2004

2004-2005
.

, ,
. 2004 9
,
6- 4 ( 2-
). , ,
. ,
7 9

.
9
8.8
. 2004
.

3- .
:
1.
2. -ARMA
3. Phillips-
2004 10 2005 12 15
1-
.
1. .
.


. .
- 3 7
15 1- . 2004
3 14% , 7 13%, 2005 5% 9%
. 2- .

10

 1. ARMA - ,
150
3

145

140

135

arma

130
125
120
115
2004 1

11

2005 1

11

3-
Holt-Winters-Multiplicative .

F t + h = ( S t + hbt ) Lt + h

: St - , bt - Lt-
.
.
S t = y t + (1 )( S t 1 + b t 1 )

0 1

b t = ( S t S t 1 ) + (1 ) b t 1
0 1
y
L t = t + (1 ) L t L
0 1
St
1- . 2004 11%, 2005
12% ( 2- ).
2. -ARMA


ARMA .

. 70- ,
. ARMA(p,q)
:

. yi - , i
. ARMA
.

yt = + 1 yt 1 + ... + p yt p + t + 1 t 1 + ... + q t q
11

ARMA , .
,
ARMA .
- ARMA
1-, 1-
. 2004 11 , 2005 3 7
( 2- ).
3. Phillips-
Phillips- .
Phillips- - t+1
-( ut

ut )

pt +1 = + (ut ut ) + pt i + t +1
: ut- ,

ut -

t-

.

Phillips-
.
(yt)-
.

pt +1 = + ( yt yt ) + pt i + t +1
yt- ,

yt -

Hodrick-Prescott (HP) filter- - .

1- . Phillips- 2004
9 , 2005 4.3 .
2. Phillips-
140
130.6

130

inf_phillips
120

125.1

110
100
90
1997

1998

1999

2000

2001

2002

2003

2004

2005

2004
2005
. 2005
.

12

 1. 2004-2005 ,
2004
3-
14%
7-
13%

11%
ARMA
11%
Phillips-
9%

2005
5%
9%
12%
7%
4.3%

. 3


.


.

, , ,
.

13

 1.
Inf-
CPI- , , ,

GAP- - ,
D1- 2004 7-9
D2- 1997 5-8
- , , 2000.12=100
130
120
110
100
90
80
70
60
12.96

6.97

12.97

6.98

12.98

6.99

12.99

6.00

12.00

06

12.01

06

12.02

06

12.03

6.04

,
gap

250000
200000
150000
100000
Y

50000

GAP

0
1993Q1 1994Q2 1995Q3 1996Q4 1998Q1 1999Q2 2000Q3 2001Q4 2003Q1 2004Q2

20000
15000
10000
5000
0
-5000
-10000
-15000
-20000
-25000
-30000

2.
1. , , 2000.12=100
1
2
3
4
5
6
7
8

1998
81.0
81.4
84.9
88.2
89.0
86.6
85.6
83.1

1999
84.2
87.2
88.6
91.9
94.0
94.1
93.0
91.1

2000
95.66
97.94
98.85
104.93
108.55
108.55
105.50
98.40

2001
104.85
106.59
109.49
111.44
114.00
109.76
107.53
104.10

2002
108.51
109.28
107.78
109.03
110.08
109.50
108.49
106.30

2003
110.33
111.43
113.06
116.03
119.16
116.74
115.49
111.04

1998-2003
2004
116.60
118.95
120.07
121.50
122.65
122.95
125.06
125.50

14

9
10
11
12
9

12

80.6
81.5
82.4
84.1

88.5
88.7
91.0
92.5

96.98
97.03
97.90
99.99

101.97
103.26
105.69
107.92

105.41
106.34
108.01
109.78

111.13
112.28
113.64
114.89

1.6

5.3

4.9

2.0

-2.3

1.2

6.0

10.0

8.1

7.9

1.7

4.6

125.00

8.8

2.1
6.4

2. 2004-2005
3 7

2004 1
116.6
116.6
117.0
2
119.0
119.0
118.7
3
120.1
120.1
121.0
4
121.5
121.5
122.6
5
122.7
122.7
123.0
6
123.0
123.0
122.5
7
125.1
125.1
121.6
8
125.5
125.5
123.3
9
126.8
125.0
124.4
10
129.0
126.1
126.3
11
131.1
128.1
128.3
12
131.1
130.2
127.7
2005 1
133.7
132.7
130.3
2
135.2
135.3
133.0
3
136.5
137.5
136.4
4
139.0
142.3
140.1
5
141.8
145.6
142.7
6
138.8
145.0
143.8
7
136.9
143.3
142.1
8
132.8
138.4
140.9
9
131.6
136.4
140.1
10
133.0
137.6
141.4
11
135.2
139.8
143.5
12
137.4
142.1
142.6
2004
14
13
11
2005
5
9
12

arma
116.6
118.3
120.0
121.4
122.4
123.6
124.6
125.1
125.0
125.1
126.1
127.5
128.7
129.6
131.6
134.5
136.6
136.8
135.6
134.5
134.1
134.4
135.2
136.3
11
7

3.
.ARMA
Dependent Variable: INF1
Method: Least Squares
Date: 11/02/04 Time: 11:40
Sample (adjusted): 1997M08 2004M09
Included observations: 86 after adjustments
Convergence achieved after 17 iterations
Backcast: 1995M12 1996M11
Variable
C
T

Coefficient

Std. Error

t-Statistic

Prob.

0.508439
0.001007

0.133139
0.000384

3.818868
2.620782

0.0003
0.0107

15

LOG(T)
D1
D2
INF1(-1)
INF1(-2)
INF1(-11)
AR(1)
AR(3)
AR(4)
AR(9)
MA(3)
MA(12)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots

Inverted MA Roots

-0.092132
0.012401
-0.044417
1.377595
-0.481098
-0.072675
0.339529
-0.418083
0.269155
0.131057
-0.138213
-0.835089
0.994225
0.993183
0.005428
0.002122
334.1996
1.713084
.82
.25-.84i
-.78+.17i
1.00
.49+.84i
-.50+.86i

0.030696
0.005261
0.011940
0.121428
0.107339
0.029172
0.156103
0.089878
0.099831
0.066070
0.075005
0.057061

-3.001489
2.357035
-3.720040
11.34492
-4.482038
-2.491239
2.175039
-4.651692
2.696112
1.983607
-1.842705
-14.63502

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.0037
0.0211
0.0004
0.0000
0.0000
0.0150
0.0329
0.0000
0.0087
0.0511
0.0695
0.0000
1.080977
0.065743
-7.446501
-7.046957
953.5560
0.000000

.61+.54i
-.31+.63i

.61-.54i
-.31-.63i

.25+.84i
-.78-.17i

.86+.48i
-.01+.98i
-.85+.50i

.86-.48i
-.01-.98i
-.85-.50i

.49-.84i
-.50-.86i
-.97

Breusch-Godfrey Serial Correlation LM Test:

F-statistic
Obs*R-squared

2.83514
1.66052

Probability
Probability

0.182337
0.221021

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/02/04 Time: 11:41
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
T
LOG(T)
D1
D2
INF1(-1)
INF1(-2)
INF1(-11)
AR(1)

0.015329
-5.91E-05
0.000246
0.004708
0.016357
-0.277734
0.266868
0.000141
-0.551520

0.145639
0.000414
0.033717
0.004652
0.012860
0.141872
0.126113
0.027699
0.311296

0.105253
-0.142736
0.007288
1.012013
1.271915
-1.957637
2.116103
0.005107
-1.771691

0.9165
0.8869
0.9942
0.3150
0.2076
0.0543
0.0379
0.9959
0.0808

16

AR(3)
AR(4)
AR(9)
MA(3)
MA(12)
RESID(-1)
RESID(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.019965
-0.291398
0.045818
-0.028106
0.028264
0.868442
0.546783

0.081079
0.145810
0.057663
0.044577
0.044570
0.398699
0.195140

0.246242
-1.998479
0.794581
-0.630507
0.634146
2.178190
2.802004

0.025074
0.090140
0.004759
0.001585
346.7248
2.009366

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.624723
0.634997

Probability
Probability

0.8062
0.0496
0.4295
0.5304
0.5281
0.0328
0.0066
0.000256
0.004989
-7.691276
-7.234653
1.561400
0.107814

ARCH Test:
F-statistic
Obs*R-squared

0.431550
0.425528

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/02/04 Time: 11:47
Sample (adjusted): 1997M09 2004M09
Included observations: 85 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RESID^2(-1)

2.71E-05
-0.086487

4.68E-06
0.109422

5.789468
-0.790394

0.0000
0.4316

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.007471
-0.004488
3.50E-05
1.02E-07
752.4660
1.994015

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

2.49E-05
3.49E-05
-17.65802
-17.60055
0.624723
0.431550

. Phillips-
Dependent Variable: D(CPI)
Method: Least Squares
Date: 10/29/04 Time: 16:08
Sample (adjusted): 1993Q4 2004Q3

17

Included observations: 44 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LOG(T)
GAP
D(CPI(-2))
D(CPI(-1))
D1
D2

-8.370674
2.703256
-2.85E-05
-0.283402
-0.465089
22.51247
9.628399

2.576730
0.838817
1.67E-05
0.083270
0.092943
3.612222
3.732408

-3.248565
3.222700
-1.707294
-3.403400
-5.004038
6.232305
2.579675

0.0025
0.0027
0.0961
0.0016
0.0000
0.0000
0.0140

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.679261
0.627249
3.541054
463.9453
-114.2560
1.994476

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.485455
5.799933
5.511636
5.795484
13.05974
0.000000

Breusch-Godfrey Serial Correlation LM Test:

F-statistic
Obs*R-squared

0.791611
1.904200

Probability
Probability

0.461059
0.385930

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/01/04 Time: 15:53
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LOG(T)
GAP
D(CPI(-2))
D(CPI(-1))
D1
D2
RESID(-1)
RESID(-2)

-0.380900
0.141607
-4.67E-06
-0.044849
-0.002839
0.394298
0.101576
-0.008400
0.250247

2.708352
0.886835
1.76E-05
0.096858
0.114492
3.650736
3.754560
0.210160
0.199489

-0.140639
0.159677
-0.265042
-0.463040
-0.024798
0.108005
0.027054
-0.039972
1.254439

0.8890
0.8741
0.7925
0.6462
0.9804
0.9146
0.9786
0.9683
0.2180

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.043277
-0.175402
3.561168
443.8670
-113.2827

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic

1.68E-15
3.284726
5.558303
5.923251
0.197903

18

Durbin-Watson stat

1.937169

Prob(F-statistic)

0.989348

0.002248
0.002357

Probability
Probability

0.962417
0.961278

ARCH Test:
F-statistic
Obs*R-squared

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/01/04 Time: 15:53
Sample (adjusted): 1994Q1 2004Q3
Included observations: 43 after adjustments
Variable
C
RESID^2(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

Coefficient

Std. Error

t-Statistic

Prob.

10.64101
0.007371

2.515783
0.155484

4.229699
0.047409

0.0001
0.9624

0.000055
-0.024334
12.52963
6436.661
-168.6985
1.998812

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

10.71859
12.37991
7.939465
8.021382
0.002248
0.962417

19