Построение эконометрических моделей, представленных различными типами временных рядов

ADF Test Statistic

-1.774417

1% Critical Value*

-4.4691

5% Critical Value

-3.6454

10% Critical Value

-3.2602

*MacKinnon critical values for rejection of hypothesis of a unit root.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

CPI(-1)

-0.327712

0.184687

-1.774417

0.0950

D(CPI(-1))

0.334585

0.247535

1.351670

0.1953

D(CPI(-2))

0.353875

0.257889

1.372200

0.1889

C

36.98185

21.02890

1.758620

0.0978

@TREND(2005:01)

-0.094465

0.061155

-1.544687

0.1420

R-squared

0.253779

Mean dependent var

-0.257143

Adjusted R-squared

0.067224

S.D. dependent var

0.355769

S.E. of regression

0.343603

Akaike info criterion

0.905595

Sum squared resid

1.889005

Schwarz criterion

1.154291

Log likelihood

-4.508750

F-statistic

1.360343

Durbin-Watson stat

1.958840

Prob(F-statistic)

0.291350

ADF Test Statistic

-3.634188

1% Critical Value*

-3.7667

5% Critical Value

-3.0038

10% Critical Value

-2.6417

*MacKinnon critical values for rejection of hypothesis of a unit root.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(CPI(-1))

-0.798592

0.219744

-3.634188

0.0017

C

-0.198701

0.096127

-2.067054

0.0519

R-squared

0.397723

Mean dependent var

0.022727

Adjusted R-squared

0.367609

S.D. dependent var

0.438539

S.E. of regression

0.348739

Akaike info criterion

0.817522

Sum squared resid

2.432377

Schwarz criterion

0.916707

Log likelihood

-6.992739

F-statistic

13.20732

Durbin-Watson stat

2.023479

Prob(F-statistic)

0.001652