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