Quarterly Journal of Economic Growth and Development

Research
Vol. 7, No. 28, September 2017 (51-70) (51-70) 1396

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(1395/3/23 :A .BC 1395/01/19 : ; .!$)

An Investigation of Energy Consumption, Economic Growth and CO2

Emission in the Iranian Economic Sectors
*
Rouhollah Shahnazi1, Ebrahim Hadian2, Lotfollah Jargani3
1. Assistant Professor of Economics, Shiraz University, Shiraz, Iran

D
2. Associate Professor of Economics, Shiraz University, Shiraz, Iran
3. M.A. in Economics, Shiraz University, Shiraz, Iran
(Received: 7/April/2016 Accepted: 12/June/2016)

Abstract:
Although the trend of increase in energy consumption
has made possible fast economic growth of industrial
SI
) *+, -+,(./ "0 1 2( - 3 * &435 "637( 831, 9 ( :( & *7
B(3+ C( #( D+A C " + *+$ ;< 3+ 7 &= ( & ,( 03> 3 , ( ? @$A
:
of
modern society, but because of combustion pollutants
emission and increase in density of carbon dioxide in H(3++ IJ ++ ( ) ++%/ 3 ++ J( 0 K 3++> * ++ >( "0 ++EFG 9 ( ++:(
atmosphere has made irreversible changes in the world. 83+1, ) + , O +PJ ( H + J &+ &/.J . ( & M &/(., 3 N 7 53
Not only this trend is destroying finite and nonrenewable 9++Q 3++ 0 K 3++> * + >( "0 # + 5 + 7( "0 + 1 2( *++ "63++7(
energies, but also it is releasing numerous of pollutants
" + D+, C 83+1, 0 ? .+/&:3+A "(3/( 0 ., 0 "3 5 1J
ve

into the receptive environment (air, water, and soil).

In this article, existence of causality relation between
energy carriers' consumption with economic growth and
carbon dioxide gas emission in sectors of Iran's
economy (residential, general and commercial, industry,
i
*+ )*+ *+$> ) *+ K 3+> * + >( "0 # +5 7( 9 > %/ "637(
K+ ( 0 . + ( 9+Q 3+ "(3 &= ( K ( 3JR 20 ? 3 *$,# 7 "0 1 2(
*+ + "63+7( U+F Q, " + D, C 831, K FS T &= ( 0./ &@' =,

agriculture, and transportation) in period of 1997 to "0 +1 2( U+F Q, " + 9+Q 0 K 3+> * >( "0 # 5 7( "0 1 2(
ch

2012 using causality Toda and Yamamoto method has 0 0 (D+X7 D+ C "# + > @$+A " +VJ ?,.+ T ?W7 M)
been studied.
In the agriculture sector, results show a unidirectional ?+ 3 0 ., )(3 ( 0 .J., , (0.J FS T Y #( 0 ( 1376-1391
causality relation of energy carrier consumption to #( + [C Z + 7 "# > 9Q 0 * 0?, ) 7 Z 7 . ( & :35 (32
economic growth. In transportation, residential, general
"0 +1 2( *+ &+ "637( " D, C 831, #( &:3]\ FS T &= ( 0./
Ar

and economic sectors existence of bidirectional causality

relation of economic growth variable and carbon dioxide *+ 7 *+ ^J FS T &= ( 0./ K 3> * >( "0 # 5 7( 0 ., 0 ,( .0 (0
gas emission with energy carriers has been verified. In &+= ( 0.+/ " +VJ ?,.+ T ?W7 M DX7 D C " 9Q 0 . (
industry sector, a unidirectional causality relation of
economic growth to gas, electricity to economic growth
+ K 3+> * + >( "0 # +5 + 7( "0 +1 2( *+ 3 I , #( &:3] 0 FS T
and bidirectional causality relation of coal exist. Also, #( &+:3]\ FS T &= ( @$A 9Q 0 . ( * * ^J "637( " D, C
there is a unidirectional causality relation of carbon *+ #( &+:3] 0 FS T &= ( "0 1 2( * & B3 # 5 & "0 1 2( *
dioxide emission to oil and bidirectional causality
relation carbon dioxide gas emission to other variables
+ 7( #( &:3]\ FS T &= ( K $_ .0 (0 0./ `$ G# & "0 1 2(
except oil exist. * + >( "0 # 5 7( #( &:3] 0 FS T &= ( 7 & K 3> * >( "0 # 5
.0 (0 0./ 7 #( 3 G 3 I , 3 & K 3>
Keywords: Energy Carriers, Economic Growth, CO2,
Toda and Yamamoto Causality.
JEL: O13, O44, C22. "(&7 QF5 " # 5 "0 1 2( * "637( " D, C :
..J., , (0.J FS T
.C22 O44 O13 :JEL

"# $% &'(! : !" # "$ % *

*Corresponding Author: Rouhollah Shahnazi E-mail: rshahnazi@shirazu.ac.ir

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) , FS T &= ( ? 3 :& ' ( ) 52

K +@, &7 + < \+ #( &7(3+ *+,< 0 N5 ?' & : 9 > -1

.(25 :1395 " *%,) * ?, 0.P% 7 # i d, > &+ 0 ?+] ?+= d, + # Dc + , & ?,. T &/.J b., # G<
" + D+, C #( 0 + ( ) + , FS T K @J &' X, K ( 8*
" + 9+Q 0 K 3> * >( "0 * '.J "0 1 2( * "637(
K+ ( "3E7 ?7 P, (* ( ( K ( 0 . ( )(3 ( 0 1 2( UF Q,
iPJ3+, ?+FP2 H +@' =, su+ . + ( *+ vQ+ , O +PJ (
\++ .gJ ?7 + P, ?++ 3 #( s++ &++,(0( 0 *++ vQ++ ,
. ( * &c( ( 0 <3 Z 7 0 ( 0 ., " Y
G HI JC K) ")
-.% /. -1-2
" H +%/.J K+ ( *+ T +>3 J + . e.+2 &+ 1960
" 0 +1 2( ) +:( # *+ &=+ ( &+ ? @$A " ?50.'<
#( " + ?F++A( 8*++ &++[$ ( &++ &++/.J + .0.++ ? @$++A
3J; + "0 +1 2( * f= & ? 0 "0 1 2( "
&+ "0 +1 2( *+ #( ? 7 ?= d, # H(3] Q, * ?,
e.+h., K+ ( &+ &+/.J + . ( * D *PJ %, &Fg , \
+ (# + + [ 5*+ 0 #( + # i d, )( (*:3] #( ?M3
-2 K+ ( j + ( 3+ .*7( 03> ' Q, "0 1 2( * 0(#< H VJ
" + Y# ( #( k.+F=, + C 0 (# + &+[$ ( D '0 & 5* 0

D
2
). 70 H*73 *$7 , \ w>.g7 ) 7(00 1 2( qFG( 5* 0 H 3h ' 0 ' M0 0. ?, &/(., [ ?= d, #
"63+7( &> *7*X @, %7< .* ?, \ 6.'.>( ) 7(00 1 2( U' Q, # i d, & ? 0 "(3 *7*X @, 3W 0 ?M3 ,( .* ?,

SI
.+] &+ 0 (N5 ?, & ,3 > " 3 7 3 &> "3 m^J R 3] #( 0 %7< . ( l#; "0 1 2( * 3X: )03> K> & 3J '
* 3 "3m( y X , ( 3mx, "0 1 2( * 3 X ,3 G . > )* 3J?$G &> *$$>?, ) &Fg , K ( H Pm( %/
D+A( \+ 3+ \ + w>.g7 ) 7(00 1 2( qFG( .0 (*7 "0 1 2( "0 +1 2( 3+ G " + &P$/ & 3 &/.J )(*7 3% R] $,
*+ '.J 0 ?[4.+> 9+X7 "63+7( &+> + ( K ( )< *7*X @, .(131 :1395 "0 + () *+$$> ?+, h XJ ( 0.M ?5*7# i (3
of
?+ ( D+,(.T ( "( &= ( 0 %7 \ & (0 "0 1 2( +$> 3J J "3% "(. &> *$ (.M ?, *$ J 3m " . >
?+23 "0.+P% ) *$ K ,# & ,3 > " 3 7 %$J * '.J " 0 (*7 + ( K + $_ *$++ & + (0 "3++J J " + 0
.(38 :1387 ?7(N@F5 "3J* * ?= d, # K 7(.2 3J&7(3 5 Q ?= d, #
ve

#( v+1Q ,3 G v+1Q , #( T( > " 3 7 & ,3 .*$PF]?, K i . , *,< 0 " . > & P 7 (
0 *+ - (.J 0 &> *7( "0 1 2( * 3 3mx, D,(.T K 3J %, + m< &++> *++ 0?++, ) + 7 "0 + 1 2( H + 0( 3++ " 3++,
7 "637( D, T * * */ " " .gJ 0 .*7. ?, & :35 3E7 "0 +1 2( *+ 3+ "637( 831, 0 ? ./&:3A "
i

U+F Q, " + *+, 0 )< + ( ?+' ( * *, 0 ( (3+2 &+/.J 0 .+, ?+= d, #" ?C(3] 0 *
ch

3
?[ :.+ *+, 0 &+> *+$>?, ) )3 ( . 7 ) [ o C K ( #( "0 1 2( * 3 ?50.'< 9 > m< e.h., .03 5
& ,3+ +> " 3 7 . ( * D, T K 3J %, "637( * 83+1, ?50.+'< K + ?' + C( &+= ( &> ( ( cC
"63+7( &+ "3 5 +> &+ "(3+ &+> *$ + "( &= ( D,(.T 3W 0 ". #( "0 1 2( * "637( 831, . \ #( "637(
Ar

K +$_ .(3 +7 j3+ < #( D+X7 & 1993 )3 () *7( & ( + K (3 +$ .(15 :1394 )( +[ ?+%'( + @7)0 (0 0./
&+> *+$>?+, ) + \ + w>.g7 ) 7(00 1 2( #( DX7 & )3 ( i +d, + > q+ 3QJ "0 +1 2( *+ K &= ( & &/.J
.] & 0 (0 & ,3 > " 3 7 3 &> "3 m^J R 3] #( "637( i +d, )( (*+:3] ) , 0 "( &'0 V, 3 M( " & 0 0 #
"3+m( y X , ?' ( 3mx, 7 "0 1 2( * 3 X ,3 G + #i +d, )( (*:3] (3 # * 0 V ( "0 1 2( * #
.(138 :1993 )3 () 0 (*7 "0 1 2( * 3 + # i +d, + > q+ 3QJ q/., "0 1 2( * *7*X @,
> " 0 %7 3 wT * * */ " & 3E7 0 # 3,( .0 (0 0./ &$ ,# K ( 0 7 U' Q, " 5* 0 ?' ( *
0 *+ '.J +%, " + 0 %7 #( ?[ )(.$T & 7 "637( & ,3 j.+[@, U &+= ( 0.+/ *+$ 0 ) 7 * (. ?M3 &F / #(
" + 0 %7 #( ?@ J * '.J ( !3=, )w> 0 1 2( " od &+ 3E7 K ( &> 0. "0 1 2( * # i d, >) ,
1
( K ( 3 {3: K $_ .0. ?, ?XFJ "637( & ,3 > j + ( 3 . ( & :35 l 7 « ?= d, # s 7#.> ?$d$,»
"( &+= ( *+ '.J f=+ 0 %7 K ( #( 0 ( )( , K &> # i d, > "0 1 2( * & ' ( DC(3, 0 5* 0 K (

2. Berndt & Denison

3. Stern (1993) 1. Environmental Kuznets Curve

www.SID.ir
53 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

003+5 ?+, *$ ;< k.F=, 7 " ?/ 3M 9 ( :( qP j.[@, ?@ J "637( 831, 3W 0 ". #( .0 (0 0./ X ,
&+$ ,# K+ ( 0 .*$ + 3mx+, + # i +d, q+ 3QJ 0 &> 83+1, 0 +%, "3m( "637( 2 3 IJ ( )< 2 #(
&+ )(.J ?, &F / )< #( &> ( & :35 H .A "0 # H @' =, :1383 ?+[F,) 0 (0 ?+F, v' +M 7 * '.J 0 &V 7 0 "637(
?23 "0.P% ) 03> ( s 7#.> ?= d, # " ?$d$, .(107
?+$P, "* (. * , 1990 & 0 0 .(39 :1387 ?7(N@F5
+ # i d, q 3QJ UF Q, " vM K &= ( 0./ 3 0"$( 123 -.% /. -2-2
K + 0.+/., &+= ( & P j.[@, U D[ & &7(3 *,< 0 0./ &:3] 0 ? $>( # i d, 0 1 2( K ?F> .] &
?$d$, & ' ( s 7#.> ?$d$, 0 *,< 0 "3 (3 7 &7(3 *,< 0 &+ ' ( 0(.+, &F / #( "0 1 2( - $, #( 0 ( W$ .0 (0
&+= ( 0 ( + 7 # i d, & O. 3, H @' =, 0 s 7#.> *+$ (3: K+ ( 0 *+$$>?+, *+ '.J ( H ,*+M ; > "637(
?5*+$ ;< &+ O.+ 3, " vM "0 1 2( * K .>N, H @ h )(.$T & ( * '.J 0 0 ( 0 ., " 0 %7 #( ? 2
?+$d$, &+ j.+[@, U H .+A &+ ( + # i d, >) &+> H @ +h K+ ( .*+$7(035?+, # # i d, & *7
H + 0( 0 # 3++,( *++ 8 3++@, s 7#.++> ?+ = d, + #

D
0(.+, + * + >( "0 K 3> * >(.7., " # 5 D[ & y J* T
0 + # i +d, q+ 3QJ "0 +1 2( *+ &= ( "0 1 2( D+ dJ ?50.'< # 3 q/., * ?, kwh : *, / *c(#
+X 7( & +h3: + s 7#.+> ?+= d, + # ?++$d$, & +h3: &+ECw, q+ J3J K *+ .003+5?, &@, / & ?/ M " &$

SI
.0# ?, ) 7 ( 0.M ?= d, # + +A3: &+$ + 0 +1 2( 0 1J 3 } QJ( &> 0. ?,
?+= d, # ?$d$, !w=A( K ' ( 33' , .W (0 . ( & & : 0#( " A3:
"( &+ ?+$d$, + ?+$d$, K+ ( P+ D '0 & ( s 7#.> ?F + : " + M.+ | & "637( & ? 831, & P'(
of
*+7( 0(0 ) + 7 "0 1 2( " 0(0 #( ?€@ .*703 [ s 7#.> ? < > U@h )< 3 wT "0 1 2( * 8(* ( RXdJ "(3
+ ? (*% H 7 [,( "# > H;.1d, "637( 831, &> &+ ~0. ?, # i d, ?50.'< 9 ( :( oT )< 831, 0
3+ "0 + # 3 m^+J &Fg , K ( *$$>?, 3 IJ &7(3 *,< 0 * &+> * >( "0 # 5 7( (. ?50.'< %, D,(.T #( &> " .]
ve

:1994 3' +, .W+ (0) + (0 * (.M ?= d, # > 83+1, &+V 7 "( &+7 QF5 " + # 5 e(.+7( K 3J %, #( ?[
.(3 ?J ,*+M " +VJ "* '.J " 9Q 0 ?F : " M.
i +d, ? > f= 9 ( :( "(3 h XJ &7(3 *,< 0 9 ( :( #( D+X7 &+ 2007 1)( +[ +FT) *+ ?+, ( ?W7 M
i

.*+ ?+, 9 ( +:( + # i +d, 0 " (N+5 & ,3 # .(38 :1387 ?7(N@F5 ?23 "0.P%
ch

& 3V$, C .] & "0 1 2( * &> 5 )(.J ? 7 K (3 $ H*+,*$F &= ( ? 3 & 0.M &@' =, 0 2)( [ .J
o+T ?';* ( &c( ( 4K,3[ .0. ?, # i d, "0. 7 0 +[ 3,< 0 K 3+> * >( "0 # 5 7( "637( 831, K
?+= d, + # & +h3: 3 + &+4 3+ Y3 + 5 H3%+ ) + 7 &@' =, K ( ?FA( Z 7 .*$ M(03 1950-2002 "
Ar

*+ &+> 0 (0 0.+/ ?$+ * (. " 3E7 #( .* s 7#.> * + >( "0 # +5 7( H* &@' =, 0 ., 0 0 &> * 0?,
+ # i +d, q 3QJ & 3V$, 0.M & ' ( DC(3, 0 "0 1 2( &+ : 9 ( +:( ?F + : " + M. 831, 9 ( :( K 3>
•+ C "(3+ ( +%$J * K 3 % %7 0 ?' .0. ?, * "0 1 2( * @ / * D, T K ( $> 0 K $_
*+$ J 3m ) %/ " . > 0 # i d, ? > f= " XJ ( * + >( "0 # +5 7( 3 (N53 m^J ? D, T 7 B3 831,
.(492 :1992 K,3[ ) ( )* .(438 :2009 )( [ .J) *$ K 3>

+ J C L M3 -3 523 0"$( 6 .7 -3-2

83+1, K &= ( &$ ,# 0 * l V7( H @' =, 2K( 0 + $, -+P$, •.+1M 0 +%, D,(.T #( ?[ "0 1 2( *
&c( ( (1) */ 0 # i d, ?FM(0 v' M 7 * '.J "637( + "0 1 2( * 9 ( :( (3 # .* ?, ?= d, # H(3m(
. ( * 0.+ ?, ?= d, # ?@ P] - $, #( 3 0 ( oT

3. Dasgupta & Maler (1994) 1. Alam et al. (2007)

4. Beckerman (1992) 2. Tol et al. (2009)

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) , FS T &= ( ? 3 :& ' ( ) 54

K H @' =, #( "(&AwM .1 8

>2 % = <2 ' # : ; # "$ %

3 J ?W P7( FS T ?W P7( ? 3 1
"63+7( 831, & "0 1 2( * #( "( &:3] \ FS T &= ( "; `$4
+ ++ FS T #( .c + ++ 1955-1993 "63+++7( 83+++1, K +++
.0 (0 0./ I ( & "637( 831, #( (1997)
3V735 "0 1 2( " ' @:
"63+7( ? +%7 83+1, K + &+:3] 0 "3V735 FS T &= (
2
K &:3] 0 "3V735 FS T &= ( \ ?FM(0 v' M 7 * '.J FS T 0 (*7 ( ).,#< "63+7( K + + FS T O PJ ( `7
1954-1997
0.+/ `$+ G# & 3 ['( 831, ?FM(0 v' M 7 * '.J "3V735 ?F, v' M 7 * '.J (2000)
.0 (0
0 (*+7 "(&= ( K 3> * >( "0 &7(3 ?FM(0 v' M 7 * '.J ++ @ / *++,< 0 H(3 m^++J 3
`$: 7;
+ @ / + D[ ?7 .> &= ( \ K 3> * >( "0 &[F D7 1970-2000 0 CO2 # + 5 3++ " + $:
(2006)
.0 (0 "6.'.$[J (0 7 >

D
# +5 + 7( K + ?SFT &= (
i +d, ?50.+'< "637( 831, H*,*$F FS T "0 1 2( * 4
+ "3V735 FS T 83++1, K 3++> * + >( "0 `7<
"637( 831, ". #( &:3]\ ?SFT &= ( \ 0. # 1960-2000
?W P7( .++ > 0 *++ '.J "63++7( (2007)

SI
( (323 H*, J.> 0 * '.J * ". &
& 7(3:
" +=M f d1J *, :*+ '.J "63+7( K + &+= ( 5
" j .
0 (0 0./ 0 :( Y# ( & B3 831, #( &:3]\ &= ( \ "&++ VJ " (03++ 1968-2002 M + @$+A #( "* (.+
(2007)
s7 ( & >3J
of
6
?+FM(0 v' +M 7 *+ '.J &+ B3+ 831, #( &:3]\ "(&= ( ?W + +++ P7( + +++ 83+1, K + ?+SFT "(&= ( )( [ )(.
1978-2004
0 (0 0./ ?X XC K 7 . K 4 0 "0 1 2( * B3 (2007)
" + M.+ 9 ( +:( + K 3+> * + >( "0 # 5 7( H*
83+1, K H*,*$F &= ( 7
*+ "0 +1 2( *+ +@ /* & : 9 ( :( ?F : ?W ++ P7( ++ Y )( [ .J
ve

1950-2002 "0 # ++5 ++ 7( "63++7(

* + >( "0 # 5 7( 3 (N5 3 m^J " D, T 7 B3 831, K 7 . (2009)
[ 3,< 0 K 3> * >(
.*$ K 3>
?/ +M X + , " (N5 & ,3 K H*,*$F & . 0 FS T
i

+ . FS T H*,*$F &= (
"0 + 7( ?/ +M X + , " (N+5 & ,3 "637( 831, ?W + P7( + ).,#< 8
ch

K 3+> * >( "0 7( K " J .c

v' +M 7 *+ '.J K + H*+, J.> & . 0 FS T K 3> * >( + FS T ).+,#< ?F7 1982-2007
*+ + '.J "63+++7( 83+++1, (2011)
"0 + 7( ?+FM(0 v' +M 7 *+ '.J "63+7( 831, ?FM(0 "3V735
?FM(0 v' M 7
.0 (0 0./ K 3> * >(
Ar

&+ B3+ 83+1, #( "0 +1 2( *+ & B3 831, #( FS T

D++++ FdJ &++++ VJ "0 +1 2( *+ K + &= ( 9
0 "0 + 1 2( *++ &++ " (N++5& ,3++ #( " (N++5& ,3++ ) ,# 0.@ ,
K+ 7 . ?@ / 1981-2011 " (N5 & ,3 B3 831,
"0 +1 2( * B3 831, #( H*,*$F 0 FS T .H*, J.> (2012)
FS T Y0wW$ 0
. ( " (N5& ,3 &
+ + @ / CO2 + + 7( 10
+ @ / )*+ ? @$+A SAARC qQ $, " . > 0 +++ D+++7 Y * C(
1980-2008 " .+ > 0 ? @$+A *
*7( 0. . > K ( "(. ?50.'< D, T 0 3 K 7 . ?@ / (2013)
< k.$/ qQ $,

1. Cheng & Lai (1997)

2. Yang (2000)
3. Lantz & Feng (2006)
4. Ang (2007)
5. Soytas & Sari (2007)
6. Yuan et al. (2007)
7. Tol et al. (2009)
8. Pao & Tsai (2011)
9. Masuduzzaman (2012)
10. Ahmad (2013)

www.SID.ir
55 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

>2 % = <2 ' # : ; # "$ %

%+ &+ "(& + "637( #( &:3]\ FS T &= ( \ 0./

"63+7( 83+1, K &= (
& "(& "637( ~?FM(0 v' M 7 * '.J * 0 @$A 9Q 03 > 3V735 FS T 1
? @$+++A ~"0 ++1 2( *+++ )( [ >(0.,
%+ + B3+ "63+7( 83+1, ~K 3+> * + >( "0 # 5 7( 0 ?+++7( (3: &+++$,(0 1975-2011
# i d, q 3QJ ~)* (2013)
+ FS T &++= ( ~?++FM(0 v' + M 7 *++ '.J *++ 0 "# + > j3 k.4 4
- $, D FXJ
@ / >(3J B3 831, K "(&:3] 0
+ 0 <3: 831, & * '.J #( ? @h ?SFT &= ( H*, J.> 0
f d++1J " ++ *++, 83++1, "0 ++1 2( *++ ? 3(
&+ ?+FM(0 v' +M 7 *+ '.J #( + FS T &+= ( 7 H*,*$F 0 1338-78
" (03 " =M ? 7 * T " 0 <3: (1380) ? =1,
. 0 <3: 831,

" D, C 831, K FS T
*+ "63+7( " + D+, C 83+1, K &:3] 0 FS T &= ( j PT 0(# V7
.c FS T 1350-81 0 + 9+Q *+ "637(
.*$>?, ) ( )(3 ( 0 9Q (1383) K d,
)(3 (

D
*+ & "637( ? %7 831, D> #( &:3]\ ?SFT &= ( \
(0.+++J " +++ Y K + "3+V735 + FS T &= (
*+ #( &+:3]\+ "3+V735 + FS T &+= ( \+ "0 1 2( e (# K, <
f d++1J .J., ++, 1346-81 *+++ "63+++7( 83+++1,

SI
*+, / " + M.+ 831, ?@ P] # 5 831, & "0 1 2( (1384)
=M )(3 ( 0 "0 1 2(
(
D+ ++ FdJ &+ ++ VJ 83++1, ) + , ?++FS T &++= (
#( ?+FM(0 v' M 7 * '.J & "637( 831, #( &:3] \ FS T "0 < *A ?$ C
).++,#< ?++ (35 + 1350-84 *+ + '.J I + + ( "63+++7(
. ( "637( 831, ?FM(0 v' M 7 * '.J & I ( (1386) )( [
of
.c FS T ?FM(0 v' M 7

*++ '.J K ++ ?++SFT &++= (

& + 3 ['( "63+7( 83+1, 3+ l*+X, "0 1 2( * )(3 ( 0 )( [ j3=:
.J., , (0.J Y 1967-2006 83++1, ?++FM(0 v' ++M 7
. ( (1387)
& 3 ['(
ve

"637( 831, & ?F, *,< 0 #( &:3]\ ?SFT &= ( \ 0./

*+,< 0 "637( 831, &= ( ?7 XC "( #3
*+ J 0 .+, K 3+> 7( *,< 0 ) , ?SFT &= ( ?' . ( "3V735 FS T 1353-84
K 3> 7( ?F, (1388)
i

( & :3W7 (32

ch

D+X7 D C @$A 9Q 0 0 " M H(3 IJ q' G 3m(

* ++ >( "0 ++ 7( &++ VJ
H*+ ‚ + y P+ 7 3+m( 9Q 3W 0 0 "0 1 2( * ?J(3 j3=:
vM & VJ D FdJ 1376-89 "637( 831, #( ? 7 K 3>
"0 + 7( 9 ( :( 3 " VJ ?,. T ?W7 M 9Q 0 "637( (1390)
)(3 ( "0 1 2( " 9Q &
Ar

.K 3> * >(
"0 # +5 + 7( 9+ > + 3 I , K H*,*$F &= ( 0./
H*+,*$F H*, J.> &= (
& H*,*$F H*, J.> 0 *,< 0 & P 7 &7(3 K 3> * >(
K 3> * >( "0 7( K ? A "3 @/
#( &+:3] \+ + FS T &+= ( \ 0./ 0/07 0/03 q J3J + "(&++7(3> ).++,#<
1357-89 *+++ "63+++7( 83+++1, M "* d,
# 5 7( &7(3 "637( 831, & &7(3 v' M 7 * '.J ?W P7(
0 *++ */ * (.++ :"0 +1 2( (1391)
„3+7 + #( &:3]\ FS T &= ( &7(3 K 3> * >( "0
)(3 (
.* 0?, ) 7 ( "0 1 2( * & I (
vM ++++ &++++ VJ 3++ $, * + >( "0 &++ VJ
q+ J3J &+ @ / * " M H(3 IJ "0 1 2( ' @:
? +W' " | . 0 &++ D++X7 D++ C 9++Q ?J(3 j3=:
H*+ *+7(& + (0 K 3+> * >( "0 7( 3 ( 3m( K 3 1376-89
" + + | . 0 vM + + e(.++++7( + ++ 9Q 3++++ # (1392)
.0 (0 ? > ? X7 "637(
? C K W7 , ?:31, " M.
R XdJ " <035 :?@A

1. Mudakkar et al. (2013)

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) , FS T &= ( ? 3 :& ' ( ) 56

" +VJ " + &+M34 +>3C &+ O.+ 3, -+2( 0 "( &M34 K+ ( 8(*+ ( &= C 0 & N5 H @' =, Z 7 "*$ - /
0 + ( UF Q, ?7;.] " .] 0 "0 1 2( " (3[J "637( 831, K FS T &= ( \ :&> 5 )(.J?, 9 |
"3+ " (3[J ) .7 & O. 3, ?F1: H(3 IJ & 'x, &> ?' C "0 # 5 7( "637( 831, K K $_ "0 1 2( *
?7 +,# "3+ \+ : K ( 3 wT .* ?, .] 0 &+:3]\+ . > ?M3 0 &= ( K ( &> 0 (0 0./ * >(
?:0 +1J E$, +7 " †. 3 m^J dJ ( K[ , "0 1 2( &= ( 0./ H @' =, ?M3 0 ,( .* ?, &:3] 0 3W 0 ?M3
?' +, " + )(3d `$/ *$7 , "0 T3 G " 0(* #( ? 7 qP & K 3> * >( "0 # 5 7( "0 1 2( * K FS T
.] & ?7 ,# " "3 ? M34 " >3C .03 5 (32 ?=d2 .0. ? 7 * ^J s 7#.> # i d, ?$d$, P T(
"3+ \+ (N' *$ 0? 7 „ H*, J.> " "3 0 . @, 83+1, D+> ) + , + FS T &+= ( y J*+ T & N5 H @' =,
(Tt) ?7 +,# *+7 &+ 'x, &+ #( ?@ +J *+7(.J ?, (Xt) ?7 ,# " D, C 831, UF Q, " 9Q "0 1 2( * "637(
&+ &+> *+ (It) ?:0 +1J E$, 7 … / (St) ?F1: H(3 IJ .*+7( 0(0 (3+2 ? 3 0 ., ( 0 1 2( D> * "637( UF Q,
? 3+++hD+++A C + + Xt=Tt+St+It 3 N+++ -+++ / H .+++A UF Q, " D, C 831, ) , FS T &= ( 9 | K ( 0 ,(
.(502 :2000 13' [, ') 0. U 3@J Xt=Tt×St×It 3+ "(3+ K 3+> * >( "0 # 5 7( "0 1 2( * "637(

D
3+ # H .+A & 7 , ?F1: Dh J "( (0 &> y (t ) &' P70 ?+ 3 0 .+, &+7 5(*/ .] & )(3 ( 0 1 2( " 9Q #( \
. ( & :35 (32

SI
: (
(1)
G HI "# 'A ! -4
y t = y t −4 + ε t
i+ ( 0 <3+ +%/ "03 +> ?V$+ 0 1 2( " + D FdJ 0
of
&+= ( )(.+J?+, b 0 , 0 dJ( (L) & 2 0 7 #( 0 ( ?+] 0 *+ +%7< s7 + ( K W7 + , 3 I , K H*,*$F
: .7 3 # H .A & ( ; s7 + ( .> 0.+ ?+, {3+: *+ & :35 3E7 0 m ) ,#
(2) ?W + +%7< &FA : & 2 )( , & iX: ) ,# .] 0 3 I ,
y t = y t −4 + εt ⇒ (1 − L4 ) y t = εt ⇒
ve

?$ +h .+]& -2( 0 .* & (*7 ) ,# & ?] PJ ( & (0

(1 − L )(1 + L )(1 − iL )(1 + iL ) y t = εt "03 +> H X XdJ 0 ,( . ( 3 I , " : H Pm 3 {3:
D [ J 3 # &'0 @, j ( 3 y (t ) &' P70 &> $> {3: C " + 3+ I , " + : H +Pm 0 (., 3 0 &> ( * l.F@,
i

t " ).,#< #( 0 ( K (3 $ *$>? 7 (* RXdJ ?7 ,# "3

ch

:* *
" : H Pm %7< 0 &> ? *, 0 " ,< O P$ ( %/ F
(3)
Z 7 0.P7 P T( "( (0 ( & : 7 RXdJ 3 I , ? (
A( L ) y t = εt :1393 0(#"*+ T "*+ d,) + (0 *+ (.M "( *$$> (3 5
Ar

&+ l +%4 &+/ 0 #( "(&+F / *+$4 \ A( L ) &> "(&7.5& .(104

:* ?, 3 # D[
$ % -1-4
(4)
" + 3 I , 0 ? + ( 7 + *C( & 0./ " 0 (., 0
(1−α1L )(1+α2L ) (1−α3iL )(1+α4iL ) yt = εt &+ &+/.J l*+T #( ? 7 ( K[ , )w> 0 1 2( ?7 ,# "3
&+> ?J .A 0 5 )(.J?, 3W *[ &= ( 0 K ( & X,
l#; K+ ( #( .*+ + 3 I , K+ ( *7 0 " M [
*+C( &+ 0. * ^J α1 = α2 = α3 = α4 = 1 * 2 (3+2 ?+ 3 0 .+, 3 I , 0 " M [ 0./ J (
&+ + 7 3+W 0 " + ' C ?M3 ,( (0 * (.M 0./ ?F1: &+ 'x, +%4 #( D[ , "0 1 2( ?7 ,# " "3 qFG( .03 5
. ( K[ , 3 # !3 E$, +7 … / \ "( &M34 " >3C ?F1: H(3 IJ *7
0C D + ? ( :( >3C *$ 0 ) 7 &> *7 & 'x, .*$ ?:0 1J
3+ IJ #( ?+ 7 *+7(.J ?+, ( ) ,# .] 0 3 I , ? >
1. Lim & Mcaleer (2000)
" + +>3C .*++ *+$$> 83+1, &X F++ " +$: *+,< 0

www.SID.ir
57 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

(6) \++ y t = y t −1 H .++A K++ ( 0 ~*++ α 1 = 1 3+5(

y 1,t −1 = (1 + L + L + L ) y t −1 =
2 3
y t −1 + y t −2 + y t −3 + y t −4
y 2,t −1 = (1 − L + L2 − L3 ) y t −1 =
y t −1 − y t −2 + y t −3 − y t −4
y 3,t −1 = (1 − L2 ) y t −1 = y t −1 − y t −3
y 3,t −2 = (1 − L2 ) Ly t −1 = y t −2 − y t −4
π 1 = λ1, π 2 = λ2 ,π 3 = ( λ3 − λ4 ) i,π 4 =
( λ3 + λ4 )
& + , { yt } &' P70 H(3 IJ ".W'( 0. &'0 @, KW k(./
B.+: {3+: +dJ (3+ # .0.+ * (.M ?:0 1J l 5 *$ (3: \
D+P2 0 0 )< (*+X, (3+[J 0 3+ 0 .>N, &' P70 (*X,
?F+1: 3+ G *+C( & \ ' C K ( 0 K (3 $ .0. * (.M
( &+PJ3, D+h J D+h J D[+ K 3Jq $, & (0 0./
.0. * (.M
E 0C D
H .A & &'0 @, KW " k(./ #( ?[ ~* α 2 = 1 35(
3+ &+' P70 3 0 +X, ' C K ( 0 .0. * (.M y t + y t −1 = 0
*+C( &+ \+ (N+' *+ *+ (.M (3+[J + \ , 9

D
3+5( &+7. 7 )(.+$T &+ . + (0 * (.M 0./ *, 0 & ,9
+ m … +/ K :3+5 3+E7 0 + ( B.: *, )(.J?, & P'(
.0# K + QJ & 2 ?=M ?7 ,# *7 ?F1: "# V, " 3 I , : (0 (.M ~* yt =1

SI
#( 0 + ( + (.+Q'0 ".+W'( 3+ B.+: *+, K QJ #( s y t + 4 = 1, y t +3 = −1, y t + 2 = 1, y t +1 = −1
*+, K QJ #( DA C " *7 : v Q J " ).,#< ...
0 * + &+:.7 : 0./ & :35 (32 ? 3 0 ., ). 35 E 0C D
of
.0035?, ).,#< *7 ~*+ \+ " + , α4 + α3 " + 3 ,( #( ?[ 35(
( π1 = 0 3 +A {3++: &++ O.++ 3, t +,< :l.++ &++FC3, )(.$T & .* * (.M (3[J \ 3 { y t } &' P70 3 0 X,
&+V 7 ~0.+ 7 0 π 1 = 0 3 A {3: 35( . 0?, D [ J " + k(.+/ #( ?+[ H .A K ( 0 ~* α 3 = 1 35( ‡,
ve

?F+1: 3+ G *+C( & 0. α 1 = 1 &> :35 (.M 3+5( (N+' .0.+ * (.M y t = iy t −1 H .A & &'0 @, KW
( π 2 = 0 {3++: &++ O.++ 3, t + ,< su++ .0 (0 0.++/ H .A K ( 0 ~* y t = 1
i

&+V 7 ~0.+ 7 0 + 7 3 +A {3+: K+ ( 35( . 0?, D [ J yt +4 =−i 2 =1, yt +3 =−i , yt +2 =i 2 =−1, yt +1 =i

ch

0 + *+C( & \ (N' 0. α 2 = 1 :35 (.M + \ D1: %4 3 &' P70 3 0 X, 3W 0 H PT & .0. * (.M
{3+: &+ O.+ 3, F ,< y %7 .0 (0 0./ *, 0 & ,9 &+ +' C K ( 0 "3 5Dh J q $, &PJ3, .* * (.M (3[J
(*++X, 3++5( . + 0?++, D [++ J ( π 3 = π 4 = 0 3 + A .* ?, ∆4 y t = (1 − L4 ) y t H .A
Ar

*+ Y ( +5 ?+7(3d 3 0 +X, #( 3+ > F ,< * &P d, D+C(3, ).,#< K ( "(3/( l 7 [, #( ?$ † 0 0 V ( "(3

1
&> * * (.M &V 7 ~* (1990) )( [ ‚3PF i .J : ( * &c( ( )< l V7(
&+ ?+ (N+' + ( 3 A 3 (3 %7< " 0 3 π 4 π 3 y 3,t −1 , y 2,t −1 , y 1,t −1 " + 3 I , D [ J : ( &FC3,
&+/.J &+> ( l#; .03 (.M ?F1: *C( & \ 0./ ?F1: " 0(0 0 ., 0 y 3,t − 2
H +PT & ~*$ 7 3W *[ K W / B.: 3 A {3: & $> 3 # ). 35 &'0 @, K QJ :l 0 &FC3,
3+ G *+C( &+ "( (0 *C( )< 0 *7(.J ?, "3 \ 3W 0 (5)
:2003 3s '.+ 2s 3+ ) * ?F1: & ,9 ?F1:
.(65
(1− L ) y
4
t = π1y 1,t −1 − π 2 y 2,t −1 +
π3 y 3,t −1 − π 4 y 3,t −2 + εt

1. Hilberg et al. (1990)

2. Harris & Sollis (2003)
3. Sollis (2003)

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) , FS T &= ( ? 3 :& ' ( ) 58

.(240 :1995 7.J., , (0.J) 0. * (.M 3P @, *$ $ 02F -2-4

O $! P -5
H # -1-5
#( 0 ++ ( )( ++ , &++' X, K++ ( 0 0 ++ ( 0 .++, " ++ 3 I ,
( 7 # 5 B3 `$ G# D, ) "637( UF Q, " D, C
9+Q +%4 0 0 +:( Y# ( K 3+> * + >( "0 # 5 7(
" +VJ ?,.+ T ?W7 +M D+X7 D C @$A "# >
&+' X, 0 + 7 &+ O. 3, (*X, &> ( 3>} & l#; .* ?,
K +$ # 5 7 #( T( ? 7 " 0 <3: & F> #( 0 ( D,
" + D+, C #( 0 + ( )( + , H +Tw]( .0. ?, .> 7
"0 + 7( )( + , "0 +1 2( U+F Q, " + 9Q 0 "637(
?$ + H *+2 "( (0 *C( & " ).,#< &> K ( & &/.J
(1991) 1K+ 7 . ).,#< *$7 , ?@ / " ).,#< *$
&Fg+ , K+ ( K (3 $ *$ 7 0 T( D 2 \4.> " &7. 7 0
(0.+J .03+> *+ (.M q+ ( 0 V ( 3V735 FS T ).,#< l V7( 0
2
0 %$+ 3+V735 + FS T ).,#< l V7( "(3 ( ? .J., ,
0 *+ 0 Hw[ , #( )(.J?, ).,#< K ( l V7( &> *703>
0.+M *+, \+ K + QJ H .+A & Y \ %7< .*7 , ) ,(
"3+V735 FS T &= ( ? 3 "(3 & : D *@J " (03 f h.J
0 ?+ C Y K+ ( &+> *+703> ;* + ( +%7< .*70(0 0 %$
3+P @, + 7 + 3 I , K + ?+@ / + &= ( \ 0./ i (3

D
*+ 3 $, "637( &, 7#(3J #( "0 1 2( " 9Q K 3> * >( *+, &$ % (k) " & 2 0(*@J * (* ( Y K ( 0 .* ?,
Y# ( H +Tw]( K +$_ . + ( *+ NM( 3 7 H (# i .J (dmax) > +, ?+ (3W &/ 0 su " (03 f h.J 0.M
0(*+@J + ( " (03+ f +h.J 0.+M *+, \+ 03> K @J (

SI
Y# ( H +Tw]( #( ?+ 3 0 .+, "0 1 2( 9Q %4 0 :(
+ i+ .J *+ 3+ $, "0 1 2( " ' @: & 0 :( &+ 2 k +Q 7( *+$ (3: &+ P'( .0(0 D [+ J (k+dmax) " & 2
. ( * b(3Q ( )(3 ( ,< >3, 0 *+, 3+5( s .* (k≥dmax) &> 0. * (.M 3P @, ?7 ,#
(.+M *+ k+dmax=2 3+ W 3+E7 0 ( 3+ # 3 I ,
of
$% .I -2-5 : (0
&+ &+/.J + .03 5?, (32 ? 3 0 ., 3 I , ? 7 , ?5| (7)
( +:(l3+7 0 ?F+1: ? + ( ).+,#< #( + 0(0 )0.+ ?F1:  x 1t  α10  α11(1) α12(1)   x 1,t −1 
 x  = α  +  (1) (1)   +
ve

0 Z + 7 &++> *++ 0 + ( (HEGY4 . + 0) STATA  2t   20  α 21 α 22   x 2,t −1 

#( \+ ˆ &> * 0?, ) 7 Z 7 . ( * &c( ( (2) */
α11(2) α12(2)   x 1,t −2  e1t 
&+ 0.+/ &+ P'( .*$ ? 7 ?F1: *C( & "( (0 3 I ,  (2) (2)   + 
i

α
 21 α x
22   2,t − 2  e 2t 
*+ ^J + 9Q & 0 3 I , #( ?M3 "(3 ?F1: 3 G *C(
ch

.* * (.M ? 3 3JR 20 e.h., K ( &,(0( 0 &> ( *  e 1t 

Y G( e.7 #( wM( Hw / (03   )< 0 &>
e 2 t 
Ar

.C '$ D $ & (H -3-5 . ( 3*

?+[ 0 ).,#< #( (* ( ?F1: 3 G *C( & 0./ ? 3 %/ x1 3+V735 +FT x2 &+> & +h3: K ( ).,#< "(3 ‡, "(3
).+,#< &+ O.+ 3, Z 7 &> ( * 0 ( & : @J 3'.: . +$>?+, ).+,#< ( α12(1) = α12(2) = 0 0 *+d, 7
‰*+P, #( {3+T + *, 0 & : @J 3'.: ?[ 0 *C( &
χ 2 -+ #.J &+> + ( 4*'( ,< 0 ( 0 ., ).,#< ,<
" + 9+Q "(3+ *+7 ‰*+P, #( {3T *, *7 ) *
.0 (0 3 +A " 0 *d, 0(*@J 3 (3 "0(#< &/ 0 5?P7 V,
f=+ ** +,wT . + ( *+ Y ( 5 (3) */ 0 UF Q,
x2t x1t " + 3 I , &+[$ ( #( "(*/ 0 ( 0 ., ).,#< ,<
10 0 " (0 +$@, f=+ *** +,wT *A 0 5 0 " (0 $@,
"(&/ 0 3 #( - / - / 3 G "(&/ 0 3 #( 6(3W
.* 0?, ) 7 ( *A 0

1. Johansen Test (1991)

2. Toda & Yamamoto
3. White Noise
4. Wald
5. Asymptotic
7. Toda & Yamamoto (1995) 6. Integrated

www.SID.ir
59 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

?F1: ? ( Z 7 .2 8
* >( "0
?7(3d (*X, 0 :( Y# ( 7 #5 B3 `$ G#
K 3>
"# > 9Q
-3/53 -3/22 -2/39 -0/36 - -0/98 - ?F1: 3 G *C( &
-2/94 -3/56 -3/20 -3/35 - -3/14 - & ,9 *C( &
6/6 18/17 13/13 15/25 - 15/04 - ?F1: *C( &
" VJ ?,. T ?W7 M 9Q
-3/53 -3/40 -0/07 -1/90 1/12 -1/81 -1/62 ?F1: 3 G *C( &
-2/94 -3/62 -3/58 -3/57 -3/49 -3/02 -3/09 & ,9 *C( &
6/6 16/22 19/47 18/69 18/09 12/36 13/08 ?F1: *C( &
@$A 9Q
-3/53 1/67 -1/34 -3/37 -1/50 -1/25 -2/31 ?F1: 3 G *C( &

D
-2/94 -3/23 -2/96 -3/77 -2/85 -2/58 -3/47 & ,9 *C( &
6/6 10/25 13/47 17/98 13/77 9/71 16/16 ?F1: *C( &
DX7 D C 9Q

SI
-3/53 -2/37 -1/94 -0/75 -1/67 -2/71 - ?F1: 3 G *C( &
-2/94 -3/41 -3/49 -3/35 -2/67 -3/09 - & ,9 *C( &
6/6 12/79 18/87 17/64 9/76 15/11 - ?F1: *C( &
R XdJ H P d, :?@A
of
"# > 9Q 0 3'.:-?[ 0 *C( & Z 7 .3 8
3 I , f= ( &PJ3, Dh J
) * ‰*P, #( {3T ) * ‰*P, #( {3T
?W P7( &PJ3, *7 ‰*P, #( {3T *7 ‰*P, #( {3T 3I,
ve

*7 *7
"# > 9Q
I(1) -2/15 -2/57 **-3/74 **-3/72 7
i

I(1) 1/45 -2/60 **-3/71 **-6/64 #5

ch

I(1) 1/34 -2/49 **-4/62 **-4/89 B3

I(0) 0/23 ***-3/40 - - "0 1 2( *
I(1) -0/74 -2/58 **-4/15 **-3/72 K 3> * >( "0
Ar

" VJ ?,. T ?W7 M 9Q

I(2) -0/30 -1/77 -2/41 -2/32 7
I(1) -1/93 -0/93 **-2/92 -1/78 #5
I(2) -1/44 -2/37 -1/05 -0/82 B3
I(2) -1/31 -1/67 -2/55 -2/62 "0 1 2( *
I(2) -1/77 -0/07 -1/51 -1/98 K 3> * >( "0
I(1) -1/86 -1/72 **-3/17 **-3/31 `$ G#
@$A 9Q
I(0) **-2/98 -3/00 - - 7
I(1) 0/18 -1/97 **-3/59 **-3/57 #5
I(1) -0/05 -2/53 **-3/19 -2/92 B3
I(1) -2/17 0/67 0/84 0/23 "0 1 2( *
I(1) -0/80 -2/34 **-4/25 **-4/12 K 3> * >( "0
I(1) -0/88 -2/44 **-3/07 -3/14 `$ G#

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) , FS T &= ( ? 3 :& ' ( ) 60

3 I , f= ( &PJ3, Dh J
) * ‰*P, #( {3T ) * ‰*P, #( {3T
?W P7( &PJ3, *7 ‰*P, #( {3T *7 ‰*P, #( {3T 3I,
*7 *7
DX7 D C 9Q
I(2) -1/91 -0/47 -1/61 -2/48 7
I(2) 0/18 -1/76 -2/05 -2/47 #5
I(2) -0/003 -2/62 -2/35 -2/25 B3
I(1) -0/82 -1/97 **-3/54 ***-3/45 "0 1 2( *
I(0) **-5/26 -1/67 - - K 3> * >( "0
R XdJ H P d, :?@A
?++7(3d (*++X, &++ P++ 7 ).++,#< + ,< R++F=, *++2 )0.++ "( (0 0.+P7 7 , f= 0 3 I , l J *$ 0?, ) 7 Z 7
*+2 (*X, 35( s[@' ( .>N, 3 I , ? 7 , *$ 0) 7 #( ?+M3 "3+ 5D+h J P[ #( s &> *$ ?, *C( &
+7 , 7 3 I , * 3J\4.> ?7(3d (*X, #( ).,#< ,< RF=, #( & + P7( " + 3 I , + 7 +%7< #( ?€@ *7( * 7 , 3 I ,

D
?[ %$J "3 I , "(3 35( C . ( *C( & "( (0 0. 0 *+C( &+ 0.+/ &+> ? V7< #( C .*$ I(2) &/ 0
\+ + ).,#< ? * (0 $@, * 0(0 [ O X7 #( &+ &+/.J l*T qP & ( K[ , &@' =, 0 ., ?7 ,# "3

SI
)0.+P7 (0?+$@, 0. l V7( 3 I , )< "(3 7 [ &=X7 Y &+,(0( 0 * 0. %7< *7 0 " M [ 0./
1
0 0 3+ I , &+> + ( )< 3W7 + [ O X7 #( \ ˆ + [ O +X7 K @J %/ ˆ #(3 ( ?' i .J * &c( (
? +7 , & + (*7 " M + + [ ˆ + 3E7 0 ., ?7 ,# . (&: >& 3I,K( 0
of
) *+ ) ?'.+ @, *+C( &+ " ).,#< ? )< ? 7 , 7
" + 9+Q 0 )< &+ O.+ 3, Z + 7 &> .03 5 l V7( ( [ % .KL J$.; & (H -4-5
. ( * &c( ( (4) */ 0 UF Q, &+ ).+,#< + 3 I , K+ ( 0 [ O X7 K @J .E$, &
+ [ # 3+ |+7(35; q 3+h ).+,#< Z + 7 & &/.J
ve

|+7(35; q 3+h "(#) 0 " M + [ 0 0./ *C(

&++ECw, "# ++ > 9++Q 0 ++ 3 I , &++ F> 0 " M ++ (3+2 0 ( 0 ., (2003) ˆ #(3 ( ?' i .J * &c( (
" M + + [ 0 + ).,#< ?@ P] # 5 3 I , 0 .0035?, ( +:(l3+7 0 * ?C(3] &, 73 i .J ).,#< K ( . ( & :35
i

q 3+h ).+,#< K+ ( #( . + ( (0 +$@, + [ \ 3W7 3+ # !3+ &+ *, 0 0 ( Z 7 * ?, (3/( D 2 2j 5

ch

K ( "(3 (N' 0. ?, 0 ( " M [ \ |7(35; :* 0?, &c( (

+ 7 ?W7 M 9Q 0 . ( * K @J [ \ %$J 3 I , B + J( 3+ I , *+7 0 + ‰*+P, #( {3T 0 [ :A *,
0 ).++,#< & + (0 0.++/ + 3 I , ?, + J 0 + [ # 3++ .* :(?,
Ar

@$+A 9Q 0 .* ?, (0 $@, 3 I , ?, J "(3 [ 0 :( B J( *7 0 ‰*P, #( {3T 0 [ :C *,

0./ ,( 0.P7 (0 $@, 7 3 I , "(3 " M [ ).,#< . (
"(3+ . ( * &ECw, 3 I , & X "(3 " M [ :* ?, (3/( D 2 3 # ' C 0 0 ).,#< K (
" M + + [ + 7 D+X7 D+ C 9Q " 3 I , ?, J " M [ 0 *C( & ).,#< .1
+ [ 0 + |+7(35; q 3+h ).+,#< &V 7 * * , " M [ \ *C( & ).,#< .2
&+ &+/.J C .*$ ?, (0 $@, 3 I , & "(3 " M + *C( & ).,#< 3 I , #( \ 3 "(3 (* ( V$ ( 0
).+,#< #( " M [ " "(3 *,< 0 & Z 7 [ 0 )0. (0 $@, H .A 0 0. ?, l V7( [ 0
&/ 0 > , K : "(3 & : @J ) 3 su F : *C( & ?' */ & O. 3, ?7(3d 3 0 X, *,< 0 & ).,#< ,<
.0. ?, 0 ( 3 I , ? 7 , & +h3: &+> ? +V7< #( .0. ?, & X, (2003) ˆ #(3 (
3+J‚ + *+ ?, 3 I , 0 *C( & 0./ ).,#< K ( 3 A

1. Lee & Strazicich

2. Gauss

www.SID.ir
61 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

ˆ #(3 ( ?' *C( & Z 7 .4 8

&V 7 5% ?7(3d (*X, ? ( ,< [ O X7 &$ % & 2 *, 3I,
"# > 9Q
[ 2 0./ -5/67 -5/49 35 =2,T31 =1T 8 C 7
[ 1 0./ -4/51 -6/70 13 =1T 8 C #5
[ 2 0./ -5/65 -8/11 44 =2,T31 =1T 8 C B3
[ 2 0./ -5/65 -6/99 42 =2,T31 =1T 5 C "0 1 2( *
[ 2 0./ -5/67 -5/58 37 =2,T29 =1T 7 C K 3> * >( "0
?W7 M 9Q
[ 2 0./ -5/65 -5/95 44 =2,T33 =1T 7 C 7
[ 2 0./ -5/65 -5/87 41 =2,T31 =1T 8 C #5

D
[ 2 0./ -5/65 -8/63 48 =2,T31 =1T 7 C `$ G#
[ 2 0./ -5/65 -7/34 41 =2,T31 =1T 8 C B3

SI
[ 2 0./ -5/65 -10/47 39 =2,T31 =1T 6 C "0 1 2( *
[ 2 0./ -5/65 -6/67 50 =2,T31 =1T 8 C K 3> * >( "0
@$A 9Q
of
[ 0./ l*T -2/91 -2/98 0 (*7 [ - - 7
[ 2 0./ -5/65 -5/63 35 =2,T32 =1T 3 C #5
[ 2 0./ -5/74 -6/19 33 =2,T19 =1T 4 C `$ G#
ve

[ 2 0./ -5/65 -13/15 45 =2,T27 =1T 8 C B3

[ 2 0./ -5/65 -5/17 40 =2,T31 =1T 7 C "0 1 2( *
[ 2 0./ -5/74 -4/39 41 =2,T31 =1T 1 C K 3> * >( "0
i

DX7 D C 9Q
ch

[ 2 0./ -5/67 -6/47 35 =2,T32 =1T 8 C 7

[ 2 0./ -5/71 -7/90 33 =2,T19 =1T 7 C #5
[ 2 0./ -5/65 -6/15 45 =2,T27 =1T 8 B3
Ar

C
[ 2 0./ -5/65 -8/51 40 =2,T31 =1T 8 C "0 1 2( *
[ 2 0./ -5/65 -9/96 41 =2,T31 =1T 8 C K 3> * >( "0
R XdJ H P d, :?@A
*+ # +5 " + 3 I , K (3 +$ .0.+ ?, 0 "0 1 2( * & . MN2 2 D $ & (H -5-5
*$ 7 , f= 0 *7 ‰*P, #( {3T *, 0 "0 1 2( "(3+ &+ : + @J ) 3+ su+ F : *+C( &+ ).+,#< Z 7
D+h J 0 K 3+> * >( "0 # 5 7( B3 7" 3I, 0 . + ( * &c( ( (5) */ 0 UF Q, " 9Q " 3 I ,
+ *+7 ) *+ ‰*+P, #( {3T *, 0 3 0 ( &PJ3, +,wT *+A 0 5 0 " (0 $@, f= ** ,wT */ K (
0 ? +7 , &+/ 0 3‡>(*+C *$ 7 , *7 ‰*P, #( {3T & &/.J .* 0?, ) 7 ( *A 0 10 0 " (0 $@, f= ***
.* ?, \ V$ ( ?+$ P, &> 3 A {3: "# > 9Q 0 *,< 0 & Z 7
"(3 f= 0 )0. (3 G 3 A {3: ?W7 M 9Q 0 B3+ + 7 " + 3 I , "(3 3 I , )0. (3G3
0 &+4 + 3 I , ?, + J &V 7 0 * & :3 N 3 I , ?, J # 5 " 3 I , "(3 ,( * 7 0 f= 0 * >( "0 # 5 7(
0 *+7 ‰*P, #( {3T *, 0 7 ‰*P, #( {3T *,

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) , FS T &= ( ? 3 :& ' ( ) 62

.0. ?, {3: + 7 + 3 I , ( &PJ3, Dh J ? 7 , ).,#< .*$ 7 7 , f=

3 +A {3: &> 0. ?, &ECw, 7 DX7 D C 9Q 0
# +5 / & 3 I , ?, J "(3 )0. (3 G 3 ?$ P, ).,#<
‰*+P, #( {3+T + *, 0 # 5 3 I , .0. ?, & :3 N ?@ P]
"(3+ *+C( &+ 0./ ).,#< ,( .* ?, 7 , f= 0 *7
*, 0 0 & * l V7( ( &PJ3, Dh J 0 3 I , & X
7 , *7 ‰*P, #( {3T *, *7 ) * ‰*P, #( {3T
? +7 , &+/ 0 3‡>(*C *,< 0 & Z 7 & &/.J *7( *
.0. ?, & :35 3E7 0 \ 7 9Q K ( " 3 I , "(3
*+, 0 3 0 3 I , )* 7 , #( ?> C Z 7 & :35 l V7(
&PJ3, Dh J 0 *7 ‰*P, #( {3T *, ‰*P, #( {3T
K ( 0 3 I , K ? 7 , &/ 0 3‡>(*C &V 7 0 *$ (
.0. ?, & :35 3E7 0 \ 9Q
.*$ 7 7 , f= 0 3 I , #( l(*> ˆ @$A 9Q 0
+ 7 " + 3 I , ( &+PJ3, Dh J 0 ? 7 , ).,#< l V7(
3 0 K 3> * >( "0 # 5 7( "0 1 2( * ?@ P] # 5
+7 , *+7 ‰*+P, #( {3+T *, ‰*P, #( {3T *, 0
. + ( * 7 , ‰*P, #( {3T *, 0 iX: B3 3 I , *
\+ @$A 9Q " 3 I , K ? 7 , &/ 0 3‡>(*C K (3 $

D
) 3 su F : *C( & Z 7 .5 8
3 I , f= ( &PJ3, Dh J
?W P7( &PJ3, ) * ‰*P, #( {3T ‰*P, #( {3T 3I,

SI
*7 ‰*P, #( {3T *7 ‰*P, #( {3T
*7 *7 ) *
"# > 9Q
I(1) -2/13 -2/09 **-4/38 **-4/23 7
I(0) 0/43 **-4/56 - - #5
of
I(1) 0/91 -1/64 **-3/87 **-3/85 B3
I(0) -1/62 ***-3/28 - - "0 1 2( *
I(1) -1/71 -1/94 **-4/18 **-4/04 K 3> * >( "0
?W7 M 9Q
ve

I(1) 0/88 -1/23 -3/80** -3/75** 7

I(1) -1/25 -0/02 -3/20** -3/36*** #5
-0/62 -1/86 -3/24** -3/16 B3
i

I(1)
-0/81 -1/55 -2/70*** -2/72 "0 1 2( *
ch

I(1)
I(1) -1/29 -0/08 -3/47** -3/68** K 3> * >( "0
I(1) -1/58 -1/17 -3/22** -3/36*** `$ G#
@$A 9Q
Ar

I(1) -1/23 -1/26 -3/30** -3/25*** 7

I(1) 1/60 -2/13 -3/66** -3/73** #5
I(1) 1/97 -2/43 -3/32** -3/01 B3
I(1) -1/28 1/47 4/95 **-6/38 "0 1 2( *
I(1) 0/10 -2/92 -4/25** -4/13** K 3> * >( "0
I(1) 0/23 -1/29 -3/18** -3/29*** `$ G#
DX7 D C 9Q
I(1) -1/70 -0/99 -4/40** -4/54** 7
I(0) -4/34 **-7/09 - - #5
I(1) 0/82 -2/41 -3/89** -3/96** B3
I(1) -0/02 -2/30 **-3/50 ***-3/39 "0 1 2( *
I(1) -1/17 -1/53 **-4/49 -4/53** K 3> * >( "0
R XdJ H P d, :?@A

www.SID.ir
63 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

&+ 2 "# > 9Q 0 K (3 $ .* 7?, Πd' ( & 2 0(*@J SP$( P@ P .PI P 2)I Q R22 -6-5
k +Q 7( &+$ % &+ 2 )(.+$T &+ 7 &+ 2 + 9+Q & X 5 .I
.*7035?, VAR *+, &$ % & 2 .] ? (* ( *, 0 <3 #( DP2
&+FC3, K+ ( . < 0 & ( 9Q 3 " 3 I , & D,
$- & (H U$ % -7-5 ?W & 2 0(*@J & FS T ).,#< Z 7 (3 # ( %,
?+' *+C( &+ ).+,#< #( *+,< + 0 & Z 7 & &/.J + ( K+[ , 0 + # + > *C #( 9 0(*@J ?F> .] & .0 (0
?, + J "(3+ &+$ % & 2 > , ? 7 , &/ 0 ˆ #(3 ( 9 > qP *C #( 9 " & 2 0(*@J .*$> 0 V ( ?Jw[ ,
? +7 , &+/ 0 *+ 03+ > & " (03 - #.J 0.M " *, #( ?+M3 8N+C qP+ 3+ > " + &+ 2 0(*@J "0(#< &/ 0
"# + > 9+Q "(3+ (k) &+$ % & 2 \ 3 (3 (d ) &+ + 0 7 Z + 7 K (3 +$ ~0.+ ?, *, #( %, " 3 I ,
. ( *,< 0 & 9Q ?X , Z$ 3 (3 7 +J 1 0(*+@J +, H(* , 0(*@J & &/.J .*,< * (.M 0
"0 +1 2( *+ K + "3+V735 FS T &= ( ? 3 "(3 *++, &++$ % " + &++ 2 0(*++@J )0 < + * "(3++ ( &++ 2

D
3+ 0 "63+7( U+F Q, " D, C K 3> * >( "0 # 5 * '.J 3+h C R+ XdJ 0 &+[$ ( &+ &/.J . 3 5?, 3E7 0VAR
k+dmax &+ 2 0(*@J 9Q )< VAR *, * (* ( 9Q "0 # +5 + 7( "0 1 2( * "637( " D, C K O PJ (
q (3+h )0.+ 3 +A) H0 & +h3: su+ 0.+ 0# K QJ 0(0 D [+ J ( VAR *, (* ( 0. ?, ? 3 K 3> * >(

SI
R &+, 73 *+> #( 0 ( (3W 0 3 I , 0 3 I , \ & N5 *+/ 0 0./., " @, & X, *, &$ % & 2 su
+ FS T ?+$@ H0 0 &+> .03 5?, (32 ).,#< 0 ., *'( ).,#< ?7 +,# &+ 2 K 3+Jq+ $, UF Q, " 9Q & O. 3, Z 7
(*X, & &/.J ( *'( ).,#< #( *,< 0 & Z 7 .0 (0 0./ .0. ?, k Q 7(
of
. ( * &c( ( &,(0( 0 (χ2 ) ).,#< ,< P-Value "(&+ 2 &+$ % &+ 2 k Q 7( @, 9 | #( ?M3 0
0(*+@J) * * k Q 7( 3 & 2 & X & P 7 &> (
\ c >< @, &> ? V7< #( ,( .(* & (0 "3 * ,wT
( V WI -1-7-5
ve

&+ 2 )0(0 0 J (.+ + @, *+ 0?+, "3 + & 2 0(*@J

*+ 0 < "# + > 9+Q "(3 (6) */ 0 ).,#< Z 7
0 3+E7 0 ., @, R XdJ K ( 0 K (3 $ *$>?, ? ./&:3A
. (
3‡>(*C &> ( " @, )< VAR *, &$ % & 2 v Q J
i

"# > 9Q FS T ).,#< Z 7 .6 8

ch

"3 5&V 7 *'( ,<χ2 P-Value (N53 m^J 3 I , & ( 3 I , "3 5&V 7 *'( ,<χ2 P-Value (N53 m^J 3 I , & ( 3I,

0 (0 FS T 18/62 0/00 K 3> * >( "0 "0 1 2( * 0 (*7 FS T 4/72 0/57 "0 1 2( * K 3> * >( "0
Ar

0 (0 FS T 19/03 0/00 7 "0 1 2( * 0 (*7 FS T 2/83 0/83 7 K 3> * >( "0

0 (0 FS T 20/62 0/00 B3 "0 1 2( * 0 (*7 FS T 6/28 0/39 B3 K 3> * >( "0

0 (*7 FS T 5/65 0/46 "0 1 2( * 7 0 (*7 FS T 2/23 0/89 K 3> * >( "0 7

0 (*7 FS T 10/60 0/10 "0 1 2( * B3 0 (*7 FS T 10/70 0/09 K 3> * >( "0 B3
R XdJ H P d, :?@A
" D, C 831, K ?SFT &= ( ˆ & .J., , (0.J FS T K ( 0 "# > 9Q 0 *,< 0 & Z 7 & &/.J
0 +,< *$ : 7 0 "# > 9Q 0 "0 1 2( * "637( 7( B3 7 " 3 I , #( &:3]\ FS T \ %$J 9Q
&+= ( \ "3V735 FS T #( 0 ( 7 (1388) )( [ &+> ?' +C 0 0 (0 0./ "0 1 2( * & K 3> * >( "0 # 5
"# > 9Q 0 :( Y# ( B3 831, #( &:3]\ FS T & .c FS T #( 0 ( (1383) K d, j PT 0(# V7
0.+/ K 3+> * >( "0 # 5 7( 0 ., 0 ,( .*$$>?, ) ( 83+1, " + 3 I , &+ "0 +1 2( * #( &:3] \ FS T \
" + > Z + 7 + &+V 7 7 K ( 0 .0. ? 7 * ^J FS T #( 0 + ( + (1384) e (# K, < *7* "637( " D, C

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) , FS T &= ( ? 3 :& ' ( ) 64

&+= ( \ iX: (1384) e (# K, < &> ?' C 0 0. ?, * ^J ?+J(3 j3=: (1389) $ < . ?F@ =' i .J * l V7(
0 0 (0?, ) "0 1 2( * "637( 831, #( ( &:3]\ " + . + )(.J?, ( D,(.T #( ?[ &> 0 (0 X =, (1390)
K 3+> * + >( "0 # +5 7( "637( 831, K &= ( 0 ., 0 + ( ?F + : " + M. 03 > 9 > * */ 7 [,
"63+7( 83+1, K + P‡, "(&= ( (1390) ?J(3 j3=: . 7(0 3 M( " 0 B3 #( 3J9
&+ *+ ?, 3E7 & .*$$>?, ) ( K 3> * >( "0 # 5 * '.J 0 + 7 ?7(.+ C " + 0.> " 3 l(0 "# > 9Q 0
0 ?,.+ T " VJ ?W7 M 9Q 0 ; "637( 831, D '0 K 3> * >( "0 # 5 * '.J ^ $, "637( " D, C 831, $>
+ 9+Q 3 + #( "0 # )( , & &> 9Q 3 & X, H;<K + , #( 0 + ( 9+Q K+ ( 0 K $_ *$ ?,
K+ ( 0 "63+7( 83+1, K ".2 FS T &= ( (N' (3 3 + + &+ X, 0 ?F + : "63+7( #( *$$> 0 ( H( %VJ
+ > " +XJ ( . + ( (323 K 3> * >( "0 7( 9Q ?+ 7 * 3 $, K 3> * >( "0 &V 7 0 ( > 9Q
&+F / #( 83+1, +> ?+23 l#(.+' #( 0 + ( #. # 5 D K+ + ( +> 9+Q K+ ( 0 ?F : " "637( 831, #(
(.7 +M "637( 831, 9 > oT *$7(.J?, &> ( ? ( 9Q K ( 0 K 3> * >( "0 # 5 7( D, C K ( 831,
"(&+7 QF5 " # 5 X , 7( 9 > )< -PJ & "3% 7 (323 FS T &= (

D
.
.*7. )< #( ? 7
> X% @ WI -2-7-5

SI
0 Y WI -3-7-5 ?,.+ T ?W7 +M 9+Q "(3+ (7) *+/ 0 ).+,#< Z 7
. ( * 0 < @$A 9Q "(3 (8) */ 0 ).,#< Z 7 0 *+,< + 0 &+ Z + 7 &+ &/.J . ( * 0 < " VJ
"0 1 2( * 3 I , 0 ., 0 " VJ ?,. T ?W7 M 9Q
of
3I,3 &:3] 0 FS T 0./ K 3> * >( "0 # 5 7(
" VJ ?,. T ?W7 M 9Q FS T ).,#< Z 7 .7 8
"3 5&V 7 *'( ,<χ2 P-Value (N53 m^J 3 I , & ( 3 I , "3 5 &V 7 *'( ,< χ2 P-Value (N53 m^J 3 I , & ( 3I,
ve

0 (0 FS T 27/78 0/00 K 3> * >( "0 "0 1 2( * 0 (0 FS T 265/29 0/00 "0 1 2( * K 3> * >( "0

0 (0 FS T 28/50 0/00 7 "0 1 2( * 0 (0 FS T 330/22 0/00 7 K 3> * >( "0

i

0 (0 FS T 29/12 0/00 #5 "0 1 2( * 0 (0 FS T 321/89 0/00 #5 K 3> * >( "0

ch

0 (0 FS T 57/88 0/00 B3 "0 1 2( * 0 (0 FS T 289/31 0/00 B3 K 3> * >( "0

0 (0 FS T 25/01 0/00 `$ G# "0 1 2( * 0 (0 FS T 263/13 0/00 `$ G# K 3> * >( "0

Ar

0 (0 FS T 925/62 0/00 "0 1 2( * 7 0 (0 FS T 606/98 0/00 K 3> * >( "0 7

0 (0 FS T 76/79 0/00 "0 1 2( * #5 0 (0 FS T 81/46 0/00 K 3> * >( "0 #5

0 (0 FS T 216/65 0/00 "0 1 2( * B3 0 (0 FS T 53/62 0/00 K 3> * >( "0 B3

0 (0 FS T 29/81 0/00 "0 1 2( * `$ G# 0 (0 FS T 41/10 0/00 K 3> * >( "0 `$ G#

R XdJ H P d, :?@A
@$A 9Q FS T ).,#< Z 7 .8 8
"3 5&V 7 *'( ,<χ2 P-Value (N53 m^J 3 I , & ( 3 I , "3 5&V 7 *'( ,<χ2 P-Value (N53 m^J 3 I , & ( 3I,

0 (*7 FS T 10/08 0/26 K 3> * >( "0 "0 1 2( * 0 (0 FS T 62/58 0/00 "0 1 2( * K 3> * >( "0

0 (*7 FS T 1/95 0/98 7 "0 1 2( * 0 (0 FS T 21/59 0/00 7 K 3> * >( "0

0 (*7 FS T 10/54 0/23 #5 "0 1 2( * 0 (0 FS T 21/77 0/00 #5 K 3> * >( "0

0 (0 FS T 29/20 0/00 B3 "0 1 2( * 0 (0 FS T 51/22 0/00 B3 K 3> * >( "0

www.SID.ir
65 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

"3 5&V 7 *'( ,<χ2 P-Value (N53 m^J 3 I , & ( 3 I , "3 5&V 7 *'( ,<χ2 P-Value (N53 m^J 3 I , & ( 3I,

0 (0 FS T 34/62 0/00 `$ G# "0 1 2( * 0 (0 FS T 22/38 0/00 `$ G# K 3> * >( "0

0 (*7 FS T 3/67 0/89 "0 1 2( * 7 0 (*7 FS T 8/13 0/42 K 3> * >( "0 7

0 (0 FS T 36/71 0/00 "0 1 2( * #5 0 (0 FS T 37/10 0/00 K 3> * >( "0 #5

0 (*7 FS T 9/37 0/31 "0 1 2( * B3 0 (0 FS T 28/46 0/00 K 3> * >( "0 B3

0 (0 FS T 114/24 0/00 "0 1 2( * `$ G# 0 (0 FS T 120/41 0/00 K 3> * >( "0 `$ G#

R XdJ H P d, :?@A
.0 (0 ? + FS T @$+A 9+Q 0 *+,< + * Z + 7 & &/.J
&+ K 3> * >( "0 # 5 7( #( &:3]\ FS T V$ ( 0 "0 +1 2( *+ &+ B3+ # +5 & "0 1 2( * #( &:3]\
3 + &+ K 3+> * >( "0 # 5 7( #( &:3] 0 FS T 7 0 .0 (0 0.+/ `$+ +G# & "0 1 2( * #( &:3] 0 FS T

D
$+ < .+ ?+F@ =' &> ?' C 0 0 (0 0./ 7 #( 3 G 3 I , o+T 0 +:( Y# ( *+ &+> *$>?, ) 0(# V7 0 ., K (
+FT &+ &+> *$$>?, ) (1390) ?J(3 j3=: (1389) j3+=: + 7 (3+23 )< s+[T *+ + 7 831, *

SI
3 m^+J "63+7( ? .+/&:3+A " ? @$A M 3 IJ K + &:3] 0 ?SFT &= ( \ 0./ &> * 7?, * >^J (1388)
. ( & : 9 > K 3> * >( 0 # 5 * '.J 3 "637( 831, ?+SFT &+= ( \ ? @$A 9Q 0 :( Y# ( B3 831,
# +5 83+1, & ? @$A 9Q 0 :( Y# ( 83] #( &:3]\
[\% [ D WI -4-7-5 0 (0 0.+/ ?:3+1, "63+7( D> ? 7 " 0 (3: ?@ P]
of
*+ 0 < DX7 D C 9Q "(3 (9) */ 0 ).,#< Z 7 9Q 0 (1384) e (# K, < &@' =, . 7 B0 A )< s[T
. ( ( "0 +1 2( *+ "63+7( 83+1, K + ? FS T &= ( @$A
+ FS T D+X7 D+ C 9Q 0 *,< 0 & Z 7 & &/.J *$$>?, ) (1383) K d, j PT 0(# V7 * 0? 7 ) 7
ve

?' +C 0 0 (0 0.+/ 3 I , 3 & "0 1 2( * #( &:3] 0 )< s+[T *+ + 7 831, * oT 0 :( Y# ( *

D+X7 D+ C 9+Q 0 *$$>?, ) (1384) e (# K, < &> "3V735 FS T \ (1388) )( [ 0 ,< 7 (323
0.+/ "0 +1 2( * & "637( 831, #( &:3] \ &= ( \ Y# ( &+ "637( ? %7 831, #( &:3] \ FS T &= ( \
i

yw, > FS T &= ( K ( &> *$$>?, ) ( @$A 9Q 0 :(

ch

K + + 7 (1383) K+ d, j +PT 0(# V7 &@' =, 0 0 (0

D+ C 9+Q 0 "0 +1 2( * ? 7 " 0 <3: 831, ?+ ( " + # 7 #( ?+[ +C 3 & .* ?, 3E7 & ?@ P]
7( #( &:3] 0 FS T 7 0 (0 0./ &:3] 0 ?SFT &= ( DX7 K :35 3E7 0 &> * 0?, ) 7 e.h., K ( ( K ( @$A
?+ FT &7(. + #( @$+A 0 * '.J D, T \ )(.$T & "637(
Ar

.0 (0 0./ 3 I , 3 & K 3> * >( "0 # 5

K+ ( 0 "63+7( )03> 0 *d, j ( K 3 ( (0 .M3
0 ( ? @$A 9Q 0 :( Y# ( 9 ( :( 3 ? $, H(3m( 9Q
DX7 D C 9Q FS T ).,#< Z 7 .9 8
"3 5&V 7 *'( ,< χ2 P-Value (N53 m^J 3 I , & ( 3 I , "3 5 &V 7 *'( ,< χ2 P-Value (N53 m^J 3 I , & ( 3I,

0 (0 FS T 228/37 0/00 K 3> * >( "0 "0 1 2( * 0 (0 FS T 175/21 0/00 "0 1 2( * K 3> * >( "0

0 (0 FS T 313/62 0/00 7 "0 1 2( * 0 (0 FS T 83/91 0/00 7 K 3> * >( "0

0 (0 FS T 464/29 0/00 #5 "0 1 2( * 0 (0 FS T 92/81 0/00 #5 K 3> * >( "0

0 (0 FS T 355/39 0/00 "0 1 2( * 7 0 (0 FS T 116/81 0/00 K 3> * >( "0 7

0 (0 FS T 88/39 0/00 "0 1 2( * #5 0 (0 FS T 40/17 0/00 K 3> * >( "0 #5

R XdJ H P d, :?@A

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) ,
0 ) *+ )(.+J ? 7 B3 "637( D, C 0 ., 0 ?' * & (0
0 .03+> (3+/( ( ? .+/ &:3A ?h PX7( 3m( K :35 3E7
83+1, 9 > )(.J?, 7 K 3> * >( "0 # 5 7( 0 .,
8N+C + 2 !w+A( ? ( +> 9 ( +:( +$> 0 # 5
. > %7< ? $, 3m( #( "637( " D, C " &7(
&+ "0 +1 2( * #( &:3] 0 FS T DX7 D C 9Q 0
K 3> * >( "0 # 5 7( #( &:3] 0 FS T 7 3 I , 3
+ R+P=$, &+V 7 #( ?+ Q &+> 0 (0 0.+/ 3 I , 3 &
&F+A C Z + 7 &+ &+/.J + .*+ ?, (1392) ?J(3 j3=:
.+] &+ . > 0 DX7 D C D & # 7 &> 5 )(.J?,
&+ 3 + # + 7 ?+$@, &+ K+ ( ( 9 ( :( C 0 & .
K++ ( #( .*+ ?+, ?+/ 3M " + *+$ ;< 0 + 0#( M.+
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+ :3• &[P+ Y3 + 5 + K W +/ D+X7 D C
" + *$ ;< 9 > %/ 0 ( ?7 W &7 , " M 3 #
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ve
i d, ?50.'< K 3> * >( "0 # 5 7( 3 * '.J &= (
*+ '.J 9 ( +:( &+> 03+> 3 J )(.J ?, &7.5 K ( 7 (
qP+ K+ ( + ( "63+7( 0 %7 #( 3 0 (l F ,
i
)< 3+W 0 D+ '0 .0.+ ?+, K 3> * >( "0 # 5 7( 9 ( :(
ch
" + 9+Q 0 ?$: ? ( > l*T * '.J "6.'.$[J )0. K
+ 7 D+X7 D C 9Q K $_ ( @$A | & "* '.J
0 + "63+7( ) 5*+$$>83+1, K 3+ 5 #( ?+[ )(.$T &
Ar
+ 7 K + + 2 3+E7 #( + 0 (*+7 ?+$: ? ( > 831,
"0 +1 2( ? ( +> #( "637( " D, C & &/.J D 2 " &7(
9+Q 8 +1, 0 ., 0 7 ?% , ;* ( . 7 (0 .M3
+X 7( *+ '.J K ( "(3 wT . ( B0 A " VJ ?W7 M
0 8wJ( * '.J 0 ?$ ? ( > 7 B3 | & "637( - #.J
*+C #( 9 9 ( :( & yw T &> 0 (0 - #.J X 7( " &[P
*++ '.J *++C( \++ "(#( 0 K 3++> * + >( "0 *++$ ;< + 7(
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L $ 2 J C -7
" + .W'( K *+J + &+> *$ + K+ ( P70 & )( (N5
9 > %/ 0 )< )03> "03 > "637( 831, q $,
FS T &= ( ? 3 :& ' ( ) 66
7 R %) SH -6
:* 0?, ) 7 &' X, #( *,< 0 & Z 7
\+ +%$J *+,< + * Z 7 & &/.J "# > 9Q 0
7 * >( "0 # 5 7( B3 7 " 3 I , #( &:3] \ FS T
+>(0., &V 7 3 RP=$, &> 0 (0 0./ "0 1 2( * & K 3>
* + >( "0 # +5 + 7( 0 .+, 0 .* ?, (2013) )( [
& *7(.J?, &> 0 (*7 0./ 3 I , K ? FS T &= ( ˆ K 3>
03 + > 9 + > *++ */ 7 + [, " + . + K :3 N++ + FT
9 +> D+ '0 &+ B3+ #( 3 0 ( ?F : " M.
.* 3 M( " 0 "# > B3 " &:3@J
*+ 3+ I , 0 .+, 0 " +VJ ?,. T ?W7 M 9Q 0
D
0.+ ?+, * ^J 3 I , 3 &:3] 0 FS T 0./ "0 1 2(
\+ + 7 + 3 I , 3 + K 3> * >( "0 # 5 7( 0 ., 0
0 :( Y# ( 3 m^J •.1M 0 .0 (0 0./ &:3] 0 FS T &= (
SI
+ R+P=$, &V 7 K 3> * >( "0 7( 9 ( :( 3 9Q K (
3+ 3+JR+ 20 H +E7 " (323 . ( (1390) ?J(3 j3=:
" + # 5 )( + , + 7( #( *+7(.J ?+, 9Q K ( 0 0 (*7 (
D+ 2 (*+X, & (K 3> * >( "0 # 5 7( &F / #() "(&7 QF5
& &/.J &7( "*$ :* !3] D, > "(3/( .* [ ?%/.J
? %, 9X7 *7(.J?, 0 (0 (.7 M 831, ".W'( 3 &> "3 m^J
"(&+7 QF5 " + # 5 + 7( "637( 831, X , 9 > 0
# .* & (0 )< #( 3 $,
& "0 1 2( * #( &:3]\ FS T &= ( @$A 9Q 0
" + j .+ &+V 7 & + ,) "0 1 2( * & B3 # 5
0.+/ `$+ G# & "0 1 2( * #( &:3] 0 FS T (2007
K 3+> * >( "0 # 5 7( & 7 #( &:3]\ FS T 0 (0
+ 3 I , 3 + & K 3> * >( "0 # 5 7( #( &:3] 0 FS T
)(.+J?+, 0. 0 $ ( &V 7 K ( & 35( .0 (0 0./ 7 #( 3 G
&[$ ( ) * 03 >& D> "637( 0 ., 0 ( ? ./&:3A
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#( *+,< + 0 &+ Z + 7 +J 0(0 (3+2 Y +[$> 0 ., 7 ( )<
9 |++ K+ ( #( e.+ V, 0 .*++ (0 .+M3 ?: +> ) +$ ](
#( )(.+J?+, .+ > @$+A 9Q 0 &> :35 &V 7 )(.J?,
9Q ? 7 " 0 <3: ?@ P] # 5 "637( " D, C 831,
"3+m( 9+Q K+ ( 0 +:( Y# ( 3 &[$ ( ) * > @$A
www.SID.ir
67 1396 "0 1 2( &@ .J * " 9 | ? | ? FT &, $F1:

(3+2 +> . + 0 0 ( ? 7 " 0 <3: ?@ P] # 5 831,
"(3+ &+> :35 &V 7 )(.J?, 9 | K ( #( e. V, 0 .0(0
@$+A 9+Q 0 K 3+> * + >( "0 # 5 7( )( , 9 >
?+@ P] # +5 "63+7( " + D+, C 83+1, #( )(.+J ?, . >
Y# ( 3+ &+[$ ( ) *+ > @$A 9Q ? 7 " 0 <3:
D+, C 0 .+, 0 ?+' *+ & + (0 "3+m( 9Q K ( " 0 :(
+ ?h PX7( 3m( K :35 3E7 0 ) * )(.J ? 7 B3 "637(
# +5 7( )( , "# > 9Q 0 .03> (3/( ( ? ./&:3A
+ FS T &+= ( 0./ l*T D '0 & 0. K K 3> * >( "0
K 3+> * + >( "0 # +5 7( "637( " D, C 831, K
+%$J (3 # 7 ?P $, [ ( ? ./ &:3A #( 0 (
K+ ( 0 .*+ *+ (.M 9+Q K ( 0 :( Y# ( 9 > & 3V$,
" + D+, C 831, #( ? 7 ?= d, # " *$ ;< 3 $>
"637( 831, ) , O PJ ( & &/.J ,( *$ 7 >3C "637(
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.* & (0 (3 & ( "0 1 2( * 9 > (
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+ W ( "63+7( " + D+, C 83+1, 9 > &> 5
q+ >3J 3+ IJ DX7 D C . 3 IJ #( * 0.P7
3 &/.J 3 > ?5*$ ;< ? M. #( 0 ( ? M.
?,.+ T ?W7 M 9Q 0 .0. 7 0 ( - $A ? ) [, &
?P+ $, +[ ( "63+7( " D, C 831, 9 > 7 " VJ
•.+1M K+ ( 0 .*+ ? 7 3E7 0 ., 8* & ? 0 %/

D
K W +/ " + + K @J %/ 3J R 20 &@' =, •.1M .0 (0 (K W /" K @J %/ 3JR 20 &@' =,
.0 (0 ( * + >( "0 # +5 + 7( )( + , 9 +> "(3 @$A 9Q 0

SI
9 +> )(.+J?+, 9Q K ( 0 :( Y# ( 9 > ) * K 3>

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of
( (* &@ .J * ) "0 1 2( " 9 | &, $F1: )(3 ( "0 1 2( * 3 3mx, D,(.T" .(1395) K C "0 (
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ve

"637( 831, ?SFT &= ( ? 3 " .(1386) ?FT "3 > .129-140 24
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24 + ?T /( ?7 7( l.FT &, 7 9 | ."1350 ?+] )(3+ ( "0 +1 2( * "637( 831, K "3V735
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?FT &= ( ? 3 " .(1388) * V, ?7 XC ?F@,wG "( #3 .117-143 24 )(3 (

83+1, 9X7 3 * >^J ?FM(0 *,< 0 K 3> 7( ) , .(1388) 3++ # 3++:?++ PT ?++€J3, ?++h 2 ~*++ C 0 +,<
.1-16 68 "0 1 2( H X XdJ .""637( 0 I ( "0 1 2( * "637( 831, &= ( ? 3 "
Ar

*++ " .(1390) *+ V, ?F5 (*++7( ?,w+ ( K + C ?20 +A 0 "0 1 2( H X XdJ .")(3 ( 0 1 2( UF Q, " 9Q
) .€T " . > 0 # i d, ?50.'< "0 1 2( .1-38 1 44
+ + "63+7( 0 +1 2( H +@' =, &, $F1: .".J. > K + &+= ( ? 3 " .(1380) }< ? =1, * C ? 3 (
.1-32 30 .")(3 ( 0 ? 7 * T " 0 <3: 831, "0 1 2( *
+ @ / *++ " .(1383) ) + C H0 @++ K + C ?20 +A .11-45 14 &@ .J 97(0 &FV,
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.163-180 64 "0 1 2( H X XdJ ."(?SFT .")(3+ ( 0 "0 +1 2( * "637( 831, ?= d, #
?+SFT &+= ( " .(1389) +h "0.+P@, K C * d, j3=: 0 (R "0 1 2( " ? 3 ) " (*X, 0 1 2( &, $F1:
+ # i +d, ?50.'< K 73% @ / "637( 831, .35-53 4 5
"63+7( 0 1 2( H @' =, &, $F1: ."1350-1385 )(3 ( 0 .(1391) K++ d, + M "*++ d, *++ C( ? +A"3++ @/
.1-17 27 K 3+> * >( "0 7( K H*,*$F H*, J.> &= ( "
.(1387) * V, ?7 P@ *, C " .1$, ~K C * d, j3=: .")(3+ ( 0 *+ */ * (.+ :"0 1 2( * "637( 831,

www.SID.ir
 ... 0 K 3> * >( "0 "0 1 2( * "637( " D, C 831, ) ,
.121-145 24 6 0 "637( 0 1 2( H @' =,
?V$+ 0 1 2(" .(1393) l(3% 0(# "* T K C "* d,
.03 +> " .+gJ ."Eviews ( :(l37 ?7 ,# " "3
. FT 3 7 )(3%J
"637( 831, K FS T &= ( ? 3 " .(1383) h ?[F,
.89 + .&/0. &, 73 &FV, .")(3 ( 0 v' M 7 * '.J
.81-121
#( D+A C *,< 0 0*V, - #.J H(3m(" .(1395) Ž( ! " *%,
+ (.7 M : h XJ 3 "637( " D, C 2 !wA(
&, $F+1: ."&P+ d, D 2 ?,. T 0 @J ".W'( #( 0 (
0 "0 +1 2( &@ .J * " 9 | ? | ? FT
.21-36 22 6 .64-83 6
K + &+= ( " .(1383) +ET( K+ d, j PT h 0(# V7
0 "0 +1 2( " + 9+Q * "637( " D, C 831,
.61-80 2 "637( 0 1 2( H @' =, &, $F1: .")(3 (
&, 7#(3J "637( B3 )w> " &, 73 3 :0 3 7 H (#
. 1391
of
" N+T Q )(./ ~3A 7 ?7 3:? .$ ~(3 # ?%'( @7
+++m< ? +++ # (" .(1394) 0.+++ d, ?[M > .+++ 7(0
" + + ' @: 3+ "63+7( " + D+, C &+7( "# *$ :*
ve
*+ " + 9 |+ ?+ | ? FT &, $F1: .""* '.J
.11-24 19 5 0 "0 1 2( &@ .J
i
ch
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FS T &= ( ? 3 :& ' ( ) 68
83+1, ?+FM(0 v' +M 7 * '.J K ?SFT &= ( ? 3 "
)(3+ ( 0 .J., +, (0.+J Y #( 0 + ( + & 3 ['(
0 7 + + &@+ .J 9+7(0 &+FV, ."(1967-2006)
.169-189 25
"0 7( & VJ" .(1390) 0(./ ?J(3 K C* d, j3=:
"0 1 2( " 9Q & "637( 831, #( ? 7 K 3> * >(
H +@' =, &, $F+1: ."vM + &+ VJ D+ FdJ \ :)(3 (
.49-73 28 "637( 0 1 2(
* >( "0 & VJ" .(1392) 0(./ ?J(3 K C* d, j3=:
e(.++7( + 9Q 3++ # &++ D++X7 D++ C 9++Q 3++ $,
"0 ++1 2( H ++@' =, &, $F++1: ."?:3++1, " ++ M.++
l0 )(3 ( 0 "03 >
D
.(1388) *++, C "3++535 " .++1$, K++ C* d, j3++=:
Y# ( "63+7( " D, C 831, K ?FT &= ( ? 3 "
SI
-1385 " + + ?+] )(3+ ( @$+A 9+Q 0 0 :(
" + ?+ 3 &, $F+1:) " (*+X, 0 1 2( &, $F1: ."1346
.27-53 (22 ? ) 3 ,6 0 .("0 1 2(
.(1391) 0(#* d, &'(* 3:K }< ~ h * d, . ?F@ ='
D> "# > 9Q * 3 ' 0 b Q, 3 m^J ? 3 "
26 0 "# > &@ .J 0 1 2( & 3 7 .")(3 ( 0 1 2(
.86-96 2
D+,(.T ? 3 " .(1389) &d F, $ < h * d, . ?F@ ='
.")(3+ ( 0 +1 2( 0 K 3>* + >( "0 + 7( 3 IJ 3 3mx,
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