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11 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, >. )>/( MH> )>'- >- $ )S )>. BH1, f7 &$ ),&(H- P(M - (1997) M/W )' 6, 0,, ),&L> &/7$ 0,, &$ CM/, )>c- S/ 3 *+ &- C>'- &$!,3 (1'H/ -.,, (1999) M/W )' 6,, C,s,'/!,3 'IF - (1999) 0,, 6, &L!,, )6,6W - &., )' 6, '/,. p; 8 8, D/ 6, )(L$ 1 f1 - (1999) 0,, $ )S U$, '"b$, (2000) M/W )' 6, 0,, &$ CM'/!,A(bS )!,3. - (2002) ),&L> &F@L/ sw M/W )' 6, B `!/ &$ '/, p; H - M/W )' 6,!, './ 0,'1 &$ 0,, C 2/ - 2004 B 6, 0,, B"+ M/W )>( 0 5 -, &., $ 0,, )S U$, L9-6, 0,, &$ C23 )>c-!2a+ g" &$ C=K )>-. - (2003 2001) M/W )' 2001) M/W )' 6, C7,, CF/ )>b7 >0/6 %,, C,, x(+' - (2005 M/W )' 6, 0,, CHE1. ),' &$ 0,, ),&L> 87 ˆ=, ),$ 0HFW &L7, %0LEG7, %M/W < - (2006) 0F 5+1 &LE= (/, )' 6, 0,, ),&L> &/7$ $ U"/ C7,, )>- )>C,, 0- &-'E$ - (2006) PE/ 0/6 PE/ 0/6, &., %M/, )' 6, C7,, )>w7$ 6, ),2. - (2007 2006) 0,,. ),$ CEEHF,J($ uh=, S, ),$ M/W )= <, &., )' 6, 0,, ),&L> 0cyL/ 6, CK$ ),A K,./ - )' 6, C=K )>'- &$ C7,, )>0/6 0c'ŠL/! L/ (1'H/ - (2007) PE/ 0/6 (2008) PE/ 0/6 )' 6,..,, >- L(F 4,A, - (2008), &., M/W )' 6, 0,, C,'> 'ak C7,C-. - &E('$ 7,8- )MH> 0,, CE/ w7$ $ &- C>b7 C,, 0- &-'E$ - PE/ 0/6, &., )' 6, 0,, CD7. - 8-2000 1998-2005 2001-2009 2006,,. 8 S 8 8 D>

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 12 >. )>/( D7 45$ ),9&/ )S )>&(/6 fh i/= )>. H - M/W )' 6, 69 8-!S B $ &- C=K )>w7$ 6, M/W )' 6, &H= K, - -C/ ),bg7 69 D7 45$ 8Q &$ ),&H($ CMz'F'M %),9&/ )S. -, )' 6, 0,, &(E1. &$ G )>'- CK$ J'( - M/W )' 6, >0/6 J($ c 100 6, 4($ Bk7, (1'H/ - M/W )' 6, 0,, )>C,, B,'/, 6, G CK$ x(+' - )' 6, 0,, ),&L> )z7, $ U"/!,A(bS )z'f'm!,3 (1'H/ - PE/ 0/6, &., M/W )' 6, 0,,,, >- 6, G ),2. - (2011) (2010), &., )' 6, 0,, k7 45$ ),9&/. - (2012) M/W )' 6, 0,,!S w7$ )A-/ w7$. - 0/6 )' 6, G )>- CK$ ),&L> %C7,(- %CF/ )>. - (2010) M/W PE/ (2012), &., )' 6, 0,, D7!,, (1'H/ - C7,, $ P/_ )>C- 4(D %C7,, )S )>w7$. 4,A, - M/W &E('$.. C7,, (s C7,,,, >- L(F 4,A, &$ 'K 23 (2010), &., )' 6, C6'/W CM7$!Ly/. - 0,, )S CH( )>- 6, G ),2 0 A, - ),9&/ )S )>. L(F 0,, F U' CM/W c &(b K &$ '$/ )>. BH1, - )' 6, b"7,9!,ae <; &(/6 0,,!S $ U"/ )>. (kl/ (s (kl/ Bk7, 8(Kl %K $ U"/ )>. ),$,A,f7 Bs6 %J>W f'((/'fw P/ fh &H(7!,AE BH1, - M/W BH1, - fk,'/ %(,9 M/W )' 6, C23 )>& )6&{M ),bg7 %C7,, B K 8H1 Bk7, $ U"/ )>. BH1, - B l'd7. &- 0,, tk 6, 0 ($ CM7$ )>L_ 8H1 CF/ )>wh-, C7,, 8-2013 2010-2018 2017,,. 8 > 8 b7

13 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, >. )>/( 6, 0,, CF )>C>$!<(bL t,, %K $ U"/ )>. BH1, - M/W )' M/W )' 6, 0,, )6 'K $ U"/ )>. BH1, - M/W )' 6, 0,, 6, &L 7/ C,s,'/ )' 6, 0,, &$ 0W!/K!2a+!,, (1'H/ - )S )>H(,'>!,3 (1'H/ - M/W 0,, $ M/W C(E/ C=K )>-!S (1'H/ - 8,,. M/W 8G- 8,A9!1<;, N, $ 4> Q )>& (2015) 1 J/A- :i"/ P/ %7-C/ B"7 0,, *+, 09-. &- C,#, 6, C5$ %J,$$!7'7 %CM,'K &H($ &H($ &A> 4,A, %),9&/ wl 4,A, ),M7$ C(EH1 &A> 4,A, %.,.,. )A-/ w7$. 6, C7!2" %6, R7 (7 (F' 6 ) &$ C$( 0M/, f1 %D7. 6, C7!2" %CEEHF,J($ )>,6$ C7,,!c'*./ )$+ 4>- %f )>c- BH_, 4,A, )>45$ C=K ),9&/ 4>- )S )- 0, 6, C7b= 8'$ wq,, C>c- "F' ( m, (69 D7 86'_ 8Q &$) i3 xe5/., TQ&6S6Q.3 0'$ C($4( $ (-@ $ (F' $ Ck(k_ 6, R7!,((I #, %(1991) 2 '9W 07 ):7!'3 &$, 8- C$ g5/ '- 23, 6, R7!,((I 0'"7 C($4( P$+!,((I, CGL$ 6, R7!,((I &$ Ck(k_ (F' &-, 8, J(/-., &, F' $ "d/ #, C($4( P$+(s!,((I CD/!,#, 6, R7 1. Katzman 2. Agenor

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 14 6, 8D, $ wam/, (F' Ck(k_ 6, R7!,((I &a$, %(2000) 3 9 4>- r1$ CE/ B' 6, 4>- &- 7,8( &S(7 J, &$ 7,8- C$ VAR!,((I!,#, C$ $ %(2007) 4 0,MH> (F9.'C/ *+, '- (F' &S(7 J, &$ J(c )M/W '- 9 ),$ 23 Ya 0 8Ac 6, R7 J, N, $. >,'K i3 BI, 4,A, r1$ 6, R7 4,A, &- 7,8( CHb/ P/1 i3!,b2 0 8Ac &= *+, 0'$ 6$ &= %4> Q 5 JGX,.>C/,+ (#@., i3 BI, $ 6, R7 ),9#, &-, 23 28 /W 6, 8D, $ i3 $ 6, R7 #, C$ &$ A(7 %(2007) $ ),2/ #, 6, R7 &-, 8( &S(7 J, &$, &K, 'bm'7 )>'-., &, i3 &$ 7,&K, ) 8b$ $ 6, R7!7'7 #, &$ %(2009) 6 0,MH> 0'(+W.'C/ ) 8b$ 4>- r1$ 6, R7!7'7 4,A, &- 7,8( &S(7 J, &- ),&7'9 &$ %, CGL$ >'- CF/ )>,6$ CG &2' &a &$ #, J, > 4k7 CF/ 45$ )>t' 7, ),& &2' H- CF/ )>,6$ $ &- )>'- (F' 4>- )($ 4k7 6, R7!7'7 %, )*+,!7'7 $ CHb/.,, &., M/W )>. D7 H(+ (#@ C$ &$ %(2016) 7 B E (1999-2015) 8 ),$ 0'(9 'K 6, 8D, $ &( *+, $ ),9#, T; 6, )*+, )>. &-, J, G7($ 0W 6, P3_ `7.7,&K, 3. Kamin and Rogers 4. Galindo et al. 5. Eichengreen 6. Aghion et al. 7. Yelena and Faryal

15 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#,,9#, &( *+, $ CEK, OFK7 (F' f' R7 %6, R7 %CD7 )>/W $., 8'$ > i3 >8G$ MEH1 $ Ck(k_ 6, R7!,((I #, %(2017) 8 7H>,!,((I &- 7,8( &S(7 J, &$ C,3 %,6$!+ &=, &, >8G$ MEH1 $ ),2/ #, 6, R7 23 MH CEK, CF/ J(/ &$ C %C=K (MF/ %'- w 0'$ C,,., 8'$ #y/ ),9#, 0,A(/ $, C$'= 8- (F' )>8G$ $ 6, R7!,((I!,#, %(2018) 0' )' CE/ B' 6, 4>- &- 7,8( &S(7 J, &$ 7,8- C$, VAR Panel )'GF, 6, 8D, $ 7,8- C$ (2006-2013) 8 6, 4>- ( )97/ &"F,.'C/ 8-3 )>8G$ ) 8b$ 4,A, r1$.'c/ "d/ #, 0 CdK r1$ ) W'7 8A(G7, $ ),9#, T; 6, CE/ B' )>8, N<9, - )'GF, 6, 8D, $ C> Q %(1384) M$ 8,6H1 &/ 4,A, 3 w &- 7,8( &S(7 J, &$ (1345-1380) C7/6 8 0/29 %0/34 4,A, r1$ g( &$ O*5/(s O*5/ - ) (7 CMA(., 8 23 45$ 8 A, 6, 4,A, 3 0/11 CF2 (L/ 6, 0W n,.7, 6, R7!,((I!,#, C$ &$ %(1387) )A, )A, 6, 8D, $ (1338-1386) C7/6 8 23 45$ 8 A, 6, $ 0W 6, P3_ `7.7,&K, (ARDL) C26' )>&D+ $ Y(Z''K CS*+, 6, #@/ 69 D7!,3 6, P3_ )6, /W &$ 23 45$ CGL$, G7($., 8'$ C=K )>t' &S(7 )6, )>/W!7'7 C23 45$ BI, $, )6, )>&7M (#@ %(1392) 0,MH> )D2=47, C$ ),$ )ak Y(.* )'GF, 6, 8D, $ (1338-1390) C7/6 8 0,, 8. Dhasmana

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 16 6, R7 &7M!/E$!/8'- &-, J, G7($ 0W 6, P3_ `7.7,8-.7,&, CD/ #, BI, $ B' S_!,3 $ C2+, 6, R7 C"#C$ #, C$ &$ %(1393) 0,MH>,6W MD/ EGARCH )'GF, 6, 8D, $ (1347-1389) C7/6 8 0,, C23 )>c- C>c- H(+ C2+, 6, R7 C"#C$ &-, J, G7($ 0W 6, P3_ `7.7,&K, )H./ C("/., &, C23 )>c-!,3 $ ),2/ CD/ (#@ C,3 C2+, 45$ ) $ 6, R7!,((I 6, C7 C7(H;,7!7'7 #, A(7 %(1393) ) P("+ 6, %G )>4> Q CK$.7,8- C$6,,2/ CD/, *+, "d/ #, %(1396) u,6 C(/, (1391) 0,MH> C5, %(1390) 0,MH>.7,8, 07,!,3 $ )6, ( 8-'k!/E$!/8'-!,#, C$ &$ ),&2Fa/ %(1394) 0K C~, ),$ Y(Z' 'K )'GF, 6, 8D, $ 0,, )*+, $ )*+, )>. )>. &-, J, G7($ 0W 6, P3_ `7.7,&K, %(1352-1392) 8 )'+ U'/ )>. /, %, &,7 )*+, $ ),2/ #, x(2z!,#, %(1395) )H./ 0,,$., &, )*+, $ CD/ #,!/'- -1390) C7/6 8 CS*+, (> 6, 8D, $, )*+, 0<- )>(I/ G7($ 0W 6, P3_ `7.7,8- C$ 23 )>45$6 8 A, 6, $ (1370 &/ )'='/ 0<s,2 %&(F,,'/!,, %C2+, 6, R7,2/ "d/ #,., 8'$ i3 8 A, 6, $ f',2/ CD/ #, 45$ 8 A, 6, $ #y/ P/,'1 C$ &$ ),&Fk/ %(1396) 0,MH> )z, -1392) C7/6 8 0'L7>' C2HSH> 6, 8D, $ 0,, 02/ 23 %Ck(k_ 6, R7 4,A, &-, J, G7($ 0W 6, P3_ `7.7,&K, (1352

17 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, $ ),2/ "d/!,#, C,, ),&/ )>c- %CD7 )>/W %),9&/.7,&, 23 45$ 8 A, 6, 0,, &(E1 8 iz )*+, )>. C,- J((" &$ ),&Fk/ %(1397) Ck/ -2014) C7/6 8 >8, C' P(E. 6, 8D, $ C( *+, :/ 6, )>. (#@ JH- &-, J, G7($ 0W 6, P3_ `7., &K, (1990 )>B >. (#@ J($ 1381 1369 )>B 0,, &(E1 )*+,., & 9!'3 93 92 %1391 $ 7$P V:0.4 )Zk &Z1 n; $ (L/ 6, %1391 1390 B )6, )>. &$S *+, (1351-1396) 8 )6, )>;< (2),'H7., 8'$,9#, 6,., 8 8, 07 0,, 0.6 0.4 0.2 0 1351 1353 1355 1357 1359 1361 1363 1365 1367 1369 1371 1373 1375 1377 1379 1381 1383 1385 1387 1389 1391 1393 1395 تلاطم ھای ارزی @+5 (1351-1396) (2) -3,.,. )A-/ w7$ )>/W N, $ 4> Q )>& :i"/ J($ 1392 1391 )>B %(2),'H7 8,A9 `7 N, $ 0 H'> $ 0/AH> A(7 /, J,., 8, vd, 0,, *+, )6, ;< %J(XH>., 8'$ PE/ 0/6, &., %M/W 8 BH1, &"7= )>. 23 45$ 8 A, 6, %1389 B 6, %/W A-/ 8,A9 )>8, N, $

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 18 45$ 8 A, 6, '"b$ > 1393 B 6,., &, C>- 7 CH( C(H(!c'*./ %)6 'K )>45$ 6, C7 &- 8'$ 23 8( 3 5 CD/ _ &$ 23 45$ 8 A, 6, 1394 B., 8'$ )>45$ 6, C7 &-, 8 P3_ 3 4/6 1395 B 6, %(3),'H7. 1, 8'$ CH( C(H(!c'*./ )6 'K., 8 &~,, 0,, *+, 1351-1396 8 02/ 23 45$ 8 A, 40 30 20 10 0-10 -20 1351 1353 1355 1357 1359 1361 1363 1365 1367 1369 1371 1373 1375 1377 1379 1381 1383 1385 1387 1389 1391 1393 1395 رشد ارزش افزوده بخش صنعت و معدن (1351-1396)! $ 1(3) -3 @+5,.,. )A-/ w7$ )>/W N, $ 4> Q )>& :i"/ TQ -?2 P Z@-5 TQ-?2 Z@.1-5 )H./ 0,,$ %(2017) 7H>, %(2007) JGX, 6, ) ( &$ 45$ J, 8 A, 6, &$ '$/ 8 Y* )'GF, (H2 (1396) 0,MH> )z, (1395) *+,. U, )6, )>;< 0-, T; 6, %02/ 23 45$ :'C/ &K, 6 &a$,!'3 &$ 0,, 12 45$ J, 8 A, 6, &7(F U '/ %!S 02/ %23!,6 )b ( &/7$ N, $.١., &, &E3 0W MEH1 $ &-, 8 f<1, 3

19 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, GV A = F (GL, GK, GCIM, GCRE, VOLEX, S A N C ) (1) B $# H(+ &$) 02/ 23 45$ 8 A, 6, R7 GVA %0W &- "7, R7 GK %02/ 23 45$ Ps - ) (7 R7 GL %(1390 45$ ),&/ )>c-!,, R7 GCIM %02/ 23 45$ &/ 02/ 23 45$ &$ >w7$ Ca1,!<(bL R7 GCRE 02/ 23 6, R7 0aEs (2/ n,.7, 8D, $ &-, 6, R7 )>;< VOLEX., 45$ 8 A, 6, 4>- &$ S/ )6, ;< &- C/ :7,., 8 &"./, 8 K, 0,, /W A-/ )A-/ w7$ 6, '$/ )>8,.' 23., 1347-1395 C7/6 8 & &-, >. &$ '$/ )6S/ (I/ SANC 8 Y* )'GF, P$k/!,#, (SSANC) )>. %(PSANC) x(2z )>. %' &$ '$/ )6S/ (I/.'C/ 'GF,, 6, R7 )>;< )>. &(k$ ),$, 8 ':/ w 1 1384 1368 )>B ),$ x(2z )>. )>. &$ '$/ )6S/ (I/ %J(XH>., 8 ':/ D3 1 >B D3 1 >B &(k$ ),$, 8 ':/ w 1 1392 1385 )>B ),$., 8, 'GF, f,- > &79,=!'3 &$ &-, 8 & 9 :7 &$ %() 8L9 )>&D+ $ C.(Z' 'K )' 6, 8D, $ %&/,, A/ J, 6,.'C/ &K, 'GF, )>(I/ J($!/E$ &a$, C$.$,'K$ 0LM 2 C2H= &= w 6, >(I/ &H> L(7 f6c &-,,'K$ )(9- &$ 6, P3_ 4 C2H=>,$ 9, &- 7,8- $# (1999) 3 J( 0,L &$ 8 Y* C$'K &$ 0W )>&D+ &- () )'GF, w!2$/ P+,_ 2. Integrated 3. Pesaran and Shin 4. Cointegrated

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 20 )H- g, 6, w'- )>&7'H7 %,,'K$ B/7 i6' 6, &- J, $ 0 A, %W &$ 8 & 9 :7 CS*+, )'GF, '.,,'K$ )($ C,- )>&D+ $ C.(Z' 'K 6, 8D, $ %(2001) 5 0,MH> 0,L 6, (2" k φ(l, p) y = β ((L, q ) x ) + δ w + u t i ti t t i = 1 L., xe5/ )>&D+ $,60 $ )>(I/ % "/ 6, 1 7/ 8 J((2 4( 6, )>(I/ 6, φ = φ L φ L φ L 2 (L,p) 1 1 2... :, & 9!'3 () 8L9 x t &L$, (I/ s 1,$ w t y t (2) 0W &- &D+ ',,., $# &D+ $,60 $ )>(I/ )6S/ )>(I/ 2 qi I (L,q i ) = i 0 i 1L i 2L... iq L,i = 1, 2,...,k β β β β β p p 6, CM wh- $ 0,'C/, C.(Z' )>(I/ 6, w> ),$ &(b$ )>&D+,2 gz (HQC) 8 J(~'- -0_ %(SBC) 7 JA($ -A,' %(AIC) 6 w(~-w U$,'Z -A,' (2/ 6, %100 6, H- )>&7'H7 }c'h2/.- J((2 (3) 9 8 P2 J((2 >&D+ J((2 (2/ J,. 7 J($ 6, )6 ),6W &= % 'C/ 8D, JA($ '$ >,'K,'K$ )($ ),6W &= 6, J(H5 %&S(7 _, w $,$ θ i y t H7C/ C'= & 3 4-, C$ b=!/e$ g,z.(1996 %J( 0,L) :'C/ 86 J(H5 6 &a$, N, $ ) ) ) ) b (,q ) 0 + 1 +... + i L bi bi b i iq = ) = ) ),i = 1, 2,..., k 1 φ( L, p) 1 φ... φ 1 p x it ((I (4) 5. Pesaran et al. 6. Akaike Criter 7. Schwarz Criter 8. Hannan-Quinn Criter 9. R-Bar Squared

21 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, &"./ P$+ A(7!/E$ 8 &"./ gz &$ '$/ t 8/W,k/ %(4) &a$, 6,, B'H2/ )_ B/7 i6' ),, % t 8/W &- >C/ 07 (1993) θ i 10,., wh- &$ J,$$.,,'K$ C$'K 0,' 6, B'H2/ C7,.$ )>(H- N, $ ARDL., fs7,!/e$ &a$, '= '/, )"2/ )>0'/6W 0,'C/ %B, &E_/.- 8D, ),&E_/ 6, 0,'C/!/ E$ &a$, J(H5 ),$ %0,MH> 0,L) 'C/ 0'/6W C$. )>(I/ J($!/ E$ ", '= &$ 8 57, ( ARDL ) &$ '$/ )ak Y(.* )'GF, %J(XH>.(2001 :'$ >,'K 6 &a$,!'3 k p 1 k q 1 * * (1,p)ECT 1 0 i t φ t βi it δ t φj t j βij i, t j t i = 1 j = 1 i = 1 j = 1 y = + x + w y x + u 1 = k t t θi it ψ t i = 1 ECT y x w *.>C/ 07!/E$ &$ C,GH> (L/, 'GF,!/8'- )>C' β ij 2$ f9./w >,'K &$ (5) :0W &- 'C/ J((2 A,' (2/ 6, 8D, $ ARDL )'GF, )>&D+,2 ECM * φ j (6) J(H5 &E( &$!/E$!/8'- )' )>/, &$ '$/ )6S/ (I/ 0- V.F >(I/ )>&D+ J 9 :7 $ 4> Q )'GF, :'$ >,'K (9) (7)!c2/!'3 &$ ' & x(2z )>. p q q q GVA = α + β GVA + β GL + β GK + β GCIM t 1i t i 2i t i 3i t i 4i t i i = 1 i = 1 i = 1 i = 1 q q + β GCRE + β VOLEX + PSANC + ε 5i t i 6i t i t i = 1 i = 1 (7) 10. Inder

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 22 &"7=w )>. &$ '$/, 8 BH1, x(2z. PSANC %0W &- :7 D3 1 Ck$/ w 1 &"7=w )>. BH1, )>B., M/W., 8 & 9 p q q q GVA = α + β GVA + β GL + β GK + β GCIM t 1i t i 2i t i 3i t i 4i t i i = 1 i = 1 i = 1 i = 1 q q + β GCRE + β VOLEX + SSANC + ε 5i t i 6i t i t i = 1 i = 1 ),', &., %M/W &E('$ 8 BH1,. SSANC %0W &-!'3 &$ )6, )>;< B7-6, )>.!,#, &/,,., (/, 23 45$ 8 A, 6, $ )6, )>;< )>. he3_ :, 8 & 9 :7 02/ p q q q GVA = α + β GVA + β GL + β GK + β GCIM t 1i t i 2i t i 3i t i 4i t i i = 1 i = 1 i = 1 i = 1 q q + β GCRE + β SSANC VOLEX + ε 5i t i 6i t i t i = 1 i = 1 (8) (9) [+ \64" -?2 P.2-5 C 0'/6W `7.' C$ >(I/ 11 C $,$, %C7/6 ) )>P(E. :, 8,A9 (2) B = >(I/ 11. Stationary

23 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, ()&+ 63 2- *7 -!P ], 6^+! 0 &S -!P [+.(2) = ( 0'/6W 8/W &= C2H=> 7 $ )'GF, "/ 6, 1 $ )'GF, 7 0 $ "/ 6, 1 (I/ I(0) -5/75-5/45 GVA I(0) -3/21-3/01 GK I(0) -4/83-4/87 GL I(1) 0/958-0/364 GCRE I(0) -6/26-6/22 GCIM I(0) -3/39-3/21 VOLEX., -3/ 57-2/ 97$,$ g( &$ 3 5 ),2/ Ya 7 $ 7 0 $ 0'/6W C7,.$,k/* 4> Q )>& :i"/ P3_ `7.7,8 W$!/E$!/8'- 8 Y* )>'GF, %&/,,., 8 &~,, (3) B = x(2z )>. BH1, $!/8'- &a$, W$ 6,

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 24 " TQ-?2!-8 _` P \0[+.(3) = ( BH_, t 8/W a6` (2/ n,.7, gz (I/ f7 0/1412-1/503 0/1019-0/1532 GVA(-1) 0/000-5/301 0/0907-0/4812 GVA(-2) 0/0001 4/416 0/1322 0/5841 GK 0/0029 3/189 0/2093 0/6677 GL 0/0036 3/114 0/0067 0/0211 GCRE 0/0002 4/200 0/0228 0/0958 GCIM 0/0849 1/770 0/0252 0/0446 GCIM(-1) 0/0079-2/810 0/0666-0/1874 VOLEX 0/4994-0/682 0/0147-0/0100 PSANC 0/0033-3/144 0/0521-0/1639 DUM54 0/000 6/776 0/0134 0/0911 C White-Test 0/814 JARQUE-BRA 0/743 LM-Test 0/686 0/798 Ramsey test 0/809 DW 1/787 4> Q )>& :i"/ &-, D7 H(+ 4,A, &$ '$/ 1354 B ),$ )6S/ (I/ DUM54!"# C$ b=., 8 & 9 :7 D3 >B &(k$ w $,$ 1354 B!"# 0'/6W 6, C$ '/ 8 C; x(2z )>. $ 4> Q )'GF, )>/, (@, 'GF, ) >/,! "# 0'/6W J, &S(7. 8D, (CUSUM) >/, 6, P3_ `7., ) W$ 'GF, )K LM '= f1 G7($, 8-., 8 8, 07 (4),'H7 0'/6W J,

25 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, a6` " P -?2 +!Q ' -!P.(4) -3 J($ C2HSH> '= &-, f6c %'GF, )>(I/!/E$ &a$, '= t = p i = i :'C/ 8D, t ˆ φ 1 1 i p = 1 Se ˆ φi 4> Q )>& :i"/ C$ ),$ 8/W 6, ':/ J$.(9,+ 0'/6W '/ 'GF, )>(I/ (12) (2/ n,.7, &L$, (I/ &D+ $ k/ &$ '$/ g,z g( &$ %0W &- J,!/E$ B2 H &$ 8 W$ )' )'GF, P2 &/6c., g,z J, &$ '$/ 9,.$ w 6, M'- ( α ) &D+ $ &L$, (I/ &$ '$/ g,z u'hs/ &-, c %C=$ U' 8 &,, C7,.$ k/ TEa/+ 6, 8/W &$ t 8/W TEa/+ C2HSH> '= f1 $ C"/ D3 &(Z %$ ŽA$ 3 95 0(H;, Ya L/ &"./ 8/W 8/W TEa/ + &-J, &$ &=' $.'C/ &!/E$ &a$, '= 8 3 5 ),2/ Ya 12 L/ c %C=$ 8/W TEa/+ 6,, 8/48 $,$ 8 'GF, )>(I/ J($!/E$ &a$, CG"7,> '= f1 G7($ &- %, ($ )>. $ 4> Q )'GF,!/E$ &a$, g,z W$ 6, P3_ `7.'C/ %,., 8,A9 (4) B = x(2z 12. Banerjee-Dolado and Master

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 26 0'7 $ B2 H &$ -_, J, G7($, -1/63 $ $,$ P2 1 02/ 23 45$ &/ "7, R7 ) W$ gz!/e$., 8,H> - ) (7 R7 ) W$ gz.,,2/ 3 w Ya, 0/3574$,$ gz.,,2/ 3 w Ya 8'$ 0/4085 $,$ 02/ 23 45$ Ya 8'$ 0/0129 02/ 23 45$ &$ CM7$ Ca1,!"1, R7 ) W$ &/ )>c-!,, R7 ) W$ gz %J(XH>., 8'$,2/ 3 w., 8'$,2/ 3 w Ya, 0/0859 02/ 23 45$ 5 Ya, -0/1146 $,$!/E$ 6, R7 )>;< ) W$ gz f1 C"#C$ S, T; 6, )6, R7 ;< 4,A, %J,$$.,,2/ 3 %),9&/ T, 0 8'- %wl 4,A, &$ S/ C"L7 )>H(+ 7 (2a+ R7 4>- &$ S/ % J, 6,.'C/ CF/ )>,6$ C"#C$ P2 &A> 4,A, -. )>B )6S/ (I/ PSANC(I/., 8 23 45$ 8 A, 6,,9#, 23 45$ 8 A, 6, $, (x(2z )>. BH1,) &"7=w )>., 8'"7 " TQ-?2! 4 &b_` P \0[+.(4) = ( BH_, t 8/W a6` (2/ n,.7, gz (I/ f7 0/000 5/021 0/0711 0/3574 GK 0/0057 2/938 0/1390 0/4085 GL 0/0042 3/048 0/0042 0/0129 GCRE 0/000 4/636 0/0185 0/0859 GCIM 0/0097-2/725 0/0420-0/1146 VOLEX 0/502-0/677 0/0090-0/0061 PSANC 0/0038-3/090 0/0324-0/1003 DUM54 0/000 7/659 0/0072 0/0557 C 4> Q )>& :i"/

27 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, )>. $ 4> Q )'GF,!/8'- g,z W$ 6, P3_ `7 %J(XH>., 8,A9 (5) B = $ " TQ-?2!-8_` P \0[+.(5) = ( =3+0 t!p 6! d" _` 6^+! c 0/3145-1/019 0/1118-0/1140 GVA(-1) 0/000-4/924 0/1002-0/4939 GVA(-2) 0/0033 3/132 0/1367 0/4283 GK 0/0032 3/146 0/2181 0/6864 GL 0/0030 3/165 0/0074 0/0236 GCRE 0/0055 2/944 0/0236 0/0697 GCIM 0/0475 2/047 0/0275 0/0564 GCIM(-1) 0/0083-2/785 0/0735-0/2049 VOLEX 0/6717-0/427 0/0189-0/0008 SSANC 0/000 6/195 0/0151 0/0941 C White-Test 0/070 JARQUE- BRA 0/905 LM-Test 0/625 0/7459 Ramsey test 0/581 DW 1/898 4> Q )>& :i"/ '/ 8 C; )>. $ 4> Q )'GF, )>/,!"# C$ b=! "# 0'/6W J, &S(7. 8D, (CUSUM) >/,!"# 0'/6W 6, C$ ) W$ )'GF, )K LM '= f1 6, 07 &- - (@, 'GF, ) >/,., 8 8, 07 (5),'H7 0'/6W J, 6, P3_ `7.,

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 28 $ " P -?2 +!Q ' -!P.(5) -3 4> Q )>& :i"/ TEa/+ 6,, 7/58 $,$ 8 &"./ 8/W 8/W TEa/ + &- J, &$ &=' $ G7($ &- %, ($ 3 5 ),2/ Ya L/ c %C=$ 8/W `7.'C/ %, 'GF, )>(I/ J($!/E$ &a$, CG"7,> '= f1,a9 (6) B = )>. $ 4> Q )'GF,!/E$ g,z W$ 6, P3_., 8 $ " TQ-?2! 4 _` P \0[+.(6) = ( BH_, t 8/W (2/ n,.7, gz (I/ f7 0/001 3/525 0/0755 0/2663 GK 0/0064 2/884 0/1480 0/4268 GL 0/0037 3/090 0/0047 0/0146 GCRE 0/000 3/791 0/0185 0/0784 GCIM 0/010-2/683 0/0474-0/1274 VOLEX 0/672-0/426 0/0117-0/0050 SSANC 0/000 7/048 0/0083 0/0585 C 4> Q )>& :i"/

29 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, 0'7 $ B2 H &$ -_, J, G7($, -1/60 $ $,$ P2 1 &-, &"7= )>. )>B )6S/ (I/ SSANC (I/., 8,H> 45$ 8 A, 6, $,AS/ '; &$ )>. BH1, ) W$!/E$ &a$,., 8'"7,9#, 23 R7 $ 6, R7 )>;< B7-6, )>.!,#, %f' ' &/,, g,z W$ 6, P3_ `7.'C/ C$ 02/ 23 45$ 8 A, 6, B = 6, R7 )>;< )>. P$k/!,#, $ 4> Q )'GF,!/8'- :, 8,A9 (7) \:+! TQ-?2!-8_` P \0[+.(7) = ( $ " BH_, t 8/W (2/ n,.7, gz (I/ f7 0/5458-0/6095 0/1076-0/065 GVA(-1) 0/000-5/922 0/0977-0/4811 GVA(-2) 0/0014 3/436 0/1293 0/4443 GK 0/0035 3/110 0/2036 0/6332 GL 0/0022 3/291 0/0071 0/0235 GCRE 0/0019 3/340 0/0227 0/0759 GCIM 0/008 2/758 0/0270 0/0745 GCIM(-1) 0/0089-2/274 0/0880-0/2002 SSANC*VOLEX 0/0098-2/720 0/0347-0/0944 DUM76 0/000 6/151 0/0119 0/0732 C White-Test 0/757 JARQUE- BRA 3/278 LM-Test 0/670 0/765 Ramsey 0/232 DW 1/861 4> Q )>& :i"/

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 30 )>. P$k/!,#, $ 4> Q )'GF, >/,!"# C$ b= 8D, (CUSUM) >/,!"# 0'/6W 6, C$ '/ 8 C; 6, R7 )>;< LM '= f1 6, 07 &- - (@, 'GF, ) >/,! "# 0'/6W J, &S(7.., 8/W 6 (6),'H7 0'/6W J, 6, P3_ `7., 'GF, )K $ " \:+! TQ +!Q ' -!P.(6) -3 4> Q )>& :i"/ TEa/+ 6,, 7/53 $,$ 8 &"./ 8/W 8/W TEa/ + &- J, &$ &=' $ G7($ &- %, ($ 3 5 ),2/ Ya L/ c %C=$ 8/W `7.'C/ %, 'GF, )>(I/ J($!/E$ &a$, CG"7,> '= f1 ;<. P$k/!,#, $ 4> Q )'GF,!/E$ g,z W$ 6, P3_., 8,A9 (8) B = )6, 0'7 $ B2 H &$ -_, J, G7($, -1/54 $ $,$ P2 1 6, (SSANC) &"7= )>. BH1, %) W$!/E$ &a$,., 8,H> 3 5 Ya 8'$ -0/1294 $,$ 0W ) W$ gz 8'$,9#, 6, R7 B7-.,,2/

31 0,, 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, \:+! TQ-?2! 4 _` P \0[+.(8) = ( $ " BH_, t 8/W (2/ n,.7, gz (I/ f7 0/0003 3/956 0/0726 0/2873 GK 0/0079 0/0028 0/000 2/804 3/199 4/592 0/1459 0/0047 0/0211 0/4094 0/0152 0/0973 GL GCRE GCIM 0/038 0/012-2/148-2/610 0/0602 0/0233-0/1294-0/0610 SSANC*VOLEX DUM76 0/000 7/658 0/0061 0/0473 C 4> Q )>& :i"/ *+,6, <S6Q 6M&/6+.6 %0,,!S 02/ 23 45$ %1404 6,7, 8 ( T, 8G= &ka/ )S C72/ %C23 B, 8G= ),, %'- *+, 0,( H(+ &2/= 6(7 '/ (D(-$!c'*./ 8-J(/@ %& ( ) C"/ 6, )k, &-, J, G7($ & &2' )>'- &$S A(7 C ; 6,., 'Ea/ C3'*K 45$ %F &- 0W G/ %7'CH7 u'+ &$ C23 )>8G$ 8 A, - /W- O5/ &/7$ w $ C23 CD3 )>PM C// )>b7 -/ '- C23 &2' n,>, )68( )A&/7$ 7(9,+ GM )>K6 S, ),9&/ (/, S, - A(7 F 4k7.$ &, P(bL ':/ &$ f6c!/,+,, )6, )>;< B- )*+,!"# S, %f6c,'/ C-H9,'1 4>- T; 6, F %8 <1 &$.(9!'3 C23 &2', 'F, )6,!<(bL P./ 6, (F' 'ak )66$ %23 45$ ),&a, &(F, )k, b=, C3K )>v'/ 7,'C/ 0,6, CM7$ Ca1, CF/!<(bL O(*5.(G$ :7 23 45$ 8 A, 6,

1398 < 1= >3$ 1 =, 1,-?2 @+5 A!4@ 32 02/ 23 45$ 8 A, 6, $ 6, R7 )>;<!,#, 4> Q J, 8L9 )>&D+ $ C.(Z''K C7'(9 6, 8D, $. U, 0,, & 9!'3 )> W$ 6, P3_ `7., 8 C$ 1347-1395 C7/6 8 CD/!,#, 6, R7 )>;< T; 6, )>. &-, J, G7($!/E$ R7 %J(XH>., &, 02/ 23 45$ 8 A, 6, $ ),2/!,, R7 CM7$ Ca1,!<(bL R7 %- ) (7 R7 %&/ "7, 45$ 8 A, 6, $ ),2/ "d/!,#, 02/ 23 45$ ),&/ )>c- CD/ #, %(1393) 0,MH>,6W MD/ &2Fa/ N, $.7,&, 02/ 23 $., 8 P3_ C23 )>c-!,3 $ )>c- H(+ C2+, 6, R7 C"#C$!,((I 6, C7 C7(H;,7!7'7 #, A(7 %(1393) )H./ C("/ 4> Q N, C~, &2Fa/ N, $., 8 P3_ CD/, *+, C2+, 45$ ) $ 6, R7 /, %, &,7 )*+, $ ),2/ #, x(2z )>. %(1394) 0K 0,,$., &, )*+, $ CD/ #,!/'- )'+ U'/ )>. 0,MH> )z, &(F,,'/!,, &/ )'='/ "d/!,#, (1395) )H./ &$ 23 45$ 8 A, 6, $ C,, ),&/ )>c- "d/ #, %(1396) O*5/ - ) (7 CMA( &/ "d/ #, A(7 %(1384) M$ 8,6H1.7,8 W.7,8( 23 45$ 8 A, 6, $ O*5/(s )>;< 4>- $ 'C/ b( 0,,G( &$ 8 P3_ `7 N, $.- >,, )(F' 45$ 1L/ &(/6 %0W 6, P3_ )>C7(H;,7 4>- )6, CE- )>( &2' &/7$ 8 & 9 :7 n,>, &$ &=' $ %J(XH> 45$ HL/ &$ C$( ), F C,=, )>">, %C/ k/ *+,.' l5, 23

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