Tải bản đầy đủ
PHỤ LỤC 2: KẾT QUẢ KIỂM TRA NGHIỆM ĐƠN VỊ CỦA SAI PHÂN BẬC MỘT CÁC BIẾN CAD

# PHỤ LỤC 2: KẾT QUẢ KIỂM TRA NGHIỆM ĐƠN VỊ CỦA SAI PHÂN BẬC MỘT CÁC BIẾN CAD

Tải bản đầy đủ

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

95
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.*

-11.24843
-2.619851
-1.948686
-1.612036

0.0000

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(DLREER)
Method: Least Squares
Date: 04/23/11 Time: 15:21
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DLREER(-1)

-1.503125

0.133630

-11.24843

0.0000

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

0.750776
0.750776
0.023904
0.024000
100.0403

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

0.000233
0.047883
-4.606526
-4.565568
2.071550

Phụ lục 3 – Kết quả ước lượng mô hình VECM (CAD)

Vector Error Correction Estimates
Date: 04/25/11 Time: 19:40

96
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:

CointEq1

1.000000

FDP(-1)

12.80385
(2.60374)
[ 4.91748]

INV(-1)

0.755129
(0.45830)
[ 1.64766]

LREER(-1)

-3.261580
(0.66186)
[-4.92789]

C

12.90987

Error Correction:

D(FDP)

D(INV)

D(LREER)

CointEq1

-0.077660
(0.03606)
[-2.15381]

-0.019192
(0.01083)
[-1.77214]

-0.073324
(0.04437)
[-1.65263]

0.142164
(0.05868)
[ 2.42259]

0.163611
(0.14013)
[ 1.16753]

0.006808
(0.04209)
[ 0.16176]

0.369903
(0.17243)
[ 2.14519]

-0.070033
(0.22807)
[-0.30707]

0.030524
(0.14113)
[ 0.21628]

0.010065
(0.04239)
[ 0.23745]

0.058877
(0.17366)
[ 0.33903]

-0.184042
(0.22969)
[-0.80126]

D(FDP(-1))

0.608103
(0.64555)
[ 0.94199]

0.115219
(0.19389)
[ 0.59425]

0.581284
(0.79434)
[ 0.73178]

-1.692927
(1.05063)
[-1.61135]

D(FDP(-2))

-0.062067
(0.64936)
[-0.09558]

0.186631
(0.19503)
[ 0.95692]

-0.327900
(0.79903)
[-0.41037]

-1.322377
(1.05683)
[-1.25127]

D(INV(-1))

-0.119550
(0.12823)
[-0.93234]

0.004695
(0.03851)
[ 0.12190]

-0.433450
(0.15778)
[-2.74717]

-0.133493
(0.20869)
[-0.63969]

D(INV(-2))

-0.025739
(0.12910)

0.015396
(0.03878)

-0.324371
(0.15886)

0.096922
(0.21011)

97
[-0.19937]

[ 0.39704]

[-2.04189]

[ 0.46129]

D(LREER(-1))

-0.393803
(0.12338)
[-3.19179]

-0.010790
(0.03706)
[-0.29118]

-0.349188
(0.15182)
[-2.30005]

-0.288446
(0.20080)
[-1.43649]

D(LREER(-2))

-0.623541
(0.10322)
[-6.04072]

0.009176
(0.03100)
[ 0.29598]

-0.430282
(0.12701)
[-3.38766]

-0.007999
(0.16799)
[-0.04762]

C

0.004032
(0.00234)
[ 1.71996]

0.000157
(0.00070)
[ 0.22243]

0.000706
(0.00288)
[ 0.24479]

0.005646
(0.00381)
[ 1.48012]

0.546689
0.419195
0.006635
0.014399
4.287962
124.2193
-5.439015
-5.025284
0.002171
0.018894

0.126017
-0.119791
0.000599
0.004325
0.512665
174.7375
-7.844644
-7.430913
0.000281
0.004087

0.429785
0.269412
0.010046
0.017718
2.679912
115.5081
-5.024194
-4.610463
-0.000140
0.020729

0.428180
0.267355
0.017574
0.023435
2.662405
103.7637
-4.464940
-4.051209
0.003333
0.027379

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

4.19E-16
1.41E-16
528.0435
-23.04969
-21.22928

R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Phụ lục 4 – Kết quả kiểm định tính ngoại sinh yếu
Vector Error Correction Estimates
Date: 04/25/11 Time: 12:16

98
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(1,1)=0
Convergence achieved after 11 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 1):
Chi-square(1)
13.52388
Probability
0.000000
Cointegrating Eq:

CointEq1

Vector Error Correction Estimates
Date: 04/25/11 Time: 12:17
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(2,1)=0
Convergence achieved after 13 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 1):
Chi-square(1)
14.37203
Probability
0.000000
Cointegrating Eq:

CointEq1

Vector Error Correction Estimates
Date: 04/25/11 Time: 12:18
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(3,1)=0
Convergence achieved after 28 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 1):
Chi-square(1)
12.3966
Probability
0.000000
Cointegrating Eq:

CointEq1

Vector Error Correction Estimates

99
Date: 04/25/11 Time: 12:18
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(4,1)=0
Convergence achieved after 28 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 1):
Chi-square(1)
14.37966
Probability
0.000000
Cointegrating Eq:

CointEq1

Phụ lục 5 – Kết quả ước lượng các nhân tố ảnh hưởng
đến thâm hụt tài khoản vãng lai trong ngắn hạn

Method: Least Squares

100
Date: 04/25/11 Time: 18:43
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DFDP(-1)
DFDP(-2)
DFDP(-3)
DFDP(-4)
DFDP(-5)
DFDP(-6)
DFDP(-7)
DFDP(-8)
DINV(-1)
DINV(-2)
DINV(-3)
DINV(-4)
DINV(-5)
DINV(-6)
DINV(-7)
DINV(-8)
DLREER(-1)
DLREER(-2)
DLREER(-3)
DLREER(-4)
DLREER(-5)
DLREER(-6)
DLREER(-7)
DLREER(-8)
C(-1)

0.438281
-0.161593
-0.055378
0.383675
-0.397866
0.127371
-0.169543
-0.475004
-0.295973
2.598095
-1.608055
0.040201
-1.273474
-1.865701
-2.257072
-0.046608
-0.247472
-0.261122
-0.335231
0.042990
-0.162182
-0.243479
-0.104213
-0.370785
-0.130849
-0.224165
-0.610188
0.191271
0.350362
0.461052
0.094853
0.217262
0.006736

0.346243
0.351697
0.329358
0.424671
0.376929
0.315575
0.218592
0.178669
1.083025
1.248431
1.316719
1.001931
1.253796
1.239293
1.602599
5.823418
0.309865
0.324526
0.323051
0.312313
0.333488
0.348763
0.296975
0.258879
0.262087
0.226857
0.229817
0.390689
0.387894
0.483726
0.290097
0.353712
0.005946

1.265818
-0.459467
-0.168139
0.903464
-1.055548
0.403617
-0.775615
-2.658570
-0.273284
-2.081089
-1.221259
0.040124
-1.015695
-1.505456
-1.408383
-0.008004
-0.798646
-0.804624
-1.037703
0.137649
-0.486321
-0.698121
-0.350914
-1.432268
-0.499260
-0.988135
2.655102
0.489574
0.903242
0.953125
0.326971
0.614233
1.132820

0.0429
0.6771
0.8772
0.4329
0.3687
0.7135
0.4945
0.0064
0.8024
0.0289
0.3092
0.9705
0.3846
0.2293
0.2538
0.9941
0.4829
0.4799
0.3757
0.8992
0.6601
0.5353
0.7488
0.0024
0.6519
0.3959
0.0067
0.6580
0.4330
0.4108
0.7652
0.5825
0.3396

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

0.967469
0.620474
0.012580
0.000475
151.1704
1.595780

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.002531
0.020420
-6.565022
-5.113463
6.788132
0.002161

101

Phụ lục 6 – Kết quả kiểm định tính dừng
của phần dư của kết quả ước lượng VECM (CAD)

Null Hypothesis: RESID01 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.*

-5.662941
-2.622585
-1.949097
-1.611824

0.0000

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID01)
Method: Least Squares
Date: 04/24/11 Time: 13:52
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESID01(-1)

-0.889205

0.157022

-5.662941

0.0000

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

0.444972
0.444972
0.012786
0.006539
121.0668

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

4.00E-05
0.017162
-5.856915
-5.815120
1.936227

Null Hypothesis: RESID02 has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic

Prob.*

102
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level

-6.435662
-2.622585
-1.949097
-1.611824

0.0000

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID02)
Method: Least Squares
Date: 04/24/11 Time: 13:53
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESID02(-1)

-1.018865

0.158315

-6.435662

0.0000

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

0.508701
0.508701
0.003866
0.000598
170.1085

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

-1.89E-05
0.005515
-8.249197
-8.207402
1.961816

Null Hypothesis: RESID03 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(RESID03)
Method: Least Squares
Date: 04/24/11 Time: 13:53

t-Statistic

Prob.*

-6.391513
-2.622585
-1.949097
-1.611824

0.0000

103
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESID03(-1)

-0.996420

0.155897

-6.391513

0.0000

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

0.505182
0.505182
0.015596
0.009730
112.9197

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

0.000284
0.022172
-5.459495
-5.417701
1.998077

Null Hypothesis: RESID04 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.*

-7.326622
-2.622585
-1.949097
-1.611824

0.0000

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID04)
Method: Least Squares
Date: 04/24/11 Time: 13:53
Variable

Coefficient Std. Error

t-Statistic

Prob.

RESID04(-1)

-1.129900 0.154218

-7.326622

0.0000

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

0.572261
0.572261
0.020186
0.016299
102.3432

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
DurbinWatson stat

Đồ thị phần dư

0.001278
0.030865
-4.943572
-4.901778
1.963829

104

FDP Residuals

.04

.025

.03

.020

.02

.015

.01

.010

.00
.005

-.01

.000

-.02

-.005

-.03
-.04

-.010
01

02

03

04

05

06

07

08

09

10

01

02

INV Residuals

03

04

05

06

07

08

09

10

08

09

10

LREER Residuals

.04

.10

.03

.08

.02

.06

.01

.04

.00
.02
-.01
.00

-.02

-.02

-.03
-.04

-.04
01

02

03

04

05

06

07

08

09

10

01

02

03

04

05

06

07