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ADF(1) -4.3430 104.2242 100.2242 96.7018 98.9253 -3.5162
ADF(2) -4.4927 102.9620 97.9620 93.6178 96.3697 -3.5189
ADF(3) -3.8632 100.3364 94.3364 89.1957 92.4644 -3.5217
ADF(4) -3.1073 97.9768 90.9768 85.0657 88.8395 -3.5247
ADF(5) -2.4519 95.0960 87.0960 80.4417 84.7085 -3.5279
ADF(6) -1.8184 92.8875 83.8875 76.5183 81.2656 -3.5313
ADF(7) -1.6973 90.0977 80.0977 72.0431 77.2581 -3.5348
ADF(8) -1.4126 89.5317 78.5317 69.8224 75.4919 -3.5386
ADF(9) -1.5063 87.6459 75.6459 66.3138 72.4245 -3.5426
ADF(10) -1.6478 86.7042 73.7042 63.7829 70.3208 -3.5468
ADF(11) -3.5543 95.2647 81.2647 70.7892 77.7400 -3.5514
ADF(12) -3.4517 93.1690 78.1690 67.1760 74.5251 -3.5562
56 N a r o d o w y B a n k P o l s k i
Aneks II
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej LKREOG
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -2.1688 115.4141 112.4141 109.7379 111.4217 -3.5136
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ADF(1) -1.5191 114.6037 110.6037 107.0813 109.3047 -3.5162
ADF(2) -1.3382 111.6349 106.6349 102.2908 105.0426 -3.5189
ADF(3) -1.2059 109.0732 103.0732 97.9325 101.2012 -3.5217
ADF(4) -1.3030 107.0214 100.0214 94.1104 97.8842 -3.5247
ADF(5) -1.0398 104.1821 96.1821 89.5278 93.7946 -3.5279
ADF(6) -.88569 101.4101 92.4101 85.0410 89.7883 -3.5313
ADF(7) -1.0097 98.5173 88.5173 80.4627 85.6777 -3.5348
ADF(8) -1.1826 96.0642 85.0642 76.3549 82.0244 -3.5386
ADF(9) -1.3669 93.5398 81.5398 72.2077 78.3184 -3.5426
ADF(10) -1.1943 90.5965 77.5965 67.6752 74.2131 -3.5468
ADF(11) -2.4170 92.0476 78.0476 67.5720 74.5229 -3.5514
ADF(12) .089269 97.1746 82.1746 71.1816 78.5307 -3.5562
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej DLKREOG
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -9.4232 113.3678 110.3678 107.7260 109.3935 -3.5162
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ADF(1) -5.8799 110.6424 106.6424 103.1671 105.3686 -3.5189
ADF(2) -4.9667 108.2386 103.2386 98.9547 101.6787 -3.5217
ADF(3) -4.3364 106.0181 100.0181 94.9514 98.1861 -3.5247
ADF(4) -3.7022 103.5135 96.5135 90.6911 94.4245 -3.5279
ADF(5) -3.4046 100.9030 92.9030 86.3527 90.5725 -3.5313
ADF(6) -2.7803 97.8317 88.8317 81.5826 86.2760 -3.5348
ADF(7) -2.5365 95.0845 85.0845 77.1669 82.3210 -3.5386
ADF(8) -2.2655 92.1730 81.1730 72.6186 78.2200 -3.5426
ADF(9) -2.2597 89.4793 77.4793 68.3211 74.3561 -3.5468
ADF(10) -1.3710 87.6240 74.6240 64.8967 71.3511 -3.5514
ADF(11) -2.5959 97.1671 83.1671 72.9069 79.7661 -3.5562
ADF(12) -2.6246 94.6496 79.6496 68.8947 76.1437 -3.5615
8
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej LKREPG
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -2.1621 147.3599 144.3599 141.6836 143.3674 -3.5136
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ADF(1) -2.1875 144.1671 140.1671 136.6447 138.8681 -3.5162
ADF(2) -2.0094 140.4082 135.4082 131.0640 133.8159 -3.5189
ADF(3) -1.8995 137.1527 131.1527 126.0120 129.2808 -3.5217
ADF(4) -2.6367 138.1185 131.1185 125.2074 128.9812 -3.5247
ADF(5) -2.3962 134.2102 126.2102 119.5560 123.8228 -3.5279
ADF(6) -2.3822 130.5888 121.5888 114.2197 118.9670 -3.5313
ADF(7) -2.4970 128.5176 118.5176 110.4630 115.6780 -3.5348
ADF(8) -3.1807 127.2050 116.2050 107.4956 113.1652 -3.5386
ADF(9) -2.5967 125.3494 113.3494 104.0173 110.1280 -3.5426
ADF(10) -2.5172 125.2006 112.2006 102.2793 108.8171 -3.5468
ADF(11) -2.3743 121.4743 107.4743 96.9988 103.9496 -3.5514
ADF(12) -1.9471 121.0944 106.0944 95.1014 102.4506 -3.5562
MATERIA¸Y I STUDIA ZESZYT 148 57
Aneks II
Test ADF na obecnoÊç pierwiastka jednostkowego dla zmiennej DLKREPG
Statystyka LL AIC SBC HQC WartoÊç krytyczna
testu testu
D F -7.2697 141.6788 138.6788 136.0370 137.7046 -3.5162
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ADF(1) -4.6000 138.2332 134.2332 130.7578 132.9593 -3.5189
ADF(2) -4.3095 135.1414 130.1414 125.8575 128.5814 -3.5217
ADF(3) -4.4397 134.2949 128.2949 123.2283 126.4630 -3.5247
ADF(4) -3.3010 130.8966 123.8966 118.0741 121.8075 -3.5279
ADF(5) -2.4837 127.1933 119.1933 112.6429 116.8627 -3.5313
ADF(6) -2.8721 124.6740 115.6740 108.4248 113.1183 -3.5348
ADF(7) -2.6332 121.0884 111.0884 103.1708 108.3249 -3.5386
ADF(8) -1.2464 120.8503 109.8503 101.2959 106.8973 -3.5426
ADF(9) -2.2687 120.7178 108.7178 99.5596 105.5946 -3.5468
ADF(10) -1.6276 117.1874 104.1874 94.4601 100.9145 -3.5514
ADF(11) -2.7082 117.8733 103.8733 93.6131 100.4723 -3.5562
ADF(12) -2.0314 113.8392 98.8392 88.0843 95.3333 -3.5615
PoniÝsze wyniki estymacji dotyczà równa’ 5.5 5.8 z rozdzia"u piàtego tej pracy. Opis nie zosta"
przet"umaczony na j´zyk polski w zwiàzku z brakiem odpowiednich wzorców. Wybór parametrów es-
tymacji pozwala na uzyskanie zgodnych oszacowa’ parametrów dla heteroskedastycznoÊci i autokore-
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