi⁄a
x‡ì¸
‰†Ôã
inflation
ÑÜß
pbãbîi
âa†‚nbi

pü†Èß
¿
òÔibÛa
paMÌnÛaë
á‚šnÛa
ކȶ
ÕÜÈn½a
…놉a


ZïÛbnÛa
†ÔäÛa
ŠÇ
inflnt = α + β0 PCM1t + β1 PCM1t −1 + β 2 PCM1t −2 + β 3 PCM1t −3 + νt

knØãë
†ÔäÛa
ŠÇ
¿
MÌnÛa
òjã
µg
PCM1
M’m
sîy

Zx‡ìàäÛa
Ší†ÔnÛ
ÙÛ‡ë
Equation Estimation
¿
x‡ìàäÛa

ZïÜí
bà×
òvînäÛa
ŠèÄn

 ‫ | اذج اآ وار ط اا‬٧ 
‫ ا‬١٥٦

ïmaˆÛa
Âbjm‰üa
‰bjn4ü
ïÓaìjÜÛ
correlogram
tn®
áq

View/Residual Tests/Correlogram–Q
D4a
LïÓaìjÜÛ

¿
correlogram
wöbnã
¿
Âbjm‰üa
ŠÇ
ánîÏ
LStatistics


NQNõbİi⁄a
†äÇ
òÛü…
ë‡
ïma‡
Âbjm‰a
Úbäçë
Lêbã…c
ÝØ’Ûa

< <
Autoregressive Distribution Lags <ð^Şeý]<Ňç¹]<êi]„Ö]<…]‚©øÖ<IR<IS
<Models (ARDL)

Ê‹ì½a
õbİi⁄a
x‡ì¸ë
AR
x‡ì¸
´i
ARDL
x‡b¸
xŒ·

‰†Ôäë
LEViews
åß
Šßaëc
ðc
bçŠí†Ôm
kÜİní
üë
L…놉a


ZïÛbnÛa
x‡ìàäÛa
١٥٧ ‫ | اذج اآ وار ط اا‬٧ 
‫ا‬

infln t = α + δ0 PCM1t + δ1 PCM1t −1 + δ 2 PCM1t − 2 + δ 3 PCM1t −3

+ θ 1 infln t −1 + θ 2 infln t − 2 + ν t

ZïÜí
bà×
wöbnäÛaë
òÛ…bȽa
Ñ•ìm

 ‫ | اذج اآ وار ط اا‬٧ 
‫ ا‬١٥٨

ïÛbnÛa
ÝØ’Ûa
陊Èí
correlogram
åß
ïmaˆÛa
Âbjm‰üa

Éîº
†äÇ
òÛü…
ë‡
ïma‡
Âbjm‰a
ðc
…ìuë
â†Ç
´jí
ðˆÛaë


Npb‡bjm‰üa

 <<
<< Ø’ËÖ]<

@ @ña†þa@paÌn¾a
Instrumental Variables
< <
< <
< <
<ì]ù]<l]Çj¹]<IMIT
@paÌn½a@ Ší†Ôm@ òîvèäß@ óÜÇ@ Ý–ÐÛa@ aˆç@ ¿@ bäßbànça@ k–äí
@ôŠÌ–Ûa@ pbÈiŠ½a@ á+bi@ ÙÛˆ×@ ÒŠÈm@ /Ûaë@ LHñŠqû½aI@ ña…þa
@Ìnß@xbnã⁄@ instrument@ña…c@ëc@òÜî+ë@ïçë@[´nÜyŠ½a@pa‡
@Âbjm‰a@ üë@ e@ dݨa@ †yë@ x@ Ìn½a@ ´i@ òÓýÈÜÛ@ Õ?nß@ †í†u
@GHa@ HñŠqû½aI@ ña…þa@ paÌn½a@ Ší†ÔnÛë@ Lbàèäîi
@ÉiŠß@ ¿ë@ Ch8.wf1@ ÑÜß@ åß@ Quick/Estimation
Estimation @ ‰bîH@ o¤@ Equation Specification
TSLS- Two-Stage @Zµg@ Methods@òîvèä½a@Ë@ Settings
@òÛ…bÈß@ÝH…c@áq@ Least Squares (TSNLS and ARMA)
@RaHcë@ Equation Specification@ ÝÔy@ ¿@ y c x@ ‰bH…üa
Instrumental List@ÝÔy@¿@Z1@ÝH…a


 ‫ | ا
ات اداة‬٨
‫ ا‬١٦٠

@ @
@ @ZòvînäÛa@æìØm
Dependent Variable: Y
Method: Two-Stage Least Squares
Date: 02/15/10 Time: 17:06
Sample: 1 100
Included observations: 100
Instrument list: Z1
Variable Coefficient Std. Error t-Statistic Prob.
C 1.101101 0.109128 10.08998 0.0000
X 1.192445 0.194518 6.130243 0.0000
R-squared 0.714712 Mean dependent var 1.386287
Adjusted R-squared 0.711801 S.D. dependent var 1.838819
S.E. of regression 0.987155 Sum squared resid 95.49855
F-statistic 37.57988 Durbin-Watson stat 1.997541
Prob(F-statistic) 0.000000 Second-Stage SSR 298.1235

@z1@ña…þa@paÌn½@´nÜyŠß@óÜÇ@ôŠÌ–Ûa@pbÈiŠ½a@¿@ↂn?ã
@ @ZŠßaëþa@òãbH@¿@ïÛbnÛa@Šßþa@ÞbH…hi@bçˆîÐäm@åعë@z2@ë
tsls y c x @ z1 z2
١٦١ ‫ | ا
ات اداة‬٨
‫ا‬

@…†−@ òÛ…bȽa@ òibn×@ †Èië@ ls@ YîÛë@ tsls@ Šßþa@ ↂn?ã@ bäç
@ @ZïÜí@bà×@òvînäÛa@æìØmë@L@@ñ‰b‘⁄a@†Èi@ña…þa@paÌn½a
Dependent Variable: Y
Method: Two-Stage Least Squares
Sample: 1 100
Included observations: 100
Instrument list: Z1 Z2
Variable Coefficient Std. Error t-Statistic Prob.
C 1.137591 0.116444 9.769431 0.0000
X 1.039872 0.194223 5.354022 0.0000
R-squared 0.666207 Mean dependent var 1.386287
Adjusted R-squared 0.662801 S.D. dependent var 1.838819
S.E. of regression 1.06778 Sum squared resid 111.7351
F-statistic 28.66555 Durbin-Watson stat 1.96739
Prob(F-statistic) 0.000001 Second-Stage SSR 302.061

@aˆèi@´nÜyŠß@óÜÇ@ôŠÌ–Ûa@pbÈiŠ½bi@Ší†ÔnÛa@paõaŠug@oî_
@pbÈiŠàÜÛ@ ´nÜyŠß@ óÜÇ@ ´äqa@ åíŠí†Ôm@ ↂn?m@ bèãþ@ á+üa
@ @NôŠÌ–Ûa

@óÜÇ@x@ÌnàÜÛ@ôŠÌ–Ûa@pbÈiŠ½a@‰a†−a@‰†Ôã@µëþa@òÜyŠ½a@¿
@ @z2@ë@z1@ña…þa@ðÌnß
ls x c z1 z2
Dependent Variable: X
Method: Least Squares
Date: 02/15/10 Time: 17:20
Sample: 1 100
Included observations: 100
Variable Coefficient Std. Error t-Statistic Prob.
C 0.194732 0.079499 2.449486 0.016100
Z1 0.569978 0.088785 6.419747 5.04E-09
Z2 0.206786 0.077161 2.679940 0.008652
 ‫ | ا
ات اداة‬٨
‫ ا‬١٦٢

@ÝØ’Ûa@Ýr¹@ðˆÛa@ Red_Form@á+bi@aˆç@‰a†−üa@Ší†Ôm@æČŒH
@ @N‰a†−üa@ñˆÏbã@åß@Forecast@GHaë@reduced form@ÞŒn‚½a

@ @
@xhat@ óÜÇ@ y@ ÌnàÜÛ@ ôŠÌ–Ûa@ pbÈiŠ½a@ ‰a†−a@ æŁa@ ‰†Ôã@ áq
@ @ZŠßþa@âa†‚n+bi
ls y c xhat

Dependent Variable: Y
Method: Least Squares
Date: 02/15/10 Time: 17:26
Sample: 1 100
Included observations: 100
Variable Coefficient Std. Error t-Statistic Prob.
C 1.137591 0.191456 5.941782 0.0000
XHAT 1.039872 0.319339 3.256324 0.0016

@k@†Ó@òÔíŠİÛa@êˆç@âa†‚n+bi@ñ‰†Ô½a@pýßbȽa@æc@wöbnäÛa@ŠèÄm
@ání@ n Std. Error@ òí‰bîȽa@ õbİHþa@ æc@ üg@ bèzîz–m
@óÜÇ@ ôŠÌ–Ûa@ pbÈiŠ½a@ Ší†Ôm@ â†Ç@ k¯@ aˆÛ@ Lbèzîz–m
@ @tsls@õaŠug@ↂn?ãë@LòÔíŠİÛa@êˆèi@´nÜyŠß
١٦٣ ‫ | ا
ات اداة‬٨
‫ا‬

< <Hausman test<á^æ^â<…^fj}]<INIT

@x@ ð?ÐnÛa@ Ìn½a@ ´i@ Âbjm‰üa@ åÇ@ æb_ëbç@ ‰bjnHa@ Ñ’Øí
@ÝH†ãë@ LòîÜîr·@ pbãbîi@ âa†‚n+bi@ Šàn?ãë@ Lð‰bîȽa@ dݨaë
@ @ZEViews@Šßaëc@ò‘b‘@¿@ïÛbnÛa@Šßþa

equation hausman.ls x c z1 z2 ÞŒn‚½a@ÝØ’Ûa@‰†Ó

series vhat = resid ïÓaìjÛa@æŒH
equation endotest.ls y c x vhat @ @vhat@qi@ïÇbäİ•a@‰a†−a
@ @

@ @ZòvînäÛa@æìØm
Dependent Variable: Y
Method: Least Squares
Date: 02/15/10 Time: 17:29
Sample: 1 100
Included observations: 100

Variable Coefficient Std. Error t-Statistic Prob.

C 1.137591 0.079746 14.2651 0.0000

X 1.039872 0.133013 7.817819 0.0000
VHAT 0.995728 0.162939 6.111053 0.0000

@‰a†−ýÛ@µëþa@ñìݨa@åß@ïÓaìjÛa@òàÜȽ@ t@òîöb–yg@æc@Åyü
@ïç@ t@ òîöb–yg@ æc@ ‰bjnHüa@ aˆx@ p-value@ ŠèÄŽmë@ V~QQ@ ïç
@òÐÛa@œÏŠä+@aˆÛ@L
Q@òíìäÈß@ôìn?ß@†äÇ@Rbîöb–yg@ òíìäÈß
@†íûãë@ e@ ð‰bîȽa@ dݨaë@ x@ ´i@ Âbjm‰a@ …ìuë@ â†ÈÛ@ òî+b+þa
Ne@ë@x@´i@Âbjm‰a@…ìuìÛ@òÜí†jÛa@òÐÛa
 ‫ | ا
ات اداة‬٨
‫ ا‬١٦٤

< <íËéÖÖ]<ì]ù]<l]Çj¹]<…^fj}]<IOIT

@ÌnàÜÛ@å¹þa@kãb¦a@´ië@bèäîi@ÁiŠÛa@ ña…þa@paÌn½a@kÜİnm
@ÝØ‘@ ¿@ ŠÄäÛa@ bääع@ ê‰bjnHüë@ Le@ dݨa@ Éß@ ÁjmŠí@ ðˆÛa@ x
@x@ ÌnàÜÛ@ ÞŒn‚½a@ ‰a†−üa@ ÝØ‘@ µg@ ŠÄäã@ LòÛŒn‚½a@ òÛ…bȽa
@ @z2@ë@z1@ZòîÛbnÛa@instruments@ña…þa@paÌn½a@óÜÇ
Dependent Variable: X
Method: Least Squares
Date: 02/15/10 Time: 17:35
Sample: 1 100
Included observations: 100
Variable Coefficient Std. Error t-Statistic Prob.
C 0.194732 0.079499 2.449486 0.0161
Z1 0.569978 0.088785 6.419747 0.0000
Z2 0.206786 0.077161 2.679940 0.0087

@S~S@åß@ }×c@ t@áîÓ@ æþ@[òÛü…@ Šr×c@ ña…þa@ paÌn½a@ æc@ ë†jm

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Wald Test:
Equation: Untitled
Test Statistic Value df Probability
F-statistic 24.27844 (2, 97) 0.0000
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ls ehat c z1 z2 @ @ïÇbäİ•a@‰a†−a
@ @ZïÜí@bà×@wöbnäÛa@æìØm
Dependent Variable: EHAT
Method: Least Squares
Date: 02/15/10 Time: 18:13
Sample: 1 100
Included observations: 100
Variable Coefficient Std. Error t-Statistic Prob.
C 0.0189 0.106168 0.178016 0.8591
Z1 0.088109 0.118568 0.743106 0.4592
Z2 -0.18175 0.103045 -1.76384 0.0809
R-squared 0.036276 Mean dependent var 8.88E-18
@òàîÔÛaë@L NR 2 = 3.628 @ë@ 0.03628@ïç@‰a†−üa@aˆx@ R 2 @òàîÓ
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Equation redform_q.ls q c ps di pf
Dependent Variable: Q
Method: Least Squares
Date: 02/18/10 Time: 21:35
Sample: 1 30
Variable Coefficient Std. Error t-Statistic Prob.
C 7.895099 3.243422 2.434188 0.0221
PS 0.656402 0.142538 4.605115 0.0001
DI 2.167156 0.700474 3.093842 0.0047
PF -0.50698 0.121262 -4.1809 0.0003
R-squared 0.697386 Mean dependent var 18.45833

equation redform_p.ls p c ps di pf

Dependent Variable: P
Method: Least Squares
Date: 02/18/10 Time: 21:40
Sample: 1 30
Variable Coefficient Std. Error t-Statistic Prob.
C -32.5124 7.984235 -4.07208 0.0004
PS 1.708147 0.350881 4.868172 0.0000
DI 7.602491 1.724336 4.408939 0.0002
PF 1.353906 0.298506 4.535603 0.0001
R-squared 0.888683 Mean dependent var 62.724
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@ @
Dependent Variable: Q
Method: Two-Stage Least Squares
Sample: 1 30
Instrument list: PS DI PF
Variable Coefficient Std. Error t-Statistic Prob.
C -4.27947 5.543884 -0.77193 0.4471
P -0.37446 0.164752 -2.27287 0.0315
PS 1.296033 0.355193 3.648812 0.0012
DI 5.013977 2.283556 2.195688 0.0372
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@ @ZŠßaëþa@òÔíŠX@YŠ’ãë@b牆Ôã@Òì%@6ŠÈÛa@òÛ…bÈß@Ší†ÔnÛ

equation supply.tsls q c p pf @ ps di pf

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.@@Éjnm@`Ûa
Dependent Variable: Q
Method: Two-Stage Least Squares
Date: 02/18/10 Time: 22:01
Sample: 1 30
Instrument list: PS DI PF
Variable Coefficient Std. Error t-Statistic Prob.
C 20.0328 1.223115 16.37851 0.0000
P 0.337982 0.02492 13.5629 0.0000
PF -1.00091 0.082528 -12.1281 0.0000
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ln(Qt ) = α1 + α 2 ln(PRICEt ) + α 3 Sunt + α 4 Mont + α 5Tuet

@ @
+ α6Wed t + etd

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@ @ ln(Qt ) = β 1 + β 2 ln(PRICEt ) + β 3 Stormyt + etS

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ln(Qt ) = π 11 + π 21 Sunt + π 31 Mont + π 41Tuet
@ @
+ π 51Wed t + π 61 Stormy t + νt1
ln(Pt ) = π 12 + π 22 Sunt + π 32 Mont + π 42Tuet
@ @
+ π 52Wed t + π 62 Stormy t + νt 2
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@ @ZïÜí@bà×@ÞŒn‚½a@ÝØ’ÜÛ@ôŠÌ–Ûa@pbÈiŠ½a@Ší†Ôm@ání
LS LQuantity c sun mon tue wed stormy
LS LPrice c sun mon tue wed stormy
@ @N ln(Price) @òÛ…bÈàÜÛ@ïç@òîMîöŠÛa@ÞŒn‚½a@ÝØ’Ûa@òÛ…bÈß
Dependent Variable: LPRICE
Variable Coefficient Std. Error t-Statistic Prob.
C -0.27171 0.076389 -3.55687 0.0006
SUN -0.11292 0.107292 -1.05248 0.2950
MON -0.04115 0.104509 -0.39374 0.6946
TUE -0.01183 0.10693 -0.11059 0.9122
WED 0.049646 0.104458 0.475268 0.6356
STORMY 0.346406 0.074678 4.638681 0.0000

@ @
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@ @ @ @
Wald Test:
Equation: RedForm_Price
Test Statistic Value df Probability
F-statistic 0.618762 (4, 105) 0.6501
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@ @ZŠßþa@âa†‚n%bi@kÜİÛa@òÛ…bȽ@tsls@Ší†Ôm

tsls lq c lprice sun mon tue wed @ sun mon tue wed stormy

Dependent Variable: LQ
Method: Two-Stage Least Squares
Sample: 1 111
Instrument list: SUN MON TUE WED STORMY
Variable Coefficient Std. Error t-Statistic Prob.
C 8.505911 0.166167 51.18896 0.0000
LPRICE -1.11942 0.428645 -2.61152 0.0103
SUN -0.0254 0.214774 -0.11827 0.9061
MON -0.53077 0.208 -2.55178 0.0122
TUE -0.56635 0.212755 -2.66199 0.0090
WED 0.109267 0.208787 0.523345 0.6018

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@æìØm@ bèãhÏ@ åߌÛa@ Þý+@ …a…Œm@ ïÔîÔ§a@ ïÛbº⁄a@ ïÜIa@ wmbäÛa
@ïÔîÔ§a@ïÛbº⁄a@ïÜIa@wmbäÛa@ì¸@Þ†Èß@æc@´y@¿@Lòä×b@$Ë
@ébc@æb×@ægë@óny@@bä×b@nÈí@ÙÛˆië@åߌÛa@Þý+@…a…Œí@ü
@æìØm@âbÇ@ÝØ’i@Nå×b@$Ë@MïÔîÔ§a@wmbäÛa@åß@…ŠÐÛa@ò–yM
@ @Zæb×@a‡g@ÁÔÏ@òä×b@ xt @$ÌnàÜÛ@òîäߌÛa@òÜÜÛa


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@ @ E (xt ) = µ @LåߌÛa@Þý+@@bnibq@ xt @$ÌnàÜÛ@ïib§a@ÁìÛa@M@ Q

@ @ var (xt ) = σ 2 @LåߌÛa@Þý+@@bnibq@ xt @$Ìn½a@åíbjm@M@ R
@ñ]Ï@ Þì^@ óÜÇ@ †ànÈí@ xt − s @ ë@ xt @ ´i@ ÁîjÛa@ Âbjm‰üa@ M
@S
@Ls@ áîÓ@ Éîà¦@ Š+e@ $Ìnß@ ðc@ óÜÇ@ eîÛë@ lag(s)@ õbİi⁄a
@ @ cov (xt , xt +s ) = cov (xt , xt −s ) = γs
@æhÏ@[gŠÌÛbi@ïÐm@ü@Šr×c@ëc@—öb–¨a@ÙÜm@ô†yg@oãb×@a‡hÏ
@$Ë@ ÝýÛa@ ô†yg@ oãb×@ a‡gë@ Lå×b@ $Ë@ æìØí@ xt @ $Ìn½a
@ @NæìØÛa@â†Ç@òÛdß@µg@$’m@bèãhÏ@òä×b

@æìØ@ â†Çë@ æìØ@ óÜÇ@ Œ×Ší@ ÝýÛa@ æìØÛ@ bäÐíŠÈm

@errors terms@ dݨa@ †y@ µg@ êbjnãüa@ áè½a@ åàÏ@ Lpa$Ìn½a
@åßë@LÙÛˆ×@å×b@$Ë@æìØí@†Ó@Hresiduals@ïÓaìjÛa@ïÛbnÛbiëI
@püby@ åß@ †í†ÈÛa@ æhÏ@ dݨa@ †y@ æìØ@ â†Èi@ bäm+@ Þý+
@òîäߌÛa@ ÝýÛa@ ¿@ heteroskedasticity@ åíbjnÛa@ pbjq@ â†Ç
@ÊìäÛa@aˆçë@LåߌÛa@Éß@ñ…bíŒÛa@µg@Ýî¹@dݨa@†y@åíbjm@æc@´jm
@NÙÛˆ×@ å×b@$Ë@ æìØí@ dݨa@ †y@åíbjm@ pbjq@ â†Ç@ òÛby@ åß
@bäãhÏ@ òä×b@ ‰a†−üa@ Ýîܤ@ ¿@ òÜ+a†Ûa@ ÝýÛa@ åØm@ p@ a‡hÏ
@ t @òîöb–yg@áîÓë@ R 2 @òàîÓ@éîÏ@á‚šm@Ñöa‹@Âbjm‰a@óÜÇ@Ý–−
@ø^b+@ Ñî•ìm@ µg@ ð…ûíë@ òä×bÛa@ $Ë@ òÜÔn½a@ pa$ÌnàÜÛ
@pa$Ìn½@ xt @ óÜÇ@ yt @ ‰a†−a@ Ší†Ôm@ paõaŠug@ æg@ Nx‡ìàäÜÛ
@trend@ êb£üaI@ ÝßaìÈÛa@ œÈi@ òvînã@ M@ æìØÛa@ â†Èi@ Ñ–nm
@Òì@ pa$Ìn½a@ êˆçë@ L xt @ óÜÇ@ Šqûm@ bèãhÏ@ HÞbr½a@ Ýîj@ óÜÇ
@áîÓë@ R 2 @ òàîÓ@ ñ…bí‹ë@ bèãìØ@ â†Ç@ kji@ bèšÈi@ Éß@ ÚŠznm
@ @Npa$Ìn½bi@òÜ–n½a@ t @òîöb–yg
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@Þý+@ òÇŠi@ …a…Œm@ bèãþ@ òä×b@ $Ë@ pa$Ìn½a@ œÈi@ æìØm

@êˆç@ åàšní@ ðˆÛa@ ÑöaŒÛa@ ‰a†−üa@ wöbnã@ kävnÛë@ LåߌÛa
@µg@ Áîi@ ‚ß‹@ êb£a@ òÏb™hi@ bèjä£@ åع@ pa$Ìn½a@ åß@ Êaìãþa
@kÜËc@ æc@ üg@ N (t = 1, 2, ..., T ) @ Ýrß@ ÝÔnß@ $Ìnà×@ òÛ…bȽa
@Lbèäß@‚ߌÛa@êb£üa@Òˆy@†Èi@óny@å×b@$Ë@òîäߌÛa@ÝýÛa
@pb׊znÛb×@bè×ìÜ@pa$Ìn½@@ýØ‘@ñ…bÇ@æìØÛa@â†Ç@ˆ+díë
@òîäß‹@ òÜÜ@ pa$Ìnß@ ïç@ „Ûaë@ random walk@ òîöaì’ÈÛa
@bèîÛg@@bÏbšß@òîÛb§a@ñ]ÐÛa@òàîÔi@òÔyýÛa@ñ]ÐÛa@òàîÓ@bèîÏ@ðëbnm
@$Ë@ $Ìnß@ òîöaì’ÈÛa@ pb׊znÛa@ $Ìnßë@ Lïöaì’ÈÛa@ dݨa@ †y
@ta†yg@ æë†i@ ÝÐÿÛë@ óÜÇÿÛ@ ÚŠznÛa@ Éîİní@ éãþ@ å×b
@ @ NÝuþa@Ýíì^@@bäÈß@ïİÈí@üë@ïÈîj^@æ‹aìm

< <ê×ÛÂ<ÐéfŞi

@êbã…c@Þ놦a@b虊Èí@Êìänß@ÚìÜ@b‡@òîäߌÛa@ÝýÛa@pbãbîi
@…b–nÓüa@ pbãbîi@ åàšní@ ðˆÛa@ Jor.wf1@ Ñܽa@ ¿@ ñaìnIaë
@á‚šnÛa@Þ†Èßë@ïÔîÔ§a@ GDP@ïÛbº⁄a@ïÜIa@wmbäÛa@Zïã…‰þa
@†ÔäÛa@gŠÇë@M1@ÕîšÛa@†ÔäÛa@gŠÇë@R@ñ†öbÐÛa@Þ†Èßë@INF
@¿ë@ DG@ ïÔîÔ§a@ ïÜIa@ wmbäÛa@ Z¿@ ŠČîÌnÛaë@ LM2@ ÉaìÛa
@ÕîšÛa@ †ÔäÛa@ gŠÇ@ ¿ë@ DR@ ñ†öbÐÛa@ Þ†Èß@ ¿ë@ DI@ á‚šnÛa
@Þý+@ åß@ ojy@ „Ûa@ DM2@ ÉaìÛa@ †ÔäÛa@ gŠÇ@ ¿ë@ DM1
@óÜÇ@d@âa†‚nbi@first difference@Þëþa@ÖŠÐÛa@lb§@Genr
@ @ZïÛbnÛa@ìzäÛa
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D(gdp) = ∆GDPt = GDPt − GDPt −1

@áq@ Group@ |nÏaë@ òîãbàrÛa@ pa$Ìn½a@ ]+a@ Zïãbîi@ ÝØ‘@ áŠÛ
@bà×@ View/Graph/ Line & Symbol/ Multiple graphs@]+a
@ @ZïÛbnÛa@ÝØ’Ûa@¿

@ @
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HQM
QPI
áÓ‰
Þë†u
Period GDP r CPI M1 M2 ex
1992 q1 832.2 10.900 77.18 5013.1 11446.7 0.6809
1992 q2 894.1 10.717 77.58 5191.1 11686.3 0.6824
1992 q3 959.7 10.803 75.67 5429.8 12150.3 0.6701
1992 q4 924.6 10.870 77.37 5357.1 12449.4 0.6859
1993 q1 904.8 10.707 78.92 5136.7 12743.9 0.6905
1993 q2 977.1 10.570 79.28 5315.5 13221.3 0.6877
1993 q3 1038.3 10.673 79.13 5540.5 13653.0 0.6940
1993 q4 964.1 10.657 80.64 5465.6 13675.0 0.6991
1994 q1 960.8 10.663 81.05 5202.3 13592.3 0.7027
1994 q2 1057.2 10.677 82.10 5242.3 13782.0 0.6994
1994 q3 1160.6 10.743 81.69 5305.2 14138.4 0.6946
1994 q4 1179.7 10.760 84.33 5250.0 14401.3 0.6984
1995 q1 1103.0 10.843 83.08 5243.7 14595.1 0.6956
1995 q2 1189.2 10.973 83.20 5315.5 14919.4 0.6916
1995 q3 1213.5 11.117 83.59 5510.5 15376.6 0.7063
1995 q4 1209.0 11.170 87.05 5264.7 15379.8 0.7098
1996 q1 1117.5 11.393 90.36 5065.9 15459.2 0.7090
1996 q2 1224.6 11.683 88.69 4903.6 15506.9 0.7090
1996 q3 1323.9 11.913 89.36 4869.6 15653.1 0.7090
1996 q4 1246.2 12.050 90.41 4660.4 15537.4 0.7090
1997 q1 1167.7 12.377 90.44 4720.6 15786.2 0.7090
1997 q2 1288.4 12.583 92.36 4852.3 16113.3 0.7090
1997 q3 1369.7 12.777 91.87 4949.2 16512.2 0.7090
1997 q4 1311.7 12.740 95.05 4892.3 16708.0 0.7090
1998 q1 1247.0 12.803 95.37 5145.9 16913.7 0.7090
1998 q2 1399.6 12.783 95.14 5254.8 17350.4 0.7090
1998 q3 1471.1 12.760 94.96 5123.6 17417.8 0.7090
1998 q4 1492.1 12.723 95.64 4841.0 17716.7 0.7090
1999 q1 1309.1 12.570 95.09 4819.8 18075.0 0.7090
1999 q2 1441.8 12.347 95.83 4882.9 18573.6 0.7090
1999 q3 1533.8 12.397 95.62 5151.6 19435.7 0.7090
1999 q4 1493.0 12.490 96.85 5195.5 19784.7 0.7090
2000 q1 1357.4 12.107 96.79 5342.5 20374.9 0.7090
2000 q2 1499.4 12.070 96.88 5506.8 21016.0 0.7090
2000 q3 1583.3 11.680 96.51 5733.2 21705.3 0.7090
2000 q4 1558.4 11.733 95.80 5883.2 22064.8 0.7090
2001 q1 1434.3 11.360 96.95 5985.7 22425.9 0.7090
2001 q2 1583.3 11.140 97.72 6424.4 22956.6 0.7090
2001 q3 1676.7 10.930 98.97 6458.6 23256.9 0.7090
2001 q4 1669.0 10.667 99.15 6283.1 23371.3 0.7090
2002 q1 1521.5 10.333 99.91 6380.2 23891.6 0.7090
2002 q2 1680.8 10.170 100.24 6630.5 24480.4 0.7090
2002 q3 1790.5 10.100 99.98 7060.5 25391.7 0.7090
2002 q4 1785.7 9.900 99.87 6933.2 25260.4 0.7090
2003 q1 1602.5 9.520 100.61 7106.2 25700.3 0.7090
2003 q2 1780.4 9.420 101.42 7698.9 26505.7 0.7090
2003 q3 1924.1 9.280 101.84 8305.7 27658.2 0.7090
2003 q4 1896.6 9.027 102.64 8626.6 28161.2 0.7090
2004 q1 1793.7 8.767 103.71 8654.1 28431.4 0.7090
2004 q2 2036.6 8.400 105.63 8590.4 28724.9 0.7090
2004 q3 2180.7 8.033 106.90 9318.4 30333.5 0.7090
2004 q4 2153.4 7.833 106.90 9489.0 31347.2 0.7090
2005 q1 2015.6 7.567 105.83 9764.8 32080.3 0.7090
2005 q2 2272.7 7.433 105.03 10888.7 33693.5 0. 7090 <
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@åß@òÇìà©@åàšní@ðˆÛa@êbã…c@wmbäÛa@ EViews@wnäí@ OK@ŠÔãc

@òîäߌÛa@ ÝýÛa@ pbãbîi@ åß@ Êìänß@ ÚìÜ@ ŽŠ’m@ ÞbØ‘þa
@êb£üa@åß@la]Óüaë@ M2@ë@ GDP@Ýrß@ "trending"@êb£üb×
@åß@la]Óüaë@LM1@Ýrß@"wandering around a trend"
@LINF@ Ýrß@ "wandering around constant"@ pbjrÛa
@pbjrÛa@ åß@ òi]Ôßë@ DM2@ ë@ DM1@ Ýrß@ êb£üa@ Þìy@ òjÜÔnßë
@$Ë@ pa$Ìn½a@ ÚìÜ@ ÝØ’i@ NDG@ ë@ DI@ Ýrß@ Hòí‰aŠànüaI
@òä×bÛa@pbãbîjÛa@bàäîi@Lêb£üa@ëc@Oë@pbjrÛa@´i@Þìvnß@òä×bÛa
@ @Nêb£üa@ëc@Oë@pbjrÛa@åß@l]Ôí@lˆiˆnß@ÚìÜ@ŠèÄm
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GDP INF
2,400 6

4
2,000

2
1,600
0

1,200
-2

800 -4
1992 1994 1996 1998 2000 2002 2004 1992 1994 1996 1998 2000 2002 2004

R E
13 200

12
100
11

10 0

9
-100
8

7 -200
1992 1994 1996 1998 2000 2002 2004 1992 1994 1996 1998 2000 2002 2004

M1 M2
11,000 35,000

10,000
30,000
9,000
25,000
8,000

7,000
20,000
6,000
15,000
5,000

4,000 10,000
1992 1994 1996 1998 2000 2002 2004 1992 1994 1996 1998 2000 2002 2004

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DG DI
300 6

4
200

2
100
0
0
-2

-100
-4

-200 -6
1992 1994 1996 1998 2000 2002 2004 1992 1994 1996 1998 2000 2002 2004

DR DE
.4 300

200
.2
100

.0 0

-100
-.2
-200

-.4 -300
1992 1994 1996 1998 2000 2002 2004 1992 1994 1996 1998 2000 2002 2004

DM1 DM2
1,200 2,000

1,600
800
1,200

400 800

400
0
0

-400 -400
1992 1994 1996 1998 2000 2002 2004 1992 1994 1996 1998 2000 2002 2004

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< <Spurious Regression<Ìñ]ˆÖ]<…]‚©÷]<INIML

@¿@ òÜÔn½a@ pa$Ìn½a@ †yc@ ÝÓþa@ óÜÇ@ ëc@ ÉibnÛa@ $Ìn½a@ æb×@ a‡g
@òÔíŠİi@‰†Ó@‰a†−a@òÐöa‹@wöbnã@óÜÇ@Ý–−@†Ó@å×b@$Ë@òÛ…bȽa
@ @Zïİ+@‰a†−a@x‡ì¸@ˆ+@Nòí…bÈÛa@ôŠÌ–Ûa@pbÈiŠ½a

y t = α + β xt + u t

@bãìØí@ æc@ åØà½a@ åàÏ@ å×b@ $Ë@ y @ ë@ x @ åß@ Ý×@ æb×@ a‡g
@ŠèÄí@ ð‰bîȽa@ ‰a†−üa@ æc@ †×û½a@ åßë@ òîÛbÇ@ òu‰†i@ ´İjmŠß
@ @N β̂ @òàÜÈàÜÛ@ t @òàîÓë@ R 2 @òàîÓ@ÊbÐm‰a@òvînã@évöbnã@¿@ý
@ îÜšm

@ @ZòîÛbnÛa@òÛ…bȽa@Ší†Ôm@µg@Þbr½a@Ýîj@óÜÇ@ŠÄãc
Pˆ ricet = − 27.8+ 0.07 Tˆuitiont
( 0.006 )
t= 11.4

R 2 = 0.94 T = 10 (annual 1973 − 1982)

@pa‡@ïç@ Tuition@òàÜÈàÜÛ@ t @òàîÓë@ R 2 @òàîÓ@ æc@|™aìÛa@åß
@ @NòÛü…

@ñŠu@ ŠÈ@ ìç@ Price@ æg@ _pa$Ìn½a@ êˆç@ Þ†m@ a‡bß@ óÜÇ@ åØÛ
@áîÔß@ bàçý×I@ ïa‰…@ Ý–ÐÛ@ áîÜÈnÛa@ ìç@ Tuition@ ë@ ‹bÌÛa
@‰bÈc@¿@ñ…bí‹@µg@áîÜÈnÛa@ôìnß@ñ…bí‹@ð…ûm@†Óë@ LH‰üë†Ûbi
@aˆç@òvînã@æc@|™aìÛa@åßë@å×b@$Ë@åí$Ìn½a@åß@ÝØÏ@L‹bÌÛa
@Ñöa‹@‰a†−a@wöbnã@óÜÇ@Þì–§a@kävnã@ïØÛë@NòÐöa‹@‰a†−üa
@ˆîÐäm@ ÝjÓ@ òîäߌÛa@ ÝýÛa@ pa$Ìnß@ æìØ@ åß@ †×dnÛa@ k¯
@ @N‰a†−üa
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< <ê×ÛÂ<ÐéfŞi
@òä×b@ïç@Ýç@òîäߌÛa@ÝýÛa@òÈîj^@òÏŠÈß@æbض@òîàçþa@åß
@õaŠuhi@ õ†jÛa@ ÝjÓ@ Nonstationary@ òä×b@ $Ë@ âc@ Stationary
@ñŠqûß@ ‰a†−a@ wöbnã@ óÜÇ@ Þì–§a@ åß@ b@ jä£@ ‰a†−ýÛ@ Ý •đ îܤ
@¿@òä×b@$Ë@òîäß‹@Ýý@âa†‚na@†äÇ@bèäîi@Áia‰@ü@pbãbîjÛ
@ @NSpurious@đÑöa‹@‰a†−a@óÜÇ@Ý–−@ïÛbnÛbië@L‰a†−üa@Ší†Ôm

@ë@ RW1@bàç@´îöaì’Ç@åí$Ìnß@ spurious.wf1@Ñܽa@åàšní

@åí$Ìn½a@]+a@ Scatter graph@ÝØ’Ûa@á‰@bã…‰c@a‡gë@ RW2
@ŠèÄí@ bà×@ Scatter@ ]+a@ áq@ Group, View/graph@ |nÏaë
@ @Zêbã…c

@ @
@ @Zêbã…c@ÝØ’Ûa@wnäî@OK@ŠÔãc
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@ @
@LÝÔnß@ ÝØ’i@ bàçúb’ãg@ —@ RW2@ë@ RW1@ ´nÜÜÛa@ ÙÛˆ×
@òîib¯a@ òÓýÇ@ ŠèÃc@ ÝØ’Ûa@ æc@ üg@ Lbàèäîi@ òÓýÇ@ †uìí@ üë
@RW1@ òÜÜÛa@ ‰a†−ü@ òÐöa‹@ wöbnã@ êbã…c@ wöbnäÛa@ ´jmë@ Lbàèäîi
@ @NRW2@òÜÜÛa@óÜÇ

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< <áçÓŠ×Ö<Unit Root<ì‚uçÖ]<…„q<…^fj}]<IOIML

@âc@òä×b@òÜÜÛa@oãb×@a‡g@bàîÏ@æbîjÛ@pa‰bjn+a@ñ†Ç@ↂnm
Dickey-@ ŠÛìÏ@ MïØí…@ ‰bjn+a@ ìç@ ñŠè‘@ bçŠr×c@ æc@ üg@ Nü
@oibrÛa@ †§a@ åàšnm@ †Ó@ òîöaì’ÈÛa@ òîÜàÈÛa@ æc@ b¶ë@ LFuller
@ÞbØ‘c@ òqýq@ Úbäç@ æhÏ@ trend@ ‚ߌÛa@ êb£üa@ ëc@ intercept
@‰ë…@ ‰bjnÇüa@ ´Èi@ ˆ+dnÛ@ oàà•@ ŠÛìÏ@ MïØí…@ ‰bjn+ü@ òÐÜn«
@ @Nêb£üaë@oibrÛa@†§a

@ @Ù^nÚ<V†ÖçÊ<–<êÓè/<…^fj}]<IM<IO<IML

@Zñ†öbÐÛa@‰bÈþ@´nÜÜ@ˆ+@ŠÛìÏ@ M@ ïØí…@‰bjn+a@óÜÇ@Þbrà×

@paìä@týrÛ@pa†äÛa@ñ†öbÏ@ŠÈë@(Ft)@ð…b¤üa@ñ†öbÐÛa@ŠÈ
@lˆiˆní@ÚìÜ@bà‡@æc@ŠèÄí@bà‡@ïãbîjÛa@ÝØ’Ûa@æc@b¶ë@L(Bt)
@†äÇë@ Lòä×b@ oîÛ@ pa$Ìn½a@ æc@ ŠèÄíë@ ÝÐÿÛë@ óÜÇÿÛ
@Zↂnã@òÛ…bÈß@ðc@‰ŠÔã@æc@xbn−@ŠÛìÏ@ M@ ïØí…@‰bjn+a@õaŠug
@oibrÛa@†§a@åàšnm@„Ûa@âc@oibrÛa@†§a@ åàšnm@ü@„Ûa@ïç@Ýç
deterministic @ …†Ia@ êb£üaë@ oibrÛa@ †§a@ åàšnm@ „Ûa@ âc
@†§a@ åàšnm@ „Ûa@ ïç@ ‰bjn+ýÛ@ kãþa@ òÛ…bȽa@ æc@ Ltrend
@bäîÜÇë@ LðŠÐ•@ $Ë@ Áë@ Þìy@ kÜÔnm@ ÝýÛa@ æþ@ LoibrÛa
@¿@bènÏb™g@…aŠ½a@ÖŠÐÛa@õbİig@…ë†y@…†Ç@ìç@bß@ÙÛˆ×@‰ŠÔã@æc
@ÖŠÐÜÛ@ ñ†yaë@ õbİig@ ñ]Ï@ æc@ †uë@ LòÛ…bȽa@ åß@ å¹þa@ kãb¦a
@oãb×ë@L´nÛb§a@ý×@¿@ïÓaìjÛa@¿@ïmaˆÛa@Âbjm‰üa@òÛa‹⁄@òîÏb×
@ @ZïÜí@bà×@´nÛ…bȽa@Ší†Ôm@wöbnã
∆ Fˆt = 0.178 − 0.037 Ft −1 + 0.672 ∆Ft −1
(tau ) (−2.090 )

∆ Bˆ t = 0.285 − 0.056 Bt −1 + 0.315 ∆Bt −1

(tau ) (−1.976 )
١٩١ ‫ | م ن ا ا
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@†äÇ@ òuŠ§a@ òàîÔÛaë@ (-2.090)@ ìç@ ñ†öbÐÛa@ ŠÈÛ@ τ @ ëbm@ òàîÓ

@éîÜÇ@ a@õbäië@ L-2.86@ ïç@ tau (τ c ) @ òàîÔÛ@ ٪U@ òíìäÈß@ ôìnß

@oãb×@ a‡gë@ L τ ≤ τ c @ oãb×@ a‡g@ æìØÛa@ â†Ç@ òÏ@ œÏŠä

@â†Èi@ òÜöbÔÛa@ òîbþa@ òÐÛa@ œÏ‰@ Éîİnã@ ü@ τ > τ c
@ü@ bäãhÏ@ − 2.090 > −2.86 @ æc@ b¶@ [òÛb§a@ êˆç@ ¿@ LæìØÛa
@Ýr½bi@ NæìØÛa@ â†Èi@ òÜöbÔÛa@ òîbþa@ òÐÛa@ œÏ‰@ Éîİnã
@-2.86@òuŠ§a@òàîÔÛa@åß@×c@ïç@pa†äÛa@ŠÈÛ@ tau @ëbm@òàîÓ
@òÐÛa@ œÏ‰@ Éîİnã@ ü@ aˆÛ@ [٪U@ òíìäÈß@ ôìnß@ †äÇ
@òÛ…c@ †uìí@ ü@ LôŠ+c@ ñ‰bjÈië@ LæìØÛa@ â†Èi@ òÜöbÔÛa@ òîbþa
@ @Næbnä×b@bàç@ Bt @ë@ Ft @æc@æbîjÛ@òîÏb×

F
10

0
86 88 90 92 94 96 98 00 02 04

B
12

10

0
86 88 90 92 94 96 98 00 02 04

@ @
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@ @Order of integration<ØÚ^ÓjÖ]<íq…/<IN<<IOIML
@ÉÏ…@ †íŠãë@ Lòä×b@ $Ë@ ëc@ òä×b@ bßg@ òÜÜÛa@ æc@ bäz™ëc
@óà½a@ âìèнa@ Éß@ ÝßbÈnäÛë@ Lâbßþa@µg@ ôŠ+c@ ñìİ+@ ÝîÜznÛa
@Éjnm@ yt @oãb×@a‡hÏ@Lorder of integration"@ ÝßbØnÛa@òu‰…"
@ yt @ $ÌnàÜÛ@ Þëþa@ ÖŠÐÛaë@ ρ = 0 @ æhÏ@ òîöaì’ÈÛa@ pb׊znÛa
∆ yt = yt − yt −1 = υ t @ZïÜí@bà×@|j–í

@υ t @ æc@ sîy@ òä×b@ bèãc@ ∆ yt = yt − yt −1 @ òÜÜÛa@ ¿@ $r½a

@ yt @ òÜÜÛaë@ L@bä×bë@ (0, σ υ2 ) @ ý
@ Ônß@ b@ îöaì’Ç@ a@$Ìnß@ |j•c
@åß@ òÜßbØnß@ óàmë@ Þëþa@ ÖŠÐÛa@ ˆ+di@ òä×b@ bèÜÈu@ åع
@L I (1) @ bèîÛg@ ‰b’íë@ order of integrated 1@ µëþa@ òu‰†Ûa
@N I (0 ) @ ŠÐ•@ òu‰†Ûa@ åß@ ÝßbØnß@ ÝýÛa@ æìØ@ óàíë
@Ýȯ@ ‚ß‹@ áÓ‰@ ÝÓc@ ìç@ òÜÜÛa@ ÝßbØm@ òu‰…@ LâbÇ@ ÝØ’i
@ @Nb@ ä×b@ÖŠÐÛa
DF
1.0

0.5

0.0

-0.5

-1.0

-1.5
86 88 90 92 94 96 98 00 02 04

DB
1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5

@ @
86 88 90 92 94 96 98 00 02 04
١٩٣ ‫ | م ن ا ا
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@Þëþa@ÖŠÐÛa@Ýç@ZÞdã@æc@bäîÜÇ@ B @ë@ F @ÝßbØm@òu‰…@†í†znÛ

@ŠÈÛ@Þëþa@ÖŠÐÛa@Ýçë@_å×b@ ∆ Ft = Ft − Ft −1 @ñ†öbÐÛa@ŠÈÛ

@bà‡@ ïãbîjÛa@ ÝØ’Ûa@ ŠèÄí@ _å×b@ ∆ Bt = Bt − Bt −1 @ pa†äÛa

@pb׊znÜÛ@ ŠÛìÏ@ MïØí…@ ‰bjn+a@ òvînã@ æìØmë@ Næbä×b@ bàèãc

@ @ZïÜí@bà×@Þëþa@ÖŠÐÛa@óÜÇ@òÔjݽa@òîöaì’ÈÛa

( ) ( = ) − 0( .340) (∆F )
∆ ∆ Fˆ t
tau − 4.007
t −1

∆ (∆ Bˆ ) = − 0.679 (∆B )
t t −1
( ) (
tau )
−6.415

@L ∆(∆ B )t = ∆Bt − ∆Bt −1 @ ë@ ∆(∆ F )t = ∆Ft − ∆Ft −1 @ æc@ sîy

@LæìØÛa@â†Ç@ïç@ ∆B @ë@ ∆F @$ÌnàÜÛ@òîbþa@òÐÛa@æhÏ

@Þìy@ïç@bàèmbjÜÔm@æc@æaŠèÄm@ ∆B @ë@ ∆F @´nÜÜÛa@æc@b¶ë
@Noibq@ †đ y@ æë†i@ ‰bjn+üa@ òÛ…bÈß@ ↂnä@ aˆÛ@ LŠÐ–Ûa
@òîöb–y⁄@ òjÛbÛa@ òàîÔÛa@ ÊbÐm‰a@ óÜÇ@ …bànÇübi
@òÜöbÔÛa@ òîbþa@ òÐÛa@ œÏŠä@ (− 4.007 < −1.94) tau
@LæìØÛbi@ òÜöbÔÛa@ òÜí†jÛa@ òÐÛa@ ÝjÔãë@ òä×b@ $Ë@ ∆Ft @ ædi
@ @N (− 6.415 < −1.94) @òä×b@ ∆Bt @æc@wnänã@Ýr½bië

@$Ë@ Ft @ñ†öbÐÛa@ŠÈ@ level@ôìnß@æc@b¶@éãc@òvînäÛa@êˆç@‚Èm

@ Ft @òÜÜÛa@ædi@ÞìÔãë@Lå×b@ ∆Ft @Þëþa@ÖŠÐÛa@æhÏ@[å×b
@b‡@Þëþa@ÖŠÐÛa@ˆ+c@æþ@ I(1) @µëþa@òu‰†Ûa@åß@òÜßbØnß@ïç
@pa†äÛa@ ŠÈ@ æc@ ôŠã@ LÝr½bi@ NH I(0) @ìç@ ∆Ft I@ òä×b@ bèÜȯ
@ @NQ@òu‰†Ûa@åß@ÝßbØnß@ Bt
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< <ê×ÛÂ<ÐéfŞi
@†Èi@ ŠÔãa@ GDP@ $ÌnàÜÛ@ ñ†yìÛa@ ‰ˆu@ ‰bjn+a@ óÜÇ@ Þì–zÜÛ
@„Ûa@ pa‰bî¨a@ ]+aë@ View/Unit Root Test@ óÜÇ@ ê‰bîn+a
@ @NðŠÐ•@Áë@Þìy@kÜÔní@éãc@gŠÏ@óÜÇ@êbã…c@ŠèÄm

@ @

@ @
Dickey-@ ŠÛìÏ@ MïØí…@ ‰bjn+a@ wöbnã@ óÜÇ@ Ý–−@ OK@ ŠÔãa
@õbİig@ ñ]Ïë@ (intercept)@ b@ ÈİÔß@ ðì°@ ðˆÛa@ Fuller test
@ @Nñ†yaë
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@ @
@×c@ HP~QUPWXW@ M@ I@ òiìIa@ ŠÛìÏ@ –@ïØí…@ òîöb–yg@ æc@ b¶
@LAU@òíìäÈß@ôìnß@†äÇ@HR~YQXWWX@ M@ I@òuŠ§a@òàîÔÛa@åß
@LæìØÛa@ â†ÈÛ@ òîbþa@ òÐÛa@ œÏ‰@ Éîİnã@ ü@ bäãhÏ
@ @Nå×b@$Ë@GDP@$Ìn½a@æhÏ@ôŠ+c@ñ‰bjÈië

@GDP@$ÌnàÜÛ@ First- difference@Þëþa@ÖŠÐÜÛ@‰bjn+a@õaŠu⁄

@ @ZòîÛbnÛa@pa‰bî¨a@]+a
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@ @
@ @ZòîÛbnÛa@wöbnäÛa@óÜÇ@Ý–¤@OK@ŠÔãc

@ @
@ÝÓc@ ïç@ HW~TWXU@ MI@ òiìIa@ ŠÛìÏ@ –@ ïØí…@ òîöb–yg@ æc@ b¶
@œÏŠã@L٪U@òíìäÈß@ôìnß@†äÇ@HQ~YTW@MI@òuŠ§a@òàîÔÛa@åß
@$Ìn½a@ æhÏ@ ôŠ+c@ ñ‰bjÈië@ LæìØÛa@ â†ÈÛ@ òîbþa@ òÐÛa
@ @Nå×b@ d (GDP ) = ∆ GDP
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@æìØí@ óny@ Þëþa@ ÖŠÐÛbi@ æìØí@ æc@ k¯@ GDP@ $Ìn½a@ æc@ b¶
@ @N(integrated of order 1)@µëþa@òjmŠÛa@åß@ÝßbØnß@ìèÏ@aˆÛ@[@bä×b

< <Cointegration<Õ9:¹]<ØÚ^ÓjÖ]<IPIML

< <†rßè]†Æ<Iب]<íérãßÚ<VÇj¹]<ì‚éuæ<íÖ/^ù]<ØÚ^Ói<IMIM<IP<IML

@æ‹aìnÛa@ âìèÐßë@ æìØÛa@ â†Ç@ ´i@ b@ Èöa‰@ b@İia‰@ ŠväíaŠË@ â†Ó
@ÝØ‘@ NÚ]’½a@ ÝßbØnÛa@ âìèÐß@ ìç@ ÁiaŠÛa@ aˆç@ [Ýuþa@ Ýíì^
@áí†Ôni@âìèнa@aˆç@ Engel- Granger (1987)@ŠväíaŠËë@ݬa
@Ú]’ß@ ÝßbØm@ òÓýÇ@ …ìuë@ åÇ@ Ñ’ØÜÛ@ a@†u@ Áîi@ ‰bjn+a
@@bãbîyc@ óàmI@ òîvèä½a@ êˆç@ áèÐÛ@ NHÝuþa@ Ýíì^@ æ‹aìmI
@ @ZòîÛbnÛa@òÛb§aë@ yt @ë@ xt @´nÜÜ@ˆ+dã@HEG@òîvèäß

@´mb‡@ ïİ+@ wíŒß@ Ý×@ æhÏ@ xt ~ I (1) @ ë@ yt ~ I (1) @ æb×@ a‡g@ Hc

@$Ë@ ëc@ I (1) @ bßg@ æìØm@ òÜÜ@ wnäî@ θ1 yt + θ 2 xt @ ´nÜÜÛa

@ I (1) @ ÝýÛa@ æìØ@ â†Ç@ ÚìÜ@ æþ@ aˆç@ t†zî@ Nòä×b
@ @N I (0) @ÚìÜ@óÜÇ@@aŠİîß@æìØî

@ïİ+@ wíŒß@ ðc@ æhÏ@ I (1) @ ìç@ yt @ ë@ xt @ åß@ Ý×@ æb×@ a‡g@ Hl
@êˆç@ ¿@ N I (1) @ ÙÛˆ×@ æìØî@ θ1 yt + θ 2 xt @ ´nÜÜÛa@ ´mb‡
@NHQ@LQI@ òu‰†Ûa@ åß@ ´nÜßbØnß@ bàç@ yt @ ë@ xt @æc@ ÞìÔã@ òÛb§a
@òÜíì^@ æ‹aìnÛa@ òÓýÇ@ pbàÜÈß@ ‰†Ôã@ Ñî×@ ïç@ æŁa@ òÜØ’½aë
@ŠväíaŠËë@ ݬa@ â†Ó@ _ü@ âc@ òÜßbØnß@ oãb×@ a‡g@ bàîÏë@ LÝuþa
@ @ZïÜí@bà×@paìİ+@Éi‰c@åß@òãìØß@ñŠ‘bjß@òÔíŠ^
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@ @pa$Ìn½a@ÝßbØm@òu‰…@‰bjn+a@ZQ@ñìݨa
@æìØm@pa$Ìn½a@æc@Ú]’½a@ÝßbØnÛa@pa‰ëŠ™@åß@ÑíŠÈnÛa@åß
@Ý×@ ‰bjn+a@ ïç@ µëþa@ ñìݨa@ aˆÛ@ Lòu‰†Ûa@ eÐã@ åß@ òÜßbØnß
@ŠÛìÏ@ M@ ïØí…@‰bjn+a@Õîjİm@bääعë@LéÜßbØm@òu‰…@†í†znÛ@$Ìnß
@a‡gI@ ñ†yìÛa@ ‰ëˆu@ …†Ç@ ÒŠÈäÛ@ Éì½a@ ŠÛìÏ@ M@ ïØí…@ ‰bjn+aë
@püby@ týq@ ´i@ òÜ™bнa@ Éîİnã@ L$Ìnß@ Ý×@ ¿@ Hp†uë
@ @ZÑÓìnÛa@Ž]Ôm@ëc@òÔyýÛa@ñìݨa@µg@bã…ìÔm

@Ýîܤ@ Õîjİm@ Éîİnã@ I(0)@ å×b@ åí$Ìn½a@ ý×@ æb×@ a‡g@ Hc

@ @Nð†îÜÔnÛa@‰a†−üa

@æc@åØà½a@åàÏ@LòÐÜn«@pbu‰†i@´ÜßbØnß@æa$Ìn½a@æb×@a‡g@Hl
@ @N´ÜßbØnß@$Ë@bàèãc@wnänã

@µg@ ÝÔnäã@ òu‰†Ûa@ eÐäi@ ´ÜßbØnß@ åí$Ìn½a@ ý×@ æb×@ a‡g@ Hx

@ @NòîÛbnÛa@ñìݨa

@ @Ýuþa@òÜíì^@òÓýÇ@Ší†Ôm@ZR@ñìݨa

@æýßbØnß@bàç@ yt @ë@ xt @åß@Ý×@æc@µg@µëþa@ñìݨa@p‰b‘c@a‡g

@æìØm@ L{I(1)@ æìØm@ ñ…bÇ@ …b–nÓüa@ ¿}@ òu‰†Ûa@ eÐã@ åß
@ @ZòÌî–ÜÛ@Ýuþa@òÜíì^@òîã‹aìm@òÓýÇ@Ší†Ôm@òîãbrÛa@ñìݨa

y t = β 1 + β 2 x t + et

@òÜßbØnß@ ïÓaìjÛa@ åØm@ p@ a‡g@ NòÛ…bȽa@ êˆç@ ïÓaìi@ óÜÇ@ Ý–−ë

@OLS@‰a†−a@æhÏ@òÜßbØnß@oãb×@a‡g@bßc@LòÐöa‹@òvînã@óÜÇ@Ý–−
@ @N β 2 @òÜßbØn½a@òàÜÈàÜÛ@òÔnß@pa‰†Ôß@wnäí
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@ @ïÓaìjÛa@ÝßbØm@òu‰…@n+a@ZS@ñìݨa

@êˆç@ ïÓaìi@ ‰†Ôã@ òÜßbØnß@ pa$Ìn½a@ oãb×@ a‡g@ bàîÏ@ …†−@ ïØÛ
@òÜíì^@ òÓýÈÛ@ et ñ‰†Ô½a@ ïÓaìjÛa@ òÜÜ@ ïçë@ L et @ òÛ…bȽa
@òä×b@Ýuþa@Ýíì^@æ‹aìnÛa@åÇ@pbÏaŠ−üa@oãb×@a‡hÏ@LÝuþa
@óÜÇ@ DF@ ‰bjn+a@ Õjİãë@ NæýßbØnß@ yt @ ë@ xt @ æa$Ìn½a@ æìØí

@DF@ ‰bjn+a@ ˆ+díë@ LbèÜßbØm@ òu‰…@ †í†znÛ@ ïÓaìjÛa@ òÜÜ

@ @ZïÛbnÛa@ÝØ’Ûa
m
∆et = a1 eˆt −1 + ∑ δ 1 ∆eˆt −i + υ t
i =1

@üë@ oibrÛa@ †§a@ü@Ñšã@ p@ bäãhÏ@òÛ…bȽa@ ïÓaìi@ ïç@ êt @æc@ b¶

@òu‰†Ûa@åß@òÜßbØnß@ïç@ïÓaìjÛa@æc@bã†uë@a‡hÏ@L‚ߌÛa@êb£üa
@òîbþa@ òÐÛa@ œÏ‰@ Éîİnã@ ü@ bäãhÏ@ eˆt ~ I (0) @ ŠÐ•
@ @@æýßbØnß@bîÛ@bàç@ yt @ë@ xt @åí$Ìn½a@ædi@òÜöbÔÛa

@ @dݨa@|îz–m@x‡ì¸@Ší†Ôm@ZT@ñìݨa

@åß@ ò£bäÛa@ ïÓaìjÛa@ ↂnã@ LòÜßbØnß@ pa$Ìn½a@ oãb×@ a‡g

error-@ dݨa@ |îz–m@ x‡ì¸@ Ší†ÔnÛ@ ïã‹aìnÛa@ ‰a†−üa
@ñ$–Óë@Ýuþa@òÜíì^@pa$Ìn½a@Šqc@ÝÜ−ë@correction model
@†y@ ÝßbÈß@ ìç@ ðˆÛa@ [ ê t @ |îz–nÛa@ ÝßbÈß@ ôŠä@ bà×@ Ýuþa
@ñìݨa@¿@bèîÜÇ@bäÏŠÈm@„Ûa@Ýuþa@òÜíì^@òÓýÈÜÛ@ïÓaìjÛa@õbİig
@—zÐÛa@Þý+@åß@x‡ìàäÛa@ñõbÐ×@n®@æc@k¯@òíbèäÛa@¿ë@LR
@ @Ndiagnostic tests@ï–î‚’nÛa
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< <ê×ÛÂ<ÐéfŞi
@ïç@òä×bÛa@$Ë@ M2@ë@ GDP@ pa$Ìn½a@oãb×@a‡g@bàîÏ@‰bjn+ü
spuriously @ òÐöa‹@ òÓýÇ@ Ýr·@ ëc@ cointegrated@ òÜßbØnß
@‰†Ôã@ µëþa@ ñìݨa@ Z‰a†−üa@ ïÓaìi@ ‰bjn+a@ µg@ xbn−@ related
@ @NôŠÌ–Ûa@pbÈiŠ½a@‰a†−a

@ @
@]+aë@Proc@óÜÇ@ŠÔãc@L‰a†−üa@òÛ…bÈß@åß@ïÓaìjÛa@lby@ání@áq
@ @Nò‘b’Ûa@óÜÇc@¿@Make Residual Series

@ @
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E@l@‰a†−üa@ïÓaìi@ï5

@óÜÇ@Hd(e)@ðcI@ E@¿@$ÌnÛa@‰a†−ü@ ŠÛìÏ@ M@ ïØí…@‰bjn+a@ˆÐã@áq

d(e(-1))@õbİi⁄aë@He(-1)@ðcI@E@õbİig

@ @
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@åß@ÝÓc@ïç@òiìIa@HU~RXT@MI@ŠÛìÏ@MïØí…@òîöb–yg@æc@b¶
@œÏŠä@ AU@òíìäÈß@ ôìnß@†äÇ@HR~YQY@ M@ I@òuŠ§a@òàîÔÛa
@ @NÝßbØnÛa@â†Ç@òÏ
 <<

<< Ø’ËÖ]<

@dİ©a@|îz—m@évnß@xˆì¹
ïma‰Ûa@Ša‡®üa@évnß@xˆì¹ë
< <
< <
< <
@pbÓýÇë@òîäߌÛa@ÝýÛa@—öb–@Š‘bÈÛa@Ý–ÐÛa@¿@b䉅
@òÛby@ ¿@ bä™)Ïaë@ NŠr×a@ ëc@ ´nîäß‹@ ´nÜÜ@ ´i@ ÝßbØnÛa
@-Ìnß@ ôŠþaë@ H yt @ ÝrßI@ Éibm@ -Ìnß@ bàça†yg@ æc@ ´nÜÜÛa
@x‡ìàäi@ xt @ ë@ yt @ ´i@ òÓýÈÛa@ bä¦bÇë@ LH xt @ ÝrßI@ ÝÔnß
@ yt @ æc@ >)ÐäÛ@ òèîuë@ lbjc@ bäí†Û@ ŠÏìní@ éãc@ üg@ L‰a†−üa
@åí-Ìnß@Éß@ÝßbÈnã@å−@òIbji@NÉibm@-Ìnß@ xt @ë@ÝÔnß@-Ìnß
@bàèšÈji@ æbÔÜÈní@ ´Üànª@ ‰a†−a@ ïu‡ì¸@ bäí†Ûë@ {yt , xt }@ ´äqa
@ @Zbàçë

( )
yt = β10 + β11 xt + ety , ety ~ N 0, σ y2 (11.1)
xt = β 20 + β 21 yt + etx , etx ~ N (0, σ )
2
x (11.2)



‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢٠٤

@ë@ xt @´i@ñ†íŠÏ@òÓýÇ@†uìí@ bivariate@ åí-Ìn¶@ âbÄäÛa@aˆç@¿

@òÌî•@ ÞìÔmë@ L β 20 = − β10 β11 @ ë@ β 21 = 1 β11 @ æc@ sîy@ yt

@ò߆Ôß@¿@òàÜȽa@æc@ZÈmI@ y @óÜÇ@òîÈîjI@bèãc@ (11.1) @òÛ…bȽa

@æc@ZÈmI@ x @óÜÇ@åí‰bîÈß@ (11.2 ) @òÛ…bÈàÜÛ@bàäîi@HQ@ðëbm@ y
NHQ@ðëbm@ x @ò߆Ôß@¿@òàÜȽa
@ëc@L (11.2 ) @ëc@ (11.1) @´nÛ…bȽa@ÝØ‘@óÜÇ@ òÓýÈÛa@òibn×@ÝšÐí
@ x @ ë@ y @ æa-Ìn½a@ Ýç@ LpbÓýÇ@ ñ†Ç@ ¿@ bènËbî•@ ÝšÏþa@ åß
@òîjjÛa@òÓýÈÛa@åÇ@ðŠznÛa@Ý–ÐÛa@aˆç@Ò†èí@__bîãe@æa…†ª@bàç
@NŠr×c@ ëc@ pa-Ìn½a@ åß@ ´uë‹@ ´i@ causal relationship
@æbj§bi@ ˆdäÛ@ òîäߌÛa@ ÝýÜÛ@ bäna‰…@ Éìã@ Òìë
@gŠ’ä@ ˜b@ ÝØ’i@ Nbèäîi@ ÝÇbÐnÛaë@ be@ òî׊§a@ —öb–¨a
@vector error correction (VEC)@ dݨa@|îz–m@évnß@x‡ì¸
@Lvector autoregressive (VAR)@ ïmaˆÛa@‰a†−üa@évnß@x‡ì¸ë
@pa-Ìn½a@ æìØm@ b߆äÇ@ VEC@ x‡b¸@ Ší†Ôm@ òîÐî×@ áÜÈnäë
@VAR@ x‡ì¸@ Ší†Ôm@ òîÐî×ë@ L I (1) @ µëþa@ òu‰†Ûa@ åß@ òÜßbØnß
@ @NòÜßbØnß@pa-Ìn½a@æìØm@ü@b߆äÇ

@sn±@ univariate@†yaìÛa@-Ìn½a@âbÄã@Ýîܤ@æc@µg@êbjnãüa@k¯
@Ýý@ sn±@ bivariate@ æa-Ìn½a@ âbÄã@ Ýîܤë@ Lòí…ŠÏ@ pbãbîi
@pbãbîi@ sn±@ multivariate@ pa-Ìn½a@ …†Ènß@ Ýîܤë@ Lòîuë‹
@ÝýÛa@ æc@ µg@ Vector@ évn½a@ âìèÐß@ -’íë@ Lñ…†Ènß@ Ýý
@püby@ vector@ âìèÐß@ áàÈíë@ LŠr×c@ ëc@ òqýq@ ëc@ ´näqg@ ZæìØm
@ @Nmultivariate@ë@bivariate@ë@univariate
٢٠٥
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

VAR<tƒç´æ<VEC<tƒç´<<IMIMM

@¿@òÛa…@-Ìnß@Ý×@éîÏ@æìØí@ [pü…bÈß@âbÄã@ VAR@x‡ì¸@Ñ–í

@ìç@ VEC@x‡ì¸@bßc@LâbÄäÛa@¿@ôŠþa@pa-Ìn½a@õbİigë@éöbİig
@òu‰†Ûa@åß@òÜßbØnß@éma-Ìnß@æìØmë@ VAR@x‡ìàäÛ@ò•b@òÛby
@áàÈã@áq@ xt @ë@ yt @Ýrß@´nîäß‹@´nÜÜi@c†jã@bäÇ…@NI(1)@µëþa
@dynamic relationship@ òî׊§a@ pbÓýÈÛa@ Þìy@ bäyŠ‘
@ @Zpü…bÈß@âbÄã@óÜÇ@Þì–zÜÛ
yt = β10 + β11 yt −1 + β12 xt −1 + υty
xt = β 20 + β 21 yt −1 + β 22 xt −1 + υtx (11.3)

@éöbİig@¿@òÛa…@-Ìnß@Ý×@éîÏ@æìØí@_bßbÄã@pü…bȽa@êˆç@Ñ–m
@âbÄäÛa@ åàšní@ LòÛb§a@ êˆç@ ¿@ N (11.3) ŠŁa@ -Ìn½a@ õbİig@ ¿ë
@òÛ…bȽa@ ¿@ yt @ -Ìn½a@ æc@ sîy@ [ x @ ë@ y @ bàç@ ´äqa@ åí-Ìnß
@âbÄäÛa@ ¿@ ŠŁa@ -Ìn½a@ õbİig@ ¿ë@ yt −1 @ éöbİig@ ¿@ òÛa…@ µëþa
@õbİig@¿ë@ xt −1 @éöbİig@¿@òÛa…@ xt @-Ìn½a@òîãbrÛa@òÛ…bȽa@¿ë@L xt −1
@ÒŠÈí@b¶@æbnÛ…bȽa@æbmbç@óàmë@L yt −1 @âbÄäÛa@¿@ŠŁa@-Ìn½a
@¿ë@LVector AutoRegerssion (VAR)@ ïmaˆÛa@‰a†−üa@évn¶
@æìØí@ÙÛˆÛ@ Q@òu‰†Ûa@åß@ïç@ õbİig@ñ)Ï@s×c@æhÏ@Þbr½a@aˆç
@ @NVAR(1)@bäí†Û
@âbÄäÛa@ Ší†Ôm@ Éîİnã@ I (0) @ æbä×b@ æa-Ìnß@ x @ ë@ y @ æb×@ a‡g
@óÜÇ@ òÛ…bÈß@ ÝØÛ@ ôŠÌ–Ûa@ pbÈiŠ½a@ òÔíŠI@ âa†‚nbi@ êýÇc
@ˆdä@ ´ÜßbØnß@ -Ëë@ ´ä×b@ -Ë@ x @ ë@ y @ æb×@ a‡gë@ Lê†y
@êˆç@ ¿ë@ LŠ‘bÈÛa@ Ý–ÐÛa@ ¿@ êbäyŠ‘@ bà×@ bàe@ Þëþa@ ÖŠÐÛa
@ @ZïÜí@bà×@VAR@x‡ì¸@|j–í@òÛb§a

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢٠٦

∆yt = β11∆yt −1 + β12 ∆xt −1 + υt∆y

∆xt = β 21∆yt −1 + β 22 ∆xt −1 + υt∆x (11.4)

@âbÄäÛa@ Ší†Ôm@ Éîİnãë@ I ( 0) @ æŁa@ pa-Ìn½a@ Éîº@ ozj•c

@‰bIg@ ìç@ VAR@ x‡ì¸@ ædi@ bäßý×@ Ýà¬ë@ LôŠÌ–Ûa@ pbÈiŠ½bi
@[òä×bÛa@ pa-Ìn½a@ ´i@ òî׊§a@ òîÛ…bjnÛa@ pbÓýÈÛa@ Ñ–í@ âbÇ
@¿@ âbÄäÛa@ ↂnã@ I (0) @ æbä×b@ x @ ë@ y @ æa-Ìn½a@ æb×@ a‡hÏ

@VAR@‰bIg@ↂnm@bàèäîi@òîÛ…bjnÛa@pbÓýÈÛaë@L (11.3) @òÛ…bȽa

@ @N (11.4) @Þëþa@ÖŠÐÜÛ
@µg@ xbn−@ æýßbØnßë@ I (1) @ æbä×b@ x @ ë@ y @ æa-Ìn½a@ æb×@ a‡g
@ I (1) @pa-Ìnß@´i@ÝßbØnÛa@òÓýÇ@ÝjÔîÛ@pü…bȽa@âbÄã@Ýí†Èm
@pbßìÜÈß@ âa†‚nbi@ ´í…b–nÓb×@ bänjˉ@ Þëþa@ Z´jjÛ@ ÙÛ‡ë
@kËŠã@ ´îbîÔ×@ ïãbrÛaë@ LòîÜßbØnÛa@ pbÓýÈÛa@ Þìy@ ñ†îÐß
@æbj§bi@ ˆdm@ €Ûa@ kîÛbþa@ ÝšÏc@ âa†‚na@ óÜÇ@ †î×dnÛbi
@pü…bȽa@ Ý–Ï@ ¿@ bä’Óbã@ NòîäߌÛa@ ÝýÛa@ pbãbîi@ —öb–
@æìØm@æc@æë…@òîãe@pýÇbÐm@â†Ôm@òîÜßbØnÛa@pü…bȽa@æc@òîãŁa
@óàí@x‡ì¸@µg@bã…ìÔí@òîÜßbØm@pbÓýÇ@áí†Ômë@Lòä×b@pbãbîi
@ @NVEC@x‡ìàäi
@[Q@òu‰†i@æýßbØnß@bzj–í@ xt @ë@ yt @ ´ä×b@-Ë@åí-Ìnß@ˆ
@ @ZòÜßbØnß@æìØm@€Ûa@ xt ~ I (1) @ë@ yt ~ I (1)
yt = β 0 + β1 xt + et (11.5)

@ I (1) @òä×b@pa-Ìn½@ VAR@åß@ò•b@òÛby@ VEC@x‡ì¸@snÈí

@ @ZïÜí@bà×@VEC@x‡ì¸@|j–íë@LòÜßbØnßë
٢٠٧
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

∆yt = α10 + α11 ( yt −1 − β 0 − β1 xt −1 ) + υty

∆xt = α 20 + α 21 ( yt −1 − β 0 − β1 xt −1 ) + υtx (11.6)
@ @ZïÜí@bà×@bèÈîìm@Éîİnã
yt = α10 + (α11 + 1) yt −1 − α11β 0 − α11β1 xt −1 + υty
xt = α 20 + α 21 yt −1 − α 21β 0 − (α 21β1 − 1)xt −1 + υtx (11.7)
@
@æc@ sîy@ VAR@ éj’í@ VEC@ æc@ ôŠm@ (11.6) @ i@ (11.7) @ æ‰bÓ
@ë@ yt −1 @ ôŠc@ pa-Ìnß@ õbİihi@ ÁjmŠíë@ I (1) @ å×b@ yt @ -Ìn½a
@õbİihi@ÙÛˆ×@ÁjmŠí@éãhÏ@ I (1) @å×b@ xt @-Ìn½a@æc@sîyë@ xt −1
@ @N xt −1 @ë@ yt −1 @ôŠc@pa-Ìnß
@oîƒë@ dݨa@ |îz–m@ pbàÜȶ@ ÒŠÈm@ α 21 @ ë@ α11 @ pbàÜȽa
@ÝßbØnÛa@dİ@µg@ ∆xt @ë@ ∆yt @òibvna@‰a†Ôß@ŠèÄm@bèãþ@ÙÛˆi
@[|îz–m@µg@ð…ûí@dݨa@æc@ñŠØÐÛaë@L yt −1 − β 0 − β1 xt −1 = et −1
@ÒČŠÈmë@ ‰aŠÔnüa@ óÜÇ@ †×ûm@ α 21 @ ë@ α11 @ ÝÈ£@ püb§a@ æþ
@æc@ >ŠÏg@ ñŠØÐÛa@ êˆç@ áèÐÛë@ L 0 ≤ α 21 < 1 @ ë@ − 1 < α11 ≤ 0
@æcë@L yt −1 > (β 0 + β1 xt −1 ) @kji@t†y@ et −1 > 0 @kuìß@dݨa
@æc@†×ûí@ (α11 ) @µëþa@òÛ…bȽa@¿@kÛbÛa@dݨa@|îz–m@ÝßbÈß
@òÛ…bȽa@ ¿@ kuì½a@ dݨa@ |îz–m@ ÝßbÈß@ bàäîi@ LœÐ‚äí@ ∆y
@ˆ@ Ndݨa@ |z–í@ ᪠q@ åßë@ …a…Œí@ ∆x @ æc@ †×ûí@ (α 21 ) @ òîãbrÛa
@æc@ †×ûí@ éãhÏ@ òÔÜݽa@ òàîÔÛbi@ Q@ åÇ@ ÝÔí@ dİ@ |îz–m@ ÝßbÈß
@ @NHnot explosive@†Ènjí@üI@l‰bÔní@âbÄäÛa
@Léiaˆu@énÌî•@æþ@_a‰ìè’ß@_bu‡ì¸@dݨa@|îz–m@x‡ì¸@|j•c
@H yt @ éƒI@ Úýènüa@ Ýrß@ ´ä×b@ -Ë@ æa-Ìnß@ æb×@ a‡hÏ
@ ∆xt @…a…‹g@a‡hÏ@LòîÜßbØm@òÓýÇ@éÛ@æc@ÉÓìnã@H xt @éƒI@݆Ûaë
@ @@‰bjnbi@|àí@VEC@x‡ì¸@æhÏ@aˆÛ@N…a…Œî@Úýènüa@æhÏ

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢٠٨

@ð-ÐnÛa@ -Ìn½a@ ¿@ -ÌnÜÛ@ Úýènüa@ -Ìm@ kîvní@ Ñî×

@õŒuI@ -ÌnÛa@ òÇŠë@ H yt = β 0 + β1 xt + et @ ïÜßbØnÛa@ kãb¦aI
@dİ@ et −1 @ æc@ sîy@ ∆yt = α10 + α11 (et −1 ) + υty @ dݨa@ |îz–m
@ @HÚ)’½a@ÝßbØnÛa

@¿@oibrÛa@†§a@…ìuë@Lintercept@oibrÛa@†§a@Þìy@ñ-c@òİÔã
@†Ó@ H α 20 @ ë@ α10 I@ VEC@ ¿@ bà×@ (β 0 ) @Ú)’½a@ ÝßbØnÛa@ òÛ…bÈß
@òibn×@†îÈãë@ònibrÛa@…놧a@Éîº@Éà¬@a‡b½@ôŠäÛë@LòÜØ’ß@ÕÜ¥
@ @ZïÜí@bà×@ (11.7 )

yt = (α10 − α11β 0 ) + (α11 + 1) yt −1 − α11β1 xt −1 + υty

xt = (α 20 − α 21β 0 ) + α 21 yt −1 − (α 21β1 − 1)xt −1 + υtx (11.8)

@Ší†Ôm@ óÜÇ@ Ý–−@ ôŠÌ–Ûa@ pbÈiŠ½bi@ òÛ…bÈß@ Ý×@ b㉆Ó@ a‡g

@bäí†Û@ †uìí@ üë@ (α 20 − α 21β 0 ) @ ë@ (α10 − α11β 0 ) @ ÝØ’m@ …ë†y
@¿@N α 20 @ ë@ α10 @ë@ β 0 @ pbàÜÈàÜÛ@ Ý–Ðä½a@ Šqþa@ ŠíŠznÛ@ òîÜibÓ
@óÜÇ@ôŠÌ–Ûa@pbÈiŠ½a@Ší†ÔnÛ@Áîi@õaŠug@gŠ’ä@ïÛbnÛa@õŒ¦a
@ @N´nÜyŠß

@ @àèÇj¹<VAR@tƒç´<IM<IMIMM

@-Ìnß@ Ý×@ bÈã@ ïu‰b@ -Ìnß@ ìç@ -Ìn½a@ ædi@ Õrã@ ü@ b߆äÇ
@bänÛby@¿@Šqûm@ yt @òîäߌÛa@òÜÜÛa@Þbr½a@Ýîj@óÜÇ@ˆ@LŠÃbänß
@òîÛb§a@ bèàîÔi@ Šqûm@ xt @ òîäߌÛa@ òÜÜÛa@ b_ îãeë@ xt @ óÜÇ@ êˆç

@ïöbäq@ x‡ì¸@ bäí†Û@ òÛb§a@ êˆç@ ¿@ L yt @ òÜÜÛa@ óÜÇ@ òÔibÛaë

@ @ZïİÈí@Áîi
٢٠٩
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

y t = β 10 − β 12 xt + γ 11 y t −1 + γ 12 xt −1 + u ty (11.9)
x
@ @ xt = β 20 − β 21 yt + γ 21 yt −1 + γ 22 xt −1 + u t (11.10)

@L´İjmŠß@ -Ë@ utx @ ë@ uty @ ë@ ´ä×b@ xt @ ë@ yt @ æc@ >)Ðã

@åß@ VAR@ x‡ì¸@ æýØ’í@ (11.10) @ ë@ (11.9) @ ´nÛ…bȽaë
@êˆçë@ L†yaìÛa@ ïç@ õbİig@ ñ)Ï@ ÞìIc@ æþ@ µëþa@ òu‰†Ûa
@óÜÇ@_bîãe@Šqûm@ yt @æþ@ reduced-form@òšÐ«@oîÛ@pü…bȽa
@su@ âa†‚nbi@ âbÄäÛa@ òibn×@ †îÈãë@ LH − β12 @ i@ ñbİÈßI@ xt

@ @ZóÜÇ@Ý–−ë@pbÏìЖ½a

1 β 12   y t  β 10  γ 11 γ 12   y t −1  u ty 
  = + + 
β
 21

1  xt   β 20  γ 21 γ 22   xt −1  u tx 
L (11.11)

@ @Lëc
β Z t = Γ0 + Γ1 Z t −1 + u t (11.12)

@ @Zæc@sîy
1 β12   yt 
B=  , Zt =   ,
 β 21 1  xt 
@ @
 β 10  γ γ 12  u ty 
Γ0 =   , Γ1 =  11 , ut =  x 
 β 20  γ 21 γ 22  u t 

@ @ZóÜÇ@Ý–zäÛ@ β −1 @¿@´jãb¦a@ý×@lŠšã

Z t = Α 0 + Α1 Z t −1 + et (11.13)

@ @N et = β −1ut , Α1 = β −1Γ1 , Α 0 = β −1Γ0 @æc@sîy


‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢١٠

@évnàÜÛ@ i @Š–äÈÛa@ìç@ ai 0 @æc@µg@ñ‰b‘üa@ìç@ÁîjnÛa@åß@Ò†ea

@òÏìЖàÜÛ@ j @…ìàÈÛaë@ i @ŠİÛa@¿@Š–äÈÛa@ìç@ìç@ aij @ë@ Α 0
@Éîİnã@ aˆç@ âa†‚nbië@ L et @ òvnàÜÛ@ i @ Š–äÈÛa@ ìç@ eit @ ë@ Α1
@ @ZïÜí@bà×@VAR@x‡ì¸@òibn×@ñ…bÇg
(
e1t = uty + β12utx ) (1 − β 12 β 21 ) (11.14)
e2t = (u t
x
u ) (1 − β
+ β 21 t
y
12 β 21 ) (11.15)

@æbÈjníë@ Lwhite-noise@ òîöaì’Ç@ pbîÜàÇ@ utx @ ë@ uty @ æc@ sîy

@ @Nwhite-noise@òîöaì’Ç@bèmbîÜàÇ@€Ûa@ e2t @ë@ e1t

VEC<<`ޤ]<xév’i<ärjÚ<tƒç´<†è‚Ïi<INIMM
@Ldݨa@|îz–m@x‡ì¸@Ší†ÔnÛ@òîbîÔÛa@ÖŠİÛa@åß@†í†ÈÛa@Úbäç
@âa†‚na@µëþa@Z´nÜyŠß@óÜÇ@ôŠÌ–Ûa@pbÈiŠ½a@Ší†Ôm@bèjÜËc
@Ú)’½a@ ÝßbØnÛa@ òÓýÇ@ Ší†ÔnÛ@ ôŠÌ–Ûa@ pbÈiŠ½a
@ïÓaìjÛa@ õbİig@ åíìØmë@ yt = β 0 + β1 xt + et

@ @N eˆt −1 = yt −1 − b0 − b1 xt −1
@ @Zpü…bȽa@Ší†ÔnÛ@ôŠÌ–Ûa@pbÈiŠ½a@âa†‚na@òîãbrÛa@òÜyŠ½a
∆yt = α10 + α11eˆt −1 + υty (11.25)
∆xt = α 20 + α 21eˆt −1 + υtx (11.26)
@ïç@ (11.26) @ë@ (11.25) @òÛ…bȽa@¿@ (∆y, ∆x, eˆ ) @pa-Ìn½a@Éîº
@LHòä×b@æìØm@æc@k¯@ ê @ïÓaìjÛaë@LòÜßbØnß@ x @ë@ y I@òä×b
@-Ë@ pa-Ìnßë@ òä×b@ pa-Ìnß@ xŒß@ òîÐî×@ Þìy@ ‰ˆ§a@ k¯
@´i@ òÓýÇ@ Ú)’½a@ ÝßbØnÛa@ æìØíë@ L‰a†−üa@ x‡ì¸@ ¿@ òä×b
@ @@L I (0) @pa-Ìnß@åàšnm@ü@òîÜßbØnÛa@òÛ…bÈ½aë@L I (1) @pa-Ìnß
٢١١
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

@pa-ÌnßI@ I (1) @ -Ìn½a@ ¿@ ŠČîÌnÛa@ Ýqbà½a@ VEC@ x‡ìàäÛa@ ÁiŠíë

@óà½aë@ I (0) @ ôŠþa@ pa-Ìn½a@ ¿@ H ∆x @ ë@ ∆y @ Û@ I (0)

@ání@ òä×b@ ôŠc@ pa-Ìnß@ kÜİm@ a‡gë@ eˆt −1 @ ïÓaìjÛa@ ÝßbØm

@pa-Ìnßë@òä×b@pa-Ìnß@xŒ¸@ü@LôŠc@pbàÜØië@LbènÏb™g
@òÛ…bȽ@ Šíþa@ kãb¦a@ óÜÇ@ I (0) @ ÉibnÛa@ -Ìn½a@ Zòä×b@ -Ë
@kãb¦a@ óÜÇ@ I (0) @ ôŠc@ pa-Ìn¶@ gŠ’í@ æc@ k¯@ ‰a†−üa
@òÛ…bÈß@ åß@ Šíþa@ kãb¦a@ óÜÇ@ I (1) @ ÉibnÛa@ -Ìn½aë@ å¹þa
@kãb¦a@ óÜÇ@ I (1) @ ôŠc@ pa-Ìn¶@ gŠ’í@ æc@ k¯@ ‰a†−üa
@ @Nå¹þa
@ @Ù^nÚ<IMINIMM
@ïÛbºüa@ ïܑa@ wmbäÜÛ@ òîÈi‰@ pbãbîi@ ïÛbnÛa@ ÝØ’Ûa@ >ŠÈí
@pbíüìÛaI@ -j×@ …b–nÓaë@ HbîÛa)aI@ -Ì•@ …b–nÓü@ ïÔîÔ§a
@Lgdp.wf1@Ñܽa@åß@ RPPPZPT@µg@QYWPZPQ@ñ)ÐÜÛ@Hñ†zn½a
@bãìØí@ †Óë@ ´nä×b@ -Ë@ ´nÜÜÛa@ ý×@ æc@ ÝØ’Ûa@ åß@ ŠèÄíë
@ @N´nÜßbØnß
@N´nä×b@ -Ë@ ´nÜÜÛa@ æc@ óÜÇ@ ñ†yìÛa@ ‰ˆu@ ‰bjna@ †×ûí
@†§a@ ÒˆyI@ (11.27 ) @ òÛ…bȽa@ ïÓaìi@ wnäã@ ÝßbØnÛa@ ‰bjnüë
@ @NHð…b–nÓa@óäÈß@ðc@éÛ@†uìí@ü@éãþ@oibrÛa
ˆ = 0.985US , R 2 = 0.995
Α t t (11.27 )
@ GDP @µg@ US @-’íë@LïÔîÔ§a@ïÛa)üa@ GDP @µg@ Α @-’m
@ïÓaìjÛa@ æìØ@ ‰bjna@ ðŠ¬@ áq@ Lñ†zn½a@ pbíüìÜÛ@ ïÔîÔ§a
@‰†Ô½a@ ñ†yìÛa@ ‰ˆu@ ‰bjna@ òÛ…bÈßë@ L eˆt = Αˆ t − 0.985USt
@ @Zïç@ïÓaìjÜÛ

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢١٢

110

100

90

80

70

60

50

40

30
1970 1975 1980 1985 1990 1995 2000

AUS USA

@ @
∆eˆt = − 0.128 eˆt −1 (11.28)
( tau ) ( −2.889 )

@òàîÔÛa@ æìØm@ [oibrÛa@ †§a@ ðìn¤@ ü@ ÝßbØnÛa@ òÓýÇ@ æc@ b¶

@ t @ òàîÓ@ æc@ sîyë@ LU@ òíìäÈß@ ôìnß@ †äÇ@ (− 2.76) @ òuŠ§a
@òÐÛa@ œÏŠä@ − 2.76 @åß@ ÝÓc@ ïç@ − 2.889 @ñ†yìÛa@‰ˆ¦
@ïÔîÔ§a@ GDP @ €ÜÜ@ æc@ wnänãë@ ÝßbØnÛa@ â†ÈÛ@ òîbþa
@¿@ ð…b–nÓüa@ Âb’äÛa@ æc@ ZÈm@ òvînäÛa@ êˆçë@ L´nÜßbØnß@ bàç
@pbíüìÛaI@ -j×@ …b–nÓbi@ ÁjmŠß@ H Αt @ bîÛa)aI@ -Ì•@ …b–nÓa
@ñ†yìi@ ñ†zn½a@ pbíüìÜÛ@ GDP @ ÉÐm‰a@ a‡hÏ@ LH USt @ ñ†zn½a
@…b–nÓüa@ åØÛ@ Lñ†yë@ 0.985 @ i@ …a…Œî@ Αt @ æhÏ@ Lñ†yaë
@LÊbi‰þa@´i@áv§a@aˆç@‰a†Ô¶@_bßb·@kîvní@ü@†Ó@ïÛa)üa
@|îz–m@x‡ì¸@‰†Ôä@Êbi‰þa@´i@òibvnüa@ávy@åß@†×dnÜÛë
@x‡ì¸@ Ší†Ôm@ æìØí@ ÙÛˆië@ LôŠÌ–Ûa@ pbÈiŠ½a@ òÔíŠİi@ dݨa
@ @ZïÜí@bà×@ {Αt , USt }@Û@VEC
٢١٣
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

ˆ = 0.492 − 0.099 eˆ
∆Α t t −1
(t ) (− 2.077 )

∆UˆSt = 0.510 + 0.030 eˆt −1 (11.29)

(t ) (0.789 )
@bàe@ ´nÛ…bȽa@ ýØÛ@ dݨa@ |îz–m@ pýßbÈß@ æc@ wöbnäÛa@ ´jm
@òÛ…bȽa@¿@dݨa@|îz–m@ÝßbȽ@òjÛbÛa@ñ‰b‘⁄a@Lòjbäß@ñ‰b‘g
@ñ‰b‘⁄a@ bàäîi@ LœÐ‚äí@ ∆Α @ æc@ µg@ -’m@ (− 0.099) @ µëþa
@æc@-’m@ (0.030) @òîãbrÛa@òÛ…bȽa@¿@dݨa@|îz–m@ÝßbȽ@òjuì½a
@ëc@ eˆt −1 > 0 @ Zkuìß@ ÝßbØnÛa@ dİ@ æìØí@ b߆äÇ@ …a…Œí@ ∆USt
@ @N Αt −1 > 0.985USt −1
@H US @ ¿@ kuìß@ -Ìmë@ Α @ ¿@ kÛb@ -ÌmI@ ÚìÜÛa@ aˆç
@ (− 0.099) @ dݨa@ |îz–m@ ÝßbÈß@ LÝßbØnÛa@ õbİc@ "|z–í"
@ÑČîØnÛa@µg@-’íë@LU@òíìäÈß@ôìnß@†äÇ@òîöb–yg@òÛü…@ë‡
@òîÜßbØnÛa@bènàîÓ@åÇ@ Αt −1 @ÒaŠ−ü@QP@æìØî@ Αt @Û@ïÈiŠÛa
@ÝßbÈß@LÞby@Ý×@óÜÇ@Lõïİi@ÑČîØm@Þ†Èß@aˆçë@ 0.985USt −1
@-’í@ìçë@ðìäÈß@-Ë@ (0.030) @òîãbrÛa@òÛ…bȽa@¿@dݨa@|îz–m
@òèuë@ Éß@ Õní@ aˆçë@ LÝßbØnÛa@ dݨ@ ÝÇbÐní@ ü@ ∆US @ æc@ µg
@òí…b–nÓüa@Â늒ÜÛ@ÝÇbÐní@-Ì–Ûa@…b–nÓüa@ædi@òÜöbÔÛa@ŠÄäÛa
@ @NØÈÛbi@ØÈÛa@îÛë@-jØÛa@…b–nÓüa@¿
< <ê×ÛÂ<ÐéfŞi

@ñ†öbÐÛa@ ‰bÈcI@ ij@ -Ìnß@ interest rate.wf1@ ÑÜß@ åàšní

@æb×@a‡g@bàîÏ@‰bjnü@NHòîØíŠßþa@ñ†öbÐÛa@‰bÈcI@ius@ë@HòîãbibîÛa
@µg@ xbn−@ bäãhÏ@ LòÐöa‹@ òÓýÇ@ bàèİiŠí@ âc@ æýßbØnß@ ius@ ë@ ij
@‰bjnüa@ aˆç@ õaŠu⁄ë@ Lbàç‰a†−a@ ïÓaìi@ æìØÛ@ ‰bjna@ õaŠug
@ @ZòîÛbnÛa@ôŠÌ–Ûa@pbÈiŠ½a@òÛ…bÈß@òía†jÛa@¿@‰†Ôä

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢١٤

Dependent Variable: IJ
Method: Least Squares
Sample: 1985Q1 2002Q4
Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
IUS 0.521881 0.043252 12.06611 0.0000
R-squared 0.274238 Mean dependent var 2.833611
Adjusted R-squared 0.274238 S.D. dependent var 2.589818
S.E. of regression 2.206308 Akaike info criterion 4.434310
Sum squared resid 345.6135 Schwarz criterion 4.465930
Log likelihood -158.6352 Hannan-Quinn criter. 4.446898
Durbin-Watson stat 0.055460

@òàöbÔÛa@ åß@ Make Residual Series@ )aë@ Proc@ ŠÔãc@ áq

@ @ZïÓaìjÛa@òÜÜ@åíìØnÛ@òÛ†ä½a

@ @
@ @E@ïÓaìjÛa@ïàã@áq
٢١٥
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

@ïÓaìjÛa@ ¿@ -ÌnÛa@ ‰a†−bi@ ÙÛ‡ë@ ñ†yìÛa@ ‰ˆu@ ‰bjna@ ðŠ¬@ áq

@ @Zêbã…c@ŠèÄí@bà×@e(-1)@ïÓaìjÛa@õbİig@óÜÇ@d(e)
Dependent Variable: D(E)
Method: Least Squares
Sample (adjusted): 1985Q2 2002Q4
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
E(-1) -0.031801 0.027912 -1.139301 0.2585
R-squared 0.013432 Mean dependent var -0.036140
Adjusted R-squared 0.013432 S.D. dependent var 0.522014
S.E. of regression 0.518496 Akaike info criterion 1.538215
Sum squared resid 18.81865 Schwarz criterion 1.570083
Log likelihood -53.60662 Hannan-Quinn criter. 1.550888
Durbin-Watson stat 1.421169

@s×c@ìç@HQ~QSY@ M@ I@òiì‘a@ñ†yìÛa@‰ˆu@‰bjna@òàîÓ@æc@b¶
@â†ÈÛ@¡bþa@òÏ@ ÝjÔã@bäãhÏ@HQ~YT@ MI@òuŠ§a@òàîÔÛa@åß
@ @NÚ)’½a@ÝßbØnÛa

@µg@ d(e(-1))@ Ýrß@ ÉibnÛa@ -ÌnàÜÛ@ òîÏb™g@ õbİig@ ñ)Ï@ òÏb™hi

@ @ZóÜÇ@Ý–−@‰bjnüa
Dependent Variable: D(E)
Method: Least Squares
Sample (adjusted): 1985Q3 2002Q4
Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
E(-1) -0.039925 0.027289 -1.46304 0.1481
D(E(-1)) 0.296691 0.115298 2.573247 0.0123
R-squared 0.101322 Mean dependent var -0.038260
Adjusted R-squared 0.088106 S.D. dependent var 0.525475
S.E. of regression 0.501792 Akaike info criterion 1.486894
Sum squared resid 17.12209 Schwarz criterion 1.551137
Log likelihood -50.04129 Hannan-Quinn criter. 1.512412
Durbin-Watson stat 2.111600

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢١٦

error- correction @dݨa@|îz–m@òÛ…bÈß@Ší†Ôm@bã…‰c@a‡gë

@Lêbã…c@ ŠèÄí@ bà×@ òÛ…bÈàÜÛ@ dݨa@ †y@ òÏb™g@ bäîÜÇ@ equation
@dݨa@†y@ïÓaìi@pýßbÈß@ïç@dݨa@|îz–m@pýßbÈß@æìØnÏ
@ @Ne(-1)@óà½a

@ @
Dependent Variable: D(IJ)
Method: Least Squares
Sample (adjusted): 1985Q2 2002Q4
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C -0.093984 0.050960 -1.844278 0.0694
E(-1) -0.048542 0.023116 -2.099976 0.0394
R-squared 0.060072 Mean dependent var -0.087887
Adjusted R-squared 0.046450 S.D. dependent var 0.439015
S.E. of regression 0.428697 Akaike info criterion 1.171634
Sum squared resid 12.68093 Schwarz criterion 1.235372
Log likelihood -39.59301 Hannan-Quinn criter. 1.196981
F-statistic 4.409898 Durbin-Watson stat 1.076578
Prob(F-statistic) 0.039389

@ @
Dependent Variable: D(IUS)
Method: Least Squares
Date: 06/17/10 Time: 22:39
Sample (adjusted): 1985Q2 2002Q4
Included observations: 71 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C -0.102934 0.079709 -1.291369 0.2009
E(-1) -0.030086 0.036157 -0.832109 0.4082
R-squared 0.009935 Mean dependent var -0.099155
Adjusted R-squared -0.004414 S.D. dependent var 0.669073
S.E. of regression 0.670548 Akaike info criterion 2.066323
Sum squared resid 31.02482 Schwarz criterion 2.130060
Log likelihood -71.35446 Hannan-Quinn criter. 2.091669
F-statistic 0.692406 Durbin-Watson stat 1.885126
Prob(F-statistic) 0.408218
٢١٧
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

VAR<tƒç´<†è‚Ïi<IOIMM

multivariate @ …놧a@ …†Ènß@ ï׊y@ x‡ì¸@ ìç@ VEC@ x‡ì¸

@òÛb§@ áèß@ ìçë@ LòîÜßbØm@ pü…bÈß@ Ýà’í@ dynamic model
@bàçë@ L I (1) @ bàçý×@ x @ ë@ y@ åí-Ìnß@ bäí†Ûë@ Låí-Ìnß
@…bànÇübi@ ´ànèß@ bä×@ a‡g@ ÝÈÐã@ æc@ bäîÜÇ@ a‡bß@ åØÛ@ LæýßbØnß
@‰†Ôã@òÛb§a@êˆç@¿@_´ÜßbØnß@-Ë@bãb×ë@ x @ë@ y @´i@Ú)’½a
vector autoregressive (VAR) @ïmaˆÛa@ ‰a†−üa@ évnß@x‡ì¸
@ @N (11.29) @¿@ŠèÄí@bà×@model

@‰b’½aI@ GDP @ání‰bËìÛ@æc@ïÛbnÛa@ÝØ’Ûa@ŠèÄí@Þbr½a@Ýîj@ïÜÇ

@pbíüìÛa@…b–nÓü@H P @éîÛg@‰b’½aI@ CPI @ání‰bËìÛë@H G @i@éîÛg
@pbãbîjÜÛ@ RPPTZPT@ µg@ QYVPZPQ@ ñ)ÐÛa@ Þý@ ñ†zn½a
@ @Zgrowth.wf1@Ñܽa@¿@ñ…ìuì½a

@ @Z Pt @óÜÇ@ G t @‰a†−ü@ôŠÌ–Ûa@pbÈiŠ½a@Ší†Ôm

Gt = 1.632+ 0.624 Pt
(t ) (41.49 ) (61.482 )

@L_a†u@òÈÐmŠß@ t @áîÓë@ R 2 = 0.955 @x‡ìàäÛa@aˆe@†í†znÛa@ÝßbÈß

@-Ë@bèãc@ë†jm@ÝýÛa@á‰@óÜÇ@…bànÇübië@LòíìÓ@ òvînã@ë†jm
@pbÈiŠ½a@ ïÓaìi@ kya@ Ú)’½a@ ÝßbØnÛa@ ‰bjnüë@ Nòä×b
@ @Zìç@ŠÛìÏ@MïØí…@‰a†−aë@ eˆt = Gt − 1.632 − 0.624 Pt @ôŠÌ–Ûa

∆eˆt = − 0.009 eˆt −1

(tau ) (− 0.977 )
(11.35)

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢١٨

@kzÛ@ oibrÛa@ †§a@ òÜàn‘a@ òîÜßbØnÛa@ pbÓýÈÛa@ åàšnm

@†äÇ@òuŠ§a@òàîÔÛa@æhÏ@aˆÛ@L CPI @åÇ@òÜÔn½a@ GDP @pbãìØß
@ïç@ ïÓaìjÛa@ ÝßbØnÛ@ æìØÛa@ ‰bjnü@ U@ òíìäÈß@ ôìnß
@åß@s×c@ − 0.977 @Hñ†yìÛa@‰ˆ¦@ t @òàîÓI@ tau @æc@b¶@L − 3.37
@ïÛbnÛbië@ òä×b@ oîÛ@ õbİþa@ æc@ µg@ -’m@ bèãhÏ@ − 3.37

@æìØm@H ln (CPI ) @ïçI@ P @ë@H ln (GDP ) @ïçI@ G @´i@òÓýÈÛa

@x‡ì¸@ Õîjİm@ Éîİnã@ ü@ aˆÛ@ LÚ)’ß@ ÝßbØm@ †uìí@ üë@ LòÐöa‹
@xbnã⁄aë@ P @ ïÜØÛa@ ŠÈÛa@ ´i@ òî׊§a@ òÓýÈÛa@ ‰bjnü@ VEC
@ïç@ I (0) @pa-Ìnß@òÇìà£@ VAR@x‡ì¸@‰†Ôä@éäß@_ü†ië@L G
@ @N {∆Pt , ∆Gt }

4.8

4.4

4.0

3.6

3.2

2.8
60 65 70 75 80 85 90 95 00

G P

@ @
٢١٩
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

@bäîÜÇ@ Q@ i@ ñ…†ª@ ïç@ Þbr½a@ aˆç@ ¿@ õbİi⁄a@ òjm‰@ a‡b½@ gŠ’Û
@ @ZïÜí@bà×@òvînäÛaë@LQ@åß@s×þa@õbİi⁄a@…ë†y@òíìäÈß@‰bjna

∆Pˆt = 0.001+ 0.827 ∆Pt −1 + 0.046 Gt −1 (11.36)

(t ) ( 2.017 ) (18.494 ) (1.165 )

∆Gˆ t = 0.010− 0.327 ∆Pt −1 + 0.228 Gt −1 (11.37)

(t ) (7.845 ) (− 4.153 ) (3.256 )

@‰bÈþa@¿@ïÈiŠÛa@ìàäÛa@Âbjm‰a@æc@ (11.36) @µëþa@òÛ…bȽa@ŠèÄm

@Éß@ éIbjm‰a@ æc@ üg@ LòÛü…@ ë‡@ (∆Ρt −1 ) @ òÔibÛa@ éàîÓ@ Éß@ (∆Ρt )
@LòÛü…@ éÛ@ îÛ@ òÔibÛa@ ñ)ÐÛa@ ¿@ GDP (∆G t ) @ Û@ ïÈiŠÛa@ ìàäÛa
@òjuìß@ òÛü…@ ë‡@ (∆G t ) @ æc@ (11.37 ) @ òîãbrÛa@ òÛ…bȽa@ ŠèÄmë
@ñ)ÐÛa@¿@-ÌnÜÛ@òÓýÈÛa@òjÛb@òÛü…@ë‡ë@òÔibÛa@bènàîÔÛ@òÓýÈÛa
@æìؽa@ oibrÛa@ †§a@ kzíë@ LHá‚šnÛaI@ ŠÈÛa@ ¿@ òÔibÛa
@Há‚šnÛa@ îÔí@ ðˆÛaI@ ŠÈÛa@ ání‰bËìÛ@ ¿@ -ÌnÛa@ ¿@ oibrÛa
@òí…b–nÓüa@òİ’ãþa@¿@-ÌnÛa@îÔí@ðˆÛaI@ ln (GDP ) @¿@-ÌnÛaë
@ @NH…b–nÓüa@¿@ìàäÛa@ëc

@ðc@wnänm@æc@Éîİnm@ÝèÏ@x‡bàäÛa@ÙÜnÛ@Ší†Ôm@Ùí†Û@æb×@a‡g
@bàÏ@LHkÜİÛaI@ŠÈÛa@ò߆–i@†îÔß@âbÄäÛa@æb×@a‡hÏ@_Še@õï‘
@Þ†Èß@ðdi@_ìàäÛaë@á‚šnÜÛ@ï׊§a@‰b½a@óÜÇ@ò߆–Ûa@Šqc@ìç
@òîàØÛa@ ò߆–i@ †îÔß@ âbÄäÛa@ æb×@ a‡g@ _á‚šnÛa@ ÉÐm-
@óÜÇ@ òîàØÛa@ ò߆•@ ÝibÔß@ ŠÈÛa@ òàçbß@ ïç@ bàÏ@ LH>ŠÈÛaI
@aˆç@Ýr½@òjbä½a@ÝîÛbznÛa@œÈi@µg@æŁa@oÐnÜä@_wmbäÛa@åíbjm
@ @NÞaûÛa

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢٢٠

< <ê×ÛÂ<ÐéfŞi

@LogGDP@ìçë@ g@Zpa-Ìn½a@ Jogrowth.wf1@Ñܽa@åàšní

@LogCPI@ ìç@ p@ ë@ Lïã…‰þa@ ïÛbº⁄a@ ïܑa@ wmbäÛa@ ání‰bËìÛ
@a‡g@ bàîÏ@ ‰bjnüë@ LÙÜèn½a@ ‰bÈþ@ ïbîÔÛa@ áÓŠÛa@ ání‰bËìÛ
@õaŠug@µg@xbn−@òÐöa‹@òÓýÇ@bàèİiŠm@âc@æýßbØnß@æa-Ìn½a@æb×
@‰†Ôã@ ‰bjnüa@ aˆç@ õaŠu⁄ë@ L‰a†−üa@ ïÓaìjÛ@ æìØÛa@ ‰bjna
@ @ZòîÛbnÛa@ôŠÌ–Ûa@pbÈiŠ½a@òÛ…bÈß

@ @

Dependent Variable: G
Method: Least Squares
Sample: 1992Q1 2005Q2
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C -3.742326 0.489453 -7.645930 0.000000
P 2.424934 0.108158 22.42027 0.000000
R-squared 0.906250 Mean dependent var 7.228758
Adjusted R-
squared 0.904447 S.D. dependent var 0.252984
S.E. of -
regression 0.078201 Akaike info criterion 2.222730
Sum squared -
resid 0.318002 Schwarz criterion 2.149064
-
Log likelihood 62.01370 Hannan-Quinn criter. 2.194320
F-statistic 502.6687 Durbin-Watson stat 1.133830
Prob(F-statistic) 0.000000

@ @

@sn®@ áq@ NÑÜ@ bà×@ E@ bèîàãë@ òÛ…bȽa@ êˆç@ ïÓaìi@ wnäã@ áq

@õbİig@óÜÇ@d(e)@ïÓaìjÛa@-Ìm@‰a†−a@õaŠuhi@ÙÛ‡ë@ñ†yìÛa@‰ˆu
@ @ZïÜí@bà×@e(-1)@ïÓaìjÛa
٢٢١
‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ا‬

Dependent Variable: D(E)

Method: Least Squares
Sample (adjusted): 1992Q2 2005Q2
Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
E(-1) -0.58428 0.133653 -4.371601 0.0001
R-squared 0.266201 Mean dependent var 0.004859
Adjusted R-squared 0.266201 S.D. dependent var 0.083125
S.E. of regression 0.071207 Akaike info criterion -2.427771
Sum squared resid 0.263661 Schwarz criterion -2.390596
Log likelihood 65.33594 Hannan-Quinn criter. -2.413475
Durbin-Watson stat 1.682967

@ @

@òuŠ§a@òàîÔÛa@åß@ÝÓc@ïç@HT~SWR@ MI@òiì‘a@ τ @ëbm@æc@b¶

@òÏ@ œÏŠã@ bäãhÏ@ L٪U@ òíìäÈß@ ôìnß@ †äÇ@ HQ~YTMI
@æhÏ@[ôŠc@ñ‰bjÈië@LÚ)’ß@ÝßbØm@…ìuë@â†Èi@òÜöbÔÛa@¡bþa
@NVEC@x‡ì¸@Ší†Ôm@bäîÜÇ@aˆÛ@ NòîÜßbØm@òÓýÇ@bàèİiŠí@åí-Ìn½a
@pbÈiŠ½a@Þý@åß@VAR@pü…bÈß@Ší†Ôm@æhÏ@Þbr½a@ÞbàØnüë
@ @Zêbã…c@ŠèÄm@ôŠÌ–Ûa
@ @
Dependent Variable: D(P)
Method: Least Squares
Sample (adjusted): 1992Q3 2005Q2
Included observations: 52 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006646 0.002102 3.161981 0.0027
D(P(-1)) -0.130424 0.145007 -0.89944 0.3728
D(G(-1)) -0.001698 0.026279 -0.06463 0.9487
R-squared 0.016360 Mean dependent var 0.005826
Adjusted R-squared -0.023789 S.D. dependent var 0.012986
S.E. of regression 0.013139 Akaike info criterion -5.77046
Sum squared resid 0.008459 Schwarz criterion -5.65789
Log likelihood 153.0319 Hannan-Quinn criter. -5.7273
F-statistic 0.407486 Durbin-Watson stat 1.88706
Prob(F-statistic) 0.667555

‫  إ اس ادي ا‬:VAR ‫ و‬VEC ‫ | ذج‬١١
‫ ا‬٢٢٢

Dependent Variable: D(G)

Method: Least Squares
Sample (adjusted): 1992Q3 2005Q2
Included observations: 52 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.024207 0.011564 2.093372 0.0415
D(P(-1)) -0.596284 0.79774 -0.74747 0.4584
D(G(-1)) -0.155588 0.144571 -1.07621 0.2871
R-squared 0.029733 Mean dependent var 0.017941
Adjusted R-squared -0.009870 S.D. dependent var 0.071930
S.E. of regression 0.072285 Akaike info criterion -2.360451
Sum squared resid 0.256028 Schwarz criterion -2.247879
Log likelihood 64.37173 Hannan-Quinn criter. -2.317294
F-statistic 0.750782 Durbin-Watson stat 2.132090
Prob(F-statistic) 0.477348
 <<
<< Ø’ËÖ]<

@ @@Volatility@pbjÜÔnÛa
@ @ZARCH@xˆb¹ë
@ @ïÛb¾a@‘bîÔÛa@¶g@ò߇Ôß
< <
< <
< <
Volatility<l^f×ÏjÖ]<IMIMN
@Variance@ åíbjnÛa@ Ìm@ óÜÇ@ Ý–ÐÛa@ aˆç@ ¿@ bäßbànça@ k–äí
@x‡ìàäi@ x‡ìàäÛa@ aˆç@ óàíë@ [åߌÛa@ Þý#
AutoRegressive Conditional Hetroskedastic
(ARCH)
yt = β 0 + et
et I t −1 ~ N (0, h ) @
ht = α 0 + α1et2−1 , α 0 > 0, 0 ≤ α1 < 1


 ‫   إ اس ا‬:‫ | ات‬١٢
‫ ا‬٢٢٤

@¿@òÛa…@ìçë@[åߌÛa@Þý#@ ht @åíbjnÛa@ Ìní@ ARCH (1) @x‡ì¸@¿

@ñ,ÐÜÛ@ dݨa@ ÉiŠ½@ †yaë@ õbİig@ µg@ òÏb™⁄bi@ (α 0 ) @ oibrÛa@ †§a
@æc@a†×ûîÛ@æbnjuìß@bàç@ α1 @ë@ α 0 @æbnàÜȽaë@L (α1et2−1 )@òÔibÛa
@ÝÓc@ α1 @òàÜȽa@ æìØm@ æc@ k¯@ Lkuìß@ ìç@ variance@åíbjnÛa
@åߌÛa@ IÇ@ ñ…bíŒÛbi@ ŠànnJ@ ht @ æhÏ@ ÙÛ‡@ a†Ç@ bàîÏ@ LQ@ åß
@ @Nexploing@…bÈniüa@ïÛbnÛbië

@pbßìÜȽa@ ¿@ òÛa…@ ìç@ Éí‹ìnÛa@ æc@ òO늒½a@ òîÈîjİÛa@ QÈm

@Éí‹ìnÛa@ æìØí@ t − 2 @ æìØm@ b߆äÈÏ@ L t − 1 @ åߌÛa@ ¿@ òÏëŠÈ½a

@ @NaˆØçë@L e2 I 1 ~ N (0, α 0 + α 1e12 )

R
.04

.03

.02

.01

.00

-.01

-.02

-.03

-.04
25 50 75 100 125 150 175 200 225

@ @
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‫ا‬

@¿@ áèJþa@ †öbÇ@ Amman_stockmarket.wf1@ Ñܽa@ ðìn°

@´mŠÔã@ ŠÔãc@ òîäߌÛa@ òÜÜÛa@ áJŠm@ ïØÛë@ LïÛb½a@ æbàÇ@ ÖìJ
View/Open Graph/Line & Symbol@,#aë@ Ìn½a@aˆç@óÜÇ
@ @NOK@ŠÔãaë
View/Descriptive @,#a@ histogram@ð‰aŠØm@x‰†ß@õb’ã⁄
@ @Statistics & Tests/Histogram and Stats

@ @
@ @ZïÛbnÛa@Éí‹ìnÛa@ŠèÄîJ@‰bî¨a@aˆç@óÜÇ@ŠÔãa

30
Series: R
Sample 1 249
25 Observations 248

20 Mean -0.000527
Median -0.001065
Maximum 0.034520
15 Minimum -0.037141
Std. Dev. 0.011889
10 Skewness 0.110548
Kurtosis 3.232828

5 Jarque-Bera 1.065287
Probability 0.587051
0
-0.0375 -0.0250 -0.0125 0.0000 0.0125 0.0250

@ @
 ‫   إ اس ا‬:‫ | ات‬١٢
‫ ا‬٢٢٦

ARCH Effects<†m_<…^fj}]<<INIMN
@ïÓaìjÛa@ÉiŠß@‰a†−a@‰†Ó@µëþa@òu‰†Ûa@åß@ARCH@Šqc@‰bjn#ü
@ @Z eˆt2−1 @bèöbİig@óÜÇ@ eˆt2
eˆt2 = γ 0 + γ 1eˆt2−1 + ν t
@òîJbJþa@ òÐÛa@ Îb–më@ Lïöaì’ÈÛa@ dݨa@ †y@ ν t @ æc@ sîy
@ @ZïÛbnÛa@ìzäÛa@óÜÇ@òÜí†jÛaë
H0 : γ1 = 0
H1 : γ 1 ≠ 0
@òÛ…bȽa@Ší†Ôm@æìØîJë@ γ 1 = 0 @æhÏ@ ARCH @Šqc@âa†Èãa@Þby@¿
@Šqc@…ìuë@Þby@¿ë@LòšÐ‚äß@ R 2 @æìØm@b߆äÇ@fbÐîÈ™@ñIn‚½a
@ R 2 @æìØíë@éöbİig@áîÓ@óÜÇ@fa†ànÈß@ eˆt2 @Ší†Ôm@ÉÓìnäJ@ ARCH
@åÇ@Ñ’ØÛbi@ ARCH @Šqc@‰bjn#a@Éîİnã@ïÛbnÛbië@Lfbîjã@fbÈÐmŠß
@ @N R 2 @óÜÇ@…bànÇübi@ LM test @‰bjn#a@Õjİã@bà×@ γ 1 @òÛü…

mean @ ÁJìn½a@ òÛ…bÈß@ åß@ ‰a†−üa@ ïÓaìi@ óÜÇ@ Ý–−

@ŠèÄí@ bà×@ oibrÛa@ †§a@ óÜÇ@ †öaìÈÛa@ ‰a†−a@ ‰†Ôãë@ Lequation
@ @Zêbã…c

@ @
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‫ا‬

Residual ,#a@ áq@ View@ ,#a@ ‰a†−üa@ ïÓaìi@ xbnã⁄

@ @NòÛ†ä½a@òàöbÔÛa@åß@Tests/Heteroskedasticity Test

@ @
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@ @N ARCH (1) @Šqc@In®@bäãc@QÈí@aˆçë@Number of lags@õbİi⁄a

@ @
 ‫   إ اس ا‬:‫ | ات‬١٢
‫ ا‬٢٢٨

@ @Nêbã…c@ ARCH @‰bjn#a@wöbnã@óÜÇ@Ý–¤@OK@ŠÔãa

@ @
@òÛü…@ pa‡@ bèãhÏ@ HQU~XXVI@ ðëbm@ LM @ òîöb–yg@ æc@ b¶
@…ìuë@ â†Èi@ òÜöbÔÛa@ òîJbJþa@ òÐÛa@ œÏŠäJ@ aˆÛ@ Lòîöb–yg
@æc@ òÄyýß@ Éß@ Lµëþa@ òu‰†Ûa@ åß@ ARCH @ Šqc
@æc@ µg@ òÏb™g@ L LM = T × R 2 = 247 × 0.064317 = 15.886

@Šqc@ …ìuë@ †×ûm@ (15.886 = 4.10382 ) @ t @ ë@ F@ òîöb–yg

@ @Nµëþa@òu‰†Ûa@åß@ ARCH

@ @
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‫ا‬

< <ARCH <tƒç´<†è‚Ïi<IO<IMN

@Quick/Estimate equation@ ŠÔãa@ ARCH @ x‡ì¸@ Ší†ÔnÛ
@ @NMethod@òîvèäàÜÛ@òÛ†ä½a@òàöbÔÛa@åß@ ARCH @‰bî#@,#aë

@ @
Mean @ ÁJìn½a@ òÛ…bȶ@ óÜÇþa@ õŒ¦a@ ¿@ òÛ…bȽa@ óàm
Variance and distribution @ ÝÐJþa@ õŒ¦a@ ¿ë@ Lequation
@‰a†−a@òÛ…bÈß@ Mean equation@õŒu@¿@Ý#…c@ specification
@x‡ì¸@ Ší†ÔnÛ@ ïÜÐÛa@ õŒ¦a@ ¿ë@ LC@ oibrÛa@ óÜÇ@ R@ †öaìÈÛa
@ @N ARCH @òãb#@ÝibÔß@Q@áÓŠÛa@kn×a@Q@òu‰†Ûa@åß@ ARCH
 ‫   إ اس ا‬:‫ | ات‬١٢
‫ ا‬٢٣٠

@ @
@¿@ Options@ óÜÇ@ ŠÔãa@ òí‰bîȽa@ õbİ#þa@ ŠíŠÔm@ óÜÇ@ Þì–zÜÛ
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@òÛb§a@êˆç@¿ë@LòîJbJþa@òîö†j½a@òàîÔÛa@òîäߌÛa@ÝJýÛa@x‡ì¸
@åíbjnÛa@ òÇìà©@ pa‰bî¨a@ {,Ômë@ L h0 @ ìç@ ïö†j½a@ åíbjnÛa@ æhÏ
@ @NòO늒ß@ Ë@òäîÇ@åíbjm@µg@ïö†j½a

@ @
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@ @Nêbã…c@wöbnäÛa@óÜÇ@Ý–znJ@OK@ŠÔãc

@ @
@Þ†Èß@ æc@ Mean equation@ òÛ…bÈß@ åß@ óÜÇþa@ õŒ¦a@ ŠèÄíŽ
Variance @òÛ…bÈß@ìç@ÝÐJþa@õŒ¦aë@LP~PPPYWQ@ìç@†öbÈÛa
@åàšní@ ðˆÛa@ ARCH @ x‡ì¸@ òvînã@ ïİÈm@ Ûa@ equation
@óÜÇ@ †ànÈí@ ðˆÛa@ æìؽaë@ HP~PPPPYXQI@ oibrÛa@ æìØß
@Šqc@òÛü…@ÝÜĽa@Á¨a@´jíë@L (0.315644 eˆt2−1 ) @òÔibÛa@õbİ#þa
@ @N ARCH

@ŠÔãc@ Conditional Variance@ Â늒½a@ åíbjnÛa@ ÝJýJ@ xbnã⁄

@Make GHARCH Variance Series@,#c@áq@ Proc@óÜÇ
@ @NòÛ†ä½a@òàöbÔÛa@åß
 ‫   إ اس ا‬:‫ | ات‬١٢
‫ ا‬٢٣٢

@ @
@ @NH@l@Â늒½a@åíbjnÛa@óàãë@ñˆÏbã@|nÏ@ánîJ

@ @
@‰bîn#bi@ bè…‰@ Éîİnã@ Ûa@ ÝJýÛa@ õb’ãg@ ánîJ@ OK@ ŠÔãc
@ @View/Graph/Line & Symbol
٢٣٣ ‫   إ اس ا‬:‫ | ات‬١٢
‫ا‬

H
.0006

.0005

.0004

.0003

.0002

.0001

.0000
25 50 75 100 125 150 175 200 225

@ @
< <ÜÛù]<ARCH <tƒç´<†è‚Ïi<IP<IMN
@ @Zêbã…c@ïÛbnÛa@‰bî¨a@,#a@ GARCH (1, 1) @x‡ì¸@Ší†ÔnÛ

@ @
 ‫   إ اس ا‬:‫ | ات‬١٢
‫ ا‬٢٣٤

@ @ZòîÛbnÛa@wöbnäÛa@óÜÇ@Ý–−@OK@ŠÔãc

@ @
@ @ZïÛbnÛa@ÝØ’Ûa@ GARCH (1, 1) @x‡ì¸@ˆ‚ní

ht = δ + α 1et2−1 + β1ht −1 @

@oãb×@ a‡g@ bßc@ Lòä×bJ@ æìØnÛ@ α 1 + β1 < 1 @ æìØm@ æc@ µg@ xbn−
“integrated @ pbîÜàÇ@ óàí@ bß@ bäí†Û@ æìØí@ α 1 + β1 ≥ 1
@ @NIGARCH@ëc@GARCH”
٢٣٥ ‫   إ اس ا‬:‫ | ات‬١٢
‫ا‬

@æc@wöbnäÛa@êˆç@ŠèÄmŽë@LGARCH@òÛü…@â†Ç@ÝÜĽa@Á¨a@ŠèÄíŽ
@Šqcë@ HP~SQRPWRI@ ARCH@ Šqc@ ´jm@ pbjÜÔnÛa@ pýßbÈß
@bàèÇìà©ë@ ñ‰b‘⁄a@ bjuìß@ bàçë@ HP~PQYRPWI@ GARCH
@ @NòíŠÄäÜÛ@kÜİnà×@|îz–Ûa@†yaìÛaë@ŠÐ–Ûa@´i@ÉÔí
< <Ü¿jß¹]<%Æ<GARCH <tƒç´<IQIMN
@òîib¯üa@‰bj#þa@Þìy@Ýrßþa@†yc@TARCH@ëc@ARCH@x‡ì¸
T-@ x‡ì¸@ ò‚ã@ ¿@ NáÄnäß@ Ë@ ÝØ’i@ ò¦bȽa@ òîjÜÛa@ ëc
@ @ZïÜí@bà×@Â늒½a@åíbjnÛa@Ñ•ìí@GARCH

ht = δ + α 1et2−1 + γd t −1et2−1 + β1ht −1

@
1 et < o ‫ار‬


0 et ≥ o ‫أر ة‬


@ @Nleverage@ëc@asymmetry@Ýßbȶ@ γ @ÒŠÈm@sîy

@GARCH@ÝØ’Ûa@µg@—ÜÔní@x‡ìàäÛa@æhÏ@ γ = 0 @æìØm@b߆äÇ

@‰bj#þaI@òjuìß@ò߆–Ûa@æìØm@b߆äÇ@ÙÛ‡@a†Ç@bàîÏ@Lð‰bîȽa
@ò߆–Ûa@ æìØm@ b߆äÇ@ åØÛ@ L α1 @ ìç@ pbjÜÔnÛa@ Šqc@ æhÏ@ Hñ†î¦a
@æhÏ@ïÛbnÛbië@L α 1 + γ @ìç@pbjÜÔnÛa@Šqc@æhÏ@Hò÷îJ@‰bj#cI@òîjÜJ
@faŠqc@ b@ òjÛbÛa@ pb߆–Ûaë@ Lòjuìß@ pb߆•ë@ òÛü…@ pa‡@ γ
@ @Nòjuì½a@pb߆–Ûa@åß@I×c@ ht @óÜÇ@fa j×

@ @Zêbã…c@ŠçbÄÛa@‰bî¨a@,#a@LGARCH@x‡ì¸@Ší†ÔnÛ
 ‫   إ اس ا‬:‫ | ات‬١٢
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@ @
@ @ZòîÛbnÛa@wöbnäÛa@óÜÇ@Ý–¤@OK@ŠÔãa

@ @
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@åÇ@ ÑÜn±@ ü@ HP~QRUTXPI@ asymmetric@ ÝßbÈß@ æc@ b¶

@òîjÜÛa@pb߆–Ûaë@òîib¯a@òÛ…c@…ìuë@â†Ç@wänã@bäãhÏ@LŠÐ–Ûa
@Ší†Ôm@æìØí@òîib¯a@pb߆–Ûa@æìØm@b߆äÈÏ@[òÐÜn«@pa qdm@b
@ @ZïÜí@bà×@pbjÜÔnÛa@Òýn#a

ht = 2.82 E − 05 + 0.077242 et2−1 + 0.655711 ht −1

@ @ZpbjÜÔnÛa@Ší†Ôm@æìØí@òîjÜJ@pb߆–Ûa@æìØm@b߆äÇë

ht = 2.82 E − 05 + (0.077242 + 0.125480 ) et2−1 + 0.655711 ht −1

< <GARCH-in- Mean <tƒç´<<IRIMN

@ @Zïç@GARCH-in- mean pü…bÈß

yt = β 0 + θ ht + et

et I t −1 ~ N (0, ht )
ht = δ + α 1 et2−1 + β1 ht −1 , δ > 0, 0 ≤ α1 < 1, 0 ≤ β1 < 1

@ @

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@ @N´nÔibÛa@´nÛ…bȽa@kyë@ θ

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@ @Zêbã…c@ŠçbÄÛa@‰bî¨a
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Ngrunfeld2.wf1
INVGE = β1,GE + β 2,GEVGE + β 3,GE K GE + eGE
INVWE = β1,WE + β 2,WEVWE + β 3,WE K WE + eWE


 ‫ | 
م ات‬١٣
‫ ا‬٢٤٠

@òîÓìMÛa@ òàîÔÛa@ µg@ V @Y’më@ L‰bàrn7üa@ µg@ INV @Y’m@ sîy

@µg@ WE @ë@ GE @Y’më@LáèMÛa@Þbß@Rc‰@µg@ K @Y’më@LáèMÜÛ
@LïÛaìnÛa@ óÜÇ@ Rëbèvän7ë@ ò׊‘ë@ Ùí&ØÛg@ ÞaŠäu@ ò׊‘
@óÜÇ@ a]…bànÇa@ ´nÛ…bȽa@ ´mbç@ Ší†ÔnÛ@ ÖŠ@@ ñ†Ç@ Úbäçë
@Ý×@ ¿@ dݨa@ †yë@ pbàÜȽa@ ÝÈ£@ aÛa@ òîÏb™⁄a@ pbÐÛa
@pbÈiŠ½a@ òÔíŠİi@ ´nÜ–Ðäß@ ´nÛ…bÈß@ ‰†Ôä7@ òía†jÛa@ ¿@ LòÛ…bÈß
NôŠÌ–Ûa

@ë@ GE @ a׊’Û@ ôŠÌ–Ûa@ pbÈiŠ½a@ aÛ…bÈß@ Ñî•ìm@ ïÜí@ bàîÏ

@Y’í@YÌnß@ò׊‘@ÝØÛ@ædi@]bàÜÇ@NbàçŠí†Ôm@ánî7@ ïmýÛa@ WE
Nb

@ @
@ @ZïÜí@bà×@òvînäÛa@æìØmë
٢٤١ ‫ | 
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‫ا‬

@ @

< <Stacking data<l^Þ^éfÖ]<ÄéÛŸ<IMIMO

@RP@bàèäß@ÝØÛ@´nÜ–Ðäß@‰a†−a@aÛ…bÈß@ÕibMÛa@õŒ¦a@¿@b㉆Ó
@Éîà£@ †Èi@ ôŠÌ–Ûa@ pbÈiŠ½a@ Ší†Ôm@ ÉîİnMãë@ Lñ†çb’ß
@ñ†çb’ß@ TP@ åß@ òãìØß@ ñ†yaë@ òäîÇ@ ¿@ pa†çb’½a@ Pooling
@ÙÛˆ×ë@ ïàçë@ YÌnß@ ÝØÛ@ Ýîßë@ HÉİÔßI@ b] nibq@ a]†y@ åàšnm
@¿@åíbjnÜÛ@Ý–Ðäß@Ší†Ôm@óÜÇ@bäÜ–yë@LÑÜn«@ð‰bîÈß@ÒaŠ−a
@òäîÇ@¿@pbãbîjÛa@Éîà£@†äÇë@L σ WE
2
@ë@ σ GE
2
@ZòÜ–Ðäß@òÛ…bÈß@Ý×
@dİ*@ †y@ bë@ σ GE
2 2
= σ WE @ òî7b7þa@ òÐÛa@ |j–m@ ñ†yaë
@ @N†yaë
 ‫ | 
م ات‬١٣
‫ ا‬٢٤٢

@k7bä½a@åß@æìØí@LïÈîà£@ïàçë@YÌnß@Ší†Ôm@óÜÇ@Þì–zÜÛ
@Lñ†çb’ß@ TP@ áv¡@ ñ†yaë@ òäîÇ@ ¿@ pa†çb’½a@ sí†Øm
@YÌnß@ xbnãg@ kÜİní@ K @ ë@ V @ ë@ INV @ sí†Øm@ µg@ òÏb™⁄bi
@ë@ DUM _ WE = 1 @ æc@ Rb7c@ óÜÇ@ ÒŠÈß@ ïàçë
@òÜMÜ7@ ¿@ ´nÜMÜMÛa@ ´mbç@ ɺ@ ání@ bç†Èië@ DUM _ GE = 0
@ @Zñ†yaë
series dum_we = 1
series dum_ge = 0
@¿@òîãbq@òzЕ@õb’ãhi@Hsí†ØnÛaI@ÉîàvnÛa@òîÜàÇ@óÜÇ@Ý–¤ë
@¿@ åØÛ@ LòzЖÛa@ ¿@ ò7†Ø½a@ òîäߌÛa@ Ý7ýMÛa@ kîmŠmë@ Ñܽa
@Lò7†Ø½a@YË@pbãbîjÛa@ðìn¤@aÛa@µëþa@òzЖÛa@ïàMã@òía†jÛa
@bèxë@ Rename Current Page@&*aë@ Proc@µg@kçˆã@áq
@ @Nunstacked

@ @
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@µg@ kç‡a@ ò7†Ø½a@ pbãbîjÜÛ@ ñ†í†u@ òzЕ@ åíìØnÛ

@ @.Proc/Reshape Current Page/ Stack in New Page

@ @
@yi@ òϊȽa@ òîÈİÔ½a@ pbãbîjÛaë@ Lò7†Ø½a@ pbãbîjÛa@ ÑÜß@ ŠèÄî7
Stacking @ òãb*@ µg@ bènÏb™g@ ánî7@ _ GE @ ë@ _ WE
@¿@Éà£@Ý7ýMÛa@æc@ÞìÔm@aÛa@òãb¨a@êˆç@¿ë@LIdentifiers
Series to stacked into new workfile @ ñ†í†u@ òzЕ
@subscripts@ bèÏŠÈß@ æë†i@ Ý*†m@ ñbàMß@ òÜMÜ7@ ÝØÏ@ page
@¿@ΉbÐÛa@ÉiŠ½a@ÚŠmaë@H_I@âbèÐn7a@òßýÈi@Þ†jnMí@ÒŠÈß@Ý×ë
@Þìİi@ ñ†í†¦a@ òîäߌÛa@ Ý7ýMÛa@ õbxc@ æc@ Èí@ ðˆÛa@ ÝÐ7þa
@ë@ INV @óàMn7@aÛaë@WE@ë@GE@pa†çb’ß@ÝØÛ@ñ†çb’ß@TP
@ @N DUM @ë@ K @ë@ V
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@ @
@ñ†í†¦a@ òzЖÛa@ ïàMmë@ Page Destination@ óÜÇ@ ŠÔãa
NÑܽa@á7a@óÜÇ@òÄÏb~a@Éß@stacked

@ @
@ @ZïÜí@bß@åß@†×dmë@Lstacked@†í†¦a@Ñܽa@òzЕ@óàMm
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@bäí†Û@æc@Èí@aˆçë@1955 1954×2 Range@ô†½a@|j•c@M@ Q

@ @Nñ…†~a@òîäߌÛa@ñ&ÐÜÛ@´ÈİÔß
@ë@ V @ë@ INV @óàMm@ñ†çb’ß@TP@ñ†í†¦a@òÜMÜMÛa@åàšnm@M@ R
@ @N DUM @ë@ K
@Y’m@ sîy@ LID02@ ë@ ID01@ ´m†í†u@ ´nÜMÜ7@ †uìí@ M@ S
@LWE@ bèäß@ ðcë@ GE@ ïç@ bèäß@ ðc@ µg@ µëþa@ òÜMÜMÛa
@ @Nñ†çb’ß@Ý×@ƒí‰bm@òîãbrÛa@ðìn¤ë
@ @Nêbã…c@ŠèÄm@bà×@òÐÜn‚½a@Ý7ýMÛa@|nÏa

@ @
íéÛâçÖ]<l]ÇjÛ×Ö<ï†Ç’Ö]<l^Ãe†¹]<†è‚Ïi<IMIMO

@ @ZòîÛbnÛa@òÛ…bȽa@‰†Ó

@ @
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@ @
< <Pool<ÄéÛrjÖ]<±c<íÚ‚ÏÚ<IMIMO

@òÌî–Ûa@kMy@ÕibMÛa@õŒ¦a@¿@ïàçìÛa@YÌn½a@x‡ì¸@Ší†Ôm@ƒ
@ @ZòîÛbnÛa
INV = β1,GE + δ 1 DUM + β 2,GEV + δ 2 (DUM × V ) + β 3,GE K
+ δ 3 (DUM × K ) + e

@ @ZòîÛbnÛa@Íî–Ûa@œíìÈni
δ 1 = β1,WE − β1, GE , δ 2 = β 2,WE − β 2, GE , δ 3 = β 3,WE − β 3, GE

@ @ZïÜí@bà×@ïàçìÛa@YÌn½a@x‡ì¸@òibn×@åع
INV = β1,GE (1 − DUM ) + β 1,WE DUM + β 2,GE (1 − DUM ) × V +
β 2,WE (DUM × V ) + β 3,GE (1 − DUM )× K + β 3 (DUM × K ) + e
@ @

@ïàçìÛa@ YÌn½a@ x‡ì¸@ wöbnã@ sÐã@ òÛ…bȽa@ êˆç@ Ší†Ôm@ ïİÈî7

@pbàÜÈàÜÛ@ òí‰bîȽa@ õbİ*þaë@ Ší†ÔnÛa@ óäÈß@ sÐäi@ ÕibMÛa
@òzЕ@ åß@ bçŠí†Ôm@ ÉîİnMãëLòíëbMnß@ æìØn7@ aÛa@ òÜqbàn½a
@ @ZòîÛbnÛa@òЕì½a@òÛ…bȽa@âa†‚[email protected]
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Inv (1-dum) dum (1-dum)*v dum*v (1-dum)*k dum*k

@òzЕ@ ¿@ pool@ âa†‚n7bi@ paŠí†ÔnÛa@ óÜÇ@ Þì–§a@ ÉîİnMã
@&*a@ unstaked@ òzЕ@ µg@ ñ…ìÈÛbi@ ÙÛ‡ë@ unstaked
@ @NLs-Eqns@Ò†a@ïàMãë@Object/New Object/Pool

@ @
@¿@ ïç@ aÛa@ òîÈİÔ½a@ pbãbîjÛa@ pbÏŠÈß@ åÇ@ EViews@ ÙÛdMî7
@âbÇ@æìØß@åÇ@ŠÈm@paõaŠu⁄a@êˆç@L_WE@ë@_GE@òÛb§a@êˆç
@pbãbîjÛa@ ÒŠÈß@ æìØßë@ DUM @ ë@ K @ ë@ V @ ë@ INV @ Ýrß
@ @_WE@ë@_GE@Ýrß@òîÈİÔ½a

@ @
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‫ ا‬٢٤٨

@ @Nêbã…c@Öë†ä–Ûa@óÜÇ@ŠÄãaë@Estimate@óÜÇ@ŠÔãc@aˆÛ

@ @
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< <Seemingly Unrelated Regression (SUR)<…]‚©]<IMIMO

@æc@ ‹ŠÐm@ ÕibMÛa@ õŒ¦a@ ¿@ bèîÜÇ@ bäÜ–y@ aÛa@ òÛ…bȽa
@ÞaŠäuë@ RëbèvänMíë@ òÛ…bÈß@ õbİ*c@ æcë@ σ GE 2
= σ WE 2

@L Cov (eGE , t , eWE , e ) = 0 @ë@LòİjmŠß@YË@òäMÛa@sÐã@¿@Ùí&ØÛg

@ë@ σ GE
2
= σ WE 2
@òÐÜÛ@éîÜÇ@Ý–−@ SUR@‰a†−a@Ší†Ôm@æc@ðc
@éÔîjİm@ ƒ@ bß@ Õjİä7@ éîÜÇ@ Þì–zÜÛë@ L Cov (eGE , t , eWE , e ) ≠ 0
@éxë@ pool@Õj@@N†yaë@Ýí†Èni@åØÛ@ÕibMÛa@õŒ¦a@¿@bà×@]bßb·
@¿@kn×a@ Estimate@ŠÔãc@LSUR@éîÜÇ@ÕÜİn7@òÄzÜÛa@êˆç@¿ë
Cross-section specific @ ë@ Dependent variable
@ìç@ éÜÈÏ@ xbn¤@ ðˆÛa@ †í†¦a@ õï’Ûa@ LÕj7@ bà×@ coefficients
@¿ Weight@òÛ†Mä½a@ òàöbÔÛa@åß@ Cross-section SUR@‰bîn*a
@ @NEstimation method@Öë†ä•

@ @
@ @ZòîÛbnÛa@pbÄyý½a@œÈi@ïÜí@bàîÏë@Lêbã…c@wöbnäÛa@ŠèÄn7

@ @NYÌn½a@kMy@wöbnäÛa@¿@pbàÜȽa@kîmŠm@áq@M@ Q

@Pooled EGLS@ òîvèä¶@ Ší†ÔnÛa@ aˆç@ EViews@ ïàMí@ M@ R

@ïç@ SUR@ pa‰†Ôßë@ LHòààȽa@ ôŠÌ–Ûa@ pbÈiŠ½a@ Ší†ÔmI
@ @NòààȽa@ôŠÌ–Ûa@pbÈiŠ½a@pa‰†Ôß@åß@Êìã
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@[ðë†îÛa@lbM§a@åÇ@òÐÜn«@òí‰bîȽa@õbİ*þa@wöbnã@æìØm@ M@ S
@õbİ*þa@ åíbjm@ lbMy@ ¿@ T@ ↂnMí@ EViews@ æþ
@òzîz–Ûa@ò튧a@pbu‰…@æìØm@´y@¿@LÚ&’½a@åíbjnÛaë
@ @Zð‰bîÈß@ÒaŠ−a@Š*Ł@êbã…c@ŠèÄm@bà×@T-K
T −K 17
0.0530 × = 0.0530 × = 0.0489
T 20

@ @
< <Contemporaneous<àÚ]ˆj¹]<½^fi…÷]<…^fj}]<IMIMO

@òÐÜÛ@ ‰bjn*a@ ìç@ åßaŒn½a@ Âbjm‰üa@ ‰bjn*a

@éi@ ÕÜÈn½a@ ïöb–y⁄a@ ‰bjn*üaë@ H 0 : Cov (eGE , t , eWE , e ) = 0

@´i@ Âbjm‰üa@ ÉiŠß@ ìç@ rGE2 ,WE @ æc@ sîy@ LM = T × rGE2 ,WE
@Âbjm‰üa@óÜÇ@Þì–zÜÛ@N´nÛ…bȽa@åß@ôŠÌ–Ûa@pbÈiŠ½a@ïÓaìi
@ïÓaìi@sîÛë@ôŠÌ–Ûa@pbÈiŠ½a@ïÓaìi@µg@xbn−ë@Pool@µg@…ìÈã
@Ñܽa@ &*aë@ òÛ…bȽa@ |nÏa@ LLS_Eqns@ òÛ…bÈàÜÛ@ ÙÛ‡ë@ SUR
@ @NView/Residuals/Correlation Matrix
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@ @

@ @
@ rGE2 ,WE = (0.765043)2 = 0.58529 @ bäí†Û@ wöbnäÛa@ òÏìЖß@ åß
@ LM = 20 × 0.58529 = 11.7058 @ òîöb–yg@ òàîÓ@ óÜÇ@ Ý–−
@ @ZæìØí@Šßþa@æhÏ

scalar pval = 1 - @cchisq(11.7058, 1)

@P~PPPV@ðëbMm@aÛa@ p-value@òîÛbànyüa@òàîÔÛa@óÜÇ@Ý–−
@´i@ åßaŒn½a@ Âbjm‰üa@ æc@ wnänMãë@ H 0 @ œÏŠä7@ éîÜÇ@ õĆ bäië
@ @N…ìuìß@ìç@òÛ…bȽa@õbİ*c

@ @
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< <Cross- equation<-çéÎ<…^fj}]<IMIMO

@LòÐÜn«@ Rëbèvän7ëë@ Ùí&ØÛg@ ÞaŠäu@ pbàÜÈß@ æc@ ‹&Ðã
@òÐÛa@Šn‚ä7@ÞaûMÛa@aˆç@óÜÇ@òibufiÛ@_òíëbMnß@ïç@ÝèÏ
@ @ZòîÛbnÛa
H 0 : β1, GE = β 1,WE , β 2 , GE = β 2 ,WE , β 3, GE = β 3,WE
@òÛ…bÈß@ åß@ Wald test@ âa†‚n7bi@ òÐÛa@ êˆç@ ‰bjn*a@ åع
@ @ZòîÛbnÛa@òî7b7þa@òÐÛa@kn×aë@LSUR
H0: C(1) = C(2), C(3) = C(4), C(5) = C(6)
View/Coefficient Tests/ Wald-Coefficient @ Šn*a
Wald @‰bjn*a@Öë†ä•@¿@ïÛbnÛa@†îÔÛa@Ý*…aë@ Restrictions
@ @Ntest

@ @

@ @
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@ïç@ normalized restrictions@ æg@ ZÝÐ7þa@ õŒ¦a@ ¿

@L β 3, GE − β 3,WE = 0 @ë@ β 2 , GE − β 2 ,WE = 0 @ë@ β1, GE − β1,WE = 0
@òí‰bîȽa@pbÏaŠ−üaë@pa†îÔ½a@åß@ŠMíþa@kãb¦a@Ší†Ôm@ŠèÄíë
@ñbİÈß@‰bjn*ýÛ@ χ 2 @ë@ F @áîÓë Std. Err.@ë@ Value@…ìàÇ@¿
@ñaëbMß@ ‹ŠÏë@ Lp-value@ áîÓë@ LwöbnäÛa@ åß@ óÜÇþa@ õŒ¦a@ ¿
@ @N‹ìÏŠß@pýßbȽa
< <l^Ò†4<†5Â<VÙ^nÚ<INIMO
@Grunfeld.wf1@ pbãbîi@ âa†‚n7bi@ ü
] bà×@ Šr×c@ ü
] brß@ ↂnMã
@aÛaë@ ò׊‘@ N=10@ pb׊’Ûa@ åß@ …†ÈÛ@ ñ†çb’ß@ T=20@ ñ&ÐÜÛ
@ @Zêbã…c@Ñܽa@b虊Èí

@ @
@´m†í†u@ ´nÜMÜ7ë@ K @ë@ V @ë@ INV @Ý7ý7@Ñܽa@ åàšní
@ i th @yÛ@pa†çb’½a@™bnÐß@µg@ I @òÜMÜMÛa@Y’m@sîy@ T @ë@ I @bàç
@…†Ç@ µg@ T @ òÜMÜMÛa@ Y’më@ L i = 1, 2, ...,10 @ æc@ sîy@ ò׊‘
@ë@ Range@æcë@L t = 1, 2, ..., 20 @æc@sîy@ t th @ñ&ÐÜÛ@pa†çb’½a
@pbãbîjÛa@⌧a@ÝØîç@µg@ñ‰b‘g@ðc@æë…@ 1 200@bàç@ Sample
@ @NPanel Data
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< <Ì×¹]<í×Óéâ<IMINIMO
@LProc/Structure/Resize Current Page@ µg@ kç‡a
@òÐÜn«@ pa‰bî*@ ñ†Ç@ ŠèÄí@ Workfile Structure@ Öë†ä–Ûaë
@Ñܽa@¿@ T @ë@ I @æc@b¶ë@LòÛ†Mä½a@òàöbÔÛa@åß@bç‰bîn*a@ÉîİnMã
@Ý7ýMÛa@ÙÜm@á7a@Ý*…aë@ undated with ID series@‰bn®
@ @NIdentifier series@òãb*@¿

@ @

@ @
@o¤@ òîÏb™g@ pbßìÜÈß@ ô&7@ ÝàÈÛa@ ÑÜß@ µg@ …ìÈm@ b߆äÇë
@ïç@⌧a@…bÈic@æc@ôŠ*c@ñ‰bjÈië@Dim(10, 20)@ÞìÔm@Range
@ @NHRP×QPI

@ @
< <VíéÛâæ<l]ÇjÚ<Ý‚~jŠè<Fixed effects<ke^nÖ]<†mù]<ININIMO
@HQI@ ZïÜí@ bß@ µg@ pb׊‘@ Š’ÈÛ@ ñ‰†Ô½a@ ‰bàrn7üa@ òÛ…bÈß@ Y’m
@Ý×@ HRI@ L K @ ë@ V @ YÌnàÜÛ@ pbàÜȽa@ sÐã@ b@ pb׊’Ûa@ Éîº
@pb׊’Ûa@Éîà¦@dݨa@åíbjm@HSI@Lbèi@˜b*@oibq@†y@b@ò׊‘
@ @@pb׊y’Ûa@õbİ*c@´i@åßaŒnß@Âbjm‰a@…ìuë@â†Ç@HTI@LðëbMnß
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@x‡ì¸@ pb™a&Ïüa@ êˆç@ ÑÛûm@ LœÈi@ Éß@ bçˆ*c@ †äÇ@ òÐÜn‚½a

@ònibrÛa@ …놧a@ ÒŠÈmë@ Lð‰bîȽa@ Fixed effect@ oibrÛa@ Šqþa
@Ší†Ôm@ åعë@ LFixed effect@ oibrÛa@ Šqþbi@ òÐÜn‚½a@ HÉİÔ½aI
@paYÌn½a@ ´àšm@ Z´nÔíŠ@@ ô†yg@ ¿@ oibrÛa@ Šqþa@ x‡ì¸
@Ýr¹@ òÛb§a@ êˆç@ ¿@ LoibrÛa@ †§a@ Òˆyë@ ò׊‘@ ÝØÛ@ òîàçìÛa
@åع@ ëc@ LHoibrÛa@ ŠqþaI@ oibrÛa@ †§a@ ïàçìÛa@ YÌn½a@ ÝßbÈß
@ò׊’Ûa@ Á7ë@ åÇ@ ÒaŠ−a@ ÝØ‘@ óÜÇ@ pbãbîjÛa@ åÇ@ YjÈnÛa
@åàšní@ b] u‡ì¸@ òía†jÛa@ ¿@ ‰†Ôä7@ LoibrÛa@ †§a@ æë†i@ bçŠí†Ômë
@ @Nb] îöbÔÜm@oibrÛa@Šqþa@‰bî*@EViews@ˆ*díë@LòîàçìÛa@paYÌn½a
@ @ZïÛbnÛa@Šßþa@ↂnMã@òîàçë@paYÌnß@Ý7ý7@xbnã⁄
series d1 = (i=1)
@(i=1)@ æìØm@ b߆äÇ@ †yaë@ ðëbMm@ aÛa@ D1@ òÜMÜMÛa@ xbnãg
@ñŠ’Ç@xbn−@Nò÷@b*@(i=1)@æìØm@b߆äÇ@ŠÐ•@ðëbMmë@òzîz•
@ @Nïàçë@YÌnß@ÝØÛ@†yaë@Šßc@[Šßaëc

@ @

@ @
@ @
@Ý*…aë@LEquation specification@µg@@x‡ìàäÛa@Ší†ÔnÛ
@Éß@ K@ ë@ V@ ë@ òîàçìÛa@ paYÌn½a@ bèÈjmaë@ INV@ ÉibnÛa@ YÌn½a
@ñˆÏbã@ óÜÇc@ ¿@ Panel options@ ⌧a@ pa‰bî*@ òÄyýß
@‰bîn*a@ dݨa@ åßë@ LbèîÛg@ xbn−@ ü@ Equation specification
@Šqþa@ æc@ Èí@ éãhÏ@ òîàçìÛa@ paYÌn½a@ ´àšm@ bßc@ NoibrÛa@ Šqþa
@ @Néäîàšm@ƒ@†Ó@oibrÛa
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‫ ا‬٢٥٦

@ @
Dependent Variable: INV
Method: Panel Least Squares
Date: 03/13/10 Time: 22:46
Sample: 1 200
Periods included: 20
Cross-sections included: 10 Panel ‫ها  ام‬
Total panel (balanced) observations: 200
Variable Coefficient Std. Error t-Statistic Prob.
D1 -69.1435 49.68547 -1.39162 0.1657
D2 100.8624 24.91366 4.048478 0.0001
D3 -235.119 24.41825 -9.62881 0.0000
D4 -27.635 14.06983 -1.96413 0.0510
D5 -115.317 14.16199 -8.1427 0.0000
D6 -23.0736 12.66121 -1.82238 0.0700
D7 -66.6829 12.83763 -5.19433 0.0000
D8 -57.3586 13.98559 -4.10127 0.0001
D9 -87.277 12.88512 -6.77347 0.0000
D10 -6.54627 11.81987 -0.55384 0.5803
V 0.109771 0.011855 9.259556 0.0000
K 0.310644 0.01737 17.88354 0.0000
R-squared 0.944144 Mean dependent var 145.9068
Adjusted R-squared 0.940876 S.D. dependent var 216.8855
S.E. of regression 52.73656 Akaike info criterion 10.82662
Sum squared resid 522855.2 Schwarz criterion 11.02452
Log likelihood -1070.66 Hannan-Quinn criter. 10.90671
Durbin-Watson stat 0.699157
< <†mù]<…^fj}]<<IOINIMO
@Éîà¦@ òíëbMnß@ intercepts@ ònibrÛa@ …놧a@ oãb×@ a‡g@ bàîÏ@ Šn®
@‰a†−a@ Ší†Ôm@ âa†‚n7a@ ÉîİnMã@ òíëbMnß@ oãb×@ a‡hÏ@ Lpb׊’Ûa
@ @@ñ†yçby’ß@RPP@åß@pooled ls@òyîÈîàvnÛa@ôŠyÌ–Ûa@pbyÈiŠ½a
٢٥٧ ‫ | 
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‫ا‬

@Öë†ä•@|nÏa@Lpanel structure@⌧a@ÝØî@‰bjnÇa@ðc@æë†i
View/Coefficient Tests/Wald @µg@lbçˆÛbi@ Wald test
@pbàÜÈß@oãb×@a‡g@bàîÏ@Šn‚ä7ë@ Coefficient Restrictions
@Þa†jn7a@ ïç@ ôŠ*þa@ òÔíŠİÛaë@ Lü@ ëc@ òíëbMnß@ ònibrÛa@ …놧a
@L…ìîÓ@ Y@bèäîàšm@ání@éÔîjİnÛë@[†yaë@Ýßbȶ@ñŠ’ÈÛa@pýßbȽa
@¿@ŠèÄm@ÖŠİÛa@†yc@L…ìîÔÛa@êˆç@òibnØÛ@òÐÜn«@ÖŠ@@ñ†Ç@Úbäçë
@Þëc@ ‹ŠÈm@ ònibrÛa@ …놧a@ æc@ òÄyýß@ Éß@ Lêbã…c@ Öë†ä–Ûa
@b虊Ç@òÔíŠ@ë@LC(10)@L@NNN@LC(2)@LC(1)@ïç@pbàÜÈß@ñŠ’Ç
@bçYËë@ LC(1)=C(10)@L@ NNN@ LC(1)=C(3)@LC(1)=C(2)@Zïç
@ @NÖŠİÛa@åß

@ @
@òÄyýß@Éß@Lêbã…c@ŠèÄí@bà×@wmbäÛa@‰bjn*a@óÜÇþa@õŒ¦a@ŠèÄíŽ
@YËë@ ñ†îÔ½a@ õbİ*þa@ ÉiŠß@ Êìà©@ âa†‚n7bi@ wnäm@ F@ òàîÓ@ æc
@ÉMni@ χ 2 = 9 × F @ ïç@ åí‰bjn*üa@ áîÓ@ ´i@ òÓýÈÛaë@ Lñ†îÔ½a
@numerator@ÁMjÛa@òíŠy@pbu‰…ë@ χ 2 @‰bjn*ü@òíŠy@pbu‰…
@òÐÛa@ œÏŠã@ 0.0000@ Þbànya@ áîÓ@ †äÇë@ LF@ ‰bjn*ü
@ @Nåí‰bjn*üa@ýØÛ@HoibrÛa@†§aI@ÉİÔ½a@ðëbMnÛ@òî7b7þa
Wald Test:
Equation: Untitled
Test Statistic Value df Probability
F-statistic 48.99152 (9, 188) 0.0000
Chi-square 440.9237 9 0.0000
 ‫ | 
م ات‬١٣
‫ ا‬٢٥٨

Pooled Least squares<íéÃéÛrjÖ]<ï†Ç’Ö]<l^Ãe†¹]<<IPINIMO

@òí…bÇ@ pb™a&Ïüa@ ÝÈ£@ òîÈîàvnÛa@ ôŠÌ–Ûa@ pbÈiŠ½a@ Ší†Ôm

@kÜİní@ ü@ ðˆÛa@ LPanel Structure@ ⌧a@ ÝØîç@ ÉMnnÛ
@ïÜí@ bàîÏë@ NpaŠí†ÔnÛa@ ÙÜm@ xbnã⁄@ ò•b*@ Šßaëc@ âa†‚n7a
@Equation Specification@ µg@ ð…ûm@ aÛa@ òí…bÈÛa@ paìݨa
@ @Zêbã…c@wöbnäÛa@ŠèÄmë

@ @
Dependent Variable: INV
Method: Panel Least Squares
Date: 03/24/10 Time: 21:48
Sample: 1 200
Periods included: 20 Panel Description
Cross-sections included: 10
Total panel (balanced) observations: 200
Variable Coefficient Std. Error t-Statistic Prob.
C -43.0245 9.497896 -4.5299 0.0000
V 0.115374 0.00583 19.78916 0.0000
K 0.231931 0.025465 9.107895 0.0000
R-squared 0.813144 Mean dependent var 145.9068
Adjusted R-squared 0.811247 S.D. dependent var 216.8855
S.E. of regression 94.22749 Akaike info criterion 11.94419
Sum squared resid 1749128 Schwarz criterion 11.99366
Hannan-Quinn
Log likelihood -1191.42 criter. 11.96421
F-statistic 428.6435 Durbin-Watson stat 0.216578
< <
٢٥٩ ‫ | 
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‫ا‬

ke^nÖ]<†mù]<l]…‚ÏÚ<<IQINIMO

Fixed @oibrÛa@Šqþa@x‡ì¸@Ší†ÔnÛ@ïöbÔÜnÛa@Šßþa@EViews@ˆ*dí
Equation @¿@paYÌn½a@òibn×@ÙîÜÇ@LHïàçìÛa@YÌn½aI@effects
@ôŠÌ–Ûa@ pbÈiŠ½a@ ‰a†−a@ ¿@ oÜÈÏ@ bà×@ Specification
Panel @óÜÇ@ŠÔäÜÛ@bäç@xbn¤@ÙäØÛ@LÕibMÛa@õŒ¦a@¿@òîÈîàvnÛa
Cross – Section @ åß@ Fixed@ &*aë@ Options
@ @NSpecification

@ @
@Ší†Ôm@ æc@ òÄyýß@ÙîÜÇ@ Lêbã…c@ ŠèÄí@ wöbnäÛa@ åß@ óÜÇþa@ õŒ¦a
@Lòîàçë@paYÌnß@bèäàšã@b߆äÇ@òÜqbànß@ïç@ K@ë@ V@pýßbÈß
@ÉİÔ½a@æc@Ñ’nØn7@òîibM§a@pbîÜàÈÛa@œÈi@õaŠug@p…‰c@a‡hÏ
@bäÜ–y@aÛa@òîàçìÛa@paYÌn½a@Þ†Èß@ðëbMí@UX~WRYM@†í†¦a
@ @Nb] Ôib7@bèîÜÇ

@ @
 ‫ | 
م ات‬١٣
‫ ا‬٢٦٠

Dependent Variable: INV

Method: Panel Least Squares
Date: 03/24/10 Time: 22:00
Sample: 1 200
Periods included: 20
Cross-sections included: 10
Total panel (balanced) observations: 200
Variable Coefficient Std. Error t-Statistic Prob.
C ‫"! ل ا ا‬ -58.72901 12.44628 -4.718601 0.0000
V 0.109771 0.011855 9.259556 0.0000
K 0.310644 0.017370 17.88354 0.0000
Effects Specification
Cross-section fixed (dummy variables)
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@L˜b*@‰bjnÇa@éÛ@æbîyþa@œÈi@¿@H‰†Ô½a@ÉİÔ½aI@oibrÛa@Šqþa
@ðc@‰bjn*aë@pf’ä½a@sãb£@â†Ç@…ìuë@ÝîÜznÛ@éßa†‚n7a@åع
@oibrÛa@ Šqþa@ áÓ‰@ æhÏ@ òÜrßc@ ñ†ÈÛ@ L‰bjnÇa@ b@ ò•b*@ pb׊‘
@¿@ éÈší@ EViews@ æhÏ@ wöbnäÛa@ ¿@ énÇbj@@ åß@ ü
] †ië@ Lá‚™
@µg@ kç‡a@ Þ놦a@ êˆç@ …b¯⁄ë@ L˜b*@ Þë†u
@ @@View/Fixed/Random Effects/Cross Section Effects

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ke^nÖ]<†mù]<…^fj}]<<IhQINIMO

@Šqþa@ ðëbMm@ ‰bjn*ü@ oibrÛa@ Šqþa@ wöbnã@ âa†‚n7a@ ÉîİnMã@ Ýç

@]bÔib7@êbäíŠuc@bß@éj’m@aÛa@HòîàçìÛa@paYÌn½a@pýßbÈßI@oibrÛa
@µg@kç‡a@LáÈã@laì¦a@LòîàçìÛa@paYÌn½a@Ñî•ìm@âa†‚n7bi
View/Fixed/Random Effects Testing/Redundant
Fixed Effects – Likelihood Ratio

@ @
 ‫ | 
م ات‬١٣
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@áÄÇþa@ Þbànyüa@ kMã@ ‰bjn*a@ åß@ ´n‚Mã@ wöbnäÛa@ ¿@ ŠèÄî7

@Ýqbànß@ F @‰bjn*a@L χ 2 @‰bjn*aë F @‰bjn*a@LLiklehood Ratio
@µg@ð…ûíë@ÑÜn«@‰†–ß@éÛ@ χ 2 @‰bjn*aë@wöbnäÛa@sÐã@ïİÈíë
@ @NÑÜn«@‰bjn*a@òàîÓ
Redundant Fixed Effects Tests
Equation: Untitled
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 48.99152 -9,188 0.0000
Cross-section Chi-square 241.5136 9 0.0000
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NLS<l^Þ^ée<݈u<IOIMO

National @ |M½a@ åß@ nls_panel.wf1@ ÑÜß@ ¿@ pbãbîjÛa

@pbíüìÛa@¿@ÝàÈÛa@ñŠöa…@émŠuc@ðˆÛa@ Longitudinal Surveys
@EViews@ ò‚Mã@ å팥@ ÉîİnMm@ ü@ Yj×@ ÑÜß@ ìçë@ Lñ†zn½a
@LéÛý*@ åß@ pbãbîjÛa@ Ýîܤ@ ÉîİnMã@ ü@ bäãc@ üg@ LòjÜİÛbi@ ò•b¨a
@µg@ xbn¤@ Ší†ÔnÛa@ åß@ õbènãüa@ †Èi@ wöbnäÛa@ å팥@ p…‰c@ a‡gë
@ŠÌ–í@óny@Ý7ýMÛa@œÈi@kİ‘ë@Ñܽa@ÝØîç@Öbİã@—îÜÔm
@éx@ éä팥@ †äÇë@ Léä팥@ kÛbİÛa@ ò‚Mã@ ÉîİnMnÛ@ òíbÐ×@ Ñܽa
@´ÐÜß@ Ùí†Û@ æìØî7ë@ nls_resuls.wf1@ Ýrß@ ÑÜn«@ á7bi
@åàšníë@ LwöbnäÛbi@ ˜b*@ ïãbrÛaë@ òîÜ•þa@ pbãbîjÛa@ bàç†yc
@LQYXRI@òîäß‹@Ý7ý7@ U@éߌy@ÝØîçë@ñ†çb’ß@ SUXP@Ñܽa
@ @N—‚‘@WQV@yÛ@HQYXX@LQYXW@LQYXU@LQYXS
٢٦٣ ‫ | 
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‫ا‬

@ @

@ @
< <

Fixed effects<ke^nÖ]<†mù]<†è‚Ïi<<<IMIOIMO

@Šqþa@ x‡ì¸@ ìç@ NLS@ âŒy@ âa†‚n7bi@ Þëþa@ x‡ìàäÛa@ Ší†Ôm

@òÜÔnM½a@ paYÌn½aë@ Éibm@ YÌnà×@ ln(wage)@ YÌnàÜÛ@ oibrÛa
Union@ë South@ë@ Tenure2@ë@ Tenure@ë@ exper2@ë@ exper
@Lblack@ ë@ educ@ ë@ oibrÛa@ x‡ìàäÛa@ ´àšm@ ™&Ôã@ ÙÛˆ×ë
@åߌÛa@ Þý*@ æbnibq@ bàç black@ ë@ educ@ æþ@ Ší†ÔnÛa@ ÕЂî7
@ë@ Lð…ŠÐÛa@ oibrÛa@ Šqþbi@ bàçŠqc@ kzMî7ë@ L…ŠÏ@ ÝØÛ
@&*aI@Effects Specification@ë@Equation Specification
@ @Nx‡ìàäÛa@aˆ@H⌧a@‰bî*
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٢٦٥ ‫ | 
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‫ا‬

@Âbjm‰üa@ Þby@ ¿@ Ší†ÔnÛa@ oÛëby@ a‡g@ bçaŠm@ aÛa@ òÛb7ŠÛa@ êˆç

@†Èië@ NòíYMÐnÛa@ paYÌn½a@ ´i@ perfect collinearity@ âbnÛa
@bà×@ Ñî•ìnÛa@ æìØí@ black@ ë@ educ@ ò÷îM½a@ paYÌn½a@ ÂbÔ7g
@ @ZïÜí

@ @

@ @ZwöbnäÛa@ïÜí@bàîÏë
Dependent Variable: LWAGE
Method: Panel Least Squares
Date: 03/25/10 Time: 18:51
Sample: 1982 1988
Periods included: 5
Cross-sections included: 716
Total panel (balanced) observations: 3580
Variable Coefficient Std. Error t-Statistic Prob.
C 1.450034 0.04014 36.12443 0.0000
EXPER 0.041083 0.00662 6.205904 0.0000
EXPER2 -0.00041 0.000273 -1.49653 0.1346
TENURE 0.013909 0.003278 4.243324 0.0000
TENURE2 -0.0009 0.000206 -4.35357 0.0000
SOUTH -0.01632 0.036149 -0.45153 0.6516
UNION 0.063697 0.014254 4.46879 0.0000
Effects Specification
Cross-section fixed (dummy variables)
 ‫ | 
م ات‬١٣
‫ ا‬٢٦٦

@LoibrÛa@ Šqþa@ ñaëbMß@ Šn‚ä7@ ð…ŠÏ@ Òýn*a@ …ìuë@ ‰bjn*ü

View/Fixed/Random Effects @ µg@ kç‡a
@ @NTesting/Redundant Fixed Effects – Likelihood Ratio

@ @
@ @ZïÜí@bà×@òvînäÛa@æìØm
Redundant Fixed Effects Tests
Equation: Untitled
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 19.658186 (7152858) 0.0000
Cross-section Chi-square 6365.226105 715 0.0000
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Random effects<êñ]ç5ÃÖ]<†mù]<†è‚Ïi<<<INIOIMO

@Šqþa@x‡ì¸@¿@ònibrÛa@pýßbȽa@ð…ŠÐÛa@Šqþa modeled@ݧؑ
@ @@x‡ìy¸@¿@Š×c@Éyàn©@åß@ïöaì’Ç@ÝØ’×@wyÛìÇ@ðˆÛa@oibrÛa
٢٦٧ ‫ | 
م ات‬١٣
‫ا‬

@dݨa@ åß@ õŒu@ |j–í@ ‹ŠÐÛa@ Ší†ÔnÛ@ Lïöaì’ÈÛa@ Šqþa

@lbM§bi@ ˆ*dí@ ïöaì’ÈÛa@ Šqþa@ x‡ì¸@ Ší†Ôm@ ÙÛˆ×@ Lïöaì’ÈÛa
@aˆç@Èíë@L…aŠÏþa@Ý*a…@Òýn*üa@bà×@…aŠÏþa@´i@Òýn*üa
@éÔîjİmë@ Lx‡ìàäÛa@ ¿@ black@ ë educ@ ´àšm@ åØà½a@ åß@ éãc
Effects @ ë@ Equation Specification@ ZïÜí@ bß@ µg@ ð…ûí
Specification

@ @

@ @
@¿@ Cross Section Random@wöbnã@Y’më@Lêbã…c@wöbnäÛa@ŠèÄ̈mfl
idiosyncratic @Y’íë@ σˆ U = 0.3291 @Ší†Ôm@µg@ÝÐ7þa@õŒ¦a
@ïç@ rho@ …ìàÇ@ ¿@ áîÔÛaë@ σˆ e = 0.1951 @ Ší†Ôm@ µg@ random

@ @ZaˆÛ@Lpbãìؽa@Ý×@µg@lìMä½a@dݨa@åíbjm@Êìà©@òjMã

@ @ ρˆ U =
σˆ U2
=
(0.3291 )2 = 0 .7399
σˆ U2 + σˆ e2 (0.3291 )2 + (0.1951 )2
@ @ë

@ @ ρˆ e = 1 − ρˆ U = 0 .2601
 ‫ | 
م ات‬١٣
‫ ا‬٢٦٨

Dependent Variable: LWAGE

Method: Panel EGLS (Cross-section random effects)
Date: 03/25/10 Time: 19:11
Sample: 1982 1988
Periods included: 5
Cross-sections included: 716
Total panel (balanced) observations: 3580
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob.
C 0.533929 0.079722 6.697408 0.0000
EDUC 0.073254 0.005320 13.76943 0.0000
EXPER 0.043617 0.006345 6.874478 0.0000
EXPER2 -0.000561 0.000262 -2.140427 0.0324
TENURE 0.014154 0.003160 4.478901 0.0000
TENURE2 -0.000755 0.000194 -3.886833 0.0001
BLACK -0.116737 0.030148 -3.872140 0.0001
SOUTH -0.081812 0.022366 -3.657897 0.0003
UNION 0.080235 0.013187 6.084619 0.0000
Effects Specification
S.D. Rho
Cross-section random 0.329050 0.7399
Idiosyncratic random 0.195110 0.2601
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Random effects<êñ]ç5ÃÖ]<†mù]<†è‚Ïi<<<INIOIMO

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@pbäîÇ@ ¿@ ‹bzäß@ YË@ æìØîÛ@ ïöaì’ÈÛa@ Šqþa@ Ší†Ômë@ LoibrÛa
@paYÌn½a@ Éß@ ÁjmŠß@ YË@ æìØí@ æc@ k¯@ Šqþa@ æhÏ@ ñYj×
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@ @@Šyí†Ômë@oyibrÛa@Šq¨þa@Ší†Ôm@´i@Òýn*üa@óÜÇ@òÛü†ÜÛ@ê‰bjn*a
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@åØí@ ª@ a‡gë@ LòÛü…@ ë‡@ ÖŠÐÛa@ æìØíë@ Lexplosion@ …bÈniüa
@´i@ÖŠÐÛaë@LÂbjm‰ýÛ@õïMí@Õîjİm@†uìí@ü@éãhÏ@]bíìäÈß@ÖŠÐÛa
@t@‰bjn*a@âa†‚n7bi@Ý–Ðäß@ÝØ’i@ê‰bjn*a@åع@Ší†ÔnÛa@aÇìà©
N χ 2 @‰bjn*a@âa†‚n7a@ëc

@ïöaì’ÈÛa@ Šqþa@ òÛ…bÈß@ |nÐi@ æbxëbç@ ‰bjn*a@ Õîjİm@ ÉîİnMm

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Testing/Correlated Random Effects – Hausman
@ @NTest

@ @
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@L χ 2 = 20 .437 @ ìç@ pbàÜȽa@ Éîº@ ´i@ ÖëŠÐÛa@ ‰bjn*ü@ χ 2 (6 )

@òÐÛa@ ´jmë@ P~PPRS@ òîÛbànyüa@ òàîÔÛa@ ÝibÔm@ ïçë

@Šqþaë@ òíYMÐnÛa@ paYÌn½a@ ´i@ Âbjm‰üa@ â†Èi@ òÜöbÔÛa@ òî7b7þa
@ p − value @ òîÛbànyüa@ òàîÔÛaë@ LbèšÏ‰@ k¯@ éãc@ oibrÛa
@ @@pbyàÜȽa@åß@xë‹@Ý×@´i@Òýyn*ýÛ@òÜy–Ðä½a@pa‰byjn*ýÛ
 ‫ | 
م ات‬١٣
‫ ا‬٢٧٠

@òíìäÈß@ôìnMß@†äÈÏ@LwíŒß@bäç@wöbnäÛaë@LProb@…ìàÇ@¿@óİÈí
@ë South@ë@Tenure2@paYÌnàÜÛ@òî7b7þa@òÐÛa@œÏŠã@U
@ë@ exper2@ ë@ exper@ paYÌnàÜÛ@ bèšÏŠã@ ü@ åØÛ@ ،Union
@ @NTenure
Correlated Random Effects - Hausman Test
Equation: Untitled
Test cross-section random effects

Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob.

Cross-section random 20.437076 6 0.0023

* Cross-section test variance is invalid. Hausman statistic set to zero.

#"
$% &'("
‫ر آ‬+(,- .&/(0-‫ ا‬./&1‫ا‬
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob.
EXPER 0.041083 0.043617 0.000004 0.1798
EXPER2 -0.000409 -0.000561 0.000000 0.0504
TENURE 0.013909 0.014154 0.000001 0.7782
TENURE2 -0.000896 -0.000755 0.000000 0.0380
SOUTH -0.016322 -0.081812 0.000807 0.0211
UNION 0.063697 0.080235 o.000029 0.0022

@ @

@ @
 ‫املراجع‬

- Agung, I Gusti Ngurah, 2009. Time Series Data Analysis Using

EViews, Wiley.
- Asteriou, Dimitrios and Hall, Stephen G., 2007. Applied
Econometrics: A Modern Approach, Palgrave, revised edition.
- Heij, Christiaan; Paul de Boer; Philip Hans Franses; Teun
Kloek; and Herman K. van Dijk, 2004. Econometric Methods
with Applications in Business and Economics, Oxford, 1st
edition.
- Hill, R. Carter; Griffiths, William E.; and Judge, George G.,
2000. Using EViews For Undergraduate Econometrics, Wiley;
2nd edition.
- Hill, R. Carter; Griffiths, William E.; and Judge, George G.,
2000. Undergraduate Econometrics, Wiley; 2nd edition.
- Koop, Gary, 2008. Introduction to Econometrics, Wiley.
- Studenmund, A. H., 2006. Using Econometrics: A Practical
Guide, Addison Wesly, 5th edition.
 272

‫خالد السواعي‬
[email protected]

EViews

SPSS
272
272