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[7] 2010-1971 :
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)..(6
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-:
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:
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). (DF
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Yt-i + ut
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Yt = C + t +
) (a ). (b
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:
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H0 : = 0
H1 : < 0
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Distributed lag models
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)Yt = 1 Yt-1 + 2 Yt-2 + .+ P Yt-p + t ..(20
.
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k :
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+ t
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= + t + (0 + L ) Xt
Yt - Yt-1
(1 - L ) Yt
Xt +
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.
.
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. 1
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.
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)(1990
][13
) ( .
.
) (
)(ARDL .
). Pesaran at al.(2001
Y k X1,
X2,Xk ) ARDL(p,q1,q2, qk :
= C + 1 Yt-1 + 2 X1t-1 + 3 X2t-1 + ...+ k+1 Xkt-1
X2 t-i
3i
t-i
X1
Yt-i +
2i
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i1
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0.84
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24.016
24.142
0.95
0.94
329.58
0.199905
-0.309
-0.183
0.57
0.55
25.01
0.565386
1.769
1.896
1.815
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SC
H-Q
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24.061
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AIC
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LnY
13
12
11
10
9
8
2010
2005
2000
1995
2010
2005
2000
1995
2010
2005
2000
1995
1990
1985
1980
1975
LnX1
14
13
12
11
10
9
1990
1985
1980
1975
LnX2
14
12
10
8
6
4
1990
1985
1980
1975
)(ARDL
@ @
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:2 3 :
)H- SC AIC
(FPEQ ) (Eviews 7
:
" -: LnY
:
Lag
FPE
AIC
SIC
HQ
0.776727
2.585197
2.628736
2.600547
*0.632108
*2.379077
*2.466153
*2.409775
0.635542
2.384243
2.514858
2.430291
0.669481
2.435776
2.609929
2.497173
: ) ( Eviews 7
Ln Y ) (Lag=1
) . (H-Q , SIC , AIC , FPE
...
/)(-
" -: Ln X1
:
HQ
FPE
Lag
0
2.523999 0.730618
2.567537
2.539348
2.09037
2.194423 0.525530
*2.281499
*2.225121
*1.80664
2.181225* 0.518770* 2
2.311840
2.227273
1.80978
2.234620 0.547491
2.408773
2.296017
1.87172
SIC
AIC
: ) ( Eviews 7
Ln X1 )(Lag=1
) (FPE ,AIC )(Lag=2 ) ( SIC , H-Q
)(Lag=1 ADF
.
" -: Ln X2
:
Lag
0
1
2
3
FPE
AIC
SIC
14.63553
0.286947
*0.264454
0.279001
5.521316
1.589312
*1.507431
1.560488
5.564854
1.676389
*1.638046
1.734641
HQ
5.536665
1.620011
*1.553479
1.621885
: ) ( Eviews 7
)(ARDL
Ln X2 )(Lag=2
.
)I(d
LnX1
Lag=1
-0.3515
][0.5518
-3.2280
][0.0258
-3.1935
][0.1006
---
---
----
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LnX2
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1.2895
][0.9474
-0.6166
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-1.9736
][0.5966
-3.6051
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-4.1144
][0.0027
-4.0302
][0.0159
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1%
-2.6256
-3.6104
-4.2118
-2.6272
-3.6155
-4.2191
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-3.5297
-1.9498
-2.9411
-3.5330
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-2.6079
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-1.6114
-2.6090
-3.1983
HaI
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---
---
----
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...
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---
---
----
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Lag=2
-0.3790
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-3.3050
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-3.2691
][0.0865
---
---
----
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1.8527
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-0.3399
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-1.9352
][0.6172
-3.6055
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-4.1268
][0.0026
-4.0429
][0.0154
)I(1
1%
-2.6256
-3.6104
-4.2118
-2.6272
-3.6155
-4.2191
5%
-1.9496
-2.9389
-3.5297
-1.9498
-2.9411
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%
-2.6079
-3.1964
-1.6114
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-3.1983
@ @ua@a
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)(ADF ) (P.P
Eviews 7 :
. :LnY
) (ADF ) (b ) (3.6451
) (3.6104 1% %
) .I(0 ) (P.P ) (b
1% . %5
)(ARDL
:Ln X1
) (ADF ) (b ) (3.2280
) (2.9389 5%
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. 5%
. :Ln X2
) (ADF ) (a,b,c
1% 5% 10%
) (a,b,c
. 5 % )I(1
. ) (P.P
. ADF
) I(0) I(1
) I(2 5%
F
Pesaran et
...
/)(-
) I(0 ) . I(1
.ARDL
: 4 3 ARDL
ARDL
UECM ) (24
LnY LnX1 LnX2
) ARDL(P,q1,q2 :
LnYt-i
1i
) + t.( 27
LnX2
3i
t-i
LnX1
2i
:
:P,q1 ,q2 Y,X1,X2
:
t
: ) (
:
:
) (27
) SCAIC
(FPEH-Q
) (Eviews 7
)(ARDL
@ @UECM@@x@@ra@bia@@bna@b@(4)@a
Lag
FPE
AIC
0.439178
7.690741
7.736789 7.821356
0.005621
3.329836
*3.287701* 0.005450
3.610036 4.202006
2.776298
3.521230
3.981708 4.827379
3.084348
0.007076
SC
HQ
5.922016
)*( .
)(Lag=2 (FPE
) ,AIC )(Lag=1 ) ( SIC , H-Q
)(Lag=1
.
:
ARDL- UECM ) (27 )(Lag=1
-:
+ 2
:
1 : 2
LnX1 LnX2
) ( ) ( : LnX1 LnX2 .
...
/)(-
) (OLS
) (Eviews 7 ). (5
@ @ARDL- UECM@a@@da@|zm@xc@m@wbn@H@5@I@@u
p-value
0.2942
0.0001
0.0001
0.3538
0.0000
0.0317
T
-1.065923
-4.406338
4.423311
0.940469
23.54651
-2.243589
-0.4413
-0.1854
-0.3495
2.243
0.516919
0.159443
0.162701
0.007752
0.045371
0.061278
=AIC
=SC
=H-Q
=D.W
-0.550996
-0.702561
0.719676
0.007290
1.068317
-0.137484
168.83
0.9623
0.9566
Ln Yt-1
Ln x1t-1
Ln x2t-1
lnx1
lnx2
= F
= R2
2
=
) (
)(
= 1.02436
= 0.01037
)(
Ln x1
1.068317-0.137484 -
Ln x2
)(ARDL
:
) (1.068
10% % 10.68
. ) (1.024
10%
. 10.24 %
)(
) (-0.1375
.
) ( )(0.01
.
10% 0.1%
.
. :
) (
:
1= 2 = 3 =0
H0 :
: .
1 2 3 0
H1:
...
/)(-
3 21
) (6 _ Wald F
@ @
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p-value
F-
) (
6.7941
0.0011
)( F K=2
)I(0
)I(1
5.15
6.36
3.79
4.85
3.17
4.14
)FY(ln Y/lnx1,lnx2
1%
5%
10%
:K=2 .
F ). (25
:
F ) (6 )(
) Pesaran et al. (2001
(6.7941) F
1%
.
)(ARDL
@ @Conclusions@Z@pbubnna@1 - 4
:
)(ADF, P.P
) ( )I(0
)(
) I(1 ) . I(2
.ARDL
ARDL
) ( ) (Wald test
ARDL ) ( .
.
.
...
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Recommendations@@Zpbna@2 4
:
.
.
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(
.
ARDL
...
.
(ARDL)
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H2010-1971) pa@Hbn
HOIubna
b-a
-yba
/xbna
paa
699.5
71
418700
292900
1971
706.3
66
368700
260400
1972
610
68
246440
150330
1973
541.4
85
125250
67810
1974
468.3
80
116690
54650
1975
772.9
85
201280
155570
1976
779.3
90
240770
191000
1977
793.6
90
212870
168930
1978
674
83
230400
155300
1979
755.8
112
218300
165000
1980
712.2
130
224500
159900
1981
667.2
143
241000
160800
1982
481
158
223300
107400
1983
601.9
200
179100
107800
1984
602.5
250
242000
145800
1985
668.6
300
207900
139000
1986
667.6
300
293000
195600
1987
630.1
400
222800
140400
1988
737.3
500
313988
231630
1989
672.4
1000
338410
227531
1990
490.3
1700
384959
188764
1991
...
/)(-
1992
237295
669533
5000
354.4
1993
261902
518607
7000
505
1994
382865
651020
75000
588.1
1995
312804
657398
400000
475.8
1996
282935
436580
200000
648.1
1997
274255
460956
185000
595
1998
389475
604747
175000
644
1999
218484
350761
175000
622.9
2000
12398
16803
210000
737.8
2001
4900
11252
250000
435.5
2002
193767
216511
275000
895
2003
81315
122485
350000
663.9
2004
250275
351793
450000
711.4
2005
308660
428243
650000
720.8
2006
363338
502565
750000
723
2007
392803
497365
900000
789.8
2008
248157
339043
900000
731.9
2009
173074
219735
900000
787.6
2010
155829
191895
700000
812.1
:
- 1 , , - .
-2 .
)(ARDL
@ @ba
@ @Zia@ba
.1 ) "(2011
" ) (19 ).(288-267
.2 ) "(2007
" ) 28-27 (2007/
- ).(37-1
.3 " (2013)
" ).(178-143
.4 )"(2011
) "( Koyck , Adhoc
- 1 ).(22-1
.5 "(2005) "
).(694-644
.6 )" (2007
"
) (48
. 272- 251:
...
(-) /
Za@ba
7. Badi
H. Baltagi (1999 ) Econometrics , second Revised
Edition,(U.S.A, acid free paper, )ch 6, ch 14.
8. Damodar N. Gujarati, ( 2004 ) Basic Econometrics , fourth edition ,
McGraw-Hill , companies .
9. Dickey ,David . A ,and Fuller ,W. A., (1981) ,''likelihood ratio statistics
for autoregressive time series with a unit root'' Econometrica ,vol. 49,No.4;
p.p(1057-1072).
10. Engle, R.F, and Granger ,C.W.J. (1987) Co integration and error
Correction: Representation, estimation and Testing. Econometrica, vol. 55,
No. 2 . PP( 251-276).
11. Harvie, C. and Pahlavani ,M. (2006)" Sources of Economic Growth in
South Korea: An Application of the ARDL Analysis in the Presence of
Structural Breaks-1980-2005, Working Paper 06-17,Department of
Economics, University of Wollongong.
12. Johansen S., (1988) Statistical Analysis of Cointegration Vectors,
Journal of Economic Dynamics and Control, Vol.12, p.p(231-254).
13. Mackinnon,J.G.(1991),Critical Values for Cointegration Tests chapter
13 in Long run Economic Relationships :Readings in Co integration ,ed. R.
F .Engle and C . W .J .Granger, Oxford, Oxford University Press, p.p(267276).
14. Pesaran, H.M, and Y. Shin (1995), Autoregressive Distributed Lag
Modeling Approach to Co integration Analysis,"DAE Working paper series
No.9514, Department of Economics: University of Cambridge.
15. Pesaran, M.H., Y. Shin, and R.J. Smith (2001), "Bounds Testing
Approaches to the Analysis of Level Relationships " Journal of Applied
Econometrics, vol 16: no. 3 ,p.p(289 -326).
16. Phillips ,P.C.B and Perron, P., (1988) Testing for a unit root in time
series regression , Biometrika ,Vol .75,No.2, pp( 335-346).