- (VAR) : :.. (VAR)... e-mail: nasr_reza@hotmail.com e-mail: Nemata@yahoo.com e-mail: Bidram@hotmail.com
..... :. VAR
........ (VAR)..... ( ) ().-. Output Gap.
... ( )...... ) - ) ( (. ). ( -. ( ).. * (). - () ( ) *. Kalman -Filter. 2. Lisman & Sander..()...
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....- GDPr ().. -
) (). (.- gdp per. Mov. Avg. ().-.... Nelson & Plosser (989). 2. Non - Stationary. 3. Deterministic.. Stochastic.
................. ( ). % % % %. Harvey and Jaeger. 3. Blanchard (989).. Random walk..().
%.. -.--. (). () ( ) (t) J = T T 2 ( Y t Γy, t ) + λ [( Γy, t + + Γy, t ) ( Γy, t Γy, t t = t = 2 (y) : λ t λ = λ =. λ λ :. -. -. )] 2. Hodrick & Prescott (997). 2. Smoothness..().
....-. ().-. - ().-
: ()................. Unit Root. 2. Cointegration.
.... ( ).-. : GAP = f (RM٢, RECH, INFC, DOM) GAP RM RECH (CPI) INFC DOM. ( ) : GAP= C + (a*infc( i) + b *RM 2( i) + c *RECH( i) + d *GAP( i)) + f*dom5 + g*dom6 + e ),i,i,i i= RECH= C2 + (a *INFC( i) b *RM 2( i) c *RECH( i) d *GAP( i)) f *DOM5 g *DOM6 e ),i 2,i 2,i 2,i 2 2 2 i 2 + + + + + + = INFC= C3 + (a *INFC( i) b *RM 2( i) c *RECH( i) d *GAP( i)) f *DOM5 g *DOM6 e ),i 3,i 3,i 3,i 3 3 3 i 3 + + + + + + = IRM2 = C + (a *INFC( i) b *RM 2( i) c *RECH( i) d *GAP( i)) f *DOM5 g *DOM6 e ),i,i,i,i i + + + + + + =... Akaike.
-.-.. -.- % % INFC - - - RM2 - - - RECH - - - GAP - - - - ).(.-...-- Eviews : (). DOM DOM.....( )
....--.. ().. -.. ( - ).- RM INFC GAP. () GAP RECH. () :..( )
.-....
.... :... :..-. S.E (). % % % %. (. ).
.- Variance Decomposition of GAP: S.E. GAP RECH INFC RM٢
.... :. ( ) : ( (........
..()..-....()..-..()..-..()...().....()..-.().... (p*).()..-...()..-.()....(var)..()..-..().... Chandan, M., Havad. W. and Wuyts. (998). Econometrics and Data Analysis for Developing Countries, Canada by Rutledge. Delan Villanueva. (993). The Macroeconomic Effects of Rate Unification, with Special Reference to the Islamic Republic of Iran. PP. 256-270.
... Harvey, A.C. and Jaeger, A. (993). Defending, Stylized Facts and Business Cycles. Journal of Applied Eeconometrics, Vol.8. Hedrick R.J. and Prescott, E.C. (997). Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit, and Banking, Vol. 29, PP. -6. Nelson, C.R. and Plosser, C.I. (989). Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications. Journal of Monetary Economics, Vol. 0, No. 2. Ruddier. Drone Busch. (987). Exchange Rates and Price. The American Economic Review, Vol. 77, No., PP. 93-06.
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() y, y3, y2, y y y y y y 2 3 a e m b f n = c g s d h t 23 A t t t + t : t ().. A.. t y y y t + a + b + c + d = m + n + s + r = e + f + g + h = t = y = 2 y = = = = 3 y t t t + b c d = ( b + f + n = ( c + g + s = ( d + h + t. [ a + e + m ] = ( a + e + m = t t t + ) [ + f + n ] 2 = t t t + ) y [ + g + s ] 3 = t t t + ) [ + h + t ] y = t t t + ) t. () () () : () () () () ()
... a + e + m = b + f + n = c + g + s = : d + h + t = ().. y y = ( b a) + ( f e) + ( n m) 2 t t t + y y = ( c b) + ( g f ) + ( s n) 3 2 t t t + y y = ( d c) + ( h g) + ( t s) 3 t t t + () () () : Q α Q = ( b a)( Q) + ( g f )( ) + ( n m)( Q) t t t + t Q) + ( g f )( t ) + ( s n)( t + t Q) + ( h g)( t ) + ( t s)( t + β Q = ( c b)( Q) γ Q = ( d c)( Q) ( a b) + ( n m) =α ( b c) + ( s n) = β ( c d) + ( t s) =γ () () (). () () () : e + f + g + h = : h = ( e + f + g) h a + b + c + d = a + m + e = b + f + n = ١ c + g + s = d + h + t = a b + n m =α b c + s n = β () () () () () () () () () ()
( c d) + ( t s) =γ () : 0 0 0 0 a 0 0 0 0 0 0 0 b e 0 0 0 0 0 0 c f 0 0 0 0 0 0 d g = 0 0 0 0 0 0 m ( e f g) 0 0 0 0 n α 0 0 0 0 s β 0 0 0 0 t γ γ, β, α ().. -. ( n m) a i, j A k. A = K b Tr AA = i j : [ K K = ] m : b 2 a i, j : : x Tr ( A Ka ) ( A Ka ) (). A A K.. A A (Eagan Value) λ. ( A A λ. I) K =0 A λi. Tr ()
..... Z. %. % %.. γ, β, α A. :() y a e m t y2 = b f n () t y 3 c g s t + y d h t 23, t + t A : y y e t () y 2 f t () y 3 g t () y h t () h, g, f, e.
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