Двухшаговый метод наименьших квадратов (2мнк)
1 шаг.Оценка параметров.
Y = 8760,66 - 28131,2*_Tr + 27,5281*lag(P;1) - 1,00714*G
Multiple Regression Analysis
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Dependent variable: Y
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Standard T
Parameter Estimate Error Statistic P-Value
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CONSTANT 8760,66 2096,9 4,17791 0,0003
_Tr -28131,2 7823,78 -3,5956 0,0014
lag(P;1) 27,5281 3,71659 7,40681 0,0000
G -1,00714 0,909357 -1,10753 0,2786
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 3,00357E7 3 1,00119E7 439,62 0,0000
Residual 569355,0 25 22774,2
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Total (Corr.) 3,06051E7 28
R-squared = 98,1397 percent
R-squared (adjusted for d.f.) = 97,9164 percent
Standard Error of Est. = 150,911
Mean absolute error = 116,204
Durbin-Watson statistic = 1,4695
C = 6024,69 - 0,700658*G - 19896,3*_Tr + 18,6762*lag(P;1)
Multiple Regression Analysis
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Dependent variable: C
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Standard T
Parameter Estimate Error Statistic P-Value
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CONSTANT 6024,69 1535,12 3,92457 0,0006
G -0,700658 0,66573 -1,05246 0,3027
_Tr -19896,3 5727,71 -3,4737 0,0019
lag(P;1) 18,6762 2,72088 6,86402 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 1,39117E7 3 4,63725E6 379,92 0,0000
Residual 305148,0 25 12205,9
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Total (Corr.) 1,42169E7 28
R-squared = 97,8536 percent
R-squared (adjusted for d.f.) = 97,5961 percent
Standard Error of Est. = 110,48
Mean absolute error = 88,074
Durbin-Watson statistic = 2,0129
L = 71,8363 - 0,00954619*G + 2,11708*t
Multiple Regression Analysis
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Dependent variable: L
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Standard T
Parameter Estimate Error Statistic P-Value
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CONSTANT 71,8363 3,68892 19,4735 0,0000
G -0,00954619 0,00900143 -1,06052 0,2983
t 2,11708 0,177101 11,9541 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 8394,03 2 4197,02 1867,69 0,0000
Residual 60,6737 27 2,24717
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Total (Corr.) 8454,71 29
R-squared = 99,2824 percent
R-squared (adjusted for d.f.) = 99,2292 percent
Standard Error of Est. = 1,49906
Mean absolute error = 1,16967
Durbin-Watson statistic = 1,97079
I = 0,577776*G + 5234,6*_Tr + 9,30426*lag(P;1) - 0,347751*lag(K;1) + 70,1829*t
Multiple Regression Analysis
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Dependent variable: I
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Standard T
Parameter Estimate Error Statistic P-Value
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G -0,577776 0,635801 -0,908737 0,3725
_Tr 5234,6 2040,55 2,56529 0,0170
lag(P;1) 9,30426 3,75326 2,47898 0,0206
lag(K;1) -0,347751 0,163201 -2,13082 0,0435
t 70,1829 29,2322 2,40088 0,0245
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 1,00815E7 5 2,01629E6 263,02 0,0000
Residual 183981,0 24 7665,86
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Total 1,02654E7 29
R-squared = 98,2078 percent
R-squared (adjusted for d.f.) = 97,9091 percent
Standard Error of Est. = 87,5549
Mean absolute error = 66,506
Durbin-Watson statistic = 2,23948
W = 0,0129109*G + 23,195*_Tr
Multiple Regression Analysis
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Dependent variable: W
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Standard T
Parameter Estimate Error Statistic P-Value
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G 0,0129109 0,000855901 15,0846 0,0000
_Tr 23,195 2,64896 8,75627 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 6466,15 2 3233,08 4083,82 0,0000
Residual 22,167 28 0,791679
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Total 6488,32 30
R-squared = 99,6584 percent
R-squared (adjusted for d.f.) = 99,6462 percent
Standard Error of Est. = 0,889763
Mean absolute error = 0,621445
Durbin-Watson statistic = 0,385589
M = 0,558241*G - 4,02394*_i + 1097,72*_Tr
Multiple Regression Analysis
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Dependent variable: M
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Standard T
Parameter Estimate Error Statistic P-Value
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G 0,558241 0,0351311 15,8902 0,0000
_i -4,02394 1,44105 -2,79237 0,0095
_Tr 1097,72 135,163 8,12141 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 1,12285E7 3 3,74283E6 2834,40 0,0000
Residual 35653,6 27 1320,5
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Total 1,12641E7 30
R-squared = 99,6835 percent
R-squared (adjusted for d.f.) = 99,66 percent
Standard Error of Est. = 36,3387
Mean absolute error = 27,6441
Durbin-Watson statistic = 0,715173
P = 0,00134747*G + 1,07294*lag(P;1)
Multiple Regression Analysis
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Dependent variable: P
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Standard T
Parameter Estimate Error Statistic P-Value
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G -0,00134747 0,00141467 -0,9525 0,3493
lag(P;1) 1,07294 0,0120149 89,301 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 243630,0 2 121815,0 80621,36 0,0000
Residual 40,7957 27 1,51095
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Total 243671,0 29
R-squared = 99,9833 percent
R-squared (adjusted for d.f.) = 99,9826 percent
Standard Error of Est. = 1,22921
Mean absolute error = 0,961291
Durbin-Watson statistic = 2,36138
2 шаг.Восстановление зависимостей.
Y = 0,492259*K + 5,60163*L
Multiple Regression Analysis
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Dependent variable: Y
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Standard T
Parameter Estimate Error Statistic P-Value
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K 0,492259 0,0254468 19,3446 0,0000
L 5,60163 1,64516 3,40491 0,0020
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 4,14037E8 2 2,07019E8 13855,00 0,0000
Residual 418371,0 28 14941,8
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Total 4,14456E8 30
R-squared = 99,8991 percent
R-squared (adjusted for d.f.) = 99,8955 percent
Standard Error of Est. = 122,237
Mean absolute error = 100,612
Durbin-Watson statistic = 0,182408
C = 0,647517*Y
Multiple Regression Analysis
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Dependent variable: C
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Standard T
Parameter Estimate Error Statistic P-Value
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Y 0,647517 0,00180225 359,282 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 1,73772E8 1 1,73772E8 129083,59 0,0000
Residual 39039,8 29 1346,2
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Total 1,73812E8 30
R-squared = 99,9775 percent
R-squared (adjusted for d.f.) = 99,9775 percent
Standard Error of Est. = 36,6906
Mean absolute error = 30,8461
Durbin-Watson statistic = 0,015666
L = 4,59433*W + 0,0443016*G
Multiple Regression Analysis
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Dependent variable: L
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Standard T
Parameter Estimate Error Statistic P-Value
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W 4,59433 0,286224 16,0515 0,0000
G 0,0443016 0,0057936 7,64664 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 296151,0 2 148075,0 30248,29 0,0000
Residual 137,069 28 4,89533
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Total 296288,0 30
R-squared = 99,9537 percent
R-squared (adjusted for d.f.) = 99,9521 percent
Standard Error of Est. = 2,21254
Mean absolute error = 1,83965
Durbin-Watson statistic = 0,0625713
I = 20,5072 + 0,114486*Y - 0,177858*K + 0,206394*lag(K;1)
Multiple Regression Analysis
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Dependent variable: I
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Standard T
Parameter Estimate Error Statistic P-Value
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CONSTANT 20,5072 25,3841 0,807877 0,4268
Y 0,114486 0,0564996 2,02631 0,0535
K -0,177858 0,10272 -1,73148 0,0957
lag(K;1) 0,206394 0,0998864 2,06629 0,0493
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 737044,0 3 245681,0 244,10 0,0000
Residual 25161,7 25 1006,47
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Total (Corr.) 762206,0 28
R-squared = 96,6988 percent
R-squared (adjusted for d.f.) = 96,3027 percent
Standard Error of Est. = 31,7249
Mean absolute error = 25,8677
Durbin-Watson statistic = 0,461992
W = 9,47289 + 0,050342*P + 0,169272*U
Multiple Regression Analysis
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Dependent variable: W
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Standard T
Parameter Estimate Error Statistic P-Value
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CONSTANT 9,47289 0,195288 48,5072 0,0000
P 0,050342 0,000802065 62,7655 0,0000
U 0,169272 0,0330999 5,11398 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 120,692 2 60,346 1979,53 0,0000
Residual 0,823096 27 0,030485
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Total (Corr.) 121,515 29
R-squared = 99,3226 percent
R-squared (adjusted for d.f.) = 99,2725 percent
Standard Error of Est. = 0,1746
Mean absolute error = 0,131869
Durbin-Watson statistic = 0,262171
M = 351,676 + 0,0835041*Y - 3,96673*_i
Multiple Regression Analysis
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Dependent variable: M
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Standard T
Parameter Estimate Error Statistic P-Value
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CONSTANT 351,676 6,84584 51,3708 0,0000
Y 0,0835041 0,00140873 59,2763 0,0000
_i -3,96673 0,317923 -12,477 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 248323,0 2 124162,0 2014,68 0,0000
Residual 1663,97 27 61,6284
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Total (Corr.) 249987,0 29
R-squared = 99,3344 percent
R-squared (adjusted for d.f.) = 99,2851 percent
Standard Error of Est. = 7,85037
Mean absolute error = 5,8872
Durbin-Watson statistic = 0,25381
P = 1,06167*lag(P;1)
Multiple Regression Analysis
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Dependent variable: P
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Standard T
Parameter Estimate Error Statistic P-Value
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lag(P;1) 1,06167 0,00280429 378,589 0,0000
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Analysis of Variance
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Source Sum of Squares Df Mean Square F-Ratio P-Value
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Model 253929,0 1 253929,0 143329,53 0,0000
Residual 49,6061 28 1,77165
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Total 253979,0 29
R-squared = 99,9805 percent
R-squared (adjusted for d.f.) = 99,9805 percent
Standard Error of Est. = 1,33103
Mean absolute error = 1,09792
Durbin-Watson statistic = 2,24529