پایان نامه درمورد بازده دارایی

دسامبر 22, 2018 0 By yazoa
پایان نامه  

regression
0.089349
    Akaike info criterion
-1.936778
Sum squared resid
0.654627
    Schwarz criterion
-1.795059
Log likelihood
89.24983
    Hannan-Quinn criter.
-1.879712
F-statistic
86.18271
    Durbin-Watson stat
2.019956
Prob(F-statistic)
0.000000

Wald Test:

Equation: Untitled

Test Statistic
Value
df
Probability

F-statistic
 50.37485
(2, 82)
 0.0000
Chi-square
 100.7497
 2
 0.0000

Null Hypothesis: C(3)=0, C(4)=0

Null Hypothesis Summary:

Normalized Restriction (= 0)
Value
Std. Err.

C(3)
-0.542939
 0.099451
C(4)
 0.560629
 0.098489

LGDP
Dependent Variable: D4LGDP

Method: Least Squares

Sample (adjusted): 1371Q1 1392Q3

Included observations: 87 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

C
0.213667
0.161455
1.323382
0.1894
Z1(-1)
-0.003883
0.003578
-1.085323
0.2810
Z2(-1)
-0.017321
0.030522
-0.567486
0.5719
Z3(-1)
-0.002123
0.018489
-0.114800
0.9089
Z4(-1)
-0.022046
0.018515
-1.190677
0.2372

R-squared
0.035149
    Mean dependent var
0.039231
Adjusted R-squared
-0.011917
    S.D. dependent var
0.040662
S.E. of regression
0.040903
    Akaike info criterion
-3.499456
Sum squared resid
0.137193
    Schwarz criterion
-3.357737
Log likelihood
157.2263
    Hannan-Quinn criter.
-3.442390
F-statistic
0.746802
    Durbin-Watson stat
0.881119
Prob(F-statistic)
0.562936

Wald Test:

Equation: Untitled

Test Statistic
Value
df
Probability

F-statistic
 0.167303
(2, 82)
 0.8462
Chi-square
 0.334605
 2
 0.8459

Null Hypothesis: C(3)=0, C(4)=0

Null Hypothesis Summary:

Normalized Restriction (= 0)
Value
Std. Err.

C(3)
-0.017321
 0.030522
C(4)
-0.002123
 0.018489

LM
Dependent Variable: D4LM

Method: Least Squares

Sample (adjusted): 1371Q1 1392Q3

Included observations: 87 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

C
0.102505
0.029431
3.482865
0.0008
Z1(-1)
-0.000337
0.000484
-0.696119
0.4883
Z2(-1)
-0.137414
0.056250
-2.442922
0.0167
Z3(-1)
0.615309
0.100126
6.145336
0.0000
Z4(-1)
-0.543369
0.099930
-5.437502
0.0000

R-squared
0.666227
    Mean dependent var
0.241970
Adjusted R-squared
0.649946
    S.D. dependent var
0.046308
S.E. of regression
0.027398
    Akaike info criterion
-4.300919
Sum squared resid
0.061555
    Schwarz criterion
-4.159200
Log likelihood
192.0900
    Hannan-Quinn criter.
-4.243853
F-statistic
40.91906
    Durbin-Watson stat
1.592333
Prob(F-statistic)
0.000000

Wald Test:

Equation: Untitled

Test Statistic
Value
df
Probability

F-statistic
 25.42949
(2, 82)
 0.0000
Chi-square
 50.85897
 2
 0.0000

Null Hypothesis: C(3)=0, C(4)=0

Null Hypothesis Summary:

Normalized Restriction (= 0)
Value
Std. Err.

C(3)
-0.137414
 0.056250
C(4)
 0.615309
 0.100126

LOIL
Dependent Variable: D4LOIL

Method: Least Squares

Sample (adjusted): 1371Q1 1392Q3

Included observations: 87 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.  

C
1.060415
0.476663
2.224666
0.0289
Z1(-1)
-0.023316
0.012041
-1.936370
0.0563
Z2(-1)
-0.332471
0.067619
-4.916826
0.0000
Z3(-1)
-0.108177
0.076828
-1.408042
0.1629
Z4(-1)
-0.421739
0.077148
-5.466635
0.0000

R-squared
0.429510
    Mean dependent var
0.223677
Adjusted R-squared
0.401681
    S.D. dependent var
0.725637
S.E. of regression
0.561288
    Akaike info criterion
1.738588
Sum squared resid
25.83360
    Schwarz criterion
1.880306
Log likelihood
-70.62856
    Hannan-Quinn criter.
1.795653
F-statistic
15.43404
    Durbin-Watson stat
2.038585
Prob(F-statistic)
0.000000

Wald Test:

Equation: Untitled

Test Statistic
Value
df
Probability

F-statistic
 13.61085
(2, 82)
 0.0000
Chi-square
 27.22171
 2
 0.0000

Null Hypothesis: C(3)=0, C(4)=0

Null Hypothesis Summary:

Normalized Restriction (= 0)
Value
Std. Err.

C(3)
-0.332471
 0.067619
C(4)
-0.108177
 0.076828

پیوست8: تعیین وقفه بهینه مدل VAR
مدل بازده دارایی‌ها و تورم
VAR Lag Order Selection Criteria

Endogenous variables: DLTEPIX DLCPI DLHP DLCOIN DLEX DLGDP DLM DLOIL 

Exogenous variables: C 

Sample: 1370Q2 1392Q3

Included observation
s: 84

 Lag
LogL
LR
FPE
AIC
SC
HQ

0
 875.9242
NA 
 1.46e-19
-20.66486
 -20.43336*
-20.57180
1
 976.9541
 180.4106
 6.10e-20
-21.54653
-19.46297
 -20.70895*
2
 1046.569
 111.0521
 5.55e-20
-21.68021
-17.74460
-20.09813
3
 1119.615
  102.6124*
  4.96e-20*
 -21.89559*
-16.10794
-19.56900

 * indicates lag order selected by the criterion

 LR: sequential modified LR test statistic (each test at 5% level)

 FPE: Final prediction error

 AIC: Akaike information criterion

 SC: Schwarz information criterion

 HQ: Hannan-Quinn information criterion

مدل بازه دارایی‌ها و تورم انتظاری

VAR Lag Order Selection Criteria

Endogenous variables: LTEPIX LCPIF LHP LCOIN LEX LGDP LM LOIL 

Exogenous variables: C 

Sample: 1370Q2 1392Q3

Included observations: 83

 Lag
LogL
LR
FPE
AIC
SC
HQ

0
 60.71093
NA 
 3.88e-11
-1.270143
-1.037002
-1.176480
1
 857.4623
 1420.713
 8.38e-19
-18.92680
-16.82853
-18.08383
2
 1036.568
 284.8424
 5.45e-20
-21.70043
 -17.73703*
 -20.10815*
3
 1109.402
  101.7929*
  4.90e-20*
 -21.91331*
-16.08478
-19.57173

 * indicates lag order selected by the criterion

 LR: sequential modified LR test statistic (each test at 5% level)

 FPE: Final prediction error

 AIC: Akaike information criterion

 SC: Schwarz information criterion

 HQ: Hannan-Quinn information criterion

پیوست9: آزمون یوهانسون برای تأیید وجود رابطه‌ی بلندمدت بین متغیرها، نوع الگو و تعداد بردارهای هم‌انباشتگی
مدل بازده دارایی‌ها و تورم-وقفه‌ی سه- الگوی دوم

Sample (adjusted): 1371Q2 1392Q3

Included observations: 86 after adjustments

Trend assumption: No deterministic trend (restricted constant)
Series: LTEPIX LCPI LHP LCOIN LEX LGDP LM LOIL 

Exogenous series: D72 D91 

Warning: Critical values assume no exogenous series

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.512429
 231.0316
 169.5991
 0.0000
At most 1 *
 0.383697
 169.2562
 134.6780
 0.0001
At most 2 *
 0.349669
 127.6307
 103.8473
 0.0006
At most 3 *
 0.304651
 90.62716
 76.97277
 0.0031
At most 4 *
 0.240875
 59.37982
 54.07904
 0.0156
At most 5 *
 0.181493
 35.67917
 35.19275
 0.0443
At most 6
 0.141695
 18.45563
 20.26184
 0.0869
At most 7
 0.059934
 5.315211
 9.164546
 0.2506

 Trace test indicates 6 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level
 **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.512429
 61.77540
 53.18784
 0.0053
At most 1
 0.383697
 41.62549
 47.07897
 0.1704
At most 2
 0.349669
 37.00353
 40.95680
 0.1304
At most 3
 0.304651
 31.24734
 34.80587
 0.1253
At most 4
 0.240875
 23.70065
 28.58808
 0.1861
At most 5
 0.181493
 17.22354
 22.29962
 0.2200
At most 6
 0.141695
 13.14042
 15.89210
 0.1291
At most 7
 0.059934
 5.315211
 9.164546
 0.2506

 Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05 level

مدل بازده دارایی‌ها و تورم- وقفه‌ی سه الگوی سوم

Sample (adjusted): 1371Q2 1392Q3

Included observations: 86 after adjustments

Trend assumption: Linear deterministic trend

Series: LTEPIX LCPI LHP LCOIN LEX LGDP LM LOIL 

Exogenous series: D72 D91 

Warning: Critical values assume no exogenous series

Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**

None *
 0.509583
 208.2578
 159.5297
 0.0000
At most 1 *
 0.365502
 146.9829
 125.6154
 0.0013
At most 2 *
 0.337285
 107.8596
 95.75366
 0.0057
At most 3 *
 0.288819
 72.47838
 69.81889
 0.0302
At most 4
 0.219193
 43.16714
 47.85613
 0.1286
At most 5
 0.158470
 21.88844
 29.79707
 0.3047
At most 6
 0.078474
 7.050518
 15.49471
 0.5718
At most 7
 0.000258
 0.022233
 3.841466
 0.8814

 Trace test indicates 4 cointegrating eqn(s) at the 0.05 level
 * denotes rejection of the hypothesis at the 0.05