Гэрийн даалгавар №5: VAR үнэлгээ

1. Unit root test

Null Hypothesis: EDUC has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=1)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.240667 0.0480

Test critical values: 1% level -4.297073
5% level -3.212696
10% level -2.747676

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 10

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(EDUC)
Method: Least Squares
Date: 10/27/22 Time: 19:09
Sample (adjusted): 2012 2021
Included observations: 10 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

EDUC(-1) -1.125011 0.347154 -3.240667 0.0119

C -0.015841 0.012926 -1.225533 0.2552

R-squared 0.567613 Mean dependent var -0.000443

Adjusted R-squared 0.513564 S.D. dependent var 0.054502
S.E. of regression 0.038012 Akaike info criterion -3.524959
Sum squared resid 0.011559 Schwarz criterion -3.464442
Log likelihood 19.62480 Hannan-Quinn criter. -3.591346
F-statistic 10.50193 Durbin-Watson stat 2.054945
Prob(F-statistic) 0.011866

Educ хувьсагчийн хувьд тогтвортой эсэхийг шалгахад p-value буюу магадлалын түвшин нь критик утга буюу
0.05 -аас бага байгаа нь Stationary байна.

Null Hypothesis: EMP has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=1)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.665764 0.0254

Test critical values: 1% level -4.297073
5% level -3.212696
10% level -2.747676
Null Hypothesis: GDI has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic – based on SIC, maxlag=1)

*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 10 t-Statistic Prob.*

Augmented
Augmented Dickey-Fuller
Dickey-Fuller test
Teststatistic
Equation -3.968709 0.0162
Dependent Variable: D(EMP)
Method:
Test Least
critical Squares 1% level
values: -4.297073
Date: 10/27/22 Time: 19:09
Sample (adjusted): 2012 5% 2021level -3.212696
Included observations: 10 after adjustments
10% level -2.747676
Variable Coefficient Std. Error t-Statistic Prob.

EMP(-1) -1.189358 0.324450 -3.665764 0.0063

*MacKinnonC(1996) one-sided p-values. 0.007708
-0.009783 -1.269282 0.2400

Warning:
R-squared Probabilities and 0.626828
critical values calculated
Mean dependentfor 20
varobservations
-0.008176
Adjusted R-squared 0.580181 S.D. dependent var 0.037557
S.E. and may not be accurate
of regression for a sample
0.024335 size
Akaike of criterion
info 10 -4.416964
Sum squared resid 0.004737 Schwarz criterion -4.356447
Log likelihood 24.08482 Hannan-Quinn criter. -4.483351
F-statistic 13.43782 Durbin-Watson stat 2.269943
Prob(F-statistic) 0.006348

Augmented Dickey-Fuller Test Equation

EMP хувьсагчийн хувьд тогтвортой
эсэхийг шалгахад p-value буюу
Dependent Variable: D(GDI) магадлалын түвшин нь критик утга
буюу 0.05 -аас бага байгаа нь
Method: Least Squares Stationary байна.

Date: 10/27/22 Time: 19:10

Sample (adjusted): 2012 2021 Гранжерийн тест шалгуураар

шалгаж үзэхэд EMP нь EDUC -ийн
Included observations: 10 after adjustments учир шалтгааны тест болж чадахгүй
байна. EDUC нь EMP-д мөн адил

Variable Coefficient Std. Error t-Statistic Prob. GDI нь educ -н учир шалтгааны тест
болж чадахгүй байна.

Gdi нь мөн адил EMP -н учир

GDI(-1) -0.727693 0.183358 -3.968709 0.0041
шалтгааны тест болж чадахгүй
C 0.007809 0.028607 0.272977 0.7918

R-squared 0.663167 Mean dependent var -0.029697

Adjusted R-squared 0.621063 S.D. dependent var 0.138706

S.E. of regression 0.085384 Akaike info criterion -1.906456

Sum squared resid 0.058324 Schwarz criterion -1.845939

Log likelihood 11.53228 Hannan-Quinn criter. -1.972843

F-statistic 15.75065 Durbin-Watson stat 1.745844

Prob(F-statistic) 0.004126

GDI хувьсагчийн хувьд тогтвортой эсэхийг шалгахад p-value буюу

магадлалын түвшин нь критик утга буюу 0.05 -аас бага байгаа нь
байна

Дээрх графикууд нь EDUC, EMP, GDI хувьсагчдын нэгэндээ нөлөөлж буй нөлөөллийг харуулж
байна.
2. Var загвар

Vector Autoregression Estimates

Date: 10/21/22 Time: 10:36
Sample (adjusted): 2013 2021
Included observations: 9 after adjustments
Standard errors in ( ) & t-statistics in [ ]

EDUC EMP GDI

EDUC(-1) -0.643376 0.221731 -0.784584

(0.66151) (0.41734) (0.70883)
[-0.97258] [ 0.53130] [-1.10687]

EDUC(-2) -0.375828 0.078975 -1.871704

(0.66083) (0.41691) (0.70810)
[-0.56872] [ 0.18943] [-2.64329]

EMP(-1) -0.130162 -1.134213 2.635334

(1.21636) (0.76738) (1.30337)
[-0.10701] [-1.47802] [ 2.02193]

EMP(-2) -1.070008 -0.847289 -0.702608

(1.37617) (0.86821) (1.47461)
 [-0.77752] [-0.97591] [-0.47647]

GDI(-1) 0.165957 0.212078 0.426121

(0.37512) (0.23666) (0.40195)
[ 0.44241] [ 0.89614] [ 1.06013]

GDI(-2) 0.209143 -0.014637 0.070663

(0.16677) (0.10521) (0.17869)
[ 1.25412] [-0.13912] [ 0.39544]

C -0.051931 -0.016340 -0.027907

(0.02807) (0.01771) (0.03008)
[-1.84995] [-0.92267] [-0.92778]

R-squared 0.554103 0.576746 0.898943

Adj. R-squared -0.783586 -0.693014 0.595770
Sum sq. resids 0.004783 0.001904 0.005492
S.E. equation 0.048904 0.030853 0.052402
F-statistic 0.414224 0.454217 2.965121
Log likelihood 21.15895 25.30465 20.53714
Akaike AIC -3.146433 -4.067700 -3.008254
Schwarz SC -2.993036 -3.914303 -2.854857
Mean dependent -0.017496 -0.011742 0.006915
S.D. dependent 0.036618 0.023712 0.082421

Determinant resid covariance (dof adj.) 0.000000

Determinant resid covariance 0.000000

Дээрх графикаас харахад educ -н хожимдлын 2 зэрэг нь GDI-д урвуугаар нөлөөлж байна.

EMP-н хожимдлын нэг утга нь GDI-нь эерэгээр нөлөөлж байна, Бусад хувьсагчдын хувьд нэгэндээ
нөлөөлж буй нөлөөлөл ажиглагдахгүй байна.