: : : ( ) 2010
: : : ( ) :, :,, 2
3
... 6... 6... 7... 8... 9 ABSTRACT... 10 1... 11 1.1.... 11 1.2.... 13 1.3.... 13 1.4.... 14 2... 15 2.1.... 15 2.2.... 16 2.2.1.... 17 2.2.2.... 22 2.2.3.... 23 2.2.4. -... 24 2.2.5.... 25 2.3.... 26 2.4.... 34 3... 34 3.1.... 34 3.2.... 35 3.3.... 36 3.3.1.... 36 3.3.1.1.... 37 3.3.1.2.... 37 3.3.1.3. R2... 38 3.3.1.4. F-STATISTIC ( WALD )... 38 3.3.1.5. Durbin-Watson... 39 3.3.2. RESIDUAL TESTS... 39 3.3.2.1. ( Jarque Bera)... 39 3.3.2.2. (BREUSCH-GODFREY)... 40 3.3.2.3. White (Heteroskedasticity).. 42 3.3.2.4. Arch... 42 3.3.3. STABILITY TESTS... 44 3.3.3.1. RAMSEY... 44 3.3.3.2.CHOW BREAKPOINT TEST... 45 3.3.3.3. CHOW FORECAST TEST... 46 3.3.3.4. CUSUM... 46 3.4.... 47 4..48 4.1.... 48 4.2.... 48 4
4.3.... 49 5... 49 5.1.... 49 5.2.... 50 5.3.... 56 5.3.1. Dickey-Fuller (DF)... 57 5.3.1.1. LAAR... 59 5.3.1.2. LGDP... 61 5.3.1.3. CPI... 62 5.3.2. Phillips - Perron (PP)... 64 5.3.2.1. LAAR... 64 5.3.2.2. LGDP... 65 5.3.2.3. CPI... 66 5.3.4. DF/ADF PP... 67 5.4.... 68 6 ( )... 68 6.1.... 68 6.2. Engel Granger... 69 6.3.... 71 6.4.... 71 7 ( )... 72 7.1.... 72 7.2.... 72 7.3.... 73 7.4.... 74 8 (VAR )... 75 8.1.... 75 8.2. Johansen... 75 8.3.... 77 8.4.... 81 9... 81 9.1.... 81 9.2. Granger... 81 9.3.... 83 9.4.... 84 10... 84 10.1.... 84 10.2.... 87 10.3.... 89... 91... 95 5
3.1: OLS... 36 3.2: Jarque-Bera... 39 3.3: Breusch-Godfrey... 40 3.4: Breusch-Godfrey... 41 3.5: White... 42 3.6: ARCH... 43 3.7: ARCH... 44 3.8: Ramsey Reset... 45 3.9: Chow Breakpoint... 45 3.10: Chow Forecast... 46 5.1 : DF/ADF LAAR... 60 5.2 : DF/ADF LGDP... 61 5.3 : DF/ADF CPI... 63 5.4 : PP LAAR... 65 5.5 : PP LGDP... 65 5.6 : PP CPI... 66 5.7 : DF/ADF PP LAAR... 67 5.8 : DF/ADF PP LGDP... 67 5.9 : DF/ADF PP CPI... 67 6.1: DF/ADF... 71... 71 7.1:... 74 8.1: VAR... 78 8.2: VAR... 79 8.3: -... 80 8.4:... 80 9.1: Granger... 83 3.1: CUSUM... 46 3.2: CUSUM 47 5.1: LAAR... 52 5.2: LGDP... 52 5.3: CPI... 53 5.4: D(LAAR)... 54 5.5: D(LGDP)... 55 5.6: D(CPI)... 55 9.1.: Granger... 84 6
....,,.,,...,. 7
,,,...,,.,,. 8
..,, ( ) ( ). 1960-2008.., Dickey-Fuller Phillips- Perron. Engle-Granger. Johansen,.,., Granger,. 9
:,, ( ), ( ),,, ABSTRACT The purpose of this paper is to examine the tourist demand of Greece and to investigate the existence of long-run and short-run relationship between the demand and the factors that have an influence on her. Cointegration and error correction techniques were used to construct an economic tourist demand model for Greece. Demand is defined by tourists arrivals in Greece while two economic variables were used as dependent variables, which are Gross National Product and Consumer Price Index. Data, that were used, are annual and cover the time period between 1960-2008. But the method of cointegration requires that all variables of the model be integrated of the same order. Therefore, the best for the stationarity of the model s variables is done with unit root tests of Dickey-Fuller and Phillips-Perron. The results of cointegration test with the Engle-Granger s procedure show that there is a long-run relationship between the economic variables and tourist arrivals. With Johansen s maximum likelihood analysis, one cointegrated vector turns up, which demonstrates that there is a long-run relationship between variables. Then, the error correction mechanism is applied and demonstrates that there is a short-run relationship between variables. Finally, the causal relationship among the three variables is investigated by using Granger test, which leads to the conclusion that tourist arrivals cause Gross National Product. 10
1 1.1.,.,. 2001-2003,, SARS. 2004 763, ( 11% 2003),, 2020 1,56., 54,5% 2004 (WTO, 2005)., (Papatheodorou, 1999).., (Dritsakis and Athanasiadis, 2000). 11
,,,,, (Lim, 1997)... (Seddighi and Theocharous, 2002).,,,,,., 1950 (Buhalis, 2001). 2000 15 10 12
( ), 2003 13 (SETE, 2005).,.. 1.2..,. 1.3.. : ( ) 13
( ).. 1.4...,,,... Dickey-Fuller (DF) Phillips-Perron (PP). 14
Engel- Granger.,,., Johansen., Granger.,. 2 2.1..,,, 15
..,,,. 2.2...,,....,. Song and Witt 16
(Proenca and Soukiazis, 2005)... (Crouch, 1992).,,., : 2.2.1.. 17
(, 1997). (Kwack, 1972, Proenca and Soukiazis, 2005).,.,.,,.,.....,,,,.,, (Crouch, 1992). 18
.,,.,,. (Lim, 1997).,,,.,.,, ( ) (Crouch,1992):, 19
,,,.., (Proenca and Soukiazis, 2005).. (tourist price index TPI). Gonzalez and Moral (1995),., (Loeb, 1982, Martin and Witt, 1987, Morley, 1994). (Witt and Witt, 1995)., (Papatheodorou, 1999). 20
.,., (Walsh, 1996).,,.., ( ) ( ).., (Uysal and Crompton,1984).,., 21
, ( ), ( ) (Proenca and Soukiazis, 2005)..,., (Crouch, 1992). 2.2.2.,.,,..,., (Seddighi et al. 2001).,,. 22
1986, (, 1997).,. 2.2.3..,. (, 1996)., (, 1997). Song et al.(2000),,,,. Gray, (wanderlust) 23
(sunlust),., (Summary, 1987). 2.2.4. - Walsh (1996),,,,.,,.... 24
, (, 1996)., (Munoz and Amaral, 2000).,.,,.,., (Guthrie, 1961). 2.2.5.,,,,.. (,, ) (, 1997). 25
2.3.,,,.,,,,... 50. Li et al. (2005) Guthrie (1961).. Crouch, 300 1961-1993, 120.,. 26
. Stucka (2002) Q= f (Y, P), Q,.. Crouch (1992) (Gunadhi and Boey, 1986, Walsh, 1996, Akis, 1998, Uysal and Crompton, 1984, Martin and Witt, 1988) (Kwack, 1972, Smeral et al., 1992, Gonzalez and Moral, 1995, Papatheodorou, 1999). (Luzzi and Fluckiger, 2003, Munoz and Amaral, 2000)., Witt and Witt (1995).,,. Lim (1997) 100 1961-1994 27
, 84%, 73% 55%. Lim and McAleer (2002)., Kwack (1972),.. (OLS) 1960-1967, Kwack,. Kwack.., Loeb(1982). Kwack,. 28
,. Loeb Kwack,,.. Uysal and Crompton (1984). Loeb Kwack :,, Loeb Kwack,.,,. (OLS), 1960-1980,.,, 29
.,,, 7 11 9 11, (Kwack, 1972, Loeb, 1982). 6 ( 0.6).. 1988, Martin and Witt. 1965-1980.,,, ( ),. 30
,, 61%.. Witt and Witt (1995), 1992,. 5%,.,. (OLS),, (Kulendran and Witt, 2001)., 1992,,,.. 31
o Kulendran and King (1997) Song et al. (2000). Lim and McAleer (2000), Dickey-Fuller. Song et al. (2000) 12 Engle-Granger.,.,. Kulendran and Witt (2001) 1978-1995.,,,. Dickey- Fuller Johansen (1988), 32
.,,. Daniel and Ramos (2002),.,,,,,., Lim and McAleer (2002),,.. Dritsakis (2004a), Dritsakis Gialitaki (2004a, 2004b),,. Johansen,,. 33
, Katafono and Gounder (2004),. Dickey-Fuller Phillips- Perron.,.. 2.4.,,. 3 3.1.. 34
3.2., (..... ) VAR. VAR ( Granger). VAR... VAR. : AAR= F(CPI, GDP) : AAR: CPI: ( ) GDP: ( ) 35
3.3.,, : log (AAR t ) = 0 + 1* CPI t + 2* log(gdp t ) + u t : log (AAR t ): CPI t : log(gdp t ): u t : 3.3.1. 3.1: OLS 36
3.3.1.1..,. 3.3.1.2. H o : = 0 ( ) H : 0 ( ) 1 H o : 1 =0 ( ) H : 1 0 ( ) 2 H o : 2 =0 ( ) H : 2 0 ( ), [prob] =[0.00] <0.05 2., H H, 5%. 1,, [prob] =[0.31] H o. 37
3.3.1.3. R2, R 2. 0 1..,, 0.97.. 97%. 3.3.1.4. F-STATISTIC ( WALD ) F-statistic. : H o : 1 = 2 =0 ( ) H : 1, 2 0 ( ) [Prob(F-Statistic)] = [0.00] <0.05, H. 38
3.3.1.5. Durbin-Watson.. DW. 0 4 2. 0.603. 3.3.2. RESIDUAL TESTS 3.3.2.1. ( Jarque Bera) H o : H : 3.2: Jarque-Bera 39
Jarque - Bera [prob]=[0.785] >0.05. H o. 3.3.2.2. (BREUSCH-GODFREY) H o : H : 3.3: Breusch-Godfrey i j. 40
Breusch-Godfrey F-statistic = 30.49 [Prob] = [0.00] < 0,05. H o : H : 3.4: Breusch-Godfrey F-statistic = 16.57 [Prob] = [0.00] < 0,05. 41
3.3.2.3. White (Heteroskedasticity) u t t.. White. 3.5: White F- statistic = 1.68 [Prob] = [0.171] > 0,05. 3.3.2.4. Arch, 42
. Engle (1982). ARCH. : 3.6: ARCH F-statistic = 29.04 [Prob] = [0.00] < 0.05 ARCH. 43
3.7: ARCH F-statistic = 16.141 [Prob] = [0.00] < 0.05 ARCH. 3.3.3. STABILITY TESTS 3.3.3.1. RAMSEY RAMSEY RESET. 44
3.8: Ramsey Reset F-statistic = 51.19 [prob] = [0.00] < 0.05. 3.3.3.2.CHOW BREAKPOINT TEST break point 1973. 3.9: Chow Breakpoint F-statistic = 16.22 [Prob] = [0.00] < 0.05, (1960-1973, 1973-2008). 45
3.3.3.3. CHOW FORECAST TEST 1973. 3.10: Chow Forecast F-statistic = 1.613 [Prob] = [0.213] > 0.05,. 3.3.3.4. CUSUM 3.1: CUSUM 46
CUSUM ( ). 3.2: CUSUM CUSUM, CUSUM,, ( ). 3.4... OLS, 47
R 2 Durbin- Watson, R 2 > Durbin- Watson (0.97> 0.603).. 4 4.1.,. 4.2.. : AAR= : CPI= ( ) GDP= ( ) ( ) Laspeyres 2000 100. ( )., World Development Indicators database CIA World Factbook. 48
1960-2008..,, (Akis, 1998)., ( ) L,.. 4.3.. 5 5.1.., 49
( (Y t ) = ), (Var(Y t ) = E(Y t - ) 2 = 2 ) (Cov(Y t, Y t+ ) = E[(Y t - ) (Y t+ - )] = ). (Dritsakis, 2004b)....,. 3, OLS, R 2 Durbin- Watson, R 2 > Durbin- Watson (0.974901> 0.603447).. 5.2. 50
, (, 2002). : : ( ) k = 0. :. k. ( ) ( ), Box Pierce, Ljung Box, Bartlett.,. Box Pierce(1970), Ljung Box(1978), Bartlett(1946)..,. 51
. : 5.1: LAAR 5.2: LGDP 52
5.3: CPI 5.1, 5.2 5.3 : Bartlett,,. probabilities Box- Pierce 5%,. : 53
5.4: D(LAAR) Bartlett,, LAAR. probabilities Box- Pierce 5%, LAAR. 54
5.5: D(LGDP) 5.6: D(CPI) 55
: 5.5 5.6 Bartlett,, CPI LGDP. probabilities Box- Pierce 5%, CPI LGDP. 5.3.,. f(x) = 1-1 x - 2 x 2-3 x 3 -...- n x n = 0,. : : = 1 2 =0 Yt ( ). : < 1 2 <0 Yt ( ). 2 = -1 v Dickey-Fuller (DF), Phillips-Perron (PP). 56
5.3.1. Dickey-Fuller (DF). Dickey-Fuller.,. : t = 2 t-1 + t t t. 0, : t = 0 + 2 t-1 + t., t, : t = 0 + 1 t+ 2 t-1 + t. H 0 t-student 2 Mackinnon Dickey- Fuller (1979) (Dritsakis, 2004c). Dickey-Fuller, 57
t.,, Dickey-Fuller (ADF), DF. Dickey-Fuller Dickey-Fuller, (Dritsakis, 2004d). ADF : t = 2 t-1 + ρ β i Χt i i= 1 t t = 0 + 2 t-1 + ρ β i Χt i i= 1 t t = 0 + 1 t + 2 t-1 + ρ β i Χt i i= 1 t, Dickey-Fuller.. 58
Dickey-Fuller. Lagrange (LM). Akaike (AIC, 1973) Schwartz (SCH, 1978).. Mackinnon., Akaike Schwartz. Akaike Schwartz. 5.3.1.1. LAAR Dickey-Fuller Dickey-Fuller LAAR : =0 =1 =2 =0 =1 =2 DF/ADF 3,173-5,080 Level 1% -2,614-2,615 Level 5% -1,947-1,947 Level 10% -1,612-1,612 1 LM(1) 1,221 1,454 [Prob] [0.274] [0.234] AIK -1,180-1,112 SCH -1,141-1,073 59
2 3 DF/ADF -3,797-5,881 Level 1% -3,574-3,577 Level 5% -2,923-2,925 Level 10% -2,599-2,600 LM(1) 0,061 0,339 [Prob] [0,804] [0.562] AIK -1,442-1,195 SCH -1,364-1,117 DF/ADF -1,325-7,107 Level 1% -4,161-4,165 Level 5% -3,506-3,508 Level 10% -3,183-3,184 LM(1) 0,095 1,697 [Prob] [0,759] [0,199] AIK -1,401-1,347 SCH -1,284-1,229 5.1 : DF/ADF LAAR 5.1 LAAR DF/ADF (1 3 ) (. ) LAAR t-statistic 2 MacKinnon. Akaike Schwartz (AIK= -1.347, SCH=-1.229),,, ([Prob]=[0.199] 1%, 5% 10%) 1%, 5% 10% (tstat= -7.107 < -4.165, t-stat = -7.107 < -3.508, t-stat = -7.107 < -3.184 ). LAAR : 60
2 LAARt = δ0 + δ1t + δ2 LAARt 1 5.3.1.2. LGDP Dickey-Fuller Dickey-Fuller LGDP : =0 =1 =2 =0 =1 =2 DF/ADF 2,109-2,748 Level 1% -2,615-2,615 Level 5% -1,947-1,947 1 Level 10% -1,612-1,612 LM(1) 1,420 3,391 [Prob] [0,239] [0,072] AIK -2,524-2,472 SCH -2,445-2,433 DF/ADF -2,478-3,629 Level 1% -3,577-3,577 Level 5% -2,925-2,925 Level 10% -2,600-2,600 2 LM(1) 0,754 1,283 [Prob] [0,389] [0,263] AIK -2,623-2,535 SCH -2,505-2,457 DF/ADF -0,786-4,461 Level 1% -4,165-4,165 Level 5% -3,508-3,508 3 Level 10% -3,184-3,184 LM(1) 0,783 0,354 [Prob] [0,381] [0,554] AIK -2,581-2,609 SCH -2,424-2,491 5.2 : DF/ADF LGDP 5.2 LGDP 61
DF/ADF (. ) LGDP t-statistic 2 MacKinnon. Akaike Schwartz (AIK= -2.609, SCH=-2.491),,, ([Prob]=[0.554] 1%, 5% 10%) 1%, 5% 10% (tstat = -4,461< -4.165, t-stat = -4,461 < -3.508, t-stat = -4,461< -3.184 ). LGDP : 2 LGDPt = δ0 + δ1t + δ2 GDPt 1 5.3.1.3. CPI Dickey-Fuller Dickey-Fuller CPI : =0 =1 =2 =0 =1 =2 DF/ADF -1,213-1,902 Level 1% -2,615-2,615 Level 5% -1,947-1,947 1 Level 10% -1,612-1,612 LM(1) 3,019 2,022 [Prob] [0,089] [0,161] AIK 3,253 3,243 SCH 3,332 3,282 62
2 3 DF/ADF -2,276-1,868 Level 1% -3,581-3,577 Level 5% -2,926-2,925 Level 10% -2,601-2,600 LM(1) 0,728 1,995 [Prob] [0,398] [0,164] AIK 3,235 3,285 SCH 3,394 3,364 DF/ADF -1,464-2,130 Level 1% -4,165-4,165 Level 5% -3,508-3,508 Level 10% -3,184-3,184 LM(1) 4,654 2,008 [Prob] [0,036] [0,163] AIK 3,294 3,300 SCH 3,451 3,418 5.3 : DF/ADF CPI 5.3 CPI DF/ADF (. ) CPI 1 10%, t-statistic 2 MacKinnon. CPI 1% 5% t-statistic 2 MacKinnon (t-stat = -1.902 > - 2.615, t-stat = -1.902 > -1.947 )..,,, ([Prob]=[0.161] 1%, 5% 10%) 10% (t-student= - 1.902 <-1.612). Akaike Schwartz AIK= 3.243 SCH=3.282. 63
CPI : 2 CPIt = δ CPI 2 t 1 5.3.2. Phillips - Perron (PP) Dickey-Fuller. Phillips-Perron u t (, 2002). Phillips - Perron Dickey-Fuller, Phillips Perron Dickey-Fuller, t-. Phillips Perron Dickey-Fuller., (Dritsakis, 2004e). 5.3.2.1. LAAR Phillips Perron LAAR : 64
PP 2,762-5,207-1,136-5,079-5,873-9,953 Level 1% -2,614-3,574-4,161-2,615-3,577-4,165 Level 5% -1,947-2,923-3,506-1,947-2,925-3,508 Level 10% -1,612-2,599-3,183-1,612-2,6-3,184 D-W statistic 1,64 2,072 2,088 2,112 2,019 2,033 Bandwidth 3 7 8 3 1 12 5.4 : PP LAAR 5.4 LAAR, t- statistic 2 MacKinnon (1%, 5% 10%)., D- W statistic 1.8 DW 2.2. 5.3.2.2. LGDP Phillips Perron LGDP : PP 3,524-3,085-0,508-2,576-3,53-4,464 Level 1% -2,614-3,574-4,161-2,615-3,577-4,165 Level 5% -1,947-2,923-3,506-1,947-2,925-3,508 Level 10% -1,612-2,599-3,183-1,612-2,6-3,184 D-W statistic 0,868 1,169 1,237 2,394 2,175 2,04 Bandwidth 4 3 2 3 1 3 5.5 : PP LGDP 65
5.5 LGDP, t-statistic 2 MacKinnon (1%, 5% 10%),, 5% 10%., D-W statistic=2.04 1.8 DW 2.2. 5.3.2.3. CPI Phillips Perron CPI : PP -0,649-1,289-0,556-1,855-1,819-2,085 Level 1% -2,614-3,574-4,161-2,615-3,577-4,165 Level 5% -1,947-2,923-3,506-1,947-2,925-3,508 Level 10% -1,612-2,599-3,183-1,612-2,6-3,184 D-W statistic 0,317 0,32 0,384 2,346 2,346 2,34 Bandwidth 5 5 5 2 2 2 5.6 : PP CPI 5.6 CPI, t-statistic 2 MacKinnon 10% 1 ( ). 66
5.3.4. DF/ADF PP [t 2= -5,881 ] Dickey-Fuller [t 2 =-7,107 ] [t 2= -5,873] Phillips-Perron [t 2 =-9,953] 1% -3,577-4,165-3,577-4,165 5% -2,925-3,508-2,925-3,508 10% -2,600-3,184-2,6-3,184 5.7 : DF/ADF PP LAAR [t 2= -3,629 ] Dickey-Fuller [t 2 =-4,461 ] [t 2= -3,53] Phillips-Perron [t 2 =-4,464] 1% -3,577-4,165-3,577-4,165 5% -2,925-3,508-2,925-3,508 10% -2,600-3,184-2,6-3,184 5.8 : DF/ADF PP LGDP [t 2= -1,868 ] Dickey-Fuller [t 2 =-2,130 ] [t 2= -1,819] Phillips-Perron [t 2 =-2,085] 1% -3,577-4,165-3,577-4,165 5% -2,925-3,508-2,925-3,508 10% -2,600-3,184-2,6-3,184 5.9 : DF/ADF PP CPI 5.7 5.8 (ADF/DF PP).,. 5.9 67
,,. MacKinnon Phillips Perron. 5.4. ( ),,. 6 ( ) 6.1. 5 I(1).. 68
Engel Granger (1987),,. 6.2. Engel Granger,.,. Engle-Granger (1987),, (Dritsakis, 2004f). Engle- Granger : :,. :,. 69
t-stat 2 MacKinnon (1991)..., Engle- Granger. LAAR t = 0 + 1* CPI t + 2* LGDP t + u t OLS,.,,,., 1,, : U = δ U + β U + e ρ t 2 t 1 t i t i= 1 i i=1,2,.,. OLS. 70
6.3. : 1 =0 =1 =2 DF/ADF -3,270 Level 1% -2,614 Level 5% -1,947 Level 10% -1,612 DW-statistic 1,673 AIK -1,552 SCH -1,513 6.1: DF/ADF 6.1, (1%, 5%, 10%). : U = δ U t 2 t 1, (LAAR, LGDP, CPI),. 6.4.,, 71
( ). 7 ( ) 7.1.,..,. (Dritsakis, 2004g).. 7.2. (Error Correction Mechanism, ECM). : LAAR = lagged LAAR LGDP CPI + u + e t ( t, t, t ) λ t 1 t 72
: : u : t 1 : (-1< < 0) e t :, OLS, LAAR, LGDP CPI. ( ), (0,1). (Dritsakis, 2004g). 7.3. 7.1. : ΔLAAR t =0,043092 + 0,320995ΔLAAR t-1-0,020411 ΔLGDP t-1 + 0,013571 ΔCPI t-1-0,339986mar t-1 + e t 73
7.1: 7.4., (-0.339986), (0,1) ([Prob]=[0.0619] < 0.10) 10%. 33% (0.339986). 74
8 (VAR ) 8.1. Engle Granger, 6,.. Johansen (1988), VAR,, Engle-Granger (Dritsakis, 2004h).. 8.2. Johansen Johansen (VAR ). VAR, 75
. VAR : Y = +ΑΥ + AY + u t δ 1 t 1 2 t 2 t Y t : : 1, 2 : u t : VAR. VAR,., VAR.,, Y t Y t+k k. VAR, VAR., (VAR) Akaike Schwartz (LR). 76
Johansen r, r < m m=. r =0 r 1.,., r=1 r 2,,. VAR (trace) (Max- Eigen). trace statistic Max- Eigen statistic 5% 1%,. 8.3. (1). (VAR ). VAR, Akaike, Schwartz (LR). Johansen.,. 77
8.1: VAR 8.1 VAR 2 (Akaike, Schwartz (LR)) * 2. VAR.. LAAR LGDP CPI LAAR(-1) 0.898543 0.224556 2.120147 (0.16853) (0.07588) (1.60017) [ 5.33171] [ 2.95923] [ 1.32495] LAAR(-2) -0.076148 0.101313 1.772066 (0.19335) (0.08706) (1.83589) [-0.39383] [ 1.16370] [ 0.96524] LGDP(-1) -0.180885 0.926623-7.743121 (0.35064) (0.15788) (3.32931) [-0.51587] [ 5.86906] [-2.32574] LGDP(-2) 0.288961-0.266911 4.096463 (0.27760) (0.12500) (2.63581) 78
[ 1.04092] [-2.13537] [ 1.55416] CPI(-1) 0.009322-0.004805 1.769785 (0.00951) (0.00428) (0.09026) [ 0.98061] [-1.12259] [ 19.6067] CPI(-2) -0.010083 0.005828-0.792518 (0.00998) (0.00449) (0.09475) [-1.01043] [ 1.29717] [-8.36440] C 0.172701 3.338723 30.02286 (1.71653) (0.77291) (16.2985) [ 0.10061] [ 4.31970] [ 1.84207] R-squared 0.983641 0.997387 0.994561 Adj. R-squared 0.981188 0.996995 0.993745 Sum sq. resids 0.582960 0.118192 52.55670 S.E. equation 0.120723 0.054358 1.146262 F-statistic 400.8668 2544.378 1218.994 Log likelihood 36.46981 73.97131-69.31612 Akaike AIC -1.254035-2.849843 3.247494 Schwarz SC -0.978481-2.574289 3.523048 Mean dependent 15.35539 24.40716 16.79553 S.D. dependent 0.880173 0.991562 14.49325 Determinant Residual 4.23E-05 Covariance Log Likelihood (d.f. adjusted) 36.59076 Akaike Information Criteria -0.663436 Schwarz Criteria 0.163225 8.2: VAR 8.2, 1 VAR.. VAR (trace) (Max- Eigen): 79
: : 1 H : : 1 : 2 8.3: 8.4: 8.3 8.4, 5% 1%, : 80
( ) ( ) ( ) ( ) ( ) ( ) + LAAR = 0.8985426116*LAAR 1 0.07614848665*LAAR 2 0.1808851147*LGDP 1 + 0.2889606015*LGDP 2 + 0.00932215061*CPI 1 0.01008290963*CPI 2 0.1727010781 8.4. Johansen., Engel-Granger,, ( ). 9 9.1...,,.,.,. 9.2. Granger Granger (1969) VAR. 81
, X t Y t, VAR : m Y = µ + a Y + β X + u t 0 i t i i t i t i= 1 i= 1 m m X = ϕ + γ Y + δ X + e t 0 i t i i t i t i= 1 i= 1 m m: (, 2002). : : Granger ( ) : Granger ( ) : Granger ( ) : Granger ( ) 82
9.3.,., Granger. VAR 8 2. 9.1: Granger 9.1. 1%, 5% 10%.,.. 83
9.1.: Granger 9.4.,. Granger. 10 10.1. 84
,.,,,,.. 16.000.,,,,.. ( ). '... 1990. 1990,. 85
- -,,,.,. 2004... '.,.,.., ( ). 86
( )..,.. /,.,,, 1970. 10.2., 87
.,,.,,,. 1960-2008. Dickey-Fuller Phillips-Perron.. Dickey-Fuller Phillips- Perron,.,. Engle-Granger, 88
.,. Johansen, VAR.,. Granger. 10.3.,.. (, )., 89
..., (,,,.),, (,,, ),,, (,,,,, )..,,. ( ),. 90
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(AAR) (CPI) (GDP) 1960 399000.0 1.55 4.06E+09 1961 494000.0 1.58 4.58E+09 1962 598000.0 1.58 4.86E+09 1963 741000.0 1.62 5.43E+09 1964 757000.0 1.64 6.09E+09 1965 976000.0 1.69 6.93E+09 1966 1131000. 1.77 7.71E+09 1967 996000.0 1.8 8.33E+09 1968 1018000. 1.81 9.04E+09 1969 1306000. 1.86 1.03E+10 1970 1609000. 1.91 1.15E+10 1971 2258000. 1.97 1.28E+10 1972 2731000. 2.05 1.48E+10 1973 3178000. 2.37 1.96E+10 1974 2188000. 3.01 2.23E+10 1975 3173000. 3.41 2.50E+10 1976 4243000. 3.86 2.73E+10 1977 4461000. 4.33 3.18E+10 1978 5081000. 4.88 3.89E+10 1979 5798000. 5.88 4.78E+10 1980 5271000. 7.25 4.99E+10 1981 5577000. 9.02 4.60E+10 1982 5464000. 10.91 4.79E+10 1983 5258000. 13.12 4.34E+10 1984 5580000. 15.54 4.22E+10 1985 6027000. 18.54 4.20E+10 1986 7339000. 22.8 4.95E+10 1987 8053000. 26.54 5.76E+10 1988 8274000. 30.13 6.69E+10 1989 8540000. 34.26 6.95E+10 1990 8873000. 41.25 8.59E+10 1991 8934000 43.4 8.63E+10 95
1992 9012300 44.8 8.88E+10 1993 9123000 42.11 9.02E+10 1994 9235000 40.78 9.17E+10 1995 9123000 38.3 9.22E+10 1996 9012000 36.9 9.30E+10 1997 9232000 34.3 9.54E+10 1998 9456000 31.7 9.66E+10 1999 9672000 30.6 9.72E+10 2000 9783200 28.8 9.84E+10 2001 9852000 25.2 9.90E+10 2002 10012000 23.1 10.06E+10 2003 10237000 19.7 10.21E+10 2004 10956000 17.4 10.33E+10 2005 10234000 16.3 10.40E+10 2006 9987000 15.3 10.56E+10 2007 9126000 12.9 10.67E+10 2008 9023000 11.0 10.78E+10 : AAR, CPI GDP 96