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34

(HSD)
(GDP)
(M3)
2
unit root
Least square

1. unit root



(Spurious
Regression) R2 Durbin Watson
(DW) Statistic High Level of Auto correlate Residuals


(unit root test) Augmented Dickey-Fuller
Test Level First different (CPI),
(GDP), (HSD) (M3)
4.1

35
4.1 Augmented Dickey-Fuller (ADF-test)

Unit Root Test

No trend

Trend

CPI
GDP
HSD
M3

-0.040035
0.050348
-1.343827
2.689058

-2.543204
-3.465573
-2.690300
-0.774548

DCPI
DGDP
DHSD
DM3

-4.873278 *
-5.610704 *
-4.734441 *
-4.508415 *

-4.835124 *
-5.547699 *
-4.668299 *
-5.475531*

* 5 %
unit root 4.1
(CPI), (GDP), (HSD) (M3)
5 %
1 (First difference) unit root
(stationary) 5 %

2. Least square

(CPIt)
CPI = a1 HSD + a2 GDP + a3 M3 + a0

36

CPI
GDP
HSD
M3

= (CPI) 2550
= 2550 ()
= (/)
= ()

,


CPI = 0.245297 HSD + 0.000005 GDP + 0.000001 M3 + 0.217347
(8.154815)* (3.748718)*
(1.512942) (3.130242)
R-Squared (R2 )
2
Adjusted R-Squared (R )
F-statistic
Durbin-Watson Stat (D.W.)

=
=
=
=

0.750186
0.728774
35.03480
1.964014

: t-statistics
* 5%
(HSD)
(GDP) (M3)
(CPI) 75.02
R-Squared (R2) 0.750186
75.02
1. (HSDt) t-Statistic
8.154815 Probability 0.0000
(CPIt )
95% 1

37
0.245297


2. (GDP) t-Statistic
3.748718 Probability 0.0006
(GDP) (CPI)
1
0.000005
3. (M3) t-Statistic 1.640827
Probability 0.1101 (M3)
(M3)
M3

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