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Estimating the size of the hidden economy in the Palestinian Territories

""An Econometric Study

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Estimating the size of the hidden economy in the Palestinian Territories

An Econometric Study
Abstract
This study aims to estimate the size of the hidden economy (H. E.) in
the Palestinian Territories during the period (2000-2010), and to identify its
key components and the most important actions that were taken against it, and
draw recommendations to help economic and political decision makers to deal
with the H. E. in the Palestinian Territories.
The researcher used descriptive approach to identify the fundamental
concepts of H. E., as well as reviewing its properties, causes, effects, and its
key components in the Palestinian Territories and the actions that were taken
against it.
The analytical approach was used through the construction of an
econometric model that depends on the data time series in order to estimate
the size of the H. E. in the Palestinian Territories in the light of assumptions
that are made by the currency demand approach. The model was applied by
utilizing Fully Modified Ordinary Least Squares (FMOLS).
The results showed that the size of the H. E. in the Palestinian
Territories is varying over time. The range of the H. E. size between 20002010 reached about 816 Million US dollars, summing up to around 16.6% of
annual GDP. This ratio reflects an indication of a better economical situation,
as concluded when compared with the H. E. ratio in neighboring and regional
countries.
Although, the least H. E, occurred in 2002 with about 500 Million US
dollars, and reached the highest level in 2010 with about 1288 Million US
dollars; the least ratio was in 2007 with about 12.22% and the highest ratio
was in 2005 with about 22.02% of GDP.
One of the main recommendations of the study is directed to the
Palestinian government to prepare a national strategic plan to confront the H.
E. phenomenon, in the context of policies appropriate to be used in the
Palestinian sensible situation, by aiming to increase the attractiveness of the
formal sector. The study also recommended the Palestinians planners and
economic researchers to add the H. E. variable within the models to
extrapolate the past and to foresee the future economic case while planning for
the Palestinian economic development.

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( )1 2117

.

76


( . 2118 )12
( )11

( )21
( )


.

( )2111/1 ()21
( )14

( )11 2114.



" "
.

( )2111/4

( )1111
( )15111 .
77

21213

" "

( . )2112
( )1 1111

( )11 2115



78


.





.

21212


( )21 2111




( . 2118 )81
()1
2115 ( )7 2111
" "
.



79

21214




.




.

214

81


.


.

81

82

 416




.

413
( -6 " )3063
"1


( )11
( )11


( )% 50.3



.

83




.
( -3" )3002
"1



.


( / )
171 111
.%71



.



.

84

( -2" )3001
"1





14 .




.



.
( -4" )3001 "1




( )41 ( )111
.
85





.





.
( -1" )3004
"1


() 2111
:
.

:
.

2111 52487 %11
2111
86

 %18.5 %11.5
%15 %17.7 11.1
%1.1 .%1.1

54.884
%11.1 %17.5 %1.1




.
( -9 " )3002
"1



.
21


.



87

412
( -6" )3063
1"3006-6610

2111-1171

( )Tanzi
:
ln(ccr)t = 0 + 1 ln(TW)t + 2 ln(WS/Y)t + 3 ln(R)t + 4 ln(Y/N)t

:
:(ccr)t
.t
:(TW)t

:(Ws/Y)t
.

:(R)t .
:)Y/N(t

%25-11

.

88




.
( -3" )3066
1"3002-6663

2118-1112 ( )Tanzi
:
ln(C/M2)t = 0 + 1 ln(W/Y)t + 2 ln(TX/Y)t + 3 ln(I)t + t

:
:(C/M2)t .
:(W/Y)t .

:(TX/Y)t
.

:(I)t .

.


%22.4 1118
2115 %5
%15.2

%18.4 .
89






.
( -2" )3060 :
"1




.




.

91


.
( -4" )3002 :
1"3004-6610

2114-1171

( )Tanzi




:
+

:
)(Ym

+ b4 log

+ b3 log

= b0 + b1 log (Ym) + b2 log

Log

( ).

(.)Y

%24


.

91




.
( -1" )3001 "1



1181
.2111

( %)11.5 1.7







%11.5 1111 1.1 .2111
( -9" )3001
1"3000-6699


92

 ( )MIMIC

:
-1 :

Y=+

Y ( )Y1 , Y2 .Y

( )
-2 :Structural Model

= Y1X1 + Y2X2 Y X + e

X ( )X1, X2, X3 X

.








.
( -1 " )3004
"1

93

 ECES ILD
71 111 .
8.2
%41 1.4
% 82

511


51 111
.




.
( -2" )3002 6620
1"3000





.
94


%22.5



.






.
( -6" )6666 "1

1171 1181



.

.
1184-1171
1181-1185 %11.5 %14.8

95




.




.

414
1- (Schneider & Buehn, 2011), "Shadow Economies around the world
: novel insights, accepted knowledge, and new estimation".
112

2117-1111
( MIMIC

)Modeling Lisrel
:
=x+
y=+

:
: .
: x
....

: .
: .
:

96

 : y

: .

: .
: .
%17.1

%8.5 %15.8 .
112 114

2117-1999
%18.5 %34.9 %22.1 %14.1 %19.1
%19.4 %18.1 .%18.3
2- (Gulzar, Junaid, and Haider, 2010), ''What is Hidden, in the Hidden
Economy of Pakistan? Size, Causes, Issues and Implications''.



2111-1182 ( )Tanzi
:
CFM2t = 0 + 1 TYt + 2 POPt + 3 INFt + 4 CFM2t-1 + 5 DDt + 6 BSt + 7 Yt + 8 Rt + t

:
:(CFM2)t
.

97

 :(TY)t .
:(POP)t .
:)INF(t .
:(CFM2)t-1
.

:)DD(t

( )1 2111-1111

)1( 1111 .
:(BS)t .
:(Y)t .
:(R)t
:t .

% 18 - %12

.


.

3- (Kanao & Hamori, 2010), ''The size of the underground economy in
Japan''.
-1171
2117 ( )Tanzi
:
log Ct = 0 + 1 log(TG)t + 2 log(GN)t + 3 log(CY)t + 4 log(WORK)t + 5 log(JR)t + t

:
:(C)t .

98

 :(TG)t .
:(GN)t .
:)WORK(t .
:(JR)t .
:(CY)t .
:t .

25 2111



.
4- (Schneider , 2008), "The Shadow Economies in Central and South
America with a Specific Focus on Brazil and Columbia: What do we
knew?".
21

.

%41.1 2111/1111 %41.4 2111/2112
%42.2 2111/2115

.

Tanzi :
CDt = 0 + 1 log(GDPPC)t + 2 (IRD)t + 3 log(ICD)t + 4 log(ER)t + 5 log(1+TY)t +
6 log(1+TC)t + 7 log(UNEM)t + 8 log(EPE)t + 9 log(LAW)t + t
99

 :
:(CD)t
.

:(GDPPC)t .
:(IRD)t .
:)ICD(t .
:(ER)t .
:(TY)t .
:(TC)t .

:(UNEM)t .
:(EPE)t .
:(LAW)t

( )%51-%41
( )21 .


.
5- (Anno, 2006), "The shadow economy in Portugal : an analysis with
the MIMIC approach".
2114-1177
( )MIMIC
( )Structural Equation Model SEM:
= + 1 x1+ 2 x2+ 3 x3+ 4 x4+ 5 x5+ 6 x6 +
( )
( )X1, X2 Xn ( :X1

111

 :X2 :X3 :X4

:X5 :X6 .

:
Y1 = 1 + 1 + 1
Y2 = 2 + 2 + 2
:Y1 :Y2 :
2 2

.
%21.1
1178 %17.1 2114

1114 1111
.



.
6- (Haliciolu, 1999), "The Black Economy in Turkey: An Empirical
Investigation".

%11
1117
:

111

M.V = Y
:

: M .
: V .

: Y .

:
YB=MB.VB
:

:YB .

:MB .

:
)C/M = f (Y, r, , T, e
:

: C .
: r .

: .

: T .
: e

.

18 1117
%11
112



.
7- (Tanzi, 1980), "The underground economy in the United States:
Estimates and implications".

1181-1111

M2
.







.





Tanzi.

113


:
ln(C/M2)t = 0 + 1 ln(TW)t + 2 ln(Ws/Y)t + 3 lnRt + 4 ln(Y/N)t + t
:
-1
:(C/M2)t
.
-2
:(TW)t .
:(Ws/Y)t
.
( :)Rt
.
:(Y/N)t .

1181-1111
%1.1-4.5

.

411



( )2112 ( )2111

114

 Tanzi
( )0226 ( )0220
.MIMIC
( 0200 Schneider )0226
( )0444 Haliciolu
(Anno
(0202 ( )0202 Hamori( )0202 Gulzar ) (Tanzi,1980

.





.


" "
.




.

115



- - -

116

 116




.


Tanzi

.

113

Tanzi
()
)Tanzi, 1999, p339( :
-1
.
-2

.
-1 .
-4 ( )M2
(.)M1

117

5.2.1
ln(CC/M2)t = 0 + 1 ln(1+(T/Y))t + 2 ln(W/Y)t + 3 (R)t + 4 ln(SE)t
+ 4 ln(GNIPC)t + DD + t

:4
Ln

-1
(CC/M2)t .
-2
(T/Y)t

( ) .

(W/Y)t

)R(t

(SE)t
(GNIPC)t
DDt

.

.
.
1 1 2117/1 .

4 () Ln)1+(t/y
T
( )1 T=0 T/Y =0
Ln (0)=- ( )1 { } Ln(1+0) = Ln(1) = 0
.

118

 11313

:

T/Y

W/Y

SE

GNIPC

DD

5.2.3
-6 :)CC( Cash held by the public




2111 .
-2 :)M2( Broad money
M1 (
M2
M1 ( .
2111 )12

2111 .
-1 :)Y( Nominal GDP


()

() :
119

 ( . -
2112 1.)1
( )

()

.
-4 :(T( Tax


( . 1118 )7








.

2111



111


.

.
-1 :)W( Wage








.
-9 :(R) Interest Rate

:

.



.
-1 ( :)GNIPC

111








.
-8 :)SE( Self Employed

.

.
-1 ( :)DD
2117
1
2117 1 .

112

 11314
Eviews

.

11311
.
: : CC
: .
: .
: (
)
.
:


Nominal GDP ( .M2
2111 )18
:
GDP
.

11319 ()Unit Root Test

113




( )spurious regression ( )spurious correlation



( . 2119 )11


- ( )Dickey-Fuller Test
( )Unit root
:
d(Y)t = (Yt Yt-1) = 0 + 1 Yt-1 + t

:
= 1 :

< 1 :
1
1
)studemund, 2006,p426( .
Phillips & Perron ( )DF ()PP

( )Lags ( error
)term ( )serial correlation

( )nonparametric test ( . 2119 (11

114


- ADF - PP
( )level ( First & Second
)difference
:
( :)216 ADF PP
Augmented Dickey-Fuller Test
1st
2nd
Level
Difference Difference
-1.98
-3.14
==
)(0.2919
)(0.0309
-1.54
-2.33
-4.87
)(0.5026
)(0.1665
)(0.0003
-1.82
-2.49
-7.83
)(0.3650
)(0.1239
)(0.0000
0.86
-2.32
-4.76
)(0.9939
)(0.1687
)(0.0004
-1.58
-2.83
-4.09
)(0.4821
)(0.0624
)(0.0028
-1.68
-6.52
==
)(0.4316
)(0.0000

Phillips-Perron Test
1st
2nd
Level
Difference Difference
-1.54
-3.27
==
)(0.5025
)(0.0224
-2.17
-2.21
-8.24
)(0.2175
)(0.2056
)(0.0000
-1.96
-2.52
-7.81
)(0.2988
)(0.1158
)(0.0000
0.35
-2.31
-8.28
)(0.9787
)(0.1726
)(0.0000
-1.69
-2.91
-7.59
)(0.4283
)(0.0516
)(0.0000
-2.26
-3.72
==
)(0.1882
)(0.0072

Variable
)Ln(CC/M2
))Ln(1+(T/Y
)Ln(W/Y
)Ln(GNIPC
)Ln(SE
)(R

: Eviews .

( )5.1 ()Unit Root

( )level
%1 %5
( )
%5 %1

%1
{ Integrated of
) } order (2 ( )1
Level .

115

 11311 Cointegration Test

.
()residuals




)OLS( Ordinary Least Squares
OLS
-

OLS
( )Level
( )studemund, 2006,p428 (Engle-
)Granger Test
.OLS
1131116 - ()Engle-Granger Test
Engle-Granger
( )Cointgration regression


{).} Integrated of order (0

116


OLS
- ADF - PP
( )Level
.
( :)113
-
ADF Test

PP Test

-4.06

-2.59

)(0.0001

)(0.0106

)CI ~ (0

)CI ~ (0

t
))

: Eviews 7

( )5.2
( )ADF Test ( )PP Test
OLS %5

.
1131113 - ()CRDW Test


-
CRDW -
CRDW
)sjo, 2008, p9( .

117

 ( :)112 CRDW

()CRDW

( )
-

%0

%0

%02

2.000

2.368

2.300

DW = 0.348

* CRDW ( Engel & Granger,

.)1987, p269

OLS
- 1.148 CRDW
( )5.1
%11
.
1131112 ()Johansen Technique





( 2117 .)78




.

118


( ) 0 < r () = r <

) Likelihood Ratio Test (LR ) trace ( trace test
.) max ( maximum eigenvalues test

trace T log( i ) :
i r 1

( )r = r
( .)211 = r

max T log (1 i ) :

( )r = ( r+1
2112.)118
( )5.4
( )Trace
( )r=0 %1
%5
( )r1 %5
( )r1
(.)r>1

( )r2 %1 %5
(.)r>2
119

 ( :)212

()Trace




Critical value
Critical value

Likelihood Ratio
()r
%5
%1
117.708
127.708
146.114
)( r = 0
)(0.0003
)(0.0003
88.8038
77.8188
93.0685
)(r 1
)(0.0237
)(0.0237
63.8761
54.6815
59.3566
)(r 2
)(0.1132
)(0.1132
()Maximum Eigenvalue




Critical value
Critical value

Likelihood Ratio
()r
%5
%1
44.4972
50.4730
03.2909
)( r = 0
)(0.0047
)(0.0047
38.3310
44.0164
33.2004
)(r 1
)(0.1544
)(0.1544
: Eviews .

Trace test indicates 1 cointegrating eqn(s) at the 0.01 level

Trace test indicates 0 cointegrating eqn(s) at the 0.05 level
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.01 level

()MacKinnon-Haug-Michelis (1999) p-values

( )Maximum Eigenvalue

( )r=0
%1
( )r1 ()r=1
%1
.

11312


.

121


( )OLS ( )
OLS
( )Serial Correlation -
( )DW=0.34 - ( )dL=1.21
%5
.

() )AR(1 - ()DW=0.95
-
( )dU = 1.69 %5
.
( :)212 -
OLS

Durbin-Watson stat

Methods

0.34

)OLS without AR(1) or AR(2

2.40

OLS with AR(1) only

1.52

)OLS with AR(1) and AR(2

dL=1.21

dU = 1.69 ,

: Eviews .

() )AR(1 () )AR(2 -
( )DW=1.52 -

( )dU = 1.69 %5

.
121

 ( )5.1
OLS () )AR(1 () )AR(2
( )
.
( :)212
OLS

)Dependent Variable: LOG(CC/M2

Prob.

t-Statistic

Std. Error

Coefficient

Variable

0.0000

8.141688

0.796954

6.488548

0.0000

17.72856

2.022333

35.85305

))LOG(1+(T/Y

0.0200

2.445086

0.124086

0.303401

)LOG(W/Y

0.0000

-11.26393

0.006138

-0.069139

)(R

0.4340

-0.792083

0.195461

-0.154821

)LOG(SE

0.0000

-13.93103

0.106286

-1.480677

)LOG(GNIPC

0.4552

-0.755739

0.008850

-0.006688

DD

0.0000

12.53753

0.134891

1.691205

)AR(1

0.0000

-6.147576

0.121300

-0.745702

)AR(2

R2=0.992 Adj R2= 0.948 DW=1.88 Prob(F-statistic)=0.000000

: Eviews .

Fully

)FMOLS( Modified Ordinary Least Squares

.
1131216 FMOLS

Fully Modified Ordinary Least Squares

( )FMOLS
( )

122

 %1 %5
:
( :)217
FMOLS
)Dependent Variable: LOG(CC/M2
Prob.

t-Statistic

Std. Error

Coefficient

Variable

0.0000

21.72130

1.594029

34.62439

))LOG(1+(T/Y

0.0000

4.946978

0.096629

0.478023

)LOG(W/Y

0.0000

-9.170634

0.008076

-0.074060

)(R

0.0000

5.368644

0.127021

0.681931

)LOG(SE

0.0000

-8.533313

0.130070

-1.109928

)LOG(GNIPC

0.1271

1.560926

1.131508

1.766200

Adj R = 0.483

R =0.486

: Eviews .

%1 ( )Adj R2 0.963
( )%96.3
( )
( )%1.7

( )5.1
.

123

 ( :)213
FMOLS

-1.2

-1.4
.12

-1.6

.08

-1.8

.04
-2.0
.00
-.04
-.08
10

09

08

07

Fitted

05

06
Actual

04

03

02

01

00

Residual

: Eviews .

( )Serial Correlation
) (Heteroskedasticity
FMOLS

.
(:)multicollinearity



OLS
)studemund, 2006,p90( .

124


:
( :)213
)LOG(SE) LOG(GNIPC

)(R

1.000000
0.478426
1.000000
-0.721462 -0.899153
1.000000
: Eviews .

Variables
)LOG(1+(T/Y)) LOG(W/Y
))LOG(1+(T/Y
1.000000
)LOG(W/Y
-0.068706
1.000000
)(R
-0.078251
0.011239
)LOG(SE
-0.540061
-0.181365
)LOG(GNIPC
0.501069
0.113577

( )5.8
( )-0.721

(.)-0.899

( )VIF

( )10
( )5.1 ( )VIF .
( :)116 ( )VIF

Centered VIF
NA
1.628302
1.121624
3.993812
7.220055
14.00983
: Eviews .

125

Variable
C
))LOG(1+(T/Y
)LOG(W/Y
)(R
)LOG(SE
)LOG(GNIPC

 ( )5.1
()VIF
VIF VIF
.

VIF ( = VIF

)31.25 ( (5.8
.

:

( )studemund, 2006,p86
t = -0.4578 Prob = 0.6494

.
(:)Normality
( )Residual
( )Jarque-Bera
( )Residual FMOLS
( )J=1.712 ()P-value = 0.424
.
:

:
ln(CC/M2) = 0.28 + 39.80*ln(1+(T/Y)t+ 0.92*ln(W/Y)t 0.07*ln(R)t
+ 0.68*ln(SE)t 1.10*ln(GNIPC)t

126


( )CC
( )T .

-

.FMOLS
( :)1160 3060-3000
FMOLS

4194.7

758.7

18.09

699.9

17.96
14.57

CC

CC1
Tax 0

CC2
Tax = 0

CC1CC2

2222

700.7

730.8

107.5

623.2

1.22

2221

788.6

819.9

168.1

651.9

1.07

3897.2

2222

694.9

668.1

165.8

502.2

0.99

3432.6

500.1

2223

976

987.7

226.1

761.6

0.89

3840.9

674.6

17.57

1149.9 2224

1159.9

248.5

911.3

0.90

4198.4

823.1

19.61

1339.8 2225

1356.8

251.8

1104.9

0.92

1020.3 4634.4

22.02

1408.9 2222

1333.1

263.4

1069.7

0.88

4619.1

943.5

20.43

2222

843

848.1

225.4

622.6

1.02

5182.4

633.3

12.22

2222

972.9

997.2

227.1

770.1

1.02

6247.3

785.5

12.57

1101.5 2222

1086.5

238.3

848.2

1.01

6719.6

850.4

12.66

1329.9 2212

1321.9

196.6

1125.3

1.15

1288.5 8330.6

15.47

: ( .FMOLS )

112



:

127

ln(HE)t = 0 + 1 ln(T/Y)t + 2 ln(W/Y)t + 3 (R)t + 4 ln(SE)t + 5 ln(GNIPC)t + DDt + t

ln

-1
(HE)t
.

-2
(T/Y)t ( ) .
(W/Y)t .

)R(t .
(SE)t .

(GNIPC)t .
(DD)t 1 1 2117/1 .
t

11216 ()Unit Root Test

( )5.1

( )HE ) (T/Y
.
( :)5.11 ADF PP

Augmented Dickey-Fuller Test

1st
2nd
Level
Difference Difference
-1.28
-1.64
-5.15
)(0.6255
)(0.4496
)(0.0001
-1.88
-2.65
-5.23
)(0.3371
)(0.0911
)(0.0001

Phillips-Perron Test
1st
2nd
Level
Difference Difference
-0.76
-3.17
-8.19
)(0.8198
)(0.0688
)(0.0000
-2.12
-2.68
-8.26
)(0.2372
)(0.0850
)(0.0000

Variable
)Ln(HE
)Ln(T/Y

: Eviews .

( )5.11 ( Unit
)Root ()level
128

 %1 %5
%1
()5.1
{) } Integrated of order (2 .

11213 Cointgration Test

5

.
1121316 ()Johansen Technique
( )5.12
( )Trace
( )r=0
%1 %5
( )r>0
()r1

( )r>1
( )r2 %1
( )r>2 %1

( )r3 %5
(.)r>3
5

5.2.6.113

129

 ( :)2132

()Trace



Critical value
Critical value

()r
%5
%1
002.226
002.226
)( r = 0
)(0.0018
)(0.0018
88.803
97.597
)(r 1
)(0.0072
)(0.0072
63.876
71.479
)(r 2
)(0.0314
)(0.0314
42.915
49.362
)(r 3
)(0.1306
)(0.1306
: Eviews .

Likelihood Ratio
038.283
44.092
88.000
36.936

Trace test indicates 0 cointegrating eqn(s) at the 0.01 level

Trace test indicates 3 cointegrating eqn(s) at the 0.05 level

() MacKinnon-Haug-Michelis (1999) p-values

11212 FMOLS


( Fully Modified Ordinary Least Squares )FMOLS
( )
.
( :)2131
FMOLS
Dependent Variable: HE Estimated By FMOLS
Prob.

t-Statistic

Std. Error

Coefficient

Variable

0.0457

2.068141

1.549497

3.204579

0.0000

18.10677

0.091819

1.662543

)LOG(T/Y

0.0158

2.530690

0.124560

0.315222

)LOG(W/Y

0.0000

-8.402149

0.010268

-0.086272

)(R

0.0000

7.384626

0.164210

1.212629

)LOG(SE

0.0005

3.787769

0.165109

0.625395

)LOG(GNIPC

R =0.472 Adj R = 0.469

: Eviews .
131

 :



%1 ( )Adj R2 0.972
( )%97.2
( )%2.8 .


( )5.2 .
( :)212

FMOLS
6.0
5.6
5.2
.08

4.8

.04
4.4
.00
-.04
-.08
-.12
10

09

08

07

Fitted

05

06
Actual

04

03

02

01

00

Residual

: Eviews .

( )Serial Correlation

) (Heteroskedasticity
FMOLS

131


.
(:)Multicollinearity

( )VIF
()10


( )VIF
.
( :)1164 ( )VIF

Variable
C
)LOG(T/Y
)LOG(W/Y
)(R
)LOG(SE
)LOG(GNIPC

Centered VIF
NA
1.521718
1.113298
3.856580
7.208001
13.48487
: Eviews .

( )5.14
( )VIF
VIF VIF
.

132

 VIF ( = VIF

)35.71 ( (5.14
.
(:)Normality
( )Jarque-Bera ( )Residual

( )J=3.206235 ( )P-value = 0.201268
.
:

( )studemund, 2006,p86
t = -0.8065 Prob = 0.4245
.
:

ln(HE)t = 3.20 + 1.66 ln(T/Y)t + 0.31 ln(W/Y)t 0.08 (R)t
+ 1.21 ln(SE)t + 0.62 ln(GNIPC)t

( )5.11
%1
%5
( )1.11
( )%11
( )%11.6

( )1.21
133

 ( )%11
( )%12.1




( )0.31
( )%11 ( )%3.1
.

( )-0.08

%1
%0.08




2111 ( )%0.29 .

( )1.12
( )%11
( )%1.2

134


.




.

114
Tanzi

OLS
Fully
)FMOLS( Modified Ordinary Least Squares
.

%11.1

2111-2111


.

%22.12-12.22
%11.1
%22.12 .2115
135

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2117
( )
( )1 2117
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(-2118-2117
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- Filipec, Petr (2011), The Shadow Economy Analysis in the Czech Republic,
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- Sennholz, hans (2003),The underground economy, the Ludwig Von Misses

Institute, Online edition copyright at: https://mises.org/etexts/underground.pdf
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iei.liu.se/nek/ekonometrisk-teori-7-5-hp-730a07/labbar/1.233753/dfdistab7b.pdf
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http://www.pcbs.gov.ps

http://www.palpolice.ps

http://muqtafi.birzeit.edu

http://www.pgp.ps

http://www.gp.gov.ps

http://www.dft.gov.ps

http://www.pma.ps

http://www.pmof.ps

http://www.mof.gov.ps

155

156

)3(

Level
log(cc/m 2)

log(1+(t/y)

-1.2

.065
.060

-1.4
.055
-1.6

.050
.045

-1.8
.040
-2.0

.035
00

01

02

03

04

05

06

07

08

09

10

00

01

02

03

log(w/y)

04

05

06

07

08

09

10

06

07

08

09

10

06

07

08

09

10

09

10

08

09

10

08

09

10

log(gnipc)

-.3

6.6
6.4

-.4

6.2
-.5
6.0
-.6

5.8

-.7

5.6
00

01

02

03

04

05

06

07

08

09

10

00

01

02

03

04

log(s e)

05

3.4

3.3

6
5

3.2

4
3.1
3
3.0
2
2.9

2.8

0
00

01

02

03

04

05

06

07

08

09

10

00

01

02

03

04

05

Firs t Difference: log(cc/m 2)

Firs t Difference: log(1+(t/y))

.1

.004
.002

.0

.000
-.1
-.002
-.2

-.004

-.3

-.006
00

01

02

03

04

05

06

07

08

09

10

00

01

Firs t Difference: log(w/y)

02

03

04

05

06

07

08

Firs t Difference: log(gnipc)

.08

.08
.04

.04

.00
.00
-.04
-.04

-.08

-.08

-.12
00

01

02

03

04

05

06

07

08

09

10

00

01

02

Firs t Difference: log(s e)

03

04

05

06

07

Firs t Difference: R

.08

3
2

.04

1
.00
0
-.04

-1

-.08

-2
00

01

02

03

04

05

06

07

08

09

10

00

157

01

02

03

04

05

06

07


Second Difference: log(cc/m 2)

Second Difference: log(1+(t/y))

.2

.006
.004

.1

.002
.0
.000
-.1

-.002

-.2

-.004
00

01

02

03

04

05

06

07

08

09

10

00

01

Second Difference: log(w/y)

02

03

04

05

06

07

08

09

10

08

09

10

08

09

10

Second Difference: log(gnipc)

.06

.08

.04

.06
.04

.02

.02
.00
.00
-.02

-.02

-.04

-.04

-.06

-.06
00

01

02

03

04

05

06

07

08

09

10

00

01

02

Second Difference: log(s e)

03

04

05

06

07

Second Difference: R

.04

.02

.00
0
-.02
-1

-.04
-.06

-2
00

01

02

03

04

05

06

07

08

09

10

00

158

01

02

03

04

05

06

07

 ()2

R

SE

GNIPC

1712.6

2805.661

3445.3 241.0 4194.7

24.0

2.78

1444.5

2236.31

3630.0 183.0 3897.2

788.6

26.8

5.55

1215.2

1880.3

3447.9 141.0 3432.6

694.9

2002

27.8

4.25

1322

2349.927

4335.7 167.0 3840.9

976.0

2003

26.5

2.5925

1389.8

2519.871

1149.9 4648.5 191.0 4198.4

2004

26.1

2.0075

1518.9

2795.262

1339.8 5019.0 231.0 4634.4

2005

1489.2

3059.445

1408.9 5236.8 221.0 4619.1

2006

1633.6

3424.446

5095.1 202.0 5182.4

843.0

2007

1913.9

4109.544

6124.4 272.8 6247.3

972.9

2008

19.2

0.2375

1958.8

4182.825

1101.5 6702.5 301.5 6719.6

2009

18.8

0.295

2343.1

4552.796

1329.9 7275.2 474.3 8330.6

2010

4.886538 19.6

2.479941 25.0
2.5125

24.2

1.044375 20.7

159

M2

CC

obs

700.7

2000
2001

)1(
Eviews 7
:
.OLS
Dependent Variable: log(cc/m2)
Method: Least Squares
Sample (adjusted): 2000Q3 2010Q4
Included observations: 42 after adjustments
Convergence achieved after 29 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
log(1+(t/y))
log(w/y)
log(gnipc)
log(se)
r
dd
AR(1)
AR(2)

6.488548
35.85305
0.303401
-1.480677
-0.154821
-0.069139
-0.006688
1.691205
-0.745702

0.796954
2.022333
0.124086
0.106286
0.195461
0.006138
0.008850
0.134891
0.121300

8.141688
17.72856
2.445086
-13.93103
-0.792083
-11.26393
-0.755739
12.53753
-6.147576

0.0000
0.0000
0.0200
0.0000
0.4340
0.0000
0.4552
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots

0.997540
0.996944
0.010650
0.003743
136.2426
1672.736
0.000000
.85-.18i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.85+.18i

161

-1.579214
0.192636
-6.059173
-5.686815
-5.922689
1.660918

)1( 111
:
.FMOLS

Dependent Variable: log(cc/m2)

Method: Fully Modified Least Squares (FMOLS)
Sample (adjusted): 2000Q2 2010Q4
Included observations: 43 after adjustments
Cointegrating equation deterministics: C
Long-run covariance estimate (Bartlett kernel, Newey-West fixed bandwidth
= 4.0000)
Variable

Coefficient

Std. Error

t-Statistic

Prob.

log(1+(t/y))
log(w/y)
log(gnipc)
log(se)
r
C

34.62439
0.478023
-1.109928
0.681931
-0.074060
1.766200

1.594029
0.096629
0.130070
0.127021
0.008076
1.131508

21.72130
4.946978
-8.533313
5.368644
-9.170634
1.560926

0.0000
0.0000
0.0000
0.0000
0.0000
0.1271

R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat

0.968188
0.963889
0.036177
0.303172

Mean dependent var

S.D. dependent var
Sum squared resid
Long-run variance

-1.579852
0.190375
0.048424
0.001840

:
.FMOLS
Dependent Variable: log(he)
Method: Fully Modified Least Squares (FMOLS)
Sample (adjusted): 2000Q2 2010Q4
Included observations: 43 after adjustments
Cointegrating equation deterministics: C
Long-run covariance estimate (Bartlett kernel, Newey-West fixed bandwidth
= 4.0000)
Variable

Coefficient

Std. Error

t-Statistic

Prob.

log(t/y)
log(w/y)
log(gnipc)
log(se)
r
C

1.662543
0.315222
0.625395
1.212629
-0.086272
3.204579

0.091819
0.124560
0.165109
0.164210
0.010268
1.549497

18.10677
2.530690
3.787769
7.384626
-8.402149
2.068141

0.0000
0.0158
0.0005
0.0000
0.0000
0.0457

R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat

0.972439
0.968714
0.044916
0.244488

Mean dependent var

S.D. dependent var
Sum squared resid
Long-run variance

161

5.288100
0.253937
0.074646
0.003080

 ()2
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