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ADF(10) -.84781 .97723 -12.0228 -22.1325 -15.5127 -3.5426
ADF(11) -.94416 2.5820 -11.4180 -22.1026 -15.0618 -3.5468
ADF(12) -1.0720 2.7140 -12.2860 -23.5098 -16.062 -3.5514
54 N a r o d o w y B a n k P o l s k i
Aneks II
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej LM0
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -1.8158 44.0729 41.0729 38.3629 40.0627 -3.5112
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ADF(1) -1.1853 43.6622 39.6622 36.0939 38.3389 -3.5136
ADF(2) -.68674 43.2071 38.2071 33.8041 36.5835 -3.5162
ADF(3) -.78664 41.9503 35.9503 30.7373 34.0395 -3.5189
ADF(4) -1.1921 42.2530 35.2530 29.2555 33.0690 -3.5217
ADF(5) -1.2282 41.0429 33.0429 26.2874 30.6003 -3.5247
ADF(6) -1.3921 39.9251 30.9251 23.4391 28.2392 -3.5279
ADF(7) -1.3064 39.6069 29.6069 21.4190 26.6937 -3.5313
ADF(8) -1.0050 38.9699 27.9699 19.1098 24.8463 -3.5348
ADF(9) -.18339 42.9342 30.9342 21.4331 27.6181 -3.5386
ADF(10) -.27852 41.3130 28.3130 18.2032 24.8231 -3.5426
ADF(11) -.45554 40.0377 26.0377 15.3532 22.3940 -3.5468
ADF(12) .30991 42.3370 27.3370 16.1132 23.5605 -3.5514
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej DLM0
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -8.2977 42.9027 39.9027 37.2265 38.9102 -3.5136
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ADF(1) -6.2965 42.9420 38.9420 35.4196 37.6430 -3.5162
ADF(2) -3.8995 41.5924 36.5924 32.2482 35.0001 -3.5189
ADF(3) -2.6139 41.4136 35.4136 30.2728 33.5416 -3.5217
ADF(4) -2.1700 40.1216 33.1216 27.2105 30.9844 -3.5247
ADF(5) -1.7879 38.7044 30.7044 24.0501 28.3169 -3.5279
ADF(6) -1.8847 38.4828 29.4828 22.1136 26.8609 -3.5313
ADF(7) -1.9158 38.2649 28.2649 20.2103 25.4252 -3.5348
ADF(8) -2.8303 42.9090 31.9090 23.1997 28.8692 -3.5386
ADF(9) -2.3105 41.2514 29.2514 19.9193 26.0299 -3.5426
ADF(10) -2.0463 39.8622 26.8622 16.9409 23.4788 -3.5468
ADF(11) -2.9885 42.2492 28.2492 17.7736 24.7245 -3.5514
ADF(12) -3.2950 42.5128 27.5128 16.5198 23.8689 -3.5562
8
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej LM1
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -1.1496 90.1397 87.1397 84.4297 86.1294 -3.5112
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ADF(1) -.98276 88.2289 84.2289 80.6606 82.9056 -3.5136
ADF(2) -1.6278 89.2778 84.2778 79.8748 82.6542 -3.5162
ADF(3) -1.5833 86.9810 80.9810 75.7680 79.0702 -3.5189
ADF(4) -1.3620 86.1932 79.1932 73.1957 77.0092 -3.5217
ADF(5) -1.6779 85.7920 77.7920 71.0365 75.3494 -3.5247
ADF(6) -1.8970 86.1770 77.1770 69.6910 74.4911 -3.5279
ADF(7) -2.1496 84.3320 74.3320 66.1440 71.4188 -3.5313
ADF(8) -2.5397 82.9012 71.9012 63.0412 68.7777 -3.5348
ADF(9) -3.5952 86.4714 74.4714 64.9703 71.1553 -3.5386
ADF(10) -2.9213 86.4390 73.4390 63.3292 69.9491 -3.5426
ADF(11) -5.4198 93.2948 79.2948 68.6103 75.6511 -3.5468
ADF(12) -2.2677 93.3407 78.3407 67.1168 74.5642 -3.5514
MATERIA¸Y I STUDIA ZESZYT 148 55
Aneks II
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej DLM1
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -7.1807 87.7041 84.7041 82.0278 83.7116 -3.5136
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ADF(1) -3.1634 87.8286 83.8286 80.3062 82.5296 -3.5162
ADF(2) -2.7096 85.5672 80.5672 76.2231 78.9749 -3.5189
ADF(3) -3.2616 85.1041 79.1041 73.9634 77.2321 -3.5217
ADF(4) -1.8811 84.1055 77.1055 71.1944 74.9683 -3.5247
ADF(5) -.93374 83.9679 75.9679 69.3136 73.5804 -3.5279
ADF(6) -.89737 81.4298 72.4298 65.0607 69.8079 -3.5313
ADF(7) -.82938 78.8014 68.8014 60.7468 65.9618 -3.5348
ADF(8) -.44744 78.7162 67.7162 59.0068 64.6764 -3.5386
ADF(9) -.74463 80.7024 68.7024 59.3703 65.4809 -3.5426
ADF(10) -.60544 77.9320 64.9320 55.0107 61.5486 -3.5468
ADF(11) -3.0453 89.1943 75.1943 64.7187 71.6696 -3.5514
ADF(12) -2.4749 86.3856 71.3856 60.3926 67.7418 -3.5562
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej LM2
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -1.8988 111.8880 108.8880 106.1780 107.8777 -3.5112
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ADF(1) -1.9367 109.1057 105.1057 101.5374 103.7824 -3.5136
ADF(2) -2.0926 106.5692 101.5692 97.1662 99.9455 -3.5162
ADF(3) -1.4682 104.1832 98.1832 92.9702 96.2724 -3.5189
ADF(4) -1.4090 101.4997 94.4997 88.5022 92.3158 -3.5217
ADF(5) -1.3124 99.0253 91.0253 84.2698 88.5827 -3.5247
ADF(6) -1.3187 96.1947 87.1947 79.7086 84.5088 -3.5279
ADF(7) -1.8651 95.1125 85.1125 76.9246 82.1993 -3.5313
ADF(8) -1.8716 92.4360 81.4360 72.5760 78.3124 -3.5348
ADF(9) -2.2065 92.8563 80.8563 71.3551 77.5401 -3.5386
ADF(10) -2.2776 91.3510 78.3510 68.2413 74.8612 -3.5426
ADF(11) -3.3808 94.3887 80.3887 69.7042 76.7450 -3.5468
ADF(12) -1.4041 96.9797 81.9797 70.7559 78.2032 -3.5514
8
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej DLM2
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
[ Pobierz całość w formacie PDF ]