2012/‫ اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‬Iraqi Journal for Economic Sciences/ ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ‬

‫دراﺳﺔ ﻣﻘﺎرﻧﺔ ﻓﻲ ﻃﺮاﺋﻖ ﺗﻘﺪﻳﺮ إﻧﺤﺪار‬

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‫اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك ﻣﻊ ﺗﻄﺒﻴﻖ ﻋﻤﻠﻲ‬
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‫أﻧﺴﺎم ﺧﺎﻟﺪ ﺣﺴﻦ اﻟﺠﺒﻮري‬ ‫ ﻛﻨﻌﺎن ﻋﺒﺪ اﻟﻠﻄﻴﻒ ﻋﺒﺪ اﻟﺮزاق‬.‫د‬.‫أ‬
‫اﻟﻤﺴﺘﺨﻠﺺ‬
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‫ـﺔ‬堀堀‫ ﻃﺮﻳﻘ‬:‫ـﻲ‬堀堀‫ﻖ وﻫ‬堀‫ﻊ ﻃﺮاﺋ‬堀‫ﺎر أرﺑ‬堀堀‫ﻢ اﺧﺘﻴ‬堀堀‫ﺚ ﺗ‬堀堀‫ﺸﺘﺮك ﺣﻴ‬堀堀‫ﻞ اﻟﻤ‬堀堀‫ﺪار اﻟﺘﻜﺎﻣ‬堀堀‫ﺪﻳﺮ اﻧﺤ‬堀堀‫ﻖ ﺗﻘ‬堀堀‫ﻴﻦ ﻃﺮاﺋ‬堀堀‫ﺔ ﺑ‬堀堀‫ﺚ ﻣﻘﺎرﻧ‬堀堀‫ﺬا اﻟﺒﺤ‬堀堀‫ﻲ ﻫ‬堀堀‫ﻢ ﻓ‬堀堀‫ﺗ‬
‫ﺼﻐﺮى‬堀‫ﺎت اﻟ‬堀‫ﺔ اﻟﻤﺮﺑﻌ‬堀‫ ( وﻃﺮﻳﻘ‬Ordinary Least Squares Method ) ‫ـﺔ‬堀‫ﺼﻐـﺮى اﻻﻋـﺘﻴﺎدﻳ‬堀‫ـﺎت اﻟ‬堀‫اﻟﻤﺮﺑﻌ‬
‫( وﻃﺮﻳﻘﺔ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‬Fully Modified Ordinary Least Square Method) ‫اﻟﻤﻌﺪﻟﺔ ﺑﺎﻟﻜﺎﻣﻞ‬
‫ﺔ‬堀‫ﺼﻐﺮى اﻟﺪﻳﻨﺎﻣﻴﻜﻴ‬堀‫ﺎت اﻟ‬堀‫( وﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌ‬Canonical Cointegrating Regression Method) ‫اﻟﻘﺎﻧﻮﻧﻴﺔ‬
‫ﺎ‬堀‫( إذ ﺗﺒﻴﻦ ان ﺟﻤﻴﻊ ﻧﺘﺎﺋﺞ اﻟﺘﻘﺪﻳﺮ ﻛﺎﻧﺖ ﺟﻴﺪة وﻣﻌﻮل ﻋﻠﻴﻬ‬Dynamic Ordinary Least Square Method)
‫ﻲ‬堀‫ ﻓ‬CPI ‫ﺴﺘﻬﻠﻚ‬堀‫ﻌﺎر اﻟﻤ‬堀‫ﻲ ﻻﺳ‬堀‫ﺮﻗﻢ اﻟﻘﻴﺎﺳ‬堀‫ واﻟ‬M1‫ﺪ‬堀‫ﺮض اﻟﻨﻘ‬堀‫ﻴﻦ ﻋ‬堀‫ﺔ ﺑ‬堀‫ﻮل اﻟﻌﻼﻗ‬堀‫ﻲ ﺣ‬堀‫ﻖ ﻋﻤﻠ‬堀‫وذﻟﻚ ﻣﻦ ﺧﻼل اﺟﺮاء ﺗﻄﺒﻴ‬
‫ﻀﻞ‬堀‫ﺎ اﻻﻓ‬堀‫ﺔ ﻫﻤ‬堀‫ﺼﻐﺮى اﻟﺪﻳﻨﺎﻣﻴﻜﻴ‬堀‫ﺎت اﻟ‬堀‫اﻟﻌﺮاق وﻗﺪﺗﺒﻴﻦ ان ﻣﻘﺪرات ﻃﺮﻳﻘﺘﻲ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻻﻋﺘﻴﺎدﻳﺔ وﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌ‬
.EVIEWS.7‫ ﺗﺤﻠﻴﻞ اﻟﺒﻴﺎﻧﺎت واﺳﺘﺨﺮاج اﻟﻨﺘﺎﺋﺞ ﺗﻢ ﻣﻦ ﺧﻼل اﺳﺘﺨﺪام اﻟﺒﺮﻧﺎﻣﺞ اﻟﺠﺎﻫﺰ‬. ‫واﻻﻛﻔﺄ‬
Abstract
In this research a comparison between the methods of estimating cointegration
regression was chosen as the four methods: Ordinary Least Square Method, Fully
Modified Ordinary Least Square Method, Canonical cointegrating regression Method
and Dynamic Ordinary Least Square Method. It was Found that all the results of the
estimation was a good and Reliable , through a practical application of the relationship
and the index of consumer prices CPI in Iraq shows the between the money supply M1
estimator of the two ways Ordinary Least Square an Dynamic Least Square are the best
and most Efficient . Data analysis and results were extracted through the use of
software EVIEWS.7 .

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‫ ﻛﻠﻴﺔ اﻹدارة واﻻﻗﺘﺼﺎد‬/‫ﺑﺤﺚ ﻣﺴﺘﻞ ﻣﻦ رﺳﺎﻟﺔ ﻣﺎﺟﺴﺘﻴﺮ ﻓﻲ اﻹﺣﺼﺎء‬
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‫ﻣﺴﺎﻋﺪ رﺋﻴﺲ ﺟﺎﻣﻌﺔ اﻟﻨﻬﺮﻳﻦ ﻟﻠﺸﺆون اﻟﻌﻠﻤﻴﺔ‬
ÝÞ ***

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 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫اﻟﻤﻘﺪﻣﺔ‬
‫ﺗﻌﺪ ﻋﻤﻠﻴﺔ اﻟﺘﺨﻄﻴﻂ ﻣﻦ ﺑﻴﻦ اﻫﻢ اﺳﺒﺎب ﺗﻄﻮر اﻻﻣﻢ ‪ ،‬واﻟﺘﺨﻄﻴﻂ اﻟﺠﻴ‪堀‬ﺪ ﻫ‪堀‬ﻮ اﻟ‪堀‬ﺬي ﻳﻌﺘﻤ‪堀‬ﺪ ﻋﻠ‪堀‬ﻰ‬
‫اﻻﺳﺎﻟﻴﺐ اﻟﻌﻠﻤﻴﺔ واﻻﺣﺼﺎﺋﻴﺔ ‪ ،‬وﻣﻦ ﺑﻴﻦ ﻫﺬه اﻻﺳﺎﻟﻴﺐ اﻻﺣﺼﺎﺋﻴﺔ ﻫﻮ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‪.‬‬
‫ﻓﻲ اﻟﻜﺜﻴﺮ ﻣﻦ اﻻﺣﻴﺎن ﺗﻨﺺ اﻟﻨﻈﺮﻳﺔ اﻻﻗﺘﺼﺎدﻳﺔ ﻋﻠﻰ وﺟﻮد ﻋﻼﻗﺔ ﻓﻲ اﻟﻤﺪى اﻟﻄﻮﻳﻞ ﺑﻴﻦ ﻣﺘﻐﻴ‪堀‬ﺮﻳﻦ‬
‫او اﻛﺜﺮ وﺑﺬﻟﻚ ﺣﺘﻰ ﻟﻮ اﺑﺘﻌﺪت ﻫﺬه اﻟﻤﺘﻐﻴﺮات ﻋﻦ ﻗﻴﻢ ﺗﻮازﻧﻬﺎ ﻓﻲ اﻟﻤ‪堀‬ﺪى اﻟﻘﺮﻳ‪堀‬ﺐ ﻓﺎﻧ‪堀‬ﻪ ﺗﻮﺟ‪堀‬ﺪ ﻗ‪堀‬ﻮى‬
‫ﺗﻌﻴﺪﻫﺎ اﻟﻰ ﻫﺬه اﻟﻘﻴﻢ وﺗﻀﻤﻦ ﺗﺤﻘﻴﻖ ﻫ‪堀‬ﺬه اﻟﻌﻼﻗ‪堀‬ﺔ ﻓ‪堀‬ﻲ اﻟﻤ‪堀‬ﺪى اﻟﻄﻮﻳ‪堀‬ﻞ‪ .‬واﻷﻣﺜﻠ‪堀‬ﺔ ﻋﻠ‪堀‬ﻰ ذﻟ‪堀‬ﻚ ﻛﺜﻴ‪堀‬ﺮة ‪:‬‬
‫اﻟﻌﻼﻗ‪堀堀‬ﺔ ﺑ‪堀堀‬ﻴﻦ اﻟ‪堀堀‬ﺪﺧﻞ واﻻﺳ‪堀堀‬ﺘﻬﻼك ‪ ،‬اﻟﻨﻔﻘ‪堀堀‬ﺎت اﻟﻌﻤﻮﻣﻴ‪堀堀‬ﺔ وﻣ‪堀堀‬ﺪاﺧﻴﻞ اﻟ‪堀堀‬ﻀﺮاﺋﺐ ‪ ،‬اﻟﻌﻼﻗ‪堀堀‬ﺔ ﺑ‪堀堀‬ﻴﻦ اﻻﺳ‪堀堀‬ﻌﺎر‬
‫واﻻﺟﻮر ‪ ،‬اﻟﻌﻼﻗﺔ ﺑﻴﻦ ﻋﺮض اﻟﻨﻘﻮد وﻣﺴﺘﻮى اﻻﺳﻌﺎر ‪ ............‬وﻫﻜﺬا ‪.‬‬
‫اذا اردﻧﺎ ﺗﻮﺿﻴﺢ ﻫﺬه اﻟﻌﻼﻗﺔ ﻓﻲ اﻟﻤﺪى اﻟﻄﻮﻳﻞ ﻓﺎن اﻟﻤﺸﻜﻠﺔ اﻟﺘﻲ ﺗﻮاﺟﻬﻨﺎ ﻫ‪堀‬ﻲ ان ﻣﻌﻈ‪堀‬ﻢ اﻟ‪堀‬ﺴﻼﺳﻞ‬
‫اﻟﺰﻣﻨﻴﺔ ﻏﻴﺮ ﻣﺴﺘﻘﺮة وﻟﻜﻨﻬﺎ ﻣﺘﻜﺎﻣﻠﺔ ﻣﻦ اﻟﺪرﺟﺔ اﻻوﻟﻰ ‪ .‬ﻓﻲ ﻫﺬه اﻟﻈﺮوف ﻓﺎن اﻟﺒﺤﺚ ﻋﻦ اﻟﻌﻼﻗ‪堀‬ﺔ‬
‫ﻓﻲ اﻟﻤﺪى اﻟﻄﻮﻳﻞ ﺑﺎﺳﺘﺨﺪام ﺳﻼﺳﻞ زﻣﻨﻴﺔ ﻏﻴﺮ ﻣﺴﺘﻘﺮة ﻻﻳﺨﻠﻮ ﻣﻦ ﺧﻄﻮرة اﻟﺤ‪堀‬ﺼﻮل ﻋﻠ‪堀‬ﻰ اﻟﻨﺘ‪堀‬ﺎﺋﺞ‬
‫اﻟﻤﻀﻠﻠﺔ‪.‬‬
‫ﺻﺤﻴﺢ ان اﻟﻔﺮوﻗﺎت ﺗﺴﻤﺢ ﺑﺎﻋﺎدة اﻻﺳﺘﻘﺮار ﻟﻬﺬه اﻟﺴﻼﺳﻞ اﻟﺰﻣﻨﻴﺔ ‪ ،‬وﻟﻜﻨﻨ‪堀‬ﺎ ﻓ‪堀‬ﻲ ﻫ‪堀‬ﺬه اﻟﺤﺎﻟ‪堀‬ﺔ ﻧﻔﻘ‪堀‬ﺪ‬
‫ﻛﻞ اﻟﻤﻌﻠﻮﻣﺎت اﻟﻤﺮﺗﺒﻄﺔ ﺑﺴﻠﻮك ﻫﺬه اﻟﻤﺘﻐﻴﺮات ﻓﻲ اﻟﻤﺪى اﻟﻄﻮﻳﻞ‪.‬‬
‫اذاً ﻓﺎﻟﺴﺆال اﻟﺬي ﻳﻄﺮح ﻧﻔﺴﻪ ‪ :‬ﻫﻞ ﻳﻤﻜﻨﻨﺎ أن ﻧﻮﺿ‪堀‬ﺢ اﻟﻌﻼﻗ‪堀‬ﺔ ﻓ‪堀‬ﻲ اﻟﻤ‪堀‬ﺪى اﻟﻄﻮﻳ‪堀‬ﻞ ﺑ‪堀‬ﻴﻦ ﻣﺘﻐﻴ‪堀‬ﺮﻳﻦ أو‬
‫أﻛﺜﺮ ﻓﻲ اﻟﺤﺎﻟﺔ اﻟﺘﻲ ﺗﻜﻮن ﻓﻴﻬﺎ اﻟﻤﺘﻐﻴﺮات ﻣﺘﻜﺎﻣﻠﺔ ﻣﻦ اﻟﺪرﺟﺔ )‪ (n‬؟ اﻟﺠﻮاب ﻋﻠﻰ ﻫﺬا اﻟﺴﺆال ﻫ‪堀‬ﻮ‬
‫أﻧﻪ ﻻﻳﻤﻜﻨﻨﺎ ﺗﻮﺿﻴﺢ اﻟﻌﻼﻗﺔ ﻓﻲ اﻟﻤﺪى اﻟﻄﻮﻳﻞ ﺑﻴﻦ ﻫﺬه اﻟﻤﺘﻐﻴﺮات إﻻ إذا ﻛﺎﻧ‪堀‬ﺖ ﺗ‪堀‬ﺮﺑﻂ ﺑﻴﻨﻬﻤ‪堀‬ﺎ ﻋﻼﻗ‪堀‬ﺔ‬
‫ﺗﻜﺎﻣﻞ ﻣﺸﺘﺮك وﻫﺬا ﻣﻌﻨﺎه إن ﻫﻨﺎك ﻣﺘﻐﻴﺮﻳﻦ أو أﻛﺜﺮ ﻳﻤﺘﻠﻜ‪堀‬ﺎن ﻋﻼﻗ‪堀‬ﺔ ﺗﻮازﻧﻴ‪堀‬ﺔ ﻃﻮﻳﻠ‪堀‬ﺔ اﻷﺟ‪堀‬ﻞ ‪ ،‬وﻛﻤ‪堀‬ﺎ‬
‫ﻫ‪堀堀堀‬ﻮ ﻣﻌﻠ‪堀堀堀‬ﻮم ﻓ‪堀堀堀‬ﺎن اﻷﻧﻤ‪堀堀堀‬ﻮذج وﺣ‪堀堀堀‬ﺴﺐ اﻟﻨﻈﺮﻳ‪堀堀堀‬ﺔ اﻹﺣ‪堀堀堀‬ﺼﺎﺋﻴﺔ ﻻﺗﻜ‪堀堀堀‬ﻮن ﻟ‪堀堀堀‬ﻪ أﻫﻤﻴ‪堀堀堀‬ﺔ ﻣ‪堀堀堀‬ﻦ دون اﺧﺘﺒ‪堀堀堀‬ﺎرات‬
‫وﺗﻘﺪﻳﺮات‪.‬‬
‫ﻓﻲ أﻧﻤﻮذج اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤ‪堀‬ﺸﺘﺮك وﺑﻌ‪堀‬ﺪ اﻟﺘﺄﻛ‪堀‬ﺪ ﻣ‪堀‬ﻦ اﺳ‪堀‬ﺘﻘﺮارﻳﺔ اﻟ‪堀‬ﺴﻼﺳﻞ اﻟﺰﻣﻨﻴ‪堀‬ﺔ ﻳ‪堀‬ﺘﻢ اﻟﺘﺄﻛ‪堀‬ﺪ ﻣ‪堀‬ﻦ‬
‫وﺟﻮد اﻟﺘﻜﺎﻣﻞ ﺑﻴﻦ ﻫﺬه اﻟﺴﻼﺳﻞ ﻓﻲ ﻇﻞ وﺟﻮد اﻟﻔﺮﺿﻴﺔ اﻟﺼﻔﺮﻳﺔ " ﻋﺪم وﺟﻮد ﺗﻜﺎﻣﻞ ﻣﺸﺘﺮك ﺑﻴﻦ‬
‫اﻟﻤﺘﻐﻴﺮات" وأﻳﻀﺎً اﺳ‪堀‬ﺘﺨﺪام ﻃﺮاﺋ‪堀‬ﻖ ﻟﺘﻘ‪堀‬ﺪﻳﺮ ﻫ‪堀‬ﺬا اﻷﻧﻤ‪堀‬ﻮذج ﻻﻳﺠ‪堀‬ﺎد ﻣﻘ‪堀‬ﺪرات ﻛﻔ‪堀‬ﻮءة وذات ﺧ‪堀‬ﺼﺎﺋﺺ‬
‫ﺟﻴﺪة ﻳﻤﻜﻦ اﻻﻋﺘﻤﺎد ﻋﻠﻴﻬﺎ‪.‬‬

‫ﻫﺪف اﻟﺒﺤﺚ‬
‫ﻳﻬﺪف اﻟﺒﺤﺚ إﻟﻰ اﺳﺘﺨﺪام اﻟﻄﺮاﺋ‪堀‬ﻖ اﻟﻘﻴﺎﺳ‪堀‬ﻴﺔ اﻟﺤﺪﻳﺜ‪堀‬ﺔ واﻟﻤﺘﻤﺜﻠ‪堀‬ﺔ ﻓ‪堀‬ﻲ اﺳ‪堀‬ﻠﻮب اﻧﺤ‪堀‬ﺪار اﻟﺘﻜﺎﻣ‪堀‬ﻞ اﻟﻤ‪堀‬ﺸﺘﺮك‬
‫وﻣﻦ ﺛﻢ اﺟ‪堀‬ﺮاء ﻣﻘﺎرﻧ‪堀‬ﺔ ﺑ‪堀‬ﻴﻦ ﻋ‪堀‬ﺪد ﻣ‪堀‬ﻦ ﻃﺮاﺋ‪堀‬ﻖ اﻟﺘﻘ‪堀‬ﺪﻳﺮ )ﻃﺮﻳﻘ‪堀‬ﺔ اﻟﻤﺮﺑﻌ‪堀‬ﺎت اﻟ‪堀‬ﺼﻐﺮى اﻻﻋﺘﻴﺎدﻳ‪堀‬ﺔ ‪ ،‬ﻃﺮﻳﻘ‪堀‬ﺔ‬
‫اﻟﻤﺮﺑﻌﺎت اﻟ‪堀‬ﺼﻐﺮى اﻟﻤﻌﺪﻟ‪堀‬ﺔ ﺑﺎﻟﻜﺎﻣ‪堀‬ﻞ ‪ ،‬ﻃﺮﻳﻘ‪堀‬ﺔ اﻟﻤﺮﺑﻌ‪堀‬ﺎت اﻟ‪堀‬ﺼﻐﺮى اﻟﺪﻳﻨﺎﻣﻴﻜﻴ‪堀‬ﺔ ‪ ،‬ﻃﺮﻳﻘ‪堀‬ﺔ اﻧﺤ‪堀‬ﺪار اﻟﺘﻜﺎﻣ‪堀‬ﻞ‬
‫) اﻟ‪堀‬ﺮﻗﻢ اﻟﻘﻴﺎﺳ‪堀‬ﻲ‬ ‫اﻟﻤﺸﺘﺮك اﻟﻘﺎﻧﻮﻧﻴﺔ( ﻋﻦ ﻃﺮﻳﻖ دراﺳﺔ أﻧﻤﻮذج اﻟﻌﻼﻗ‪堀‬ﺔ ﺑ‪堀‬ﻴﻦ اﻟﺘ‪堀‬ﻀﺨﻢ‬
‫ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ( وﻋﺮض اﻟﻨﻘ‪堀‬ﺪ ﺑﻤﻔﻬﻮﻣ‪堀‬ﻪ اﻟ‪堀‬ﻀﻴﻖ ﻓ‪堀‬ﻲ اﻟﻌ‪堀‬ﺮاق ﻟﺒﻴ‪堀‬ﺎن وﺟ‪堀‬ﻮد اﻟﻌﻼﻗ‪堀‬ﺔ اﻟﺘﻮازﻧﻴ‪堀‬ﺔ ﻋﻠ‪堀‬ﻰ‬
‫اﻟﻤﺪى اﻟﻄﻮﻳﻞ ﻓﻴﻤﺎ ﺑﻴﻨﻬﻢ ‪.‬‬

‫أوﻻً ‪ /‬اﻷﻃﺎر اﻟﻨﻈﺮي‪ :‬إﺳﺘﻘﺮارﻳﺔ اﻟﺴﻠﺴﻠﺔ‬

‫وﻃﺮاﺋﻖ ﺗﻘﺪﻳﺮ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‬
‫)‪(152‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫‪-1‬ﺟﺬر اﻟﻮﺣﺪة‬
‫وﻣﻦ اﻻﺳﺎﻟﻴﺐ اﻟﻤﻌﺎﺻﺮة ﻓﻲ ﺗﺤﺪﻳﺪ اﺳﺘﻘﺮارﻳﺔ اﻟﺒﻴﺎﻧﺎت ﻫﻮ اﺧﺘﺒﺎرات ﺟﺬر اﻟﻮﺣﺪة ‪(Unit Root‬‬
‫)‪ Test‬واﻟﺘﻲ ﺗﻌﺘﻤﺪ ﻓﻜﺮﺗﻬﺎ ﻋﻠﻰ اﻟﻤﻌﺎدﻟﺔ اﻻﺗﻴﺔ ‪:‬‬
‫‪Yt = r yt-1 +xt‬‬
‫ﺣﺪ اﻻﺿﻄﺮاب واﻟﺬي ﻳﺘﺼﻒ ﺑﺎﻟﺘﺸﻮﻳﺶ اﻻﺑﻴﺾ ‪(White‬‬ ‫إذ ﺗﻤﺜﻞ ‪ Yt‬اﻟﻤﺘﻐﻴﺮ ﻓﻲ اﻟﻤﺪة )‪، (t‬‬
‫‪cov () =0‬‬ ‫)‪ Noise‬ﺑﻮﺳ‪堀‬ﻂ ﺣ‪堀‬ﺴﺎﺑﻲ ﻳ‪堀‬ﺴﺎوي ﺻ‪堀‬ﻔﺮا )‪ (µ=0‬وﺗﺒ‪堀‬ﺎﻳﻦ ﺛﺎﺑ‪堀‬ﺖ )‪ (s2 =1‬و‬
‫ﻋﻨﺪﻣﺎ ﺗﻜﻮن ) ‪ (r = 1‬ﻣﻘﺒﻮﻟﺔ اﺣﺼﺎﺋﻴﺎ ﻓﺎن ذﻟﻚ ﻳﺪل ﻋﻠﻰ ﻋﺪم اﻻﺳﺘﻘﺮار وان اﻟﺒﻴﺎﻧ‪堀‬ﺎت ﺗﻌ‪堀‬ﺎﻧﻲ ﻣ‪堀‬ﻦ‬
‫اﻟﺠﺬر اﻻﺣﺎدي‪.‬‬
‫وﻻﺑﺪ ﻣﻦ ﻣﻌﺎﻟﺠ‪堀‬ﺔ ﻛ‪堀‬ﻞ ﺳﻠ‪堀‬ﺴﻠﺔ زﻣﻨﻴ‪堀‬ﺔ ﻏﻴ‪堀‬ﺮ ﻣ‪堀‬ﺴﺘﻘﺮة ‪ ،‬وذﻟ‪堀‬ﻚ ﺑﺎﺧ‪堀‬ﺬ اﻟﻔ‪堀‬ﺮوق ﻟﻤﻌﺎﻟﺠ‪堀‬ﺔ )‪ (Yt‬اذا ﻛﺎﻧ‪堀‬ﺖ‬
‫ﻏﻴﺮ ﻣﺴﺘﻘﺮة ‪،‬ﺣﻴ‪堀‬ﺚ ﺗﺆﺧ‪堀‬ﺬ ﺑ‪堀‬ﺼﻴﻐﺔ اﻟﻔ‪堀‬ﺮوق ﻟﻠﺪرﺟ‪堀‬ﺔ )‪ (1,2, …,d‬ﻟﺠﻌﻠﻬ‪堀‬ﺎ ﻣ‪堀‬ﺴﺘﻘﺮة‪ .‬وﺑ‪堀‬ﺬﻟﻚ ﻧﻘ‪堀‬ﻮل‬
‫ﻋﻦ اﻟﺴﻠ‪堀‬ﺴﻠﺔ اﻟﺰﻣﻨﻴ‪堀‬ﺔ اﻧﻬ‪堀‬ﺎ ﻣﺘﻜﺎﻣﻠ‪堀‬ﺔ )‪ (Integrated‬ﻣ‪堀‬ﻦ اﻟﺪرﺟ‪堀‬ﺔ ‪ ، d‬وﻧ‪堀‬ﺸﻴﺮ ﻟﻬ‪堀‬ﺎ ﺑ‪堀‬ﺎﻟﺮﻣﺰ ~ ‪Yt‬‬
‫)‪. I(d‬‬
‫ﻣﻦ اﻫﻢ اﻟﻄﺮاﺋﻖ اﻟﻤﺴﺘﺨﺪﻣﺔ ﻓﻲ ﻣﻌﺎﻟﺠﺔ اﻟﺒﻴﺎﻧﺎت اﻟﺘﻲ ﺗﻌﺎﻧﻲ ﻣﻦ ﺟﺬر اﻟﻮﺣﺪة )‪ (Unit Root‬ﻫ‪堀‬ﻮ‬
‫اﺧﺘﺒﺎر دﻳﻜﻲ _ﻓﻮﻟﺮ اﻟﻤﻮﺳﻊ )‪ (Augmented Dickey - Fuller‬ﺣﻴﺚ ﻳﻌﺘﻤ‪堀‬ﺪ ﻫ‪堀‬ﺬا اﻻﺧﺘﺒ‪堀‬ﺎر‬
‫) ‪(1‬‬
‫ﺑﺸﻜﻞ اﺳﺎﺳﻲ ﻋﻠﻰ‪:‬‬
‫‪ -1‬ﺗﻘﺪﻳﺮ اﻟﻨﻤﺎذج اﻻﺗﻴﺔ ‪:‬‬
‫)ﺑﺪون ﺣﺪ ﺛﺎﺑﺖ واﺗﺠﺎه زﻣﻨﻲ( ‪• Model I :‬‬

‫‪• Model II:‬‬ ‫)ﺑﺪون اﺗﺠﺎه زﻣﻨﻲ(‬

‫)ﻣﻊ ﺣﺪ ﺛﺎﺑﺖ واﺗﺠﺎه زﻣﻨﻲ( ‪• Model III :‬‬

‫اﻟﺤﺪ اﻟﺜﺎﺑﺖ ‪ T ،‬اﻻﺗﺠﺎه اﻟﺰﻣﻨﻲ وﻳﺤﺴﺐ ﻛﺎﻻﺗﻲ‪:‬‬ ‫إذ ﺗﻤﺜﻞ ‪:‬‬

‫)‪(153‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫‪T= (t-1-‬‬ ‫‪N) ،‬‬ ‫)‪(t=2,3,……….N‬‬

‫)‪(9‬‬
‫وﺗﻤﺜﻞ ‪ Kmax‬ﻣﺪة اﻟﺘﺒﺎﻃﺆ اﻻﻋﻈﻢ ‪ ،‬اﻟﺘﻲ ﻳﻤﻜﻦ ﺗﺤﺪﻳﺪﻫﺎ اﻋﺘﻤﺎدا ﻋﻠﻰ اﻟﺼﻴﻐﺔ اﻻﺗﻴﺔ ‪:‬‬
‫‪Int=integr‬‬ ‫‪،‬‬ ‫}‪Kmax=int {12(N/100) ⅟ 4‬‬
‫‪ -2‬ﺣﺠﻢ اﻟﻌﻴﻨﺔ ‪N‬‬
‫‪ -3‬ﻣﺴﺘﻮى اﻟﻤﻌﻨﻮﻳﺔ ‪. α‬‬
‫ﺗﺤﺖ ﻇﻞ اﻟﻔﺮﺿﻴﺔ ‪:‬‬
‫‪H0: r =1‬‬
‫‪H1: r <1‬‬
‫ﻓﺎذا ﻛﺎﻧﺖ ‪ r‬ﻣﻌﻨﻮﻳﺔ واﻗﻞ ﻣﻦ اﻟﻮاﺣﺪ ﻓﺎﻧﻨﺎ ﻧﻘﺒ‪堀‬ﻞ اﻟﻔ‪堀‬ﺮض اﻟﺒ‪堀‬ﺪﻳﻞ ﺑﻌ‪堀‬ﺪم وﺟ‪堀‬ﻮد ﺟ‪堀‬ﺬر وﺣ‪堀‬ﺪة أي ان اﻟﻤﺘﻐﻴ‪堀‬ﺮ‬
‫ﻣﺴﺘﻘﺮ‪.stationary‬‬

‫‪-2‬اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‬

‫ﻋﻨﺪ ﺗﻘﺪﻳﺮ ﻋﻼﻗﺔ اﻧﺤﺪار ﺑﻴﻦ ﻋﺪد ﻣﻦ اﻟﻤﺘﻐﻴﺮات ﻓﻲ ﺻﻮر ﺳﻼﺳﻞ زﻣﻨﻴﺔ ﻏﻴﺮ ﻣﺴﺘﻘﺮة ﻓﻤﻦ اﻟﻤﻤﻜ‪堀‬ﻦ ان‬
‫وﻗ‪堀‬ﻴﻢ‬ ‫ﺗﻜﻮن ﻋﻼﻗﺔ اﻻﻧﺤﺪار اﻟﻤﻘﺪر ﺑﻴﻨﻬﻤﺎ ﻋﺒﺎرة ﻋﻦ ﻋﻼﻗﺔ زاﺋﻔﺔ وان ﻛﺎﻧﺖ ﺑﻌﺾ اﻟﻤﺆﺷﺮات ﻣﺜﻞ‬
‫‪ t‬اﻟﻤﺤﺴﻮﺑﺔ ﻛﺒﻴﺮة وذﻟﻚ ﺑﺴﺒﺐ ان اﻟﺘﻐﻴﺮ ﻓﻲ ﻫﺬه اﻟﻤﺘﻐﻴﺮات ﻗﺪ ﻳﻜﻮن راﺟﻌﺎ اﻟﻰ ﻣﺘﻐﻴﺮ اﺧ‪堀‬ﺮ ﻫ‪堀‬ﻮ اﻟ‪堀‬ﺰﻣﻦ‬
‫)‪ (t‬ﻳﺆﺛﺮ ﻓﻴﻬﻤﺎ ﺟﻤﻴﻌﺎ ﻣﻤ‪堀‬ﺎ ﻳﺠﻌ‪堀‬ﻞ ﺗﻐﻴﺮاﺗﻬ‪堀‬ﺎ ﻣﺘ‪堀‬ﺼﺎﺣﺒﺔ او ﺑﻌﺒ‪堀‬ﺎرة اﺧ‪堀‬ﺮى ﻗ‪堀‬ﺪ ﺗﻜ‪堀‬ﻮن اﻟﻌﻼﻗ‪堀‬ﺔ ﺑﻴﻨﻬﻤ‪堀‬ﺎ ﻋﻼﻗ‪堀‬ﺔ‬
‫اﻗﺘﺮان او ارﺗﺒﺎط وﻟﻴﺲ ﻋﻼﻗﺔ ﺳ‪堀‬ﺒﺒﻴﺔ ‪ .‬وﻋﻠ‪堀‬ﻰ اﻟ‪堀‬ﺮﻏﻢ ﻣ‪堀‬ﻦ ان اﺣ‪堀‬ﺪ ﺣﻠ‪堀‬ﻮل ﻋ‪堀‬ﺪم اﺳ‪堀‬ﺘﻘﺮارﻳﺔ اﻟﺴﻠ‪堀‬ﺴﻠﺔ ﻫ‪堀‬ﻮ‬
‫اﺧﺬ اﻟﻔﺮق ﻟﻜﻦ اﺟﺮاء اﻻﻧﺤﺪار ﻟﻠﻤﺘﻐﻴﺮات ﻓﻲ ﺻﻮرة ﻓﺮوق ﻟﻜﻞ واﺣ‪堀‬ﺪ ﻟ‪堀‬ﻴﺲ ﺑﺎﻟﺤ‪堀‬ﻞ اﻟﻤﻄﻠ‪堀‬ﻮب إذ ان ﻫ‪堀‬ﺬا‬
‫اﻻﺟﺮاء ﻗﺪ ﻳﺆدي اﻟﻰ ﻓﻘﺪان ﺧﺼﺎﺋﺺ اﻟﻤﺪى اﻟﻄﻮﻳﻞ ‪ ،‬وﻧﺘﻴﺠﺔ ﻟﺬﻟﻚ ﻓﻘﺪ ﻇﻬ‪堀‬ﺮت ﻧﺘ‪堀‬ﺎﺋﺞ ﺗﺤﻤ‪堀‬ﻞ ﺧ‪堀‬ﺼﺎﺋﺺ‬
‫اﻟﻤﺪى اﻟﻘﺼﻴﺮ واﻟﻄﻮﻳﻞ وﺗﻜﻮن ﻫﺬه اﻟﻨﻤﺎذج ﻣﺴﺘﻘﺮة ﺣﺘﻰ وان ﻛﺎﻧﺖ اﻟﻤﺘﻐﻴﺮات ﻓﻲ اﻻﺻﻞ ﻏﻴﺮ ﻣﺴﺘﻘﺮة‬
‫وﻫﺬه ﺑﺪاﻳﺔ ﻓﻜﺮة اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‪.‬‬
‫اذ ﻳﻤﻜﻦ ان ﻳﻘﺎل ان اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك ﻳﺸﻴﺮ اﻟ‪堀‬ﻰ ﻃﺮﻳﻘ‪堀‬ﺔ اﻟﺤ‪堀‬ﺼﻮل ﻋﻠ‪堀‬ﻰ ﺗ‪堀‬ﻮازن او ﻋﻼﻗ‪堀‬ﺔ ﻃﻮﻳﻠ‪堀‬ﺔ اﻟﻤ‪堀‬ﺪى‬
‫ﺑ‪堀堀‬ﻴﻦ ﻣﺘﻐﻴ‪堀堀‬ﺮات ﻏﻴ‪堀堀‬ﺮ ﻣ‪堀堀‬ﺴﺘﻘﺮة او اﻧﻬ‪堀堀‬ﺎ ﺗﻌﻨ‪堀堀‬ﻲ وﺟ‪堀堀‬ﻮد ﻃﺮﻳﻘ‪堀堀‬ﺔ ﺗﻌ‪堀堀‬ﺪﻳﻞ ﺗﻤﻨ‪堀堀‬ﻊ اﻟﺰﻳ‪堀堀‬ﺎدة ﻓ‪堀堀‬ﻲ ﺧﻄ‪堀堀‬ﺄ ﻋﻼﻗ‪堀堀‬ﺔ اﻟﻤ‪堀堀‬ﺪى‬
‫اﻟﻄﻮﻳﻞ‪.‬‬
‫وﺗﺘﻠﺨﺺ ﻓﻜﺮة اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك ﺑﻴﻦ ﺳﻠﺴﻠﺘﻴﻦ زﻣﻨﻴﺘﻴﻦ ‪ Xt ، Yt‬ﻓﻲ اﻧﻪ اذا ﻛﺎﻧﺖ اﻟﺴﻠﺴﻠﺘﻴﻦ ﻣﺘﻜﺎﻣﻠﺘﻴﻦ‬
‫) ‪(3‬‬
‫ﻣﻦ ﻧﻔﺲ اﻟﺪرﺟﺔ )‪ (d‬اي ‪:‬‬
‫)‪Xt ~ I (d‬‬
‫)‪Yt ~ I (d‬‬
‫وإذ ﻳﻮﺟﺪ ﻋﻼﻗﺔ ﺑﻴﻦ ﻫﺬﻳﻦ اﻟﻤﺘﻐﻴﺮﻳﻦ ﻣﺜﻞ ‪:‬‬
‫‪Yt= a0+ a1 Xt +Ut‬‬
‫وﻫﺬه اﻟﻌﻼﻗﺔ ﻣﺘﻜﺎﻣﻠﺔ ﻣﻦ اﻟﺪرﺟﺔ )‪ (b‬ﺣﻴ‪堀‬ﺚ )‪ (b<d‬ﻓﻔ‪堀‬ﻲ ﻫ‪堀‬ﺬه اﻟﺤﺎﻟ‪堀‬ﺔ ﻳﻮﺟ‪堀‬ﺪ ﺗﻜﺎﻣ‪堀‬ﻞ ﻣ‪堀‬ﺸﺘﺮك ﺑ‪堀‬ﻴﻦ ‪Yt‬و‬
‫) ‪(3‬‬
‫‪ Xt‬ﻣﻦ اﻟﺪرﺟﺔ )‪ (d,b‬وﺗﻜﺘﺐ ‪:‬‬
‫)‪Xt ، Yt ~ CI (d, b‬‬
‫وﺗ‪堀‬ﺴﻤﻰ اﻟﺪاﻟ‪堀‬ﺔ ‪ Yt= a0+ a1 Xt +Ut‬ﺑﺪاﻟ‪堀‬ﺔ اﻧﺤ‪堀‬ﺪار اﻟﺘﻜﺎﻣ‪堀‬ﻞ اﻟﻤ‪堀‬ﺸﺘﺮك ‪.‬وﻳﻤﻜ‪堀‬ﻦ ان ﺗﻌﻤ‪堀‬ﻢ اﻟﻔﻜ‪堀‬ﺮة اﻟ‪堀‬ﻰ‬
‫اﻛﺜﺮ ﻣﻦ ﻣﺘﻐﻴﺮﻳﻦ وﻓﻲ ﻫﺬه اﻟﺤﺎﻟﺔ ﻓﺎن ﺷﺮط ﺗﺴﺎوي اﻟﺴﻼﺳﻞ ﻓﻲ اﻟﺘﻜﺎﻣﻞ ﻗﺪ ﻻﻳﻨﻄﺒﻖ واﻧﻤ‪堀‬ﺎ ﻳ‪堀‬ﺸﺘﺮط ان‬
‫ﺗﻜﻮن درﺟﺔ ﺗﻜﺎﻣﻞ اﻟﻤﺘﻐﻴﺮ اﻟﺘﺎﺑﻊ ﻻﺗﺘﺠﺎوز درﺟﺔ ﺗﻜﺎﻣﻞ اي ﻣﻦ اﻟﻤﺘﻐﻴﺮات اﻟﻤﺴﺘﻘﻠﺔ‪.‬‬

‫)‪(154‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﺗﻮﺟ‪堀堀堀堀‬ﺪ ﻋ‪堀堀堀堀‬ﺪة ﻣﻨﻬﺠﻴ‪堀堀堀堀‬ﺎت ﻻﺧﺘﺒ‪堀堀堀堀‬ﺎر وﺟ‪堀堀堀堀‬ﻮد اﻟﺘﻜﺎﻣ‪堀堀堀堀‬ﻞ اﻟﻤ‪堀堀堀堀‬ﺸﺘﺮك ﺑ‪堀堀堀堀‬ﻴﻦ اﻟ‪堀堀堀堀‬ﺴﻼﺳﻞ اﻟﺰﻣﻨﻴ‪堀堀堀堀‬ﺔ ﻣ‪堀堀堀堀‬ﻦ ﻋﺪﻣ‪堀堀堀堀‬ﻪ‬
‫وﻣﻦ اﻫﻤﻬﺎ ‪:‬‬
‫اﺧﺘﺒﺎر ﺟﻮﻫﺎﻧﺴﻦ_ﺟﻴﺴﻠﺲ ‪Johansen_ Juselius Test‬‬
‫ﻟﺘﺤﺪﻳﺪ ﻋﺪد ﻣﺘﺠﻬﺎت اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك اﻗﺘ‪堀‬ﺮح)‪ (johansen,1988-1991‬و ‪(johansen and‬‬
‫) ‪(2‬‬
‫)‪ juselius 1990‬اﺟﺮاء اﺧﺘﺒﺎرﻳﻦ ‪:‬‬
‫‪-1‬اﺧﺘﺒﺎر اﻻﺛﺮ )‪: (Trace‬‬
‫ﻳﺘﻢ اﺧﺘﺒﺎر ﻓﺮﺿ‪堀‬ﻴﺔ ان ﻫﻨ‪堀‬ﺎك ﻋﻠ‪堀‬ﻰ اﻻﻛﺜ‪堀‬ﺮ‪ q‬ﻣ‪堀‬ﻦ ﻣﺘﺠﻬ‪堀‬ﺎت اﻟﺘﻜﺎﻣ‪堀‬ﻞ اﻟﻤ‪堀‬ﺸﺘﺮك ﻣﻘﺎﺑ‪堀‬ﻞ اﻷﻧﻤ‪堀‬ﻮذج اﻟﻌ‪堀‬ﺎم ﻏﻴ‪堀‬ﺮ‬
‫اﻟﻤﻘﻴﺪ ‪ r=q‬وﺗﺤﺴﺐ اﺣﺼﺎﺋﻴﺔ ﻧﺴﺒﺔ اﻻﻣﻜﺎﻧﻴﺔ ﻟﻬﺬا اﻻﺧﺘﺒﺎر ﻣﻦ اﻟﻌﻼﻗﺔ اﻟﺘﺎﻟﻴﺔ ‪:‬‬

‫ﻳﻌﺮف ﻛﻼ ﻣﻦ ‪:‬‬
‫‪ :T‬ﺣﺠﻢ اﻟﻌﻴﻨﺔ‬
‫‪ : r‬ﻋﺪد ﻣﺘﺠﻬﺎت اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‬
‫إذ‪ λ r+1,…,lp‬ﻫ‪堀堀‬ﻲ اﺻ‪堀堀‬ﻐﺮ ﻗ‪堀堀‬ﻴﻢ اﻟﻤﺘﺠﻬ‪堀堀‬ﺎت اﻟﺬاﺗﻴ‪堀堀‬ﺔ ‪ p-r‬وﺗ‪堀堀‬ﻨﺺ ﻓﺮﺿ‪堀堀‬ﻴﺔ اﻟﻌ‪堀堀‬ﺪم ﻋﻠ‪堀堀‬ﻰ وﺟ‪堀堀‬ﻮد ﻋ‪堀堀‬ﺪد ﻣ‪堀堀‬ﻦ‬
‫ﻣﺘﺠﻬﺎت اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك ﻳﺴﺎوي ﻋﻠﻰ اﻻﻛﺜﺮ ‪ r‬أي ان ﻋﺪد ﻫﺬه اﻟﻤﺘﺠﻬﺎت ﻳﻘﻞ او ﻳﺴﺎوي ‪.r‬‬
‫‪-2‬اﺧﺘﺒﺎر اﻟﻘﻴﻤﺔ اﻟﺬاﺗﻴﺔ اﻟﻘﺼﻮى ( )‪ max‬اﻟﺬي ﺗﺤﺴﺐ اﺣﺼﺎﺋﻴﺘﻪ وﻓﻖ اﻟﻌﻼﻗﺔ اﻟﺘﺎﻟﻴﺔ ‪:‬‬

‫وﻳﺠﺮي اﺧﺘﺒﺎر ﻓﺮﺿﻴﺔ اﻟﻌﺪم اﻟﺘﻲ ﺗﻨﺺ ﻋﻠﻰ وﺟ‪堀‬ﻮد ‪ r‬ﻣ‪堀‬ﻦ ﻣﺘﺠﻬ‪堀‬ﺎت اﻟﺘﻜﺎﻣ‪堀‬ﻞ اﻟﻤ‪堀‬ﺸﺘﺮك ﻣﻘﺎﺑ‪堀‬ﻞ اﻟﻔﺮﺿ‪堀‬ﻴﺔ‬
‫اﻟﺒﺪﻳﻠﺔ اﻟﺘﻲ ﺗﻨﺺ ﻋﻠﻰ وﺟﻮد ‪ r+1‬ﻣﻦ ﻣﺘﺠﻬﺎت اﻟﺘﻜﺎﻣﻞ اﻟﻤ‪堀‬ﺸﺘﺮك ﻓ‪堀‬ﺎذا زادت اﻟﻘﻴﻤ‪堀‬ﺔ اﻟﻤﺤ‪堀‬ﺴﻮﺑﺔ ﻟﻨ‪堀‬ﺴﺒﺔ‬
‫اﻻﻣﻜﺎﻧﻴﺔ ‪ LR‬ﻋﻦ اﻟﻘﻴﻤﺔ اﻟﺤﺮﺟ‪堀‬ﺔ ﺑﻤ‪堀‬ﺴﺘﻮى ﻣﻌﻨﻮﻳ‪堀‬ﺔ ﻣﻌ‪堀‬ﻴﻦ ﻓﺎﻧﻨ‪堀‬ﺎ ﻧ‪堀‬ﺮﻓﺾ ﻓﺮﺿ‪堀‬ﻴﺔ اﻟﻌ‪堀‬ﺪم اﻟﺘ‪堀‬ﻲ ﺗ‪堀‬ﺸﻴﺮ اﻟ‪堀‬ﻰ‬
‫ﻋﺪم وﺟﻮد أي ﻣﺘﺠﻪ ﻟﻠﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك واذا ﻛﺎﻧﺖ اﻗﻞ ﻓﺎﻧﻨﺎ ﻻﻧﺴﺘﻄﻴﻊ رﻓﺾ ﻓﺮﺿﻴﺔ اﻟﻌﺪم اﻟﻘﺎﺋﻠﺔ ﺑﻮﺟﻮد‬
‫ﻣﺘﺠﻪ واﺣﺪ ﻋﻠﻰ اﻻﻗﻞ ﻟﻠﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‪.‬‬

‫‪-3‬ﻃﺮاﺋﻖ ﺗﻘﺪﻳﺮ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‬

‫ﺑﻌﺪ اﻟﺘﺄﻛﺪ ﻣﻦ ان اﻟﺴﻼﺳﻞ اﻟﺰﻣﻨﻴﺔ ﻟﻤﺘﻐﻴﺮات أﻧﻤﻮذج اﻟﺪراﺳﺔ ﻫﻲ ﻣﺘﻜﺎﻣﻠﺔ ﺗﻜﺎﻣﻼً ﻣ‪堀‬ﺸﺘﺮﻛﺎً ﻓ‪堀‬ﺄن اﻟﺨﻄ‪堀‬ﻮة‬
‫اﻟﺘﺎﻟﻴﺔ ﻫﻲ اﻟﺤﺼﻮل ﻋﻠﻰ ﻣﻘﺪرات ذات ﺧﺼﺎﺋﺺ ﺟﻴﺪة ‪ ،‬وإن ﻷي ﺗﻘﺪﻳﺮ ﻟﻠﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك ﻳﺠﺐ ان ﻧﻤﻴﺰ‬
‫) ‪(4‬‬
‫ﺛﻼﺛﺔ ﻋﻨﺎﺻﺮ‪:‬‬
‫‪-1‬ﻳﻨﺒﻐﻲ اﺳﺘﺨﺪام ﻣﻌﺮﻓﺘﻨﺎ اﻟﺴﺎﺑﻘﺔ ﻓﻴﻤﺎ ﻳﺘﻌﻠﻖ ﺑﻮﺟﻮد ﺟﺬر وﺣ‪堀‬ﺪة وﻳﻨﺒﻐ‪堀‬ﻲ اﻟﻘ‪堀‬ﻀﺎء ﻋﻠ‪堀‬ﻰ ﺗﺤﻴ‪堀‬ﺰ اﻟﻮﺳ‪堀‬ﻴﻂ‬
‫اذا ﻛﺎن ذﻟﻚ ﻣﻤﻜﻨﺎ وﺑﺎﻟﺘﺎﻟﻲ ﻫﺬا ﺳﻴﻘﻀﻲ ﻋﻠﻰ اﻟﺠﺰء اﻟﻐﻴﺮ ﻣﺘﻤﺎﺛﻞ واﻻﻋﺘﻤﺎدﻳﺔ اﻟﻤﺰﻋﺠ‪堀‬ﺔ ﻟﻠﻤﻌﻠﻤ‪堀‬ﺎت‬
‫وﺳﻴﺰﻳﺪ اﻟﻜﻔﺎءة‪.‬‬
‫‪-2‬ﺟﺎﻧﺐ ﻣﺘﻌﺪد اﻟﻤﺘﻐﻴﺮات‪.‬‬
‫‪-3‬وﺟﻮد ﻣﺮوﻧﺔ ﻛﺎﻓﻴﺔ ﻻﺣﺘﻮاء دﻳﻨﺎﻣﻴﻜﻴﺔ اﻟﻨﻈﺎم‪.‬‬

‫)‪(155‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﻫﻨ‪堀堀‬ﺎك اﻟﻌﺪﻳ‪堀堀‬ﺪ ﻣ‪堀堀‬ﻦ ﻃﺮاﺋ‪堀‬ﻖ ﺗﻘ‪堀堀‬ﺪﻳﺮ اﻧﺤ‪堀堀‬ﺪار اﻟﺘﻜﺎﻣ‪堀堀‬ﻞ اﻟﻤ‪堀堀‬ﺸﺘﺮك ﻟﻜ‪堀堀‬ﻦ ﻓ‪堀堀‬ﻲ ﺑﺤﺜﻨ‪堀堀‬ﺎ ﻫ‪堀堀‬ﺬا ﺳ‪堀堀‬ﻨﺘﻨﺎول ارﺑﻌ‪堀堀‬ﺔ ﻃﺮاﺋ‪堀‬ﻖ‬
‫ﻟﻠﺘﻘﺪﻳﺮ وﻫﻲ ﻛﺎﻻﺗﻲ‪:‬‬
‫‪ -1‬ﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻻﻋﺘﻴﺎدﻳﺔ )‪Ordinary Least Square Estimator (OLS‬‬
‫ﻫﺬه اﻟﻄﺮﻳﻘﺔ ﺗﻌﺪ ﻣﻦ اﻛﺜ‪堀‬ﺮ اﻟﻄ‪堀‬ﺮق اﺳ‪堀‬ﺘﺨﺪاﻣﺎ ﻓ‪堀‬ﻲ ﺗﻘ‪堀‬ﺪﻳﺮ ﻣﻌ‪堀‬ﺎﻟﻢ أﻧﻤ‪堀‬ﻮذج اﻻﻧﺤ‪堀‬ﺪار ‪ 0‬و ‪ 1‬ﻏﻴ‪堀‬ﺮ اﻟﻤﻌﻠﻮﻣ‪堀‬ﺔ‬
‫ﺣﻴﺚ ﻣﻦ ﺧﻼل ﻫﺬه اﻟﻄﺮﻳﻘﺔ ﺗﺠﻌﻞ ﻣﺠﻤﻮع ﻣﺮﺑﻌﺎت اﻟﺨﻄﺄ اﻗﻞ ﻣﺎ ﻳﻤﻜﻦ‪ .‬ﻟﻴﻜﻦ ﻟﺪﻳﻨﺎ أﻧﻤﻮذج اﻻﻧﺤ‪堀‬ﺪار اﻟﺨﻄ‪堀‬ﻲ‬
‫) ‪(5‬‬
‫اﻟﺒﺴﻴﻂ ‪ Simple regression linear model‬وﻳﻜﺘﺐ ﺑﺎﻟﺼﻴﻐﺔ اﻻﺗﻴﺔ‪:‬‬
‫‪Yt= 0 + 1 Xt +et‬‬

‫إذ إن‪:‬‬
‫‪ :Yt‬ﻣﺘﻐﻴﺮ اﻻﺳﺘﺠﺎﺑﺔ‬
‫‪ : Xt‬اﻟﻤﺘﻐﻴﺮ اﻟﺘﻮﺿﻴﺤﻲ‬
‫‪ : 1 0,‬ﻣﻌﻠﻤﺎت اﻻﻧﺤﺪار‬
‫‪ :et‬اﻟﺨﻄﺄاﻟﻌﺸﻮاﺋﻲ‬

‫)‪(156‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﻣﻘﺪر ﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻻﻋﺘﻴﺎدﻳﺔ ‪:OLS‬‬

‫ﺗﺘ‪堀堀‬ﺼﻒ ﻃﺮﻳﻘ‪堀堀‬ﺔ اﻟﻤﺮﺑﻌ‪堀堀‬ﺎت اﻟ‪堀堀‬ﺼﻐﺮى اﻻﻋﺘﻴﺎدﻳ‪堀堀‬ﺔ ﺑﺎﻧﻬ‪堀堀‬ﺎﻏﻴﺮ ﻣﺘﺤﻴ‪堀堀‬ﺰة وﻟﻬ‪堀堀‬ﺎ اﻗ‪堀堀‬ﻞ ﺗﺒ‪堀堀‬ﺎﻳﻦ ‪ ،‬ﻟ‪堀堀‬ﺬﻟﻚ ﻳﻄﻠ‪堀堀‬ﻖ ﻋﻠ‪堀堀‬ﻰ‬
‫ﻣﻘ‪堀堀‬ﺪرات ﻫ‪堀堀‬ﺬه اﻟﻄﺮﻳﻘ‪堀堀‬ﺔ ﺑ‪堀堀‬ﺎن ﻟﻬ‪堀堀‬ﺎ اﻓ‪堀堀‬ﻀﻞ ﺗﻘ‪堀堀‬ﺪﻳﺮ ﺧﻄ‪堀堀‬ﻲ ﻏﻴ‪堀堀‬ﺮ ﻣﺘﺤﻴ‪堀堀‬ﺰ ‪Best Linear Unbiased‬‬
‫‪. Estimations‬‬

‫‪Fully Modified Ordinary Least Square Estimator‬‬ ‫‪-2‬ﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻟﻤﻌﺪﻟﺔ ﺑﺎﻟﻜﺎﻣﻞ‬
‫)‪(FMOLS‬‬
‫ﻫ‪堀‬ﻲ ﻃﺮﻳﻘ‪堀‬ﺔ ﺗ‪堀‬ﺼﺤﻴﺢ ﻻﻣﻌﻠﻤﻴ‪堀‬ﺔ ﻟﻄﺮﻳﻘ‪堀‬ﺔ اﻟﻤﺮﺑﻌ‪堀‬ﺎت اﻟ‪堀‬ﺼﻐﺮى اﻻﻋﺘﻴﺎدﻳ‪堀‬ﺔ ‪Ordinary Least square‬‬
‫‪ Method‬اوﺟﺪﻫﺎ اﻟﺒﺎﺣﺜﺎن )‪ Phillips and Hansen (1990‬و)‪ Phillips (1995‬ﻓﻲ ﻣﺤﺎوﻟ‪堀‬ﺔ‬
‫ﻟﻠﺘﺨﻠﺺ ﻣﻦ اﻟﺘﺤﻴﺰ ﻣﻦ اﻟﺪرﺟﺔ اﻟﺜﺎﻧﻴﺔ إذ إن اﻟﻔﻜﺮة اﻻﺳﺎﺳﻴﺔ ﻟﻬﺬه اﻟﻄﺮﻳﻘﺔ ﻫﻲ اﻟﺤ‪堀‬ﺼﻮل ﻋﻠ‪堀‬ﻰ وﺳ‪堀‬ﻴﻂ ﻏﻴ‪堀‬ﺮ‬
‫ﻣﺘﺤﻴﺰ وﻣﻘﺎرب ﻟﻠﺘﻮزﻳﻊ اﻟﻄﺒﻴﻌﻲ ‪. Asymptotically Normal‬‬
‫ﺗﺮﺗﻜﺰ ﻫﺬه اﻟﻄﺮﻳﻘﺔ ﻋﻠﻰ اﺟﺮاء ﺗﺤﻮﻳﻼت ﻓﻲ اﻟﻤﺘﻐﻴﺮ اﻟﻤﻌﺘﻤ‪堀‬ﺪ )ﺗ‪堀‬ﺼﺤﻴﺢ ﻻﻣﻌﻠﻤ‪堀‬ﻲ( وﻓ‪堀‬ﻲ اﻟﺨﻄ‪堀‬ﻮة اﻟﺜﺎﻧﻴ‪堀‬ﺔ ﻳ‪堀‬ﺘﻢ‬
‫ﺗﺼﺤﻴﺢ ﻣﻘﺪرات ﻃﺮﻳﻘﺔ ال ‪ OLS‬ﻓﻲ اﻻﻧﺤﺪار ﻟﺘﻌﺪﻳﻞ ‪ Yt‬ﻟﺬﻟﻚ ﺳ‪堀‬ﻤﻴﺖ ﺑﻄﺮﻳﻘ‪堀‬ﺔ اﻟﻤﺮﺑﻌ‪堀‬ﺎت اﻟ‪堀‬ﺼﻐﺮى اﻟﻤﻌﺪﻟ‪堀‬ﺔ‬
‫‪. FMOLS‬‬
‫) ‪(6‬‬
‫ﻟﻴﻜﻦ ﻟﺪﻳﻨﺎ أﻧﻤﻮذج اﻻﻧﺤﺪار اﻟﺘﺎﻟﻲ ‪:‬‬

‫إذ إن ‪:‬‬
‫‪t=1,……….,T‬‬

‫)‪(157‬‬
‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫‪ Xt ، Yt‬ﺳﻼﺳﻞ زﻣﻨﻴﺔ ذات اﺑﻌﺎد ﻣﻦ ‪n´1‬‬

‫ﻧﻔﺘﺮض ان ﻧﻈﺮﻳﺔ او داﻟﺔ اﻟﻐﺎﻳﺔ اﻟﻤﺮﻛﺰﻳﺔ ﻳﻤﻜﻦ ﻛﺘﺎﺑﺘﻬﺎ ﻛﺎﻻﺗﻲ ‪:‬‬

‫اﻟﺘﺒﺎﻳﻦ ﻋﻠﻰ اﻟﻤﺪى اﻟﻄﻮﻳﻞ ﻟـ ‪ vt‬ﻫﻮ ‪:‬‬

‫‪ :‬ﻣﺼﻔﻮﻓﺔ اﻟﺘﺒﺎﻳﻦ واﻟﺘﺒﺎﻳﻦ اﻟﻤﺸﺘﺮك‬

‫إذ إن ‪:‬‬

‫)‪(158‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫‪ t‬وﻛﺎﻻﺗﻲ ‪:‬‬ ‫ﻣﻊ‬ ‫و‬ ‫وﺑﺘﺠﺰﺋﺔ ﻣﺼﻔﻮﻓﺘﻲ‬

‫وﻫﻮ ﻣﺘ‪堀‬ﺴﻖ ‪ Consistent‬وﻟﻜﻨ‪堀‬ﻪ ﻟ‪堀‬ﻴﺲ ﻛ‪堀‬ﺎفٍ ﻛﺤﺎﻟ‪堀‬ﺔ ﻋﺎﻣ‪堀‬ﺔ‬ ‫ﻣﻦ اﻟﻤﻌﻠﻮم ان ﻣﻘﺪر ‪ OLS‬ﻳﻌﺮف ﺑـ‬
‫)ﻣ‪堀‬ﺼﻔﻮﻓﺎت اﻟﺘﻜﺎﻣ‪堀‬ﻞ اﻟﻤ‪堀‬ﺸﺘﺮك ﻟﻠﻤ‪堀‬ﺪى‬ ‫‪،‬‬ ‫ﻟﺬﻟﻚ ﺗﻢ ﺗﺼﺤﻴﺢ أﻧﻤﻮذج اﻻﻧﺤﺪار اﻟﺨﻄﻲ ‪،‬ﻣﻊ اﺳ‪堀‬ﺘﺨﺪام‬
‫اﻟﻄﻮﻳﻞ ( ﻓﻲ ﻋﻤﻠﻴﺔ اﻟﺘﺼﺤﻴﺢ ﻟﻄﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى ‪:‬‬

‫وﻳﺤﺘﻮي ﻋﻠﻰ ‪ 2*2‬ﻣﻦ اﻟﻌﻨﺎﺻﺮ وﻳﺘﻢ ﺗﻘﺪﻳﺮ اﻟﺘﺤﻴﺰ اﻟﻤﺼﺤﺢ‪:‬‬ ‫‪ Wij‬ﻫﻮ ﺟﺰء ﻣﻦ اﻟﻤﺼﻔﻮﻓﺔ‬

‫ﻫﻲ ﻣﻘﺪرات ﻛﻔﻮءة‬

‫ﻟـ‬

‫ﻳﻜﻮن ﻣﻘﺪر ﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻟﻤﻌﺪﻟﺔ ‪: FMOLS‬‬

‫ﻳﺰﻳ‪堀堀‬ﻞ ﻋ‪堀堀‬ﺪم ﻣﺮﻛﺰﻳ‪堀堀‬ﺔ اﻟﺘﺤﻴ‪堀堀‬ﺰ‬ ‫ﻣ‪堀堀‬ﺼﻄﻠﺢ اﻟﺘ‪堀堀‬ﺼﺤﻴﺢ ﻟ‪堀堀‬ـ ‪ Yt‬ﻣﺘﻌﻠ‪堀堀‬ﻖ ﺑﺎﻟﺘ‪堀堀‬ﺼﺤﻴﺢ ﻟﻠﺘﺤﻴ‪堀堀‬ﺰ اﻟ‪堀堀‬ﺪاﺧﻠﻲ ﺑﻴﻨﻤ‪堀堀‬ﺎ‬
‫‪. Non-Centrality Bias‬‬
‫اﻟﺘﻮزﻳﻊ اﻟﺘﻘﺎرﺑﻲ اﻟﻠﻮﻏﺎرﺗﻤﻲ ﻟﻬﺬه اﻟﻄﺮﻳﻘﺔ ‪:‬‬

‫)‪(159‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫‪Canonical Cointegrating Regression Estimator‬‬ ‫‪-3‬ﻃﺮﻳﻘﺔ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك اﻟﻘﻮﻳﻢ‬

‫ﻫ‪堀‬ﻲ اﻳ‪堀‬ﻀﺎ ﻃﺮﻳﻘ‪堀‬ﺔ ﺗ‪堀‬ﺼﺤﻴﺢ ﻻﻣﻌﻠﻤﻴ‪堀‬ﺔ ﺗ‪堀‬ﻢ اﻛﺘ‪堀‬ﺸﺎﻓﻬﺎ ﻣ‪堀‬ﻦ ﻗﺒ‪堀‬ﻞ اﻟﺒﺎﺣ‪堀‬ﺚ )‪ ، Park (1992‬ﻫ‪堀‬ﺬه اﻟﻄﺮﻳﻘ‪堀‬ﺔ‬
‫ﻣﻤﺎﺛﻠﺔ ﻟﻄﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻟﻤﻌﺪﻟﺔ ‪ FMOLS‬ﻟﻜﻦ اﻟﺘﺼﺤﻴﺢ ﻳﻜﻮن ﻟﻜﻼ اﻟﻤﺘﻐﻴﺮﻳﻦ ﻟﺬﻟﻚ ﻳ‪堀‬ﺴﺘﻨﺪ‬
‫ﻋﻠﻰ ﺗﺤﻮﻳﻞ اﻟﻤﺘﻐﻴﺮات ﻓﻲ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك ﺣﻴﺚ ﺗﻢ ازاﻟ‪堀‬ﺔ اﻟﺘﺤﻴ‪堀‬ﺰ ﻣ‪堀‬ﻦ اﻟﺪرﺟ‪堀‬ﺔ اﻟﺜﺎﻧﻴ‪堀‬ﺔ ﻟﻤﻘ‪堀‬ﺪرات‬
‫) ‪(7،‬‬
‫ﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى ﻟﻸﻧﻤﻮذج اﻟﺘﺎﻟﻲ ‪:‬‬

‫إذ إن ‪:‬‬
‫إذ إن ‪:‬‬
‫‪t=1,……….,T‬‬

‫‪ Xt ، Yt‬ﺳﻼﺳﻞ زﻣﻨﻴﺔ ذات اﺑﻌﺎد ﻣﻦ ‪n´1‬‬

‫اﻟﺘﺒﺎﻳﻦ ﻋﻠﻰ اﻟﻤﺪى اﻟﻄﻮﻳﻞ ﻟـ ‪ vt‬ﻫﻮ ‪:‬‬

‫‪ :‬ﻣﺼﻔﻮﻓﺔ اﻟﺘﺒﺎﻳﻦ واﻟﺘﺒﺎﻳﻦ اﻟﻤﺸﺘﺮك‬

‫ﺣﻴﺚ ان ‪:‬‬

‫‪ t‬وﻛﺎﻻﺗﻲ ‪:‬‬ ‫ﻣﻊ‬ ‫و‬ ‫وﺑﺘﺠﺰﺋﺔ ﻣﺼﻔﻮﻓﺘﻲ‬

‫)‪(160‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﻟﺘﻌﺮﻳﻒ ‪ CCR‬ﻳﺠﺐ اوﻻ ﺗﻌﺪﻳﻞ ‪ Xt ، Yt‬وﻛﺎﻻﺗﻲ ‪:‬‬

‫ﻳﻜﻮن ﻣﻘﺪر ﻃﺮﻳﻘﺔ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك اﻟﻘﺎﻧﻮﻧﻴﺔ ‪ CCR‬ﻛﺎﻻﺗﻲ ‪:‬‬

‫اﻟﺘﻮزﻳﻊ اﻟﻠﻮﻏﺎرﺗﻤﻲ ﻟﻬﺬه اﻟﻄﺮﻳﻘﺔ ‪:‬‬

‫‪-4‬ﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻟﺪﻳﻨﺎﻣﻴﻜﻴﺔ ‪Dynamic Ordinary least Square Method‬‬

‫ﻫﻲ ﻃﺮﻳﻘﺔ ﻣﻌﻠﻤﻴﺔ ﺗﻌﺪ ﻣﻦ اﺣﺪث اﻟﻄﺮق واﻻﻛﺜﺮ ﻗﻮة ﺑﺴﺒﺐ اداﺋﻬﺎ ﻓﻲ اﻟﻌﻴﻨﺎت ﺻﻐﻴﺮة اﻟﺤﺠﻢ إذ‬
‫ﺗ‪堀堀‬ﺴﺘﻌﻤﻞ ﻫ‪堀堀‬ﺬه اﻟﻄﺮﻳﻘ‪堀堀‬ﺔ ﻟﺘﻘ‪堀堀‬ﺪﻳﺮ اﻟﻌﻼﻗ‪堀堀‬ﺔ اﻟﺘﻮازﻧﻴ‪堀堀‬ﺔ ﻃﻮﻳﻠ‪堀堀‬ﺔ اﻟﻤ‪堀堀‬ﺪى ﻟﻠﻨﻈ‪堀堀‬ﺎم اﻟ‪堀堀‬ﺬي ﻳﺤ‪堀堀‬ﻮي ﻣﺘﻐﻴ‪堀堀‬ﺮات ﻣﺘﻜﺎﻣﻠ‪堀堀‬ﺔ ﻣ‪堀堀‬ﻦ‬
‫ﻼ ﻣﺸﺘﺮﻛ ًﺎ ‪.‬‬‫درﺟﺎت ﻣﺨﺘﻠﻔﺔ ﻟﻜﻨﻬﺎ ﻣﺎ زاﻟﺖ ﻣﺘﻜﺎﻣﻠﺔ ﺗﻜﺎﻣ ً‬
‫ﻣﻌﺎدﻟ‪堀堀堀堀‬ﺔ اﻷﻧﻤ‪堀堀堀堀‬ﻮذج اﻟ‪堀堀堀堀‬ﺪﻳﻨﺎﻣﻴﻜﻲ اﻗﺘﺮﺣﻬ‪堀堀堀堀‬ﺎ اﻟﺒﺎﺣ‪堀堀堀堀‬ﺚ )‪ Phillips (1988‬وﻗ‪堀堀堀堀‬ﺪ ﺗ‪堀堀堀堀‬ﻢ ﺗﻄﻮﻳﺮﻫ‪堀堀堀堀‬ﺎ ﻣ‪堀堀堀堀‬ﻦ ﻗﺒ‪堀堀堀堀‬ﻞ‬
‫)‪ Saikkonen (1992), Stock and Watson (1993‬ﺗﻌﺘﻤ‪堀‬ﺪ ﻫ‪堀‬ﺬه اﻟﻄﺮﻳﻘ‪堀‬ﺔ ﻋﻠ‪堀‬ﻰ ﻗ‪堀‬ﻴﻢ اﻹزاﺣ‪堀‬ﺎت‬
‫)‪(8‬‬
‫واﻟﺘﺒﺎﻃﺆات )‪ (Lags and Leads‬ل ‪ -‬ﻟﺬﻟﻚ ﻳﺘﻢ ﻛﺘﺎﺑﺔ ﻣﻌﺎدﻟﺔ اﻻﻧﺤﺪار اﻟﺪﻳﻨﺎﻣﻴﻜﻴﺔ ﻛﺎﻵﺗﻲ‪:‬‬

‫اذ ان ‪:‬‬
‫)‪(161‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﻣﻘﺪر ﻃﺮﻳﻘﺔ اﻟﻤﺮﺑﻌﺎت اﻟﺼﻐﺮى اﻟﺪﻳﻨﺎﻣﻴﻜﻴﺔ‪ DOLS‬ﻳﻤﻜﻦ ﺗﻌﺮﻳﻔﻪ ﺑﺎﻟ‪堀‬ﺸﻜﻞ اﻻﺗ‪堀‬ﻲ ﻣﺜﻠﻤ‪堀‬ﺎ ﻧﻌ‪堀‬ﺮف ﻣﻘ‪堀‬ﺪر ال‬
‫‪: OLS‬‬

‫ﻫﻤﺎ اﺧﻄﺎء اﻻﻧﺤﺪار ﻟـ ‪ Zt‬و ‪ Yt‬ﻋﻠﻰ ‪:‬‬ ‫و‬ ‫إذ إن‬

‫ﻏﻴﺮ ﻣﺮﺗﺒﻂ ﻣﻊ ‪ ut-j‬ﻣﻦ اﻟﻤﻌﺎدﻟﺔ اﻟﺴﺎﺑﻘﺔ ﻳﻤﻜﻨﻨﺎ اﻟﺤﺼﻮل ﻋﻠﻰ ‪:‬‬ ‫وﺑﻤﺎ ان‬

‫)‪(162‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﻋﺪم ارﺗﺒﺎط ‪ Vt‬ﻣﻊ ﻛﻞ اﻻزاﺣﺎت واﻟﺘﺒﺎﻃﺆات ﻟـ ‪ ut‬ﻫﻲ ﺧﺎﺻﻴﺔ ﻣﻬﻤﺔ ﻻﺛﺒﺎت ان ﻃﺮﻳﻘ‪堀‬ﺔ ال ‪ DOLS‬ﻧﺠﺤ‪堀‬ﺖ‬
‫ﻓﻲ ازاﻟﺔ اﻟﺘﺤﻴﺰ ﻣﻦ اﻟﺪرﺟﺔ اﻟﺜﺎﻧﻴﺔ ﻟﻄﺮﻳﻘﺔ ‪. OLS‬‬
‫اﻟﺘﻮزﻳﻊ اﻟﺘﻘﺎرﺑﻲ اﻟﻠﻮﻏﺎرﺗﻤﻲ ﻟﻬﺬه اﻟﻄﺮﻳﻘﺔ ‪:‬‬

‫ﺛﺎﻧﻴﺎ‪ /‬اﻟﺠﺎﻧﺐ اﻟﺘﻄﺒﻴﻘﻲ‬

‫‪ :‬ﻗﻴﺎس أﺛﺮ ﻋﺮض اﻟﻨﻘﺪ ﻋﻠﻰ اﻟﺮﻗﻢ‬
‫اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻟﻸﺳﻌﺎر ﻓــﻲ اﻟﻌﺮاق‬
‫‪ -1‬ﻧﻤﻮذج اﻟﺪراﺳﺔ‪ :‬ﻷﻏﺮاض ﻫﺬه اﻟﺪراﺳﺔ ﺳﻨﺴﺘﺨﺪم ﻧﻤﻮذج اﻧﺤ‪堀‬ﺪار ﺧﻄ‪堀‬ﻲ ﻟﺘﺤﺪﻳ‪堀‬ﺪ ﻃﺒﻴﻌ‪堀‬ﺔ اﻟﻌﻼﻗ‪堀‬ﺔ‬
‫ﺑﻴﻦ ﻋﺮض اﻟﻨﻘﺪ ﺑﺎﻟﻤﻌﻨﻰ اﻟﻀﻴﻖ وﺑﻴﻦ اﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ﻋﻠﻰ اﻟﻨﺤﻮ اﻟﺘﺎﻟﻲ ‪:‬‬

‫ﺣﻴﺚ ان ‪:‬‬
‫‪ : CPI‬اﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ‬
‫‪ : M1‬ﻋﺮض اﻟﻨﻘﺪ ﺑﺎﻟﻤﻌﻨﻰ اﻟﻀﻴﻖ‬
‫‪ -2‬وﺻﻒ اﻟﺒﻴﺎﻧ‪堀‬ﺎت ‪ :‬اﻟﻤﻌﻄﻴ‪堀‬ﺎت اﻟﻤ‪堀‬ﺴﺘﺨﺪﻣﺔ ﻓ‪堀‬ﻲ ﻫ‪堀‬ﺬا اﻟﺒﺤ‪堀‬ﺚ ﻫ‪堀‬ﻲ ﻣﻌﻄﻴ‪堀‬ﺎت ﻛ‪堀‬ﻞ ﻣ‪堀‬ﻦ اﻟﺒﻨ‪堀‬ﻚ اﻟﻤﺮﻛ‪堀‬ﺰي‬
‫اﻟﻌﺮاﻗﻲ واﻟﺠﻬﺎز اﻟﻤﺮﻛﺰي ﻟﻼﺣﺼﺎء وﻫﻲ ﻋﺒﺎرة ﻋﻦ ﺑﻴﺎﻧﺎت ﺳﻨﻮﻳﺔ ﻟﻠﻤﺪة اﻟﻤﻤﺘﺪة ﻣﻦ ﻋ‪堀‬ﺎم ‪1980‬‬
‫اﻟﻰ ﻋﺎم ‪ 2009‬وﻗﺎﻣﺖ اﻟﺒﺎﺣﺜﺔ ﺑﺤﺴﺎب اﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ﺑﺎﺳﺎس ‪. 1993‬‬

‫)‪(163‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﺟﺪول )‪(1‬‬
‫‪CPI‬واﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ‪ M1‬ﻋﺮض اﻟﻨﻘﺪ ﺑﺎﻟﻤﻔﻬﻮم اﻟﻀﻴﻖ‬
‫‪100 =1993‬‬
‫اﻟ‪堀堀堀堀堀堀堀‬ﺮﻗﻢ اﻟﻘﻴﺎﺳ‪堀堀堀堀堀堀堀‬ﻲ ﻋ‪堀堀堀‬ﺮض اﻟﻨﻘ‪堀堀堀‬ﺪ‬ ‫اﻟ‪堀堀堀堀堀堀堀堀‬ﺮﻗﻢ اﻟﻘﻴﺎﺳ‪堀堀堀堀堀堀堀堀‬ﻲ ﻋ‪堀堀堀堀堀堀堀堀堀堀堀堀‬ﺮض اﻟﺴﻨﻮات‬ ‫اﻟﺴﻨﻮات‬
‫ﻻﺳ‪堀堀堀‬ﻌﺎر اﻟﻤ‪堀堀堀‬ﺴﺘﻬﻠﻚ ‪M1‬‬ ‫ﻻﺳ‪堀堀堀堀‬ﻌﺎر اﻟﻤ‪堀堀堀堀‬ﺴﺘﻬﻠﻚ اﻟﻨﻘﺪ ‪M1‬‬
‫‪CPI‬‬ ‫‪CPI‬‬
‫‪705084‬‬ ‫‪2672.9‬‬ ‫‪1995‬‬ ‫‪2650.2‬‬ ‫‪1.597‬‬ ‫‪1980‬‬
‫‪960503‬‬ ‫‪2242.1‬‬ ‫‪1996‬‬ ‫‪3645.5‬‬ ‫‪1.911‬‬ ‫‪1981‬‬
‫‪1038097‬‬ ‫‪2759.2‬‬ ‫‪1997‬‬ ‫‪4980.7‬‬ ‫‪2.168‬‬ ‫‪1982‬‬
‫‪1351876‬‬ ‫‪3166.7‬‬ ‫‪1998‬‬ ‫‪5527.4‬‬ ‫‪2.431‬‬ ‫‪1983‬‬
‫‪1483836‬‬ ‫‪3565‬‬ ‫‪1999‬‬ ‫‪5499.9‬‬ ‫‪2.623‬‬ ‫‪1984‬‬
‫‪1728006‬‬ ‫‪3742.5‬‬ ‫‪2000‬‬ ‫‪5777‬‬ ‫‪2.735‬‬ ‫‪1985‬‬
‫‪2159089‬‬ ‫‪4355.3‬‬ ‫‪2001‬‬ ‫‪6736.6‬‬ ‫‪2.768‬‬ ‫‪1986‬‬
‫‪3013601‬‬ ‫‪5196.6‬‬ ‫‪2002‬‬ ‫‪8316.7‬‬ ‫‪3.156‬‬ ‫‪1987‬‬
‫‪2898189‬‬ ‫‪6943.5‬‬ ‫‪2003‬‬ ‫‪9848‬‬ ‫‪3.829‬‬ ‫‪1988‬‬
‫‪10148626‬‬ ‫‪8815.6‬‬ ‫‪2004‬‬ ‫‪11868.2‬‬ ‫‪4.071‬‬ ‫‪1989‬‬
‫‪11399125‬‬ ‫‪12073.8‬‬ ‫‪2005‬‬ ‫‪15359.3‬‬ ‫‪6.1736‬‬ ‫‪1990‬‬
‫‪15460060‬‬ ‫‪18500.8‬‬ ‫‪2006‬‬ ‫‪24670‬‬ ‫‪17.7‬‬ ‫‪1991‬‬
‫‪21721167‬‬ ‫‪24205.5‬‬ ‫‪2007‬‬ ‫‪43909‬‬ ‫‪32.5‬‬ ‫‪1992‬‬
‫‪28189934‬‬ ‫‪24851.3‬‬ ‫‪2008‬‬ ‫‪86430‬‬ ‫‪100‬‬ ‫‪1993‬‬
‫‪37300030‬‬ ‫‪24155.1‬‬ ‫‪2009‬‬ ‫‪238901‬‬ ‫‪548.5‬‬ ‫‪1994‬‬

‫اﻟﻤﺼﺪر ‪ :‬ﺟﻤﻬﻮرﻳﺔ اﻟﻌﺮاق اﻟﺒﻨﻚ اﻟﻤﺮﻛﺰي اﻟﻌﺮاﻗﻲ اﻟﻨﺸﺮة اﻟﺴﻨﻮﻳﺔ ‪ ،‬ﺳﻨﻮات ﻣﺨﺘﻠﻔﺔ‪.‬‬

‫‪-3‬رﺳﻢ اﻟﺴﻠﺴﻠﺔ اﻟﺰﻣﻨﻴ‪堀‬ﺔ‪ :‬ﻣ‪堀‬ﻦ اﺟ‪堀‬ﻞ ﺗﺤﻠﻴ‪堀‬ﻞ اﻟﺴﻠ‪堀‬ﺴﻠﺔ اﻟﺰﻣﻨﻴ‪堀‬ﺔ ﻳ‪堀‬ﺘﻢ رﺳ‪堀‬ﻢ ﻣ‪堀‬ﺸﺎﻫﺪاﺗﻬﺎ ﻟﻤﻌﺮﻓ‪堀‬ﺔ اﻻﺗﺠ‪堀‬ﺎه‬
‫اﻟﻌﺎم ﻟﻬﺎ ﺣﻴﺚ ﻳﻤﺜﻞ ﺷﻜﻞ )‪ (1‬اﻟﺴﻠﺴﻠﺔ اﻟﺰﻣﻨﻴﺔ اﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳ‪堀‬ﻌﺎر اﻟﻤ‪堀‬ﺴﺘﻬﻠﻚ واﻟ‪堀‬ﺸﻜﻞ)‪(2‬‬
‫اﻟﺴﻠﺴﻠﺔ اﻟﺰﻣﻨﻴﺔ ﻟﻌﺮض اﻟﻨﻘﺪ‪.‬‬

‫ﺷﻜﻞ )‪ (1‬اﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ‬

‫‪30,00‬‬
‫‪0‬‬
‫‪25,00‬‬
‫‪0‬‬
‫‪20,00‬‬
‫‪0‬‬
‫‪15,00‬‬
‫‪0‬‬
‫‪10,00‬‬
‫‪0‬‬
‫‪5,00‬‬
‫‪0‬‬
‫‪0‬‬
‫‪8‬‬ ‫‪8‬‬ ‫‪8‬‬ ‫‪8‬‬ ‫‪8‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪0‬‬ ‫‪0‬‬ ‫‪0‬‬ ‫‪0‬‬ ‫‪0‬‬
‫‪0‬‬ ‫‪2‬‬ ‫‪4‬‬ ‫‪6‬‬ ‫‪8‬‬ ‫‪0‬‬ ‫‪2‬‬ ‫‪4‬‬ ‫‪6‬‬ ‫‪8‬‬ ‫‪0‬‬ ‫‪2‬‬ ‫‪4‬‬ ‫‪6‬‬ ‫‪8‬‬

‫)‪(164‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫ﺷﻜﻞ )‪ (2‬ﻋﺮض اﻟﻨﻘﺪ‬

‫‪40,000,00‬‬
‫‪0‬‬
‫‪35,000,00‬‬
‫‪0‬‬
‫‪30,000,00‬‬
‫‪0‬‬
‫‪25,000,00‬‬
‫‪0‬‬
‫‪20,000,00‬‬
‫‪0‬‬
‫‪15,000,00‬‬
‫‪0‬‬
‫‪10,000,00‬‬
‫‪0‬‬
‫‪5,000,00‬‬
‫‪0‬‬
‫‪0‬‬
‫‪8‬‬ ‫‪8‬‬ ‫‪8‬‬ ‫‪8‬‬ ‫‪8‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪9‬‬ ‫‪0‬‬ ‫‪0‬‬ ‫‪0‬‬ ‫‪0‬‬ ‫‪0‬‬
‫‪0‬‬ ‫‪2‬‬ ‫‪4‬‬ ‫‪6‬‬ ‫‪8‬‬ ‫‪0‬‬ ‫‪2‬‬ ‫‪4‬‬ ‫‪6‬‬ ‫‪8‬‬ ‫‪0‬‬ ‫‪2‬‬ ‫‪4‬‬ ‫‪6‬‬ ‫‪8‬‬

‫اﻟﻤﺼﺪر‪ :‬ﻣﻦ ﻋﻤﻞ اﻟﺒﺎﺣﺜﺎن اﺳﺘﻨﺎدا اﻟﻰ ﺟﺪول )‪(1‬‬

‫ﻣﻦ ﺧﻼل ﺷﻜﻞ )‪ (1‬و ﺷﻜﻞ )‪ (2‬ﻳﺘﺒﻴﻦ ﺑﺎن ﻛﻼ اﻟﺴﻠﺴﻠﺘﻴﻦ اﻟﺰﻣﻨﻴﺘﻴﻦ ﻫﻤﺎ ‪:‬‬
‫‪-1‬ﻟﻴﺴﺖ ﻣﻮﺳﻤﻴﺔ‬
‫‪ -2‬ﻏﻴﺮ ﻣﺴﺘﻘﺮة وﺗﻤﺘﻠﻚ اﺗﺠﺎه ﻋﺎم‬

‫‪-4‬اﺧﺘﺒ‪堀堀‬ﺎر اﻻﺳ‪堀堀‬ﺘﻘﺮارﻳﺔ‪ :‬ﻳ‪堀堀‬ﺘﻢ اﺳ‪堀堀‬ﺘﺨﺪام اﺧﺘﺒ‪堀堀‬ﺎر ﺟ‪堀堀‬ﺬر اﻟﻮﺣ‪堀堀‬ﺪة ﻟﻠﺘﻌ‪堀堀‬ﺮف ﻋﻠ‪堀堀‬ﻰ درﺟ‪堀堀‬ﺔ ﺗﻜﺎﻣ‪堀堀‬ﻞ اﻟﺴﻠ‪堀堀‬ﺴﻠﺔ اﻟﺰﻣﻨﻴ‪堀堀‬ﺔ‬
‫ﻟﻠﻤﺘﻐﻴﺮات اﻻﻗﺘﺼﺎدﻳﺔ ﻣﺤ‪堀‬ﻞ اﻟﺪراﺳ‪堀‬ﺔ ﻟﻤﻌﺮﻓ‪堀‬ﺔ ﻣ‪堀‬ﺎ اذا ﻛﺎﻧ‪堀‬ﺖ اﻟﻤﺘﻐﻴ‪堀‬ﺮات ﻣ‪堀‬ﺴﺘﻘﺮة أم ﻻ وﺳ‪堀‬ﻮف ﻧﻌﺘﻤ‪堀‬ﺪ ﻓ‪堀‬ﻲ ﻫ‪堀‬ﺬه‬
‫اﻟﺪراﺳﺔ ﻋﻠﻰ اﺧﺘﺒﺎر دﻳﻜﻲ ﻓﻮﻟﺮ اﻟﻤﻮﺳ‪堀‬ﻊ )‪ (ADF‬واﺧﺘﺒ‪堀‬ﺎر ﻓﺮﺿ‪堀‬ﻴﺔ اﻟﻌ‪堀‬ﺪم اﻟﻘﺎﺋﻠ‪堀‬ﺔ ﺑﻮﺟ‪堀‬ﻮد ﺟ‪堀‬ﺬر اﻟﻮﺣ‪堀‬ﺪة )اي‬
‫ﻋﺪم اﺳﺘﻘﺮار اﻟﺴﻼﺳﻞ اﻟﺰﻣﻨﻴﺔ ( ‪.‬‬
‫وﻳﻮﺿ‪堀堀‬ﺢ اﻟﺠ‪堀堀‬ﺪول )‪ (2‬اﻟﻨﺘ‪堀堀‬ﺎﺋﺞ اﻹﺣ‪堀堀‬ﺼﺎﺋﻴﺔ اﻟﺘ‪堀堀‬ﻲ ﺗ‪堀堀‬ﻢ اﻟﺤ‪堀堀‬ﺼﻮل ﻋﻠﻴﻬ‪堀堀‬ﺎ ﻣ‪堀堀‬ﻦ ﺟ‪堀堀‬ﺮاء ﺗﻄﺒﻴ‪堀堀‬ﻖ اﺧﺘﺒ‪堀堀‬ﺎر دﻳﻜ‪堀堀‬ﻲ ﻓ‪堀堀‬ﻮﻟﺮ‬
‫اﻟﻤﻮﺳﻊ ﻋﻨﺪ اﻟﻤﺴﺘﻮى وﻋﻨﺪ اﻟﻔﺮوق اﻻوﻟﻰ واﻟﻔﺮوق اﻟﺜﺎﻧﻴﺔ ‪ ،‬ﻛﻤ‪堀‬ﺎ ﻳﺘ‪堀‬ﻀﻤﻦ اﻟﻘ‪堀‬ﻴﻢ اﻟﺤﺮﺟ‪堀‬ﺔ ﻟﻜ‪堀‬ﻞ اﺧﺘﺒ‪堀‬ﺎر ﻋﻨ‪堀‬ﺪ‬
‫ﻣﺴﺘﻮى ﻣﻌﻨﻮﻳﺔ ) ‪. (% 5‬‬
‫اﻟﺠﺪول )‪(2‬‬
‫اﺧﺘﺒﺎرات ﺟﺬر اﻟﻮﺣﺪة ﻟﻤﺘﻐﻴﺮات اﻟﻨﻤﻮذج‬
‫اﻟﻔﺮق اﻟﺜﺎﻧﻲ ‪2nd‬‬ ‫اﻟﻔﺮق اﻻول ‪1st‬‬ ‫اﻟﻤﺴﺘﻮى‪Levels‬‬ ‫اﻟﻤﺘﻐﻴﺮات‬
‫‪Difference‬‬ ‫‪Difference‬‬
‫‪-3.651‬‬ ‫‪-3.229‬‬ ‫‪-2.2017‬‬ ‫‪CPI‬‬
‫‪-3.774‬‬ ‫‪1.298‬‬ ‫‪4.162‬‬ ‫‪M1‬‬
‫‪-3.603‬‬ ‫‪-3.59‬‬ ‫‪-3.58‬‬ ‫اﻟﻘﻴﻢ اﻟﺤﺮﺟﺔ ﻋﻨﺪ ﻣﺴﺘﻮى ‪% 5‬‬

‫اﻟﻤﺼﺪر‪ :‬ﻣﻦ ﻋﻤﻞ اﻟﺒﺎﺣﺜﺎن اﺳﺘﻨﺎدا اﻟﻰ ﺟﺪول )‪(1‬‬

‫وﻳﺘ‪堀堀‬ﻀﺢ ﻣ‪堀堀‬ﻦ اﻟﺠ‪堀堀‬ﺪول اﻟ‪堀堀‬ﺴﺎﺑﻖ أن ﻣﺘﻐﻴ‪堀堀‬ﺮات اﻟ‪堀堀‬ﺴﻼﺳﻞ اﻟﺰﻣﻨﻴ‪堀堀‬ﺔ ﻏﻴ‪堀堀‬ﺮ ﻣ‪堀堀‬ﺴﺘﻘﺮة ﻓ‪堀堀‬ﻲ ﻣ‪堀堀‬ﺴﺘﻮاﻫﺎ وﻻ ﻓ‪堀堀‬ﻲ اﻟﻔ‪堀堀‬ﺮوق‬
‫اﻻوﻟﻰ وﻟﻜﻨﻬﺎ ﺑﺎﻟﻤﻘﺎﺑﻞ ﻣﺴﺘﻘﺮة ﻋﻨﺪ اﻟﻔ‪堀‬ﺮوق اﻟﺜﺎﻧﻴ‪堀‬ﺔ وﺗﻜ‪堀‬ﻮن ﻣﺘﻜﺎﻣﻠ‪堀‬ﺔ ﻣ‪堀‬ﻦ اﻟﺪرﺟ‪堀‬ﺔ )‪) I~(2‬ﺑﻮﺟ‪堀‬ﻮد ﺣ‪堀‬ﺪ ﺛﺎﺑ‪堀‬ﺖ‬
‫واﺗﺠﺎه ( ‪.‬‬

‫‪-4‬ﺗﺤﻠﻴﻞ اﻟﺘﻜﺎﻣﻞ اﻟﻤ‪堀‬ﺸﺘﺮك‪ :‬ﺑﻌ‪堀‬ﺪ اﻟﺘﺤﻘ‪堀‬ﻖ ﻣ‪堀‬ﻦ اﻟ‪堀‬ﺸﺮط اﻻول اﻟ‪堀‬ﺬي ﻳﻔﺘ‪堀‬ﺮض ﺗﻜﺎﻣ‪堀‬ﻞ اﻟ‪堀‬ﺴﻼﺳﻞ اﻟﺰﻣﻨﻴ‪堀‬ﺔ ﻣ‪堀‬ﻦ‬
‫ﻧﻔﺲ اﻟﺪرﺟ‪堀‬ﺔ ﻧﻘ‪堀‬ﻮم ﺑﺎﻟﻜ‪堀‬ﺸﻒ ﻋ‪堀‬ﻦ ﻋﻼﻗ‪堀‬ﺔ اﻟﻤ‪堀‬ﺪى اﻟﻄﻮﻳ‪堀‬ﻞ ﺑﺎﺳ‪堀‬ﺘﻌﻤﺎل اﺧﺘﺒ‪堀‬ﺎر ‪ Johansen‬اﻟ‪堀‬ﺬي ﻳﻌﻄﻴﻨ‪堀‬ﺎ‬
‫ﻗﻴﻤﺔ‬
‫‪ l trace‬ﺗﺤﺖ اﻟﻔﺮﺿﻴﺘﻴﻦ اﻟﺘﺎﻟﻴﺘﻴﻦ‪:‬‬
‫)‪(165‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫‪H0:q=0‬‬ ‫اﻟﻔﺮﺿﻴﺔ اﻻوﻟﻰ‪:‬‬

‫‪H1:q>0‬‬ ‫اﻟﻔﺮﺿﻴﺔ اﻟﺜﺎﻧﻴﺔ‪:‬‬
‫ﺣﻴﺚ ﺗﺮﻓﺾ اﻟﻔﺮﺿﻴﺔ اﻟﻌﺪﻣﻴﺔ ﻟﺼﺎﻟﺢ اﻟﻔﺮﺿ‪堀‬ﻴﺔ اﻟﺒﺪﻳﻠ‪堀‬ﺔ ‪ ،‬اذا ﻛﺎﻧ‪堀‬ﺖ ﻗ‪堀‬ﻴﻢ ‪ l trace‬اﻟﻤﺤ‪堀‬ﺴﻮﺑﺔ اﻛﺒ‪堀‬ﺮ ﻣ‪堀‬ﻦ‬
‫اﻟﻘﻴﻢ اﻟﺤﺮﺟﺔ اﻟﺠﺪوﻟﻴﺔ‬
‫اﻟﺠﺪول )‪(3‬‬
‫اﺧﺘﺒﺎرات ﺟﻮﻫﺎﻧﺴﻦ ﻟﻠﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‬
‫‪Prob‬‬ ‫‪l trace‬‬ ‫اﻟﻘﻴﻢ اﻟﺤﺮﺟﺔ ‪% 5‬‬ ‫ﻓﺮﺿﻴﺔ اﻟﻌﺪم‬
‫‪0.0002‬‬ ‫‪29.5732‬‬ ‫‪15.49671‬‬ ‫‪q=0‬‬
‫‪0.4626‬‬ ‫‪0.539496‬‬ ‫‪3.841466‬‬ ‫‪q>0‬‬
‫اﻟﻤﺼﺪر‪ :‬ﻣﻦ ﻋﻤﻞ اﻟﺒﺎﺣﺜﺎن اﺳﺘﻨﺎدا اﻟﻰ ﺟﺪول )‪(1‬‬

‫ﻓ‪堀‬ﻲ اﻟﺠ‪堀堀‬ﺪول اﻟ‪堀堀‬ﺴﺎﺑﻖ ﻳﻼﺣ‪堀堀‬ﻆ ان ‪ l trace‬اﻗ‪堀‬ﻞ ﻣ‪堀堀‬ﻦ اﻟﻘﻴﻤ‪堀堀‬ﺔ اﻟﺤﺮﺟ‪堀堀‬ﺔ ﻋﻨ‪堀‬ﺪ ﻣ‪堀堀‬ﺴﺘﻮى ‪ % 5‬وﺑ‪堀堀‬ﺬﻟﻚ ﻓﺎﻧﻨ‪堀堀‬ﺎ ﻧﻘﺒ‪堀堀‬ﻞ‬
‫ﻓﺮﺿﻴﺔ اﻟﻌﺪم ﺑﻮﺟﻮد ﻣﺘﺠﻪ واﺣﺪ ﻋﻠﻰ اﻷﻗ‪堀‬ﻞ ﻟﻠﺘﻜﺎﻣ‪堀‬ﻞ اﻟﻤ‪堀‬ﺸﺘﺮك ﻣﻤ‪堀‬ﺎ ﻳ‪堀‬ﺪل ﻋﻠ‪堀‬ﻰ وﺟ‪堀‬ﻮد ﺗﻮﻟﻴﻔ‪堀‬ﺔ ﺧﻄﻴ‪堀‬ﺔ ﻣ‪堀‬ﺴﺘﻘﺮة‬
‫ﺑﻴﻦ اﻟﻤﺘﻐﻴﺮات اﻻﻗﺘﺼﺎدﻳﺔ )اﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ‪،‬ﻋﺮض اﻟﻨﻘﺪ( ‪.‬‬

‫‪-5‬ﺗﻘﺪﻳﺮ ﻣﻌﺎدﻟﺔ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‪ :‬ﺑﻌ‪堀‬ﺪ اﻟﺘﺤﻘ‪堀‬ﻖ ﻣ‪堀‬ﻦ وﺟ‪堀‬ﻮد ﻋﻼﻗ‪堀‬ﺔ ﺗﻜﺎﻣ‪堀‬ﻞ ﻣ‪堀‬ﺸﺘﺮك ﺑ‪堀‬ﻴﻦ ﻛ‪堀‬ﻞ ﻣ‪堀‬ﻦ اﻟ‪堀‬ﺮﻗﻢ‬
‫اﻟﻘﻴﺎﺳ‪堀堀‬ﻲ اﻟﻌ‪堀堀‬ﺎم ﻻﺳ‪堀堀‬ﻌﺎر اﻟﻤ‪堀堀‬ﺴﺘﻬﻠﻚ وﻋ‪堀堀‬ﺮض اﻟﻨﻘ‪堀堀‬ﺪ ﺗ‪堀堀‬ﻢ ﺗﻘ‪堀堀‬ﺪﻳﺮ ﻣﻌﺎدﻟ‪堀堀‬ﺔ اﻧﺤ‪堀堀‬ﺪار اﻟﺘﻜﺎﻣ‪堀堀‬ﻞ اﻟﻤ‪堀堀‬ﺸﺘﺮك وﻓ‪堀堀‬ﻖ ﻃﺮاﺋ ‪堀‬ﻖ‬
‫اﻟﺘﻘﺪﻳﺮ اﻟﻤﺸﺎر إﻟﻴﻬﺎ ﺳﺎﺑﻘﺎ وﻇﻬﺮت ﻧﺘﺎﺋﺞ اﻟﺒﺮﻧﺎﻣﺞ اﻻﺣﺼﺎﺋﻲ ‪ Eviews7‬وﻛﻤﺎ ﻣﺒﻴﻦ ﻓﻲ اﻟﺠﺪول اﻵﺗﻲ ‪:‬‬

‫)‪(166‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫اﻟﺠﺪول )‪(4‬‬
‫ﺗﻘﺪﻳﺮات ﻣﻌﺎدﻟﺔ اﻧﺤﺪار اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك‬
‫‪F‬‬ ‫‪t‬‬
‫‪F‬‬ ‫‪t‬‬
‫‪statisti‬‬ ‫‪statisti DW‬‬ ‫‪R2‬‬ ‫‪β1‬‬ ‫‪β0‬‬
‫اﻟﺠﺪوﻟﻴﺔ‬ ‫اﻟﺠﺪوﻟﻴﺔ‬
‫‪cs‬‬ ‫‪c‬‬
‫‪4.20‬‬ ‫‪303.0841‬‬ ‫‪1.701‬‬ ‫‪17.40931‬‬ ‫‪0.8251‬‬ ‫‪0.91543‬‬ ‫‪0.00805‬‬ ‫‪1176.6‬‬ ‫‪OLS‬‬

‫‪4.21‬‬ ‫‪198.5825‬‬ ‫‪1.703‬‬ ‫‪14.09193 0.761398 0.91156 0.000777 1011.235 FMOLS‬‬

‫‪0.00069‬‬
‫‪4.21‬‬ ‫‪51.42197‬‬ ‫‪1.703‬‬ ‫‪7.170911 0.536292 0.891236‬‬ ‫‪1154.189‬‬ ‫‪CCR‬‬
‫‪3‬‬

‫‪4.30‬‬ ‫‪13.27006‬‬ ‫‪1.717‬‬ ‫‪3.642810 1.103155 0.968071 0.00096 827.3615‬‬ ‫‪DOLS‬‬

‫اﻟﻤﺼﺪر‪ :‬ﻣﻦ ﻋﻤﻞ اﻟﺒﺎﺣﺜﺎن اﺳﺘﻨﺎدا اﻟﻰ ﺟﺪول )‪(1‬‬

‫ﻣﻦ اﻟﺠﺪول اﻟﺴﺎﺑﻖ ﻳﻤﻜﻨﻨﺎ اﺳﺘﻨﺘﺎج اﻵﺗﻲ ‪:‬‬

‫‪ .1‬ﻣﻦ ﺧﻼل ﻗﻴﻢ اﻟﻤﻌﻠﻤﺔ ‪ β1‬ﻳﻤﻜﻦ ﻣﻼﺣﻈﺔ اﻟﻌﻼﻗﺔ اﻻﻳﺠﺎﺑﻴﺔ ﺑﻴﻦ ﻣﺘﻐﻴﺮ ﻋﺮض اﻟﻨﻘﺪ واﻟﺮﻗﻢ‬
‫اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ﺧﻼل اﻟﻤﺪة اﻟﻤﺒﺤﻮﺛﺔ ‪ 2009-1980‬ﻓﻜﻠﻤﺎ ﻳﺰداد ﻋﺮض‬
‫اﻟﻨﻘﺪ ﺑﻤﻘﺪار وﺣﺪة واﺣﺪة ﻳﺰداد اﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ﺑﻤﻘﺪار ﻗﻴﻤﺔ ال ‪.β1‬‬
‫‪ .2‬ﻛﺎﻧﺖ ﻗﻴﻤﺔ ﻣﻌﺎﻣﻞ اﻟﺘﺤﺪﻳﺪ‪ R2‬ﻋﺎﻟﻴﺔ وﻫﺬا ﻳﺪل ﻋﻠﻰ ان اﻟﻤﺘﻐﻴﺮات اﻟﻤﺴﺘﺨﺪﻣﺔ ﺗ‪堀‬ﺸﺮح ﻧ‪堀‬ﺴﺒﺔ‬
‫ﻛﺒﻴﺮة ﻣﻦ ﺳﻠﻮك اﻟﻤﺘﻐﻴﺮ اﻟﺘﺎﺑﻊ ‪.‬‬
‫‪ .3‬ﻗﻴﻤﺔ دارﺑ‪堀‬ﻦ واﺗ‪堀‬ﺴﻦ ﻓ‪堀‬ﻲ اﻟﻄ‪堀‬ﺮق اﻟ‪堀‬ﺜﻼث اﻻوﻟ‪堀‬ﻰ ﻫ‪堀‬ﻲ اﻗ‪堀‬ﻞ ﻣ‪堀‬ﻦ اﻟﺤ‪堀‬ﺪﻳﻦ اﻻدﻧ‪堀‬ﻰ ‪ DL‬واﻻﻋﻠ‪堀‬ﻰ‬
‫‪ DU‬واﻟﺒﺎﻟﻐ‪堀堀‬ﺔ )‪ (1.489 ،1.352‬ﻋﻠ‪堀堀‬ﻰ اﻟﺘ‪堀堀‬ﻮاﻟﻲ ﻣﻤ‪堀堀‬ﺎ ﻳ‪堀堀‬ﺪل ﻋﻠ‪堀堀‬ﻰ وﺟ‪堀堀‬ﻮد ﻣ‪堀堀‬ﺸﻜﻠﺔ اﻻرﺗﺒ‪堀堀‬ﺎط‬
‫اﻟﺬاﺗﻲ اﻣﺎ ﻓﻲ ﻃﺮﻳﻘﺔ ‪ DOLS‬ﻓﻼﺗﻮﺟﺪ ﻣﺸﻜﻠﺔ ‪.‬‬
‫‪ .4‬ﻋﻨﺪ ﻣﻘﺎرﻧﺔ ﻗﻴﻢ ‪ F‬اﻟﻤﺤﺘﺴﺒﺔ ﻣﻊ اﻟﻘﻴﻢ اﻟﺠﺪوﻟﻴﺔ ﻧﻼﺣ‪堀‬ﻆ ان اﻟﻘ‪堀‬ﻴﻢ اﻟﻤﺤﺘ‪堀‬ﺴﺒﺔ اﻛﺒ‪堀‬ﺮ ﻣ‪堀‬ﻦ اﻟﻘ‪堀‬ﻴﻢ‬
‫اﻟﺠﺪوﻟﻴﺔ‪ ،‬وﻫﺬا ﻳﺪل ﻋﻠﻰ ﻣﻌﻨﻮﻳﺔ اﻷﻧﻤﻮذج اﻟﻤﻘﺪر وﻋﻠﻰ ﺟﻮﻫﺮﻳﺔ ﻣﻌﺎﻣﻞ اﻟﺘﺤﺪﻳﺪ ‪.‬‬
‫‪ .5‬ﻋﻨﺪ ﻣﻘﺎرﻧﺔ ﻗ‪堀‬ﻴﻢ ‪ t‬اﻟﻤﺤﺘ‪堀‬ﺴﺒﺔ ﻣ‪堀‬ﻊ اﻟﻘ‪堀‬ﻴﻢ اﻟﺠﺪوﻟﻴ‪堀‬ﺔ ﻧﻼﺣ‪堀‬ﻆ ﻣﻌﻨﻮﻳ‪堀‬ﺔ اﻟﻘ‪堀‬ﻴﻢ اﻟﻤﺤﺘ‪堀‬ﺴﺒﺔ ﻣﻤ‪堀‬ﺎ ﻳ‪堀‬ﺪل‬
‫ﻋﻠ‪堀堀‬ﻰ ﺟ‪堀堀‬ﻮدة اﻟﻤﻌﺎدﻟ‪堀堀‬ﺔ اﻟﻤﻘ‪堀堀‬ﺪرة وﻗ‪堀堀‬ﺪرة ﻋ‪堀堀‬ﺮض اﻟﻨﻘ‪堀堀‬ﺪ ﻋﻠ‪堀堀‬ﻰ ﺗﻔ‪堀堀‬ﺴﻴﺮ اﻟﺘﻐﻴ‪堀堀‬ﺮ اﻟﺤﺎﺻ‪堀堀‬ﻞ ﻓ‪堀堀‬ﻲ اﻟ‪堀堀‬ﺮﻗﻢ‬
‫اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ‪.‬‬

‫)‪(167‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫اﻻﺳﺘﻨﺘﺎﺟﺎت‪:‬‬
‫‪ -1‬اﻟ‪堀堀‬ﺴﻼﺳﻞ اﻟﺰﻣﻨﻴ‪堀堀‬ﺔ ﻟﻠﻤﺘﻐﻴ‪堀堀‬ﺮات ﻏﻴ‪堀堀‬ﺮ ﻣ‪堀堀‬ﺴﺘﻘﺮة ﻓ‪堀堀‬ﻲ ﻣ‪堀堀‬ﺴﺘﻮاﻫﺎ وﻻﻓ‪堀堀‬ﻲ اﻟﻔ‪堀堀‬ﺮوق اﻻوﻟ‪堀堀‬ﻰ وﻟﻜﻨﻬ‪堀堀‬ﺎ‬
‫ﺑﺎﻟﻤﻘﺎﺑﻞ ﻣﺴﺘﻘﺮة ﻋﻨﺪ اﻟﻔﺮوق اﻟﺜﺎﻧﻴﺔ وﻣﻦ ﺛﻢ ﻓﻬﻲ ﻣﺘﻜﺎﻣﻠﺔ ﻣﻦ اﻟﺪرﺟﺔ اﻟﺜﺎﻧﻴﺔ اﻻﻣﺮ اﻟﺬي‬
‫ﻳﺴﻤﺢ ﻟﻨﺎ ﺑﺎﺟﺮاء اﺧﺘﺒﺎر اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك ﻓﻴﻤﺎ ﺑﻴﻨﻬﻤﺎ‪.‬‬
‫‪ -2‬اوﺿﺤﺖ اﻟﻨﺘﺎﺋﺞ اﻻﺣﺼﺎﺋﻴﺔ ﻻﺧﺘﺒﺎر اﻟﺘﻜﺎﻣﻞ اﻟﻤ‪堀‬ﺸﺘﺮك )اﺧﺘﺒ‪堀‬ﺎر ﺟﻮﻫﺎﻧ‪堀‬ﺴﻦ( ان ﻫﻨ‪堀‬ﺎك ﻋﻼﻗ‪堀‬ﺔ‬
‫ﺗﻮازﻧﻴﺔ ﻃﻮﻳﻠﺔ اﻟﻤﺪى ﺑﻴﻦ ﻋﺮض اﻟﻨﻘﺪ واﻟﺮﻗﻢ اﻟﻘﻴﺎﺳﻲ اﻟﻌﺎم ﻻﺳﻌﺎر اﻟﻤﺴﺘﻬﻠﻚ ﻓﻲ اﻟﻌﺮاق‬
‫‪.‬‬
‫‪ -3‬اﺣ‪堀堀‬ﺼﺎﺋﻴﺎت اﻟ‪堀堀‬ﺴﻼﺳﻞ اﻟﺰﻣﻨﻴ‪堀堀‬ﺔ ﺳ‪堀堀‬ﻨﻮﻳﺔ ﻻﺗ‪堀堀‬ﺴﻤﺢ ﻟﻨ‪堀堀‬ﺎ ﺑﺪراﺳ‪堀堀‬ﺔ ﻛ‪堀堀‬ﻞ اﻟﺘﺬﺑ‪堀堀‬ﺬﺑﺎت اﻟﺘ‪堀堀‬ﻲ ﺗﻄ‪堀堀‬ﺮأ ﻋﻠ‪堀堀‬ﻰ‬
‫ﺳﻴﺎﺳﺔ ﻛﻞ ﻣﺘﻐﻴﺮ ﺧﻼل ﻛﺎﻣﻞ اﻟﺴﻨﺔ ‪.‬‬
‫‪ -4‬ان اﻟﻌﻼﻗﺔ ﺑﻴﻦ اﻟﺘﻀﺨﻢ وﻋﺮض اﻟﻨﻘﺪ ﺑﻤﻔﻬﻮﻣﻪ اﻟﻀﻴﻖ ﻣﻮﺟﺒﺔ وﺿﻌﻴﻔﺔ اﺣﺼﺎﺋﻴﺎ ﻣﻤﺎ ﻳﻌﻨ‪堀‬ﻲ‬
‫ان اﻟﻨﻘﺪ ﻣﻬﻢ ﻓﻲ ﺗﺤﺪﻳﺪ اﻟﺘﻀﺨﻢ ‪.‬‬
‫‪ -5‬اﺛﺒﺘ‪堀堀‬ﺖ اﻟﻨﺘ‪堀堀‬ﺎﺋﺞ اﻻﺣ‪堀堀‬ﺼﺎﺋﻴﺔ ان ﻃﺮﻳﻘﺘ‪堀堀‬ﻲ اﻟﻤﺮﺑﻌ‪堀堀‬ﺎت اﻟ‪堀堀‬ﺼﻐﺮى اﻻﻋﺘﻴﺎدﻳ‪堀堀‬ﺔ واﻟﻤﺮﺑﻌ‪堀堀‬ﺎت اﻟ‪堀堀‬ﺼﻐﺮى‬
‫اﻟﺪﻳﻨﺎﻣﻴﻜﻴﺔ اﻋﻄﺖ ﻧﺘﺎﺋﺞ اﻓﻀﻞ ﻣﻦ اﻟﻄﺮق اﻻﺧﺮى ‪.‬‬

‫اﻟﺘﻮﺻﻴﺎت‬
‫‪ -1‬ﺿﺮورة اﻟﺘﺤﻘﻖ ﻓﻲ ﻣﺎ اذا ﻛﺎن ﺑﺎﻻﻣﻜﺎن اﻟﺤﺼﻮل ﻋﻠﻰ اﻟﻨﺘﻴﺠﺔ ﻧﻔﺴﻬﺎ ﻋﻨﺪﻣﺎ ﻧﻘﻮم ﺑﺘﺤﻠﻴﻞ ﻣﺠﻤﻮﻋ‪堀‬ﺔ‬
‫ﻛﺒﻴﺮة ﻣﻦ اﻟﻤﺘﻐﻴﺮات ‪ ،‬وﺿﺮورة اﺟﺮاء ﺗﺠﺎرب اﻟﻤﺤﺎﻛﺎة ﻟﺘﺸﻤﻞ ﻃﻴﻔﺎً اوﺳﻊ ﻣﻦ اﻟﺤﺎﻻت ‪.‬‬
‫‪ -2‬ﺗﻮﺟﻴﻪ ﺟﻬﻮد ﺑﺤﺜﻴﺔ ﻣﺴﺘﻘﺒﻠﻴﺔ ﻧﺤﻮ ﺗﺄﺛﻴﺮ ﻋﺮض اﻟﻨﻘﺪ ﻓﻲ ﻣﺘﻐﻴﺮات اﻗﺘ‪堀‬ﺼﺎدﻳﺔ ﻛﻠﻴ‪堀‬ﺔ اﺧ‪堀‬ﺮى ﻓ‪堀‬ﻲ ﻧﻔ‪堀‬ﺲ‬
‫ﻋﻴﻨﺔ اﻟﺪول اﻟﻤﺪروﺳﺔ وﻻوﻗﺎت ﻣﺨﺘﻠﻔﺔ ﻣﻦ اﻟﺰﻣﻦ وﻛﺬﻟﻚ دراﺳﺔ ﻧﻔﺲ اﻟﻤﺘﻐﻴ‪堀‬ﺮات ﻓ‪堀‬ﻲ دولٍ اﺧ‪堀‬ﺮى‬
‫‪.‬‬
‫‪ -3‬إﺟﺮاء اﻟﻤﺰﻳﺪ ﻣﻦ اﻟﺒﺤﻮث اﻻﺣﺼﺎﺋﻴﺔ ﻓﻲ ﻣﺠﺎل ﺗﻘﺪﻳﺮ ﻣﻌﺎدﻟﺔ اﻧﺤ‪堀‬ﺪار اﻟﺘﻜﺎﻣ‪堀‬ﻞ اﻟﻤ‪堀‬ﺸﺘﺮك ﻋﻠ‪堀‬ﻰ اﻟﻤ‪堀‬ﺪى‬
‫اﻟﻘﺼﻴﺮ واﻟﻄﻮﻳﻞ ‪.‬‬

‫)‪(168‬‬
 ‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫اﻟﻤﺼـﺎدر‬
‫اﻟﻤﺼﺎدر اﻟﻌﺮﺑﻴﺔ‬
‫‪ -1‬اﻟﺤﻤ‪堀堀‬ﻮد‪ ،‬ﻏ‪堀堀‬ﺪﻳﺮ ﺳ‪堀堀‬ﻌﺪ )‪ " (2004‬اﻟﻌﻼﻗ‪堀堀‬ﺔ ﺑ‪堀堀‬ﻴﻦ اﻻﺳ‪堀堀‬ﺘﺜﻤﺎر اﻟﻌ‪堀堀‬ﺎم واﻻﺳ‪堀堀‬ﺘﺜﻤﺎر اﻟﺨ‪堀堀‬ﺎص ﻓ‪堀堀‬ﻲ اﻃ‪堀堀‬ﺎر اﻟﺘﻨﻤﻴ‪堀堀‬ﺔ‬
‫اﻻﻗﺘﺼﺎدﻳﺔ اﻟﺴﻌﻮدﻳﺔ " رﺳﺎﻟﺔ ﻣﺎﺟﺴﺘﻴﺮ ‪ ،‬ﻛﻠﻴﺔ اﻟﻌﻠﻮم اﻻدارﻳﺔ ‪،‬ﺟﺎﻣﻌﺔ اﻟﻤﻠﻚ ﺳﻌﻮد‪.‬‬
‫‪ -2‬اﻟﻌﺒﺪﻟﻲ ‪ ،‬ﻋﺎﺑﺪ ﺑﻦ ﻋﺒﺪ )‪ " (2005‬ﺗﻘﺪﻳﺮ اﺛ‪堀‬ﺮ اﻟ‪堀‬ﺼﺎدرات ﻋﻠ‪堀‬ﻰ اﻟﻨﻤ‪堀‬ﻮ اﻻﻗﺘ‪堀‬ﺼﺎدي ﻓ‪堀‬ﻲ اﻟ‪堀‬ﺪول اﻻﺳ‪堀‬ﻼﻣﻴﺔ‬
‫‪:‬دراﺳﺔ ﺗﺤﻠﻴﻠﻴﺔ ﻗﻴﺎﺳﻴﺔ " ﺑﺤﺚ اﻗﺘﺼﺎدي ‪ ،‬ﻗﺴﻢ اﻻﻗﺘﺼﺎد اﻻﺳﻼﻣﻲ ‪ ،‬ﺟﺎﻣﻌﺔ ام اﻟﻘﺮى‬
‫‪ -3‬اﻟﻐﻨﺎم ‪ ،‬ﺣﻤﺪ ﺑﻦ ﻋﺒﺪاﷲ " اﻟﻌﻼﻗﺔ اﻟﺴﺒﺒﻴﺔ ﺑﻴﻦ اﻟﻨﻘﻮد واﻟﺪﺧﻞ ﻓﻲ اﻟﻤﻤﻠﻜﺔ اﻟﻌﺮﺑﻴ‪堀‬ﺔ اﻟ‪堀‬ﺴﻌﻮدﻳﺔ ﺑﺎﺳ‪堀‬ﺘﺨﺪام‬
‫اﻟﺘﻜﺎﻣﻞ اﻟﻤﺸﺘﺮك " ﺑﺤﺚ اﻗﺘﺼﺎدي ‪ ،‬ﻗﺴﻢ اﻻﻗﺘﺼﺎد ‪ ،‬ﻛﻠﻴﺔ اﻟﻌﻠﻮم اﻻدراﻳﺔ ‪،‬ﺟﺎﻣﻌﺔ اﻟﻤﻠﻚ ﺳﻌﻮد ‪.‬‬

‫اﻟﻤﺼﺎدر اﻻﻧﺠﻠﻴﺰﻳﺔ‬
‫“ ‪Cointegration Notes1.،4-“ Differencing and Cointegration‬‬
‫‪.edu/economics/vinod/cointegr.pdf.www.Fordham‬‬

‫‪5-Gujarati , “ Basic Econometrics “, Forth Edition , preface.‬‬

‫‪-James D.Hamilton , “ Time Series Analysis “ , Princeton – New Jersey .6‬‬

‫‪7- Jesus Gonzalo, " Five Alternative Methods of Estimating Long-Run‬‬

‫‪Equilibrium relationships ",Journal of Econometrics 60 (1994) 203-233.‬‬
‫‪North Holland .‬‬

‫‪8- Jose G. Montalvo , " Comparing Cointegrating Regression Estimators:‬‬

‫‪Some additional Monte Carlo results ", Economics letters 48(1995) 229-‬‬
‫‪234 .‬‬

‫“ ‪9-“ Unit Root Test‬‬

‫‪. Washington.edu/ezivot/econ584/notes/unit root . pdf.www.Faculty‬‬

‫اﻟﺠﺪول )‪(5‬‬
‫اﻟﻘﻴﻢ اﻟﺤﺮﺟﺔ ﻻﺧﺘﺒﺎري ﻓﻴﻠﻴﺐ – ﺑﻴﺮون ودﻳﻜﻲ ﻓﻮﻟﺮ ﻣﺒﻨﻴﺔ ﻋﻠﻰ أﺳﺎس ﻣﻌﺎﻣﻼت ﻣﻘﺪرة ﻟﻼﻧﺤﺪار‬
‫اﻟﺬاﺗﻲ ﺑﻮاﺳﻄﺔ )‪(OLS‬‬

‫)‪(169‬‬
‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫اﻟﺠﺪول )‪(6‬‬
‫اﻟﻘﻴﻢ اﻟﺤﺮﺟﺔ ﻻﺧﺘﺒﺎري ﻓﻴﻠﺒﺲ‪-‬ﺑﻴﺮون ودﻳﻜﻲ ﻓﻮﻟﺮ ﻋﻠﻰ أﺳﺎس إﺣﺼﺎﺋﻴﺔ ‪ t‬ﻟﺘﻘﺪﻳﺮ )‪(OLS‬‬

‫)‪(170‬‬
‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫اﻟﺠﺪول )‪(7‬‬
‫اﻟﻘﻴﻢ اﻟﺤﺮﺟﺔ ﻻﺧﺘﺒﺎر دﻳﻜﻲ ﻓﻮﻟﺮ ﻣﺒﻨﻴﺔ ﻋﻠﻰ أﺳﺎس اﺣﺼﺎءة ‪ F‬ﻟـ )‪(OLS‬‬

‫)‪(171‬‬
‫اﻟﻤﺠﻠﺔ اﻟﻌﺮاﻗﻴﺔ ﻟﻠﻌﻠﻮم اﻻﻗﺘﺼﺎدﻳﺔ ‪ Iraqi Journal for Economic Sciences/‬اﻟﺴﻨﺔ اﻟﻌﺎﺷﺮة –اﻟﻌﺪد اﻟﺜﺎﻟﺚ واﻟﺜﻼﺛﻮن‪2012/‬‬

‫)‪(172‬‬