Elemente de corectri (Curba Phillips)

I-ma parte: Curbele inflaie-omaj

1. Reprezentarea graficului

14

14

12

12
10
INFUSA

INFFRA

10
8
6

8
6
4

0
2

CHOFRA

CHOUSA

Iat reprezentrile grafice ale relaiei inflaie-omaj pentru Frana i Statele Unite.
Putem s ne gndim c este prea dificil de a gsi o relaie simplificativ pentru dou ri ntre
omaj i inflaie la o dat deoarece cele dou curbe sunt prea instabile.
2. Estimaia
2.1

Frana

Estimm dup relaia unei constante

ntre nivelul inflaiei i de cursul omajului
ntrziat. E de ajuns s ptrundem n spaiul calcului din Eviews :
Ls inffra c chofra(-1)
Rezultatele obinute sunt urmtoarele (q2frar) :
Tabelul 1
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/07/00 Time: 11:39
Sample(adjusted): 1965 1997
Included observations: 33 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
8.918367
1.304888
6.834582
CHOFRA(-1)
-0.442073
0.173685 -2.545262
R-squared
0.172856 Mean dependent var
Adjusted R-squared
0.146174 S.D. dependent var
S.E. of regression
3.668991 Akaike info criterion
Sum squared resid
417.3064 Schwarz criterion

Prob.
0.0000
0.0161
6.022121
3.970653
5.496402
5.587100

Log likelihood
Durbin-Watson stat

-88.69064
0.233211

F-statistic
Prob(F-statistic)

6.478359
0.016113

Obinem urmtoarea relaie : inffra = 8.918 0.442*choffra(-1)

Remarcm c probabilitatea critic a variabilei chaffra (-1) este inferioar de 5%, deci
cursul omajului ntrziat este o variabil semnificativ. Mai constatm c regresia este global
semnificativ de aceea probabilitatea critic a lui Fisher este inferioar de 5%.
Estimm acum relaia ntre inflaie i cursul omajului contemporan. Obinem
ptrunznd n Eviews:
Ls inffra c chofra (q2fra)
Tabelul 2
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/07/00 Time: 11:50
Sample: 1964 1997
Included observations: 34
Variable
Coefficient
C
8.273400
CHOFRA
-0.345105
R-squared
0.112224
Adjusted R-squared
0.084481
S.E. of regression
3.761589
Sum squared resid
452.7857
Log likelihood
-92.25790
Durbin-Watson stat
0.217186

Std. Error
t-Statistic
1.322230
6.257158
0.171588
-2.011250
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0000
0.0528
5.952059
3.931313
5.544582
5.634368
4.045125
0.052786

n acest caz, trebuia de remarcat c trebuia de luat cursul omajului contemporan nu este
la fel semnificativ. In efect probabilitatea critic este uor mai superioar de 5%, dar rmne
la fel acceptabil.
2.2. Statele Unite
Procedm ca i n cazul Franei, ptrundem n Eviews:
Ls infusa c chousa(-1) (q2usar)
Tabelul 3
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/07/00 Time: 12:01
Sample(adjusted): 1965 1997
Included observations: 33 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
5.718162
2.147358
2.662883
CHOUSA(-1)
-0.093347
0.343655 -0.271629
R-squared
0.002374 Mean dependent var
Adjusted R-squared
-0.029807 S.D. dependent var
S.E. of regression
3.002977 Akaike info criterion
Sum squared resid
279.5540 Schwarz criterion
Log likelihood
-82.08032 F-statistic
Durbin-Watson stat
0.421963 Prob(F-statistic)

Et ls infusa c chousa

Prob.
0.0122
0.7877
5.152424
2.959199
5.095777
5.186475
0.073783
0.787708

(q2usa)

Tabelul 4
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/07/00 Time: 12:03
Sample: 1964 1997
Included observations: 34
Variable
Coefficient
C
2.329524
CHOUSA
0.449518
R-squared
0.053240
Adjusted R-squared
0.023654
S.E. of regression
2.953178
Sum squared resid
279.0803
Log likelihood
-84.03127
Durbin-Watson stat
0.525849

Std. Error
t-Statistic
2.082007
1.118884
0.335099
1.341446
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.2715
0.1892
5.038529
2.988737
5.060663
5.150449
1.799477
0.189219

Remarcm c nici cursul omajului ntrziat, nici cursul omajului contemporan sunt
semnificative, deoarece probabilitile lor critice sunt superioare de 5%.
Noi putem, deci conclude c luarea omajului ntrziat sau omajului contemporan nu
schimb semnificativ rezultatele.
3. Examinarea rezultatelor
Iat reprezentarea grafic a rezultatelor relaiei inflaie-omaj ntrziat pentru Frana i
pentru Statele Unite. Plecnd de la aceste 2 grafice putem presupune prezena autocorelaiei
pozitive a rezultatelor deoarece va prea c rezultatele .. de o dinamic ciclic.
In ceea ce privete punctele .(aberants?) apar rezultatele ndeprtate pentru
anii 1974 i 1981 pentru Frana ca i pentru Statele Unite, rezultatele sunt ndeprtate pentru
anii 1974 i 1980.

Frana

SUA
Residual Plot

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Residual Plot
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4. Testele de autocorelaia erorilor

4.1. Frana
Este posibil de aplicat testul Durbin i Watson n relaia dintre inflaie i cursul
omajului ntrziat deoarece numrul observaiilor este superior de 15, variabile a explicat nu
figura printre variabile explicative i modelul este specificat n serii temporale.
Statistica lui Durbin i Watson a tabelului 1 este egal cu 0,233211. Sau cnd citim pe
tabl de Durbin i Watson pentru 33 observri i o variabil explicativ, gsim c d 1=1,38 i
d2=1,51. Statistica lui Durbin i Watson n acest caz este inferioar de d 1, putem, deci
conclude la o corelaie pozitiv de erori.
Este egal posibil de a face un test reprogramat de Eviews. Asta avem fcnd testul
Breusch-Godfrey.
Ideea general a acestui test rezult din precutarea unei relaii semnificative ntre
rezultatul i ceea ce a rezultat.

Efectum testul lui Breusch-Godfrey :

Breusch-Godfrey Serial Correlation LM Test:
F-statistic
73.24807 Probability
Obs*R-squared
23.41144 Probability

0.000000
0.000001

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 05/09/00 Time: 22:06
Variable
Coefficient
C
0.331977
CHOFRA(-1)
-0.059520
RESID(-1)
0.849859
R-squared
0.709438
Adjusted R-squared
0.690067
S.E. of regression
2.010419
Sum squared resid
121.2535
Log likelihood
-68.29767
Durbin-Watson stat
1.497028

Prob.
0.6463
0.5375
0.0000
1.17E-15
3.611208
4.321071
4.457117
36.62404
0.000000

Std. Error
t-Statistic
0.716063
0.463613
0.095424 -0.623739
0.099300
8.558509
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Respingem ipoteza absenei a autocorelaiei, deoarece probabilitatea critic de fischer

este inferioar de 5%.
4.2. Statele Unite
Statistica Durbin i Watson este aici egal cu 0,421963. Ins d1 i d2 au aceleai valori ca
i pentru Frana, deci precum statistica lui Durbin i Watson este inferioar de d1, putem
conclude la o autocorelaie de erori
Testul lui Breush-Godfrey
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
48.13823 Probability
Obs*R-squared
20.33014 Probability

0.000000
0.000007

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 05/09/00 Time: 22:12
Variable
Coefficient
C
2.104179
CHOUSA(-1)
-0.358629
RESID(-1)
0.818833
R-squared
0.616065
Adjusted R-squared
0.590469
S.E. of regression
1.891477
Sum squared resid
107.3306
Log likelihood
-66.28517
Durbin-Watson stat
1.323774

Prob.
0.1395
0.1175
0.0000
7.27E-16
2.955683
4.199101
4.335147
24.06911
0.000001

Std. Error
t-Statistic
1.386135
1.518019
0.222543
-1.611504
0.118019
6.938172
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Respingem ipoteza absenei autocorelaiei deoarece probabilitatea critic de fisher este

inferioar de 5%. Putem, deci conclude la o autocorelaie de erori pozitive.

II Curbele Phillips originale (fr anticipaia inflaiei) avnd i

autocorelaia rezultatelor i ocul negativ a ofertei (ocuri petroliere
1974 i 1980)
6. Estimaia curbei Phillips fr autocorelaia reziduurilor
Sistemul urmtor:
t = .(-ut-1)
t = - -1. t
p t =c. +
t

(1)
(2)
(3)

Replasnd n expresia (3) t et t de relaiile (2) et (3), gsim c:

p t = c.( - -1. ) + .(-u )
t
t-1
p t = - -1.c. (u -u ) + .(-u ) deci
t
t-1
t-1

Deci pt = - -1.c. ut ( + -1.c) u t-1 + .

Estimm aceast ecuaie cu ajutorul Eviews-lui.
6.1 Frana
Ptrundem n zona de comand: ls inffra c chofra chofra(-1) i obinem (q6fra) :
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/07/00 Time: 17:37
Sample(adjusted): 1965 1997
Included observations: 33 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
8.195813
1.341090
6.111305
CHOFRA
1.978700
1.187570
1.666176
CHOFRA(-1)
-2.412074
1.194353 -2.019565
R-squared
0.242915 Mean dependent var
Adjusted R-squared
0.192443 S.D. dependent var
S.E. of regression
3.568195 Akaike info criterion
Sum squared resid
381.9605 Schwarz criterion
Log likelihood
-87.23033 F-statistic
Durbin-Watson stat
0.436616 Prob(F-statistic)

Prob.
0.0000
0.1061
0.0524
6.022121
3.970653
5.468505
5.604551
4.812839
0.015388

Obinem relaia urmtoare: pt= 1.978*ut- 2.412 *u t-1 + 8.195

Remarcm c acest model este global specific deaorece probabilitatea critic de Fisher
este inferioar de 5%. In timpul c cele 2 variabile nu snt semnificative deoarece
probabilitile lor respective sunt superioare de 5%.
6.2.Statele Unite
Se apuc n zona de comand de acelai fel ls infusa c lucru (-1) i se obine (q6usa) :
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/07/00 Time: 17:45
Sample(adjusted): 1965 1997
Included observations: 33 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
4.123759
2.073971
1.988340
CHOUSA
1.363228
0.533217
2.556610
CHOUSA(-1)
-1.192817
0.533991 -2.233777
R-squared
0.180847 Mean dependent var
Adjusted R-squared
0.126237 S.D. dependent var
S.E. of regression
2.766119 Akaike info criterion
Sum squared resid
229.5425 Schwarz criterion
Log likelihood
-78.82805 F-statistic
Durbin-Watson stat
0.683192 Prob(F-statistic)

Prob.
0.0560
0.0159
0.0331
5.152424
2.959199
4.959276
5.095322
3.311606
0.050173

Se obine ecuaia urmtoare : pt= 1.363*ut- 1.192 *u t-1 + 4.123

n ceea ce se refer Statelor Unite, acest model e mai adaptat dect cele 2 precedente,
deoarece 2 variabile (omajul i omajul ntrziat) sunt semnificative. Probabilitatea critic
Fisher este aproape egal la 5%, ceea ce arat c modelul e bine specificat
7. Luarea n numr autocorelaia reziduurilor.
7.1 Frana
Se ocup n zona de comand: ls inffra c chofra chofra(-1) dum ar(1) i obinem :
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/07/00 Time: 17:59
Sample(adjusted): 1966 1997
Included observations: 32 after adjusting endpoints
Convergence achieved after 25 iterations
Variable
Coefficient
Std. Error
t-Statistic
C
15.14060
6.269402
2.414999
CHOFRA
-0.254229
0.522127 -0.486910
CHOFRA(-1)
-0.788179
0.495101 -1.591958
DUM
2.674737
0.797477
3.354000
AR(1)
0.866577
0.081842
10.58842
R-squared
0.888675 Mean dependent var
Adjusted R-squared
0.872182 S.D. dependent var
S.E. of regression
1.422161 Akaike info criterion
Sum squared resid
54.60861 Schwarz criterion
Log likelihood
-53.95732 F-statistic
Durbin-Watson stat
1.791241 Prob(F-statistic)
Inverted AR Roots
.87

Prob.
0.0228
0.6303
0.1230
0.0024
0.0000
6.137187
3.977895
3.684833
3.913854
53.88326
0.000000

Se constat n acest model c omajele ntrziate i contemporane nu sunt semnificative,

dar regresia este global semnificativ
7.2. Statele Unite
Se ocupls infusa c chousa chousa(-1) dum ar(1) i obinem :
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/07/00 Time: 17:52
Sample(adjusted): 1966 1997
Included observations: 32 after adjusting endpoints
Convergence achieved after 9 iterations
Variable
Coefficient
Std. Error
t-Statistic
C
12.66870
3.475067
3.645597
CHOUSA
-0.221311
0.292094 -0.757670
CHOUSA(-1)
-0.963667
0.296656 -3.248427
DUM
2.293875
0.767918
2.987137
AR(1)
0.895121
0.086378
10.36288
R-squared
0.801747 Mean dependent var
Adjusted R-squared
0.772377 S.D. dependent var
S.E. of regression
1.402421 Akaike info criterion
Sum squared resid
53.10321 Schwarz criterion
Log likelihood
-53.51005 F-statistic
Durbin-Watson stat
1.552390 Prob(F-statistic)
Inverted AR Roots
.90

Prob.
0.0011
0.4552
0.0031
0.0059
0.0000
5.260625
2.939478
3.656878
3.885900
27.29748
0.000000

Se remarc c n acest caz, variabilele dummy i omajul contemporan nu sunt

semnificative chiar dac omajul contemporan era n modelele precedente (nu ndreapt
corelaiile reziduurilor i punctele aberante). Totui, relaia global semnificativ
8. Analiza regresiei cnd s-a ndreptat corelaia reziduurilor
Frana
Residual Plot
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SUA
Residual Plot
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Se vede c reziduurile nu urmeaz un ciclu cum se fceau mai nainte, adic se poate
rezolva prin a avea ridicat autocorelaia reziduurilor.

III: Curbele Phillips argumente anticipate inflaiei

9. Estimarea modelului
Se caut acum la estimarea modelului urmtor :
t = t + .(-ut-1) (1)
t = - -1. t
(2)
p t =c. +
(3)
t
t
t
p
p
t = ( -1 -2 ) (4)
Procednd n acela fel pentru momentul precedent, se gsete relaia urmtoare ::

deci pt = - -1.c. ut ( + -1.c) u t-1 + (( pt -1 pt -2 )+.

9.1. Frana
Pentru a estima acest model fr ajustarea corelaia reziduurilor, se introfduce n zona
de comand : ls infra c chofra chofra(-1) inffra(-1) dum (q9fra)
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/07/00 Time: 19:41
Sample(adjusted): 1965 1997
Included observations: 33 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
1.663308
0.625929
2.657345
CHOFRA
-0.360813
0.439505 -0.820953
CHOFRA(-1)
0.225252
0.448785
0.501916
INFFRA(-1)
0.831080
0.063433
13.10170
DUM
4.995335
0.898138
5.561881
R-squared
0.921603 Mean dependent var
Adjusted R-squared
0.910404 S.D. dependent var
S.E. of regression
1.188522 Akaike info criterion
Sum squared resid
39.55237 Schwarz criterion
Log likelihood
-49.81342 F-statistic
Durbin-Watson stat
2.195938 Prob(F-statistic)

Prob.
0.0129
0.4186
0.6197
0.0000
0.0000
6.022121
3.970653
3.322025
3.548769
82.28930
0.000000

Se remarc c modelul e semnificativ deoarece probabilitatea Fisher e inferioar la 5%.

n revan se remarc c variabilele choffra et choffra(-1) nu sunt semnificative.
Se poate calcula un test durbin-h la cazul prezent unei variabile ntrziate.
Se pune H0 : h=0

H1 : h diferit de 0
sau =1- 0.5*DW deci = -0.095

Or

n
1 n a21

Deci h = 0.58
Sau Student lu pentru 33 la pargul de 5% e egal cu 1.96 se deduce c se accept H0 ;
deci nu are autocorelaia erorilor.
9.2. Statele Unite
Se introduce n zonele de calcul : ls c chousa chousa(-1) infusa(-1) dum (q9usa) i
obinem:
C
CHOUSA
CHOUSA(-1)
INFUSA(-1)
DUM
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

3.704137
-1.025115
0.442910
0.916993
4.630472
0.836388
0.813015
1.279608
45.84714
-52.25026
2.047469

0.966380
3.833004
0.356171 -2.878159
0.295441
1.499151
0.115893
7.912443
1.005135
4.606815
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.0007
0.0076
0.1450
0.0000
0.0001
5.152424
2.959199
3.469713
3.696456
35.78426
0.000000

Se vede c modelul este semnificativ deoarece probabilitatea criteriului Fisher e

inferioar la 5%. n acest model unic preul omajului contemporan nu e semnificativ.
Se poate egala la efectuarea testului Durbin-h. Se gsete c h = 0.1798 care e foarte
inferior la 1.96. Se poate deci rezolva care nu are autocorelaia erorilor.
10. Testul Chow
10.1 Frana
Se efectueaz testul Chow cu date cheie 1983. Deci se divizeaz n dou serii.
Cum pentru a doua prioad matricea nlocuitoare este egal cu 0 i c n o poate
inversa : se reine pentru dou perioade..
Se scrie n zona de comand :
Ls inffra c chofra chofra(-1) inffra(-1) (q10fra)
i obinem modelul global :
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/16/00 Time: 22:56
Sample: 1965 1997
Included observations: 33
Variable
Coefficient
C
1.835830
CHOFRA
-0.679397

Std. Error
0.891203
0.621198

t-Statistic
2.059946
-1.093689

Prob.
0.0485
0.2831

10

CHOFRA(-1)
INFFRA(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.513124
0.903039
0.834990
0.817920
1.694311
83.25000
-62.09309
1.756427

0.635501
0.807431
0.088527
10.20075
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.4260
0.0000
6.022121
3.970653
4.005642
4.187037
48.91563
0.000000

Deci SCR=83.25
Se obine pentru prima subperioad :
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/16/00 Time: 22:52
Sample: 1965 1983
Included observations: 19
Variable
Coefficient
C
1.555469
CHOFRA
-1.123642
CHOFRA(-1)
1.187118
INFFRA(-1)
0.863920
R-squared
0.726556
Adjusted R-squared
0.671867
S.E. of regression
2.160811
Sum squared resid
70.03655
Log likelihood
-39.35332
Durbin-Watson stat
1.632930

(q10fra1)

Std. Error
t-Statistic
1.172810
1.326275
1.710828 -0.656783
1.633565
0.726704
0.269510
3.205517
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.2046
0.5213
0.4786
0.0059
8.192632
3.772173
4.563508
4.762337
13.28525
0.000169

Deci SCR1= 70.03

Si pentru a doua subperioad :
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/15/00 Time: 12:38
Sample: 1984 1997
Included observations: 14
Variable
Coefficient
C
4.697807
CHOFRA
-0.238645
CHOFRA(-1)
-0.109270
INFFRA(-1)
0.559810
R-squared
0.864791
Adjusted R-squared
0.824228
S.E. of regression
0.711084
Sum squared resid
5.056411
Log likelihood
-12.73634
Durbin-Watson stat
2.554147

Std. Error
t-Statistic
2.598361
1.807989
0.310433 -0.768747
0.362999 -0.301020
0.118427
4.727035
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.1007
0.4598
0.7696
0.0008
3.076429
1.696080
2.390905
2.573493
21.31980
0.000115

Deci SCR2=5.056

11

SCR (SCR1 SCR 2)

dd ln
(SCR1 SCR 2)
ddld
F=

cu ddln=k+1=4 et ddld =n-2(k+1)=25

Deci F=0.68
Sau Fisher lu la 5% pentru 4 et 25 este egal la 2.76 deci nu e semnificativ a diviza
modelul n dou subperioade.
Se efectueaz acum testul cu funcia preprogramat n E-views.
Se obine n q10fratest resultatul care confirm aceasta ca s gsim precednetul,
deoarece Fisher e superior la 5%.
Chow Breakpoint Test: 1984
F-statistic
0.678912
0Log likelihood ratio
3.403003

Probability
Probability

0.613020
0.492779

10.2 Statele Unite

Se obine regresia asupra perioadei complete, introducnd n zona de calcul:
Ls infusa c chousa chousa(-1) infusa(-1)
(q10usa)
i se obine :
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/16/00 Time: 23:06
Sample: 1965 1997
Included observations: 33
Variable
Coefficient
C
4.234755
CHOUSA
-1.084197
CHOUSA(-1)
0.337317
INFUSA(-1)
1.063122
R-squared
0.712378
Adjusted R-squared
0.682624
S.E. of regression
1.667098
Sum squared resid
80.59722
Log likelihood
-61.55875
Durbin-Watson stat
1.606710

Std. Error
t-Statistic
1.250042
3.387689
0.463725 -2.338018
0.383746
0.879012
0.145221
7.320695
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0020
0.0265
0.3866
0.0000
5.152424
2.959199
3.973258
4.154653
23.94228
0.000000

Deci SCR=80.59
Se efectueaz regresiile asupra dou subperioade 1965-1980 et 1981-1997.
i se obine (q10usa1) et (q10usa2)
Prima subperioad
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/16/00 Time: 23:09
Sample: 1965 1980
Included observations: 16

12

Variable
C
CHOUSA
CHOUSA(-1)
INFUSA(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

Coefficient
4.618243
-1.600465
0.385802
1.499116
0.699483
0.624353
2.082619
52.04763
-32.13958
1.562543

Std. Error
t-Statistic
2.436567
1.895389
1.099615 -1.455478
0.655933
0.588174
0.413192
3.628136
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0824
0.1712
0.5673
0.0035
6.360625
3.397975
4.517448
4.710595
9.310384
0.001861

SCR1 = 52.04
S-a nlat variabila dum deoarece ocul n 1980 i pentru a doua subperioad a matricei
nu va fi inversibil.
Pentru a doua subperioad, se obine :
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/15/00 Time: 13:01
Sample: 1981 1997
Included observations: 17
Variable
Coefficient
C
3.472256
CHOUSA
-0.974125
CHOUSA(-1)
0.494171
INFUSA(-1)
0.786177
R-squared
0.871446
Adjusted R-squared
0.841780
S.E. of regression
0.781034
Sum squared resid
7.930186
Log likelihood
-17.64039
Durbin-Watson stat
1.986943

Std. Error
t-Statistic
1.074556
3.231341
0.311533 -3.126879
0.273291
1.808224
0.092687
8.482014
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0066
0.0080
0.0938
0.0000
4.015294
1.963540
2.545928
2.741979
29.37507
0.000005

Se are SCR2=7.93
Se calculeaz acelai fel Fisher i se obine o valoare de 2.14
Sau Fisher lu n tabel e asemntor ca pentru Frana, deci se accept ipoteza c a diviza
modelul n dou subperioade ne ameliorat semnificativ modelul.
Chow Breakpoint Test: 1981
F-statistic
2.148648
Log likelihood ratio
9.751148

Probability
Probability

0.104452
0.044835

11. Phi
Se construiete seria :

13

phi p t t dum
or
t p t 1
donc
phi p t p t 1 dum
Iat reprezentaiile grafice pentru Statele Unite i Frana a relaiei ntre omaj i phi.
Totui se gsete o relaie mai semnificativ, dac se ia omajul ntrziat.
Se remarc tendina curbei Franei la pant mai puin important ca acea a Statelor
Unite.Deci ne permitem emiterea ipotezei unei politici dezinflaioniste mai puin negative la
SUA ca n Frana. Se poate n rezolvarea unei politici dezinflaioniste e mai scump n
termenii omajului n Frana ca la SUA.
12 Metoda TSLS
Se poate efectua metoda TSLS cu un omaj ntrziat de 4 perioade deoarece numrul
regresiilor este egal cu 5 i se obine tanelele urmtoare:

Pour la France
Dependent Variable: INFFRA
Method: Least Squares
Date: 05/16/00 Time: 23:54
Sample(adjusted): 1968 1997
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
10.73346
1.361988
7.880724
CHOFRA(-1)
0.586366
1.124184
0.521592
CHOFRA(-2)
-0.810837
1.865376 -0.434678
CHOFRA(-3)
0.584617
2.017494
0.289774
CHOFRA(-4)
-1.133402
1.265536 -0.895591
R-squared
0.451718 Mean dependent var
Adjusted R-squared
0.363992 S.D. dependent var
S.E. of regression
3.200488 Akaike info criterion
Sum squared resid
256.0781 Schwarz criterion
Log likelihood
-74.73243 F-statistic
Durbin-Watson stat
0.428976 Prob(F-statistic)

Prob.
0.0000
0.6065
0.6675
0.7744
0.3790
6.358333
4.013147
5.315496
5.549028
5.149236
0.003632

Se observ c relaia e global bine specificat i c variabilele explicative nu sunt

semnificative.
Pentru SUA
n acest caz se remarc c modelul e bine specificat i c variabilele explicative nu mai
sunt semnificative.
Dependent Variable: INFUSA
Method: Least Squares
Date: 05/16/00 Time: 23:56

14

Sample(adjusted): 1968 1997

Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
7.085621
2.919175
2.427268
CHOUSA(-1)
-0.256328
0.705819 -0.363165
CHOUSA(-2)
-0.196235
1.050882 -0.186734
CHOUSA(-3)
0.168283
1.049058
0.160413
CHOUSA(-4)
0.018138
0.677453
0.026773
R-squared
0.030398 Mean dependent var
Adjusted R-squared
-0.124738 S.D. dependent var
S.E. of regression
3.148271 Akaike info criterion
Sum squared resid
247.7902 Schwarz criterion
Log likelihood
-74.23893 F-statistic
Durbin-Watson stat
0.409428 Prob(F-statistic)

Prob.
0.0228
0.7195
0.8534
0.8738
0.9789
5.420667
2.968564
5.282595
5.516128
0.195947
0.938187

Soluia ar fi estimat ecuaiilor diagramei de faze.

15