ZESZYTY NAUKOWE UNIWERSYTETU SZCZECIŃSKIEGO

ZESZYTY NAUKOWE UNIWERSYTETU SZCZECIŃSKIEGO

;4
;>
434<
;4<
ZESZYTY NAUKOWE UNIWERSYTETU SZCZECIÑSKIEGO
NR 415
PRACE KATEDRY EKONOMETRII I STATYSTYKI NR 16
2005
/#(#
.#(
( &&3@
& (&@
!-$%$>%,+/+$//(2(/!
/,(:!+$3/+$%:/+$//,6(%+4$$>%$8
$%/%(=.D+4$$>$/4!/%--+64/(=8
$> H% 9$ $>( $> $2 !-$%$> H+$6.
%$ %$= $/D $$%/ %$( /3/6 L%$( 2-M.%$(,2($24:$/$$
H+$%$2%!/3.D+4$:+!23!N
M 2 $. $ +$/(23 +0$ /.$! $8
-/%-$.2>23-T
.M $/%$.2>233%/(T
M 23/$H/-/%-H3$:+T
M /%$.2>233(/3///%3$.2>3H3
+$3/%:/$.3T
M /%$.2>23-!23:/23$!=3/%$>3T
0M ./+$>$ H%$(! !/,(:$ 3 / 2=2/
/%$.2>23T
,M 0$.2+$D(/%$(!/(0!2%%8
/T
'$JK
<
.
-M $/$(23.(
232//!+$$/N($$$>D/%-$.2>8
23-//4($$+?46%+%.!$(8
/,$ %$(! ($,$ $//,23% $H4$>- ,$/$8
8+- %$(! H$$% ! . 2 /% $.6 $+$8
-/%-$.2>23-%2//,(:!($>D
$20$%22=($+$22(!=/%$>DL%/$8
+64/%/%$>M$/2(/3///%3$.2>8
3 H4.$ $($ /H+$/$4% /%% $.2>23% . !=
(/./%-$.2>23-H%$(!//2:+$=38
!:+$.(%!(/H%$(-$$%/-./$0H$./$8
$/(!$47((,2%/H%+$/26!$-NV$+8
4D : $ +$/$%! 6 !/,(: /: 233 /H+$$>
43+3,$:/4$?:+4:+$./,/H-(328
>$2/4$H/:>D$+/(2:H/$/%$'$8
$./2:/H0$%23T!6=/m%:2%(+2n
//22$(H/:$+$/$%$/!H>$6W
H+/+!:+$H%$(!/.!=2(/./%-$.2>238
-!$26=!3D-+64($$>$==$+$/D
$ /$! 2 %$6 +%6 %$(! H0 /%
.:3$./$/.!=%.4:%/!!H.:3/$
9($.=2%$6+%6!!(-%$=$8
/D/+$+$$3H@"$!+//7$(H1%$8
: ,2 ,/.$2 L>
M 2 %$ +$(, +/2:!
/=H+/+!+64($$>/%-(+22+$4!,D:$.8
3=$%%$%+%6%$(!(/$%6%238
2:%2/3=%$!/(/3%$32%2/-8
69$=,$/H(%6,$(-%/LBL%$=$D+
$%4(/.
L
M
MH+$%/,$(2 C
9$026($(%/(-+/+$/$-/
+$%$3%$($$%/-$/$./:-$H($(-%/8
(-H+$./=2/:>//64:/H6-/8
/-/:>N
C
'$JK
'$=>;
@
;4
;>
434<
;4<
M /.$!$,$</0$%2$H2-($(%%/8
(%H(/$2/:>//T
.M /.$! ,$ < / 0$%2 $H($(- .:3- $8
/+/%$%
1=/H/:>./-/ $6L/%/M/8
23-0$%2$H($(-%/(-.:3-H$.$!
6%$/$3-+/%$%$2U64%-.4
$(/H&/:!.$,$$/0$%2$H/$.-/H:+!8
23- +64/( %/$-N 93. 4$% -$.
/$E:///
-L/L $8
(!%M$/3-($(%/(-I$(3+/%$%$,/$8
,$ + //$,$ < +64/(/,$ 4$>$,$ + $ ($(!
%/(,$'$//,6($(!%./-/23:+!230$8
%2N
< //,64$3($(/2:($(!%/(,$L+$(2M
< :2L($/.6$MJK
< :23L($/.6$MJ" K
< +$/-:($(!J:QK
< (/.:+$$J:NK
< !/.$2H%L+3$$,/,/<!((/8
,/$MJ:JK
< 3/$J:SK
< $(,4$>D$!%%J:XK
< $:+$>D$%!23J:GK
< :%$!-!J:YK
< $+(.!!J:TK
< .!$.!!J:RK
< +:$6%/2!2:($(J:QHK
< (/.:$,2H.!!J:QQK
< $,6(3($(/2:L$(!%$.:.!,$/2,$MJ:QNK
< :%$!(-$$2J:QJK
< -$($,:$.!!L,4+4MJ:QSK
;H6%$.$.42$//8
+!/$5$%$%/%%$$$/$>2$/$2$8
2E$36!/4$4:+$/3!(/:D/38
<
.
-H!/%4$$@@@$!!(,4/%%(238
2-2$$/:$2/V/4%%WB3+4$$
($H+$./=2/:>//(6=H4%%>H
-=2/-($(--!-$%$>H'$(-8
/2=2/.2,4$23/H,$+$,!2
/E%2!=H@@A$!/$.$$.(/2:$>($8
%+$/$%L/-%$2$32MH=:+$=+$+8
%!($($(%/(-(+//%($(!=8
$-L.!$-H-($-M'//3/2V/4%W($8
(--!-$%$>.44.34./,$+$$8
%$-,/+$+!:/,$H$$/+4!E/.+8
%:D = /$ :/$>D 2 2 0$ +4% $.8
% 1/4$ : +/:- 2- ($( %/(H//H(-@@<+/$$!!
1(%+/:-2-% ($(%/(H//H(-@@<
U64$N $+$4+$-/H!/:6.$-H//
B
'$JCK
;4
;>
434<
;4<
02 $$- %$ %$2 ./$ = 2
/.6$/23$2($(%%/(%E$4>8
$/42-2$%+!%$H/$%
$/4!6,$4$>+$/$D$/$$+//%$(8
H+/$$/4$>$--!-$%$>
,$$>D$/46$/$-$>$-H28
- $ ! $/ . %$= .4$ !/D = %$( $/$$!2
/4 $/4! /$$,$ 2 $ 2 ! /23 $
!/ 6 / 02$!23 '/ 02 $$- %$
%$2$/2:+$/$$-%2.43>$$/$V.4:-W
;V.4:-W$$!6-%$!46=8
$>$2H22+/$/4CC[L23/3M$>
$2$$,64%//!2%!$//D.4:38
: $= $ $/D 2 6 /$ H!- //,6(-
+/4+/=($(!/4$$%$/+$/=$2+/=
%!/$2 !23 0$3 +/23,$ L+$:+$ ,/!2M
.
%'//'
&
$
011
'2*344-
$
5
*4$6 *46 *46 *$46 *46
5
*46 *$46 *46 *4$6 *46 *46
/'
$/42-%($(%/(-
U64$N $.(/4+$-/H&/:!.$,$H//
<
.
+/=($(!+$/=$2/H+$$!/,$+$+!$(,/8
,$H%$-!2-2L/=$(!./=$M
//$.,$//2$>$2($(!%/(,$H6=8
2%G(/423,$%$(!/(,$%!
$$%$%!/3+4DN
M $/$$D/4$/4!/$$,$L/$%$0/%MT
.M +/$D$(,4$>+/4%:/3%%(3H%%(8
3$(%H,6%(%L/$%M
$%(%%%$2!-$%$>2(/$/48
!2-%/.$!$,$L ($(%/(-M
98$#$"!-9 : 6<$"$9 #<8
/,(:!$!$$(//.6/%-$.2>23-$.!8
$($,$%$(!,2($$2+$4!=$$:$$3(%8
23/%-+/6-H!%2!/$$/8
+%&!:-/%-2/(=+$=8
($(//8(!.+$(2%$(!+$(,+$!
H%2/%-$>.!6H:+%$=!-+//
+%!!(5>(.:3$$./$/.!=%H$!!$$ .4:% /!! $ 3+ 0 %!(+(2 .4:! L0 %$=$8
M H .:3 +$+ ;/ H$$% $! !/$
%$(/H/%$%/+%%(/%-N :<
+$/-($(!: <$(,4$>D$!%%J%K:@
<.!8
$.!!:<+:$6%/2!2:($(:B
<-$($,
$.!!6%$=/+D:+!23$N
"c CBC C B : : " : @ A@CC : AAAC :B LM
@A
"CA
" "@
C "C"
B
"B /+%+//%-3$/H%23$3
+2:///$%+$/-($(!$H%2$$
%(2+/:$H B/4/423/:
=28
5=($(,4$>D
$!%$>$%$2%++/:$H
/4
%/.!H6%/2!2:($(%/2%8
$+/:$H"/4/H=%%3%%=/$,268
2+$4$=$2($(%=/2/H=%+:%>$
$HA@C/4;+%%$(!/!26=:%:/($(%+$4$8
;4
;>
434<
;4<
=$% H.!! $% /H+4 H,4 5 D $=/ 3 ($(
%/(H.!-/H,4+/:=$H
AAA/4)%+64/
$(2 ($$2 /%(4 +$ (%$! /%- H(%
$+!/H+$/$%! $B@A$%$.4:/!!+$8
//,6(-+%6/%2/4:$!%$=(23/$$
%$(!LM$$+2>22%%$=8
4!%/DV+%W$+%$+-/.$!$,$%+/8
$./ /%$> $> $- % / : H+//( $
/4)%$C/4)%H:2/$:=/$$./!/%8
$>2-L<C/4)% M$(V+//$!2W/%($8
( 2/ L+$=2 /4)% M H / $ 2$=/ ($( L+$8
=2C/4)%M$>D81$4%$,$$$ @L+/8
$>/2C
MH(=$$./!/,$!7+$/:/$3
$H/,$$>$.!$/46L2-H$>$-M(=
$/!D$/>D-+$/(2'/:6=28
-H$>$-$4BBC/4)%I/..4:$($($4BH$4 [/-($(
98$#$"!-9 : 6<$" /#"<++-$##N+ <!#
"N8
6+/>4.!$$(2,$%$(!%$2($8
(%/(-/44=02/(=$>%:/%8
2%H+$//,6(%.!%+$$.D:H2$$,!+-!-$%$>$38>-+$/($$!-$%$>B,!8
+L,!+!232/H!/,(:%/-/%-M:+$$$
%2%$(!+$/23$,$$$$/%3/$2$3
L<!-$%$>D(=$2,!+<+/(=$>D$,!+M8
(/%$(%$=/+D:+!23$N
/ " 3 93 .< 3 < ,/N
" < 2%
3 < +%!!(%$(!
93 < /%$.2>23L.!($(%/(-M
LM
<
.
.< L /% /$82$ L+/(=$>D !-$%$> $ ,!+M
<
M
//OB
< 4($$
;/%$(%$=/+D:+!23$N
"c B"B A
A : : CA : @ @BC : A@C : B @
"B CB
AB
C "@
B@ . BA
" . @" .C AA
.B AA
LCM
98$#$"!-9 : 6<$: /."<8
/-2$$-,!+-($(+/-$/$$
/(= ($ %$( ,2 ($$2 +/2%!23 /4$= =
H=2 ,!+ /.6 .!6 %$= %D +4 $>D $3
-($(E+$:+$2:/%$=($>+2%$8
(!$//$>2./2(/H$!$+$!8
/+$%$3%$(!,2!$2H$=+$$D./2
0
+$%2H=2,!+!-$%$>+$$.-!/8
$+!2%$(N
"c BBB @B@C A@CC : A A
C : C B
" : A "
"@
@A
AB
C@"
B"CC
: "B@ : @BC :B LBM
"c @" "@" : " : @ C@
@ : B L M
"cC CC A
: AB : @A
B : L
M
"cB ""B BB : : @ @ABC :B L"M
AB
@A
"B@
"B"
" C
CC
B
B" C"" CB
A@
B@
B
"A
" C
""
@A @
;4
;>
434<
;4<
;.//%$>$>$-!/-/H%$(LBM<L"M2:8
/=/H%$(!LCM2$2$/+:$>D22H-$= +/23 ! 81$4%$,$$ +4 +$=2 $
3=2//(=$$./!/,$%$=/%!/D=$/8
%$ $/4 /,$ / /$% $3 +$+: 2$> /!6
D+$+!>$$,$.4:!$+$/$%!C/4)% $/ +! (/. .4:- $ C +$>6 $ $ 2
C
[
98:-#" : 6<"$9 #8
:+%$%+$/$-.%$=($>%/$$
%$($$%/-H%$2!-$%$>.4$+$/!8
%$(($-/,(:!.$/!232+$D(8
/3($,$/3/!22/H.!%!-$%$>$/
2,$$( 6 -/,$ /!23,$ +$D %$(!
$!-$%$>($($-/$$$,%$3,23($8
$3$(,%$2,2($$2%$=/+D:+!23$N
" 9 9 9 # " 9 9 9 # " ,/N
#LM < $//$>D($,/3/N
LAM
, / 2 0/
# , / 2 +/
< $>D+$,$%$+//+$,%(
1
>
L %$!( ,2 ($M 2/:>2 $>D > /%8
2$.2>2+//%$(
9$%2+%6%$(!$/$(,$%`!8$
'$D!!(3%$(!/H$/$%+%%%$=/+D:8
+!23$N
"c LAA@ B@" BAB : BB : B A : @ C B@" : B :B M # " 3 ACC BA
LB
BAB C BB@ : BB : BC
: @ B
@ : " B@C :B M # " ACC BA
L@M
<
.
$/4$>$-!/-H!,2,%$2
$ $/4 .%$( $/ 3 G % ($( 6 +$8
4!/46-6=-,$6$>L6-,8
%-($(%/(-N$=/-H/-$+/:2M'/8
2:$,%$H$>+$,$2L=%M62>28
22$/4$>$-%!$!/D//,$/H$/48
%2$$-2-($//,(:!$>D8
81$4%$,$$6+/$/4$>D/3(6=H%$8
=+//%//,(:!2,$/4:+$6-8
%6H$$/!$>%$(22-+$$!2=+/:8
6=$>$-H2-/%(4$/!23$8
,$+$/$%!
CBB/4)%H4%/.$/$%3+4($
+/+H6-6=$>$2H22+/$8
/423/3$>$2oE0-!/$H=8
2%$/5%$(,%$2,2+4!!
$/$$/4!$/4!/$$,$L/$%$0/%MH+//$2,$/8
$$2%$$$,/$;,/%2%(!.!=8
+2$/4!2-
9J8: 6<: +F$"@ 9## 8
1$(2+/$%$(2$/:%($,$%$(!,8
2($$2H6%(/%2/24($$,$/8
$$$ ,2: ,/.$3 7$(81 $ 2 %$ +$(, +$/! H+$ %2 +%6 !!(- $$2
%/!!$2.H0!/D%2/3/%$>D($8
$3
'$D$$3%$(!/H$%+%6!!(-%$=/8
+D:+!23$N
"c CC@CC : :
BC "C" " @C : @ "C : "A :B LM
@@
A
B B@@ $$,2,/.$2$H!-$%$>+/$$/8
> '$ +/ $.= 2: 4 ($$,$ %$(! $ H0
+$$!2 $.= >$$,$ .4:! /!! H+/+! 8
($(/.$!$,$4$$$.=.4:!2$HCC,)%'$!8
,,2,/.$$.=6=.4:/!!+%6$/H$(
;4
;>
434<
;4<
+$$ +/4$=D : $4$>D $- ($( %/(8
-
98$#$"!-9"!%#!99$+?6#-$%+#!--$ #$$ %!<#>%$#$ /%H->%$OTMANP8
5$%$(,2($2,/$(:/%2$.2>232$,
$$%/%2$>!-$%$>L&M5$%8
/6!/,(:+42$2/-/%-$>D8
$3 - !-$%$> 2$ $- $.6 ($%$8
-
'$!(!2:=$>D$($(%/(-/(=($$$
$>$$%/,$%2$>!-$%$>L&M9$8
$$%$=/4$=D=/$$$%/,$%2$>8
!-$%$>+$$!2/$$>$2/($+%! 2
$H+/2:-/4$=./$=/(=$>D%:/$/48
% $> $- H& $/4 $> $- .:/ %4
%/42$/4&
+$%2%$32%2/-6$/%$:8
+!23$+%6%$(!N
"c C CB > B @ AAAC
LM
CB@
5D$>D$2,$/,$+$/,(:%/--($8
(! %/(,$ L> O M $4 C CB /4)% 222/ ($(
%/( L> O M .4 B@
/4)% /( %2 = 2=/ 223/$.$$H+$(/!
E.(
;0$>!/-($(%/(-/.$!$,$
/$/%+/$-%$(
,"
%&&$/*$$
5'#$*
5'#$*
5'#$*
5'#$*
5'#$*
5'#$*
.%%4
(9'2)'''+
L$#'4+#'+%
023#
+%$%
&2X) ,&0
02K# %?
+%$
;#$$4
0 2K#%?
+%$
Q
U64$N $.(/4
<
.
Model 2
Model 1
2
2
Histogram wartoœci rynkowych 1 m uzyskanych z M1 [5.5]
Histogram wartoœci rynkowych 1 m uzyskanych z modelu M2 [5.9]
195
182
169
156
143
130
117
104
91
78
65
52
39
26
13
0
&
&
y = 550 * 100 * normal (x; 1833,86; 140,28)
pon. 1500
(1600;1700]
(1800;1900]
(2000;2100]
(2200;2300]
(1500;1600]
(1700;1800]
(1900;2000]
(2100;2200]
pow. 2300
2
wartoœæ rynkowa 1 m w z³
Model 3
180
168
156
144
132
120
108
96
84
72
60
48
36
24
12
0
Histogram wartoœci rynkowych 1 m uzyskanych z modelu M5 [5.23]
105
98
91
84
77
&
70
63
56
49
42
35
2%5
;?@
;?@
;?@
;?@
;?@
;?@
;?@
;?@
;9?@
;?9@
;?@
;?@
2%&5
28
21
;?@
&
w z³
2
2
Wartoœæ rynkowa 1 m w z³
Model 5
14
7
0
2
Model 6
Histogram wartoœci rynkowych 1 m uzyskanych z modelu M12 [5.54]
y = 550 * 100 * normal (x; 1833,86; 125,648)
&
y = 550 * 100 * normal (x; 1833,86; 130,185)
(1600;1700]
(1700;1800]
(1800;1900]
(1900;2000]
(2100;2200]
(2000;2100]
pow. 2200
2
wartoœæ rynkowa 1 m w z³
2
Histogram wartoœci rynkowych 1 m uzyskanych z M6 [5.25]
pon. 1600
pon.1600
(1650;1700]
(1750;1800]
(1850;1900]
(1950;2000]
(2050;2100]
(1600;1650]
(1700;1750]
(1800;1850]
(1900;1950]
(2000;2050]
pow. 2100
Wartoœæ rynkowa 1 m w z³
2
&
2
Model 4
y = 550 * 100 * normal (x; 1833,86; 159,798)
210
196
182
168
154
140
126
112
98
84
70
56
42
28
14
0
pon. 1500
(1600;1700]
(1800;1900]
(2000;2100]
(2200;2300]
(1500;1600]
(1700;1800]
(1900;2000]
(2100;2200]
pow. 2300
WartoϾ rynkowa 1 m
Histogram wartoœci rynkowych uzyskanych z modeli M3 [5.12]-[5.15]
180
168
156
144
132
120
108
96
84
72
60
48
36
24
12
0
y = 550 * 100 * normal (x; 1833,86; 137,872)
225
210
195
180
165
150
135
120
105
90
75
60
45
30
15
0
pon. 1400
(1500;1600]
(1700;1800]
(1900;2000]
(2100;2200] (2300;2400]
(1400;1500]
(1600;1700]
(1800;1900]
(2000;2100] (2200;2300]
pow. 2400
2
Wartoœæ rynkowa 1 m w z³
C $/4$>$-%($(%/(-!/-+$8
+/$-%$(
U64$N $+$4+$-/H!/:6.$-H//
#$6$
1(/%$($$%/23/:=$$.//%$>
$>$-H$!!$2-$2%!>8
+4!+$//,6(-/%-H,$$+$+$%$8
(/H+$$!:+!232$+-!-$%$>
;4
;>
434<
;4<
$+ - - !-$%$> %:/ %
/H/6 /:/- +423- ! / 2
/$/:$$-$/$/2+$$>($2//,(:!
22(!..!!-$%$>+$/,H+$8
!/,(: : ( +$/ !($- /6 ($ +$/$
+423-:.:+4!-/62+4D!+!8
23,$4$$>+
C/%23!=+4:%($(%/(-H+8
$./=2/:>//H(-@@@<$+$/-($(!$(8
,4$>D$!%%.!$.!!+:$6%/28
!2:($(-$($,$.!!L,4+4M
B'6./:/$+/,$$>$/4!$>$-L
+/4+//+$/ 9
+$+$%$(!M+$$!2+$,$8
/%60$>
$ / ?.E%!(>N &>4
>=2
;4<
;><
;44<8
'/@A
7$/5N3
4
2<;68
V//$/23$W
L@M
C I-'!N >
224
K;
42
2<;68
8
4/$02#$!%#//
Q@ @'*&0
(/6--#;66/#:
9!$-%(!%E(NVp$$%-$(($-!,8
%+W _. %-%- ! - ..(!, !%%-q,%%%$.(%-,.$((-$
-_0%%$.(%r!,s,$%-$L>
<
.
MY$7$(!1%@"85-Y$,(($
! _(%$( _,(-( % 1$/+$ $8
$%- (!,%r Y 9 _0 - % ( !- 1$!$%-$$($, (!,%r Y$,(( 0s- &-.8
Y$-(q, 9 %%$.(%r!, Y$% !,Y!- - ,( % - &0 Y$ Yt , 9 !$ -
/!q/(--(,!q/(-_.(q!-,0s-
Z=2
@
<
.