تحليل مؤشرات أداء بعض متغيرات الاقتصاد الكلي في اليمن دراسة تحليلية قياسية للفترة ( 2011 -2019) د. محمد ضيف الله علي القطابري*

James H. Stock ‘Harvard University’ & Mark W. Watson ‘Princeton University’, (2003): Introduction to Econometrics, Copyright 2003 Pearson Education, Inc, United States of America,PP.552-560.

▪ - Fuller, W.A. (1996): Introduction to Statistical Time Series (2nd Ed.). New York: John Wiley

▪ Said, S.E. and D.A.Dickey (1984): Testing for Unit Roots in Autoregressive Moving Average of Unknown Order. Biometrika 71,pp. 599-607.

▪ Said, S.E. (1991): Unit Root Test for Time Series Data with a Linear Time Trend. Journal of Econometrics 47,pp. 285-303.

▪ Gleen E. Robinson et al, Yemen corruption assessment (Burling ton, vt: and, 2006), accessed une 25, 2018.

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▪ https://www.imforg/en/publication/cr/iss ues / 2016/12/31.

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المحلق رقم (1)

الناتج المحلي الإجمالي الحقيقي وبعض المتغيرات للفترة 2011 -2018

السنوات الناتج المحل الإجمالي الحقيقي

RGDPQ1 معدل التضخم

X1Q سعر الصرف

X2Q الميزان التجاري

X3Q نسبة عجز الموازنة

X5Q

:1 2366120.0289 .9426 53.8209 -189266397.3787- -3.2003-

:2 2381341.5754 .3403 53.7500 -213899279.6571- -3.2542-

:3 2384643.2926 .0184 53.9435 -240375129.4424- -3.4630-

:4 2382202.3125 -.0365- 53.7500 -264823279.3429- -3.7658-

:1 2474076.1717 .9385 53.8209 -291496764.4514- -5.1613-

:2 2455756.8966 1.1381 53.7500 -317306771.6657- -5.3650-

:3 2445867.0809 1.3219 53.9435 -345387766.9497- -5.3441-

:4 2411976.9118 1.4694 53.7500 -370564950.1781- -5.0579-

:1 2346702.5689 1.2935 53.8209 -433269055.1056- -2.4341-

:2 2225240.5667 1.5207 53.7500 -445914527.9392- -2.5138-

:3 2105470.8834 1.8636 53.9435 -446517411.0509- -3.2380-

:4 2293726.1765 2.2784 53.7500 -430976526.5608- -4.4868-

:1 1922956.8981 3.6525 52.4538 -334694039.8242- -9.0348-

:2 1703864.6939 3.9388 52.9296 -319739541.8626- -10.4530-

:3 1433955.2982 4.0010 54.2483 -320407918.9018- -11.4681-

:4 1130186.9985 3.8106 55.6642 -331606913.6062- -11.9476-

:1 1409855.8441 2.5504 60.6683 -439111078.4748- -11.4242-

:2 1349312.3575 2.2287 62.2266 -446341284.4011- -11.2559-

:3 1286161.1203 2.0182 63.5454 -436409808.9166- -10.9135-

:4 1224669.5911 1.8931 63.8671 -406157479.7239- -10.2988-

:1 879302.0445 1.9822 62.5825 -287113836.5484- -8.4927-

:2 1040044.6264 2.0219 62.5000 -248790760.2614- -7.8682-

:3 1149646.4029 2.1345 62.7250 -221502361.4785- -7.4701-

:4 1213952.1434 2.2850 62.5000 -202692591.1136- -7.2065-

:1 1144390.9339 2.9303 62.5825 -242321364.0517- -6.7054-

:2 1163412.1121 3.0381 62.5000 -224938636.0825- -7.0221-

:3 1177602.3037 3.0485 62.7250 -198923524.9582- -7.7715-

:4 1186818.3680 2.9347 62.5000 -163670178.0297- -8.7991-

المصدر: اعداد الباحث حيث تم تقسيم البيانات في الجدول رقم ( 1) من خلال المعادلات التالية:

st quarter = 0.05469X t-1 + 0.2347X t – 0.03906X t + 1

nd quarter = 0.00781X t – 1 + 0.26563X t – 0.02344X t + 1

rd quarter = - 0.02344X t- 1+ 0.26563X t +0.00871X t + 1

th quarter = - 0.03906X t- 1 +0.23437X t+ 0.05469X t+1

المصدر: الرفيق، محمد يحيى، اثر الاستثمار على النمو الاقتصادي في الجمهورية اليمنية، دراسة تحليلية قياسية، مجلة شئون العصر العدد (31)، ص 35

الملحق رقم ( 2)

Dependent Variable: RGDPQ

Method: ARDL

Date: 12/23/21 Time: 20:55

Sample (adjusted): 2012Q3 2018Q4

Included observations: 26 after adjustments

Maximum dependent lags: 2 (Automatic selection)

Model selection method: Akaike info criterion (AIC)

Dynamic regressors (2 lags, automatic): X2Q X3Q X4Q X5Q

Fixed regressors: C

Number of models evalulated: 162

Selected Model: ARDL(1, 1, 0, 2, 1)

Variable Coefficient Std. Error t-Statistic Prob.*

RGDPQ(-1) 0.351822 0.129085 2.725508 0.0150

X2Q -1142.712 286.3491 -3.990628 0.0011

X2Q(-1) 661.6537 323.0035 2.048441 0.0573

X3Q 1.91E-05 5.75E-06 3.327430 0.0043

X4Q -0.128519 0.037395 -3.436828 0.0034

X4Q(-1) 0.058895 0.039498 1.491110 0.1554

X4Q(-2) 0.029728 0.019087 1.557503 0.1389

X5Q 2185.157 361.3172 6.047753 0.0000

X5Q(-1) -1003.540 334.1544 -3.003222 0.0084

C 48971.28 13384.96 3.658680 0.0021

R-squared 0.993529 Mean dependent var 15078.91

Adjusted R-squared 0.989888 S.D. dependent var 8121.222

S.E. of regression 816.6419 Akaike info criterion 16.53200

Sum squared resid 10670463 Schwarz criterion 17.01588

Log likelihood -204.9160 Hannan-Quinn criter. 16.67134

F-statistic 272.9338 Durbin-Watson stat 2.380691

Prob(F-statistic) 0.000000

*Note: p-values and any subsequent tests do not account for model selection.

الملحق رقم ( 3 )

ARDL Cointegrating And Long Run Form

Original dep. variable: RGDPQ

Selected Model: ARDL(1, 1, 0, 2, 1)

Date: 12/23/21 Time: 17:41

Sample: 2012Q1 2018Q4

Included observations: 26

Cointegrating Form

Variable Coefficient Std. Error t-Statistic Prob.

D(X2Q) -1696.072469 175.826447 -9.646288 0.0000

X3Q -0.000001 0.000001 -0.877033 0.3934

D(X4Q) -0.109693 0.028940 -3.790314 0.0016

D(X4Q(-1)) -0.034277 0.017720 -1.934306 0.0710

D(X5Q) 1838.954729 279.389091 6.582056 0.0000

CointEq(-1) -0.872208 0.143672 -6.070838 0.0000

Cointeq = RGDPQ - (-742.1705*X2Q + 0.0000*X3Q -0.0616*X4Q +

9820*X5Q + 75552.1860 )

Long Run Coefficients

Variable Coefficient Std. Error t-Statistic Prob.

X2Q -742.170498 165.804510 -4.476178 0.0004

X3Q 0.000030 0.000006 4.965518 0.0001

X4Q -0.061550 0.025401 -2.423131 0.0276

X5Q 1822.981996 325.554654 5.599619 0.0000

C 75552.185979 9276.981730 8.144048 0.0000

الملحق ( 4 )

ARDL Bounds Test

Date: 03/18/22 Time: 18:10

Sample: 2013 2039

Included observations: 27

Null Hypothesis: No long-run relationships exist

Test Statistic Value k

F-statistic 4.696128 4

Critical Value Bounds

Significance I0 Bound I1 Bound

% 2.2 3.09

% 2.56 3.49

5% 2.88 3.87

% 3.29 4.37

Test Equation:

Dependent Variable: D(RGDPQ1)

Method: Least Squares

Date: 03/18/22 Time: 18:10

Sample: 2013 2039

Included observations: 27

Variable Coefficient Std. Error t-Statistic Prob.

D(X3Q) -0.002614 0.000691 -3.785958 0.0012

D(X5Q) -24287.09 23497.14 -1.033619 0.3143

C 1349885. 1131896. 1.192587 0.2477

X1Q(-1) -92749.45 40526.29 -2.288624 0.0337

X2Q(-1) -7728.890 14935.63 -0.517480 0.6108

X3Q(-1) -0.000215 0.000278 -0.771706 0.4498

X5Q(-1) 23766.81 13026.24 1.824534 0.0838

RGDPQ1(-1) -0.380543 0.139282 -2.732169 0.0132

R-squared 0.667446 Mean dependent var -43677.84

Adjusted R-squared 0.544927 S.D. dependent var 156224.6

S.E. of regression 105387.7 Akaike info criterion 26.20988

Sum squared resid 2.11E+11 Schwarz criterion 26.59383

Log likelihood -345.8333 Hannan-Quinn criter. 26.32404

F-statistic 5.447662 Durbin-Watson stat 2.248481

Prob(F-statistic) 0.001496

الملحق رقم ( 5 )

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 0.165506 Prob. F(1,18) 0.6889

Obs*R-squared 0.245998 Prob. Chi-Square(1) 0.6199

Test Equation:

Dependent Variable: RESID

Method: ARDL

Date: 03/18/22 Time: 18:32

Sample: 2013 2039

Included observations: 27

Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

RGDPQ1(-1) 0.037677 0.173005 0.217779 0.8301

X1Q 6798.417 39924.60 0.170281 0.8667

X2Q 2622.948 16576.55 0.158232 0.8760

X3Q 0.000101 0.000615 0.163409 0.8720

X3Q(-1) -5.67E-05 0.000552 -0.102566 0.9194

X5Q 1942.542 24140.25 0.080469 0.9368

X5Q(-1) -3163.778 25078.64 -0.126154 0.9010

C -226206.2 1273744. -0.177592 0.8610

RESID(-1) -0.121589 0.298873 -0.406825 0.6889

R-squared 0.009111 Mean dependent var -1.83E-11

Adjusted R-squared -0.431284 S.D. dependent var 84454.26

S.E. of regression 101037.9 Akaike info criterion 26.14558

Sum squared resid 1.84E+11 Schwarz criterion 26.57753

Log likelihood -343.9653 Hannan-Quinn criter. 26.27402

F-statistic 0.020688 Durbin-Watson stat 2.031981

Prob(F-statistic) 0.999997