Tải bản đầy đủ
PHỤ LỤC 1: KẾT QUẢ KIỂM TRA NGHIỆM ĐƠN VỊ CỦA CÁC BIỂN CAD, FDP, INV, LREER

# PHỤ LỤC 1: KẾT QUẢ KIỂM TRA NGHIỆM ĐƠN VỊ CỦA CÁC BIỂN CAD, FDP, INV, LREER

Tải bản đầy đủ

91
Variable

Coefficient

Std. Error

t-Statistic

Prob.

FDP(-1)

0.003139

0.011732

0.267557

0.7903

R-squared
S.E. of regression
Sum squared resid
Log likelihood

-0.003764
-0.003764
0.003999
0.000688
181.0271

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

0.000291
0.003992
-8.183052
-8.142502
2.032066

Null Hypothesis: INV has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-0.454794
-2.618579
-1.948495
-1.612135

0.5123

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INV)
Method: Least Squares
Date: 04/23/11 Time: 15:22
Variable

Coefficient

Std. Error

t-Statistic

Prob.

INV(-1)

-0.009693

0.021314

-0.454794

0.6515

R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.004786
0.004786
0.020412
0.017916
109.3042

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

2.50E-05
0.020461
-4.922920
-4.882370
2.517314

Null Hypothesis: LREER has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic

Prob.*

92

Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level

1.020085
-2.619851
-1.948686
-1.612036

0.9165

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LREER)
Method: Least Squares
Date: 04/23/11 Time: 15:22
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LREER(-1)
D(LREER(-1))

0.000888
-0.515277

0.000870
0.134095

1.020085
-3.842616

0.3137
0.0004

R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.264403
0.246462
0.023893
0.023406
100.5792

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

0.002558
0.027524
-4.585077
-4.503161
2.104489

Phụ lục 2 – Kết quả kiểm tra nghiệm đơn vị của sai phân bậc một
các biến CAD, FDP, INV và LREER
Null Hypothesis: DCAD has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

93

Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-6.604155
-2.619851
-1.948686
-1.612036

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Method: Least Squares
Date: 04/23/11 Time: 15:17
Variable

Coefficient

Std. Error

t-Statistic

Prob.

-1.007461

0.152550

-6.604155

0.0000

R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.509305
0.509305
0.018794
0.014835
110.3834

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

-0.000426
0.026829
-5.087598
-5.046640
1.997808

Null Hypothesis: DFDP has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(DFDP)
Method: Least Squares
Date: 04/23/11 Time: 15:18

t-Statistic

Prob.*

-6.559599
-2.619851
-1.948686
-1.612036

0.0000

94

Variable

Coefficient

Std. Error

t-Statistic

Prob.

DFDP(-1)

-1.011658

0.154226

-6.559599

0.0000

R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.506039
0.506039
0.004048
0.000688
176.4058

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

-2.33E-05
0.005759
-8.158408
-8.117449
2.000029

Null Hypothesis: DINV has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-6.931806
-2.621185
-1.948886
-1.611932

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(DINV)
Method: Least Squares
Date: 04/23/11 Time: 15:20
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DINV(-1)
D(DINV(-1))

-1.655344
0.311954

0.238804
0.150326

-6.931806
2.075182

0.0000
0.0444

R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.669407
0.661142
0.019245
0.014816
107.3493

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

Null Hypothesis: DLREER has a unit root
Exogenous: None

-0.000426
0.033061
-5.016634
-4.933888
1.912549