منابع
الف- فارسی
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ب- لاتین
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پیوست
جدول(1): نتایج برآورد شاخص فشار پول با روش الگوی ساده چرخشی مارکف
LogL: MARKOVSWITCHING
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Method: Maximum Likelihood (Marquardt)
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Date: 01/22/10 Time: 17:05
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Sample: 1350M02 1387M12
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Included observations: 455
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Evaluation order: By observation
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Estimation settings: tol= 0.00010, derivs=accurate numeric
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Convergence achieved after 110 iterations
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Coefficient
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Std. Error
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z-Statistic
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Prob.
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PR(1)
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0.960067
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0.346120
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2.773794
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0.0055
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PR(2)
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2.729704
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0.320845
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8.507863
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0.0000
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BETA(1)
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1.78E-05
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0.034280
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0.000519
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0.9996
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BETA(2)
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0.744214
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0.482974
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1.540898
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0.1233
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SIGMA(1)
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0.603502
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0.024420
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24.71345
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0.0000
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SIGMA(2)
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2.954647
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0.131309
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22.50156
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0.0000
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Log likelihood
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-617.1469
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Akaike info criterion
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2.739107
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Avg. log likelihood
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-1.356367
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Schwarz criterion
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2.793441
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Number of Coefs.
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6
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Hannan-Quinn criter.
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2.760512
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جدول(2): نتایج برآورد شاخص فشار پول با روش الگوی گارچ چرخشی مارکف
LogL: MARKOVSWITCHING
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Method: Maximum Likelihood (Marquardt)
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Date: 01/22/10 Time: 18:29
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Sample: 1350M03 1387M12
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Included observations: 454
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Evaluation order: By observation
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Estimation settings: tol= 0.00010, derivs=accurate numeric
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Convergence achieved after 82 iterations
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Coefficient
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Std. Error
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z-Statistic
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Prob.
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PR(1)
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1.213824
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1.36E-06
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889830.5
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0.0000
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PR(2)
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0.112407
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0.001365
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82.35698
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0.0000
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WPSI(1)
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-5.583576
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355.7464
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-0.015695
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0.9875
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WPSI(2)
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10.70267
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4826.896
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0.002217
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0.9982
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APSI(1)
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1.083549
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3.300179
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0.328330
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0.7427
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APSI(2)
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2.905017
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3.100100
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0.937072
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0.3487
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BPSI(1)
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0.954965
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0.316488
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3.017385
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0.0025
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BPSI(2)
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-4.523723
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23.31863
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-0.193996
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0.8462
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ALPHA(1)
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0.010065
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0.100606
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0.100042
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0.9203
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BETA(1)
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-0.072240
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0.125442
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-0.575882
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0.5647
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ALPHA(2)
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0.111228
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0.189831
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0.585931
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0.5579
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BETA(2)
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-0.408280
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0.177186
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-2.304243
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0.0212
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Log likelihood
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-758.1357
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Akaike info criterion
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3.392668
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Avg. log likelihood
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-1.669902
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Schwarz criterion
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3.501517
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Number of Coefs.
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12
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Hannan-Quinn criter.
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3.435554
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)
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