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PHỤ LỤC 2BẢNG SỐ LIỆU CỦA CÁC BIẾN TRONG GIAI ĐOẠNTỪ QUÝ 01/1996 ĐẾN QUÝ 04/2012

PHỤ LỤC 2BẢNG SỐ LIỆU CỦA CÁC BIẾN TRONG GIAI ĐOẠNTỪ QUÝ 01/1996 ĐẾN QUÝ 04/2012

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-47-

Year

FIS

LRR

LnFIS

LnLRR

FLI

Q2

7.3333

0.108

1.9924

-2.2256

0.1244

Q3

9.3333

0.104

2.2336

-2.2634

0.2815

Q4

8.7692

0.102

2.1712

-2.2828

0.2815

2001Q1

5.5714

0.0965

1.7177

-2.3382

0.2815

Q2

4.1579

0.0835

1.4250

-2.4829

0.2815

Q3

5.3333

0.08

1.6740

-2.5257

0.2815

Q4

6.75

0.0768

1.9095

-2.5666

0.2815

2002Q1

6.7961

0.0552

1.9164

-2.8973

0.2815

Q2

6.6355

0.0475

1.8924

-3.0470

0.2815

Q3

6.9307

0.075

1.9360

-2.5903

0.4072

Q4

6.8571

0.0748

1.9253

-2.5929

0.4072

2003Q1

2.9752

0.0841

1.0903

-2.4754

0.4072

Q2

3.0159

0.0645

1.1039

-2.7416

0.4072

Q3

0.3101

0.0754

-1.1709

-2.5846

0.4072

Q4

3.8852

0.0652

1.3572

-2.7308

0.4072

2004Q1

1.7969

0.0254

0.5860

-3.6730

0.4072

Q2

2.1212

0.0454

0.7520

-3.0922

0.4072

Q3

1.9118

0.0368

0.6480

-3.3023

0.4072

Q4

2.1642

0.0213

0.7720

-3.8490

0.4072

2005Q1

2.439

0.0287

0.8916

-3.5509

0.4072

Q2

2.4031

0.0288

0.8768

-3.5484

0.4857

-48-

Year

FIS

LRR

LnFIS

LnLRR

FLI

Q3

2.6718

0.0308

0.9827

-3.4802

0.4857

Q4

2.6016

0.0333

0.9561

-3.4031

0.4857

2006Q1

2.437

0.0418

0.8908

-3.1761

0.4857

Q2

2.439

0.0418

0.8916

-3.1761

0.4857

Q3

2.0149

0.0418

0.7006

-3.1761

0.4857

Q4

2.6316

0.0418

0.9676

-3.1749

0.4857

2007Q1

1.0526

0.0318

0.0513

-3.4483

0.7180

Q2

1.125

0.0318

0.1178

-3.4483

0.8381

Q3

0.7143

0.0318

-0.3365

-3.4483

0.8381

Q4

1.1765

0.0318

0.1625

-3.4483

0.8381

2008Q1

2.1333

-0.0868

0.7577

0.0000

0.8381

Q2

2

-0.0236

0.6931

0.0000

0.6810

Q3

1.381

-0.019

0.3228

0.0000

0.6810

Q4

3.1818

-0.0892

1.1575

0.0000

0.6810

2009Q1

1.4286

0.0354

0.3567

-3.3410

0.6810

Q2

1.6154

0.0357

0.4796

-3.3326

0.6810

Q3

1.5

0.0419

0.4055

-3.1725

0.6810

Q4

1.8333

0.0398

0.6061

-3.2249

0.6810

2010Q1

1.9231

0.033

0.6539

-3.4112

0.6810

Q2

2.1212

0.0444

0.7520

-3.1145

0.6810

Q3

1.8462

0.0537

0.6131

-2.9249

0.6810

-49-

Year

FIS

LRR

LnFIS

LnLRR

FLI

Q4

2.0155

0.0513

0.7009

-2.9693

0.6810

2011Q1

2.5893

0.0005

0.9514

-7.7063

0.6810

Q2

2.3077

0.0042

0.8362

-5.4727

0.6810

Q3

2.5424

-0.0109

0.9331

0.0000

0.6810

Q4

3.1193

-0.0316

1.1376

0.0000

0.6810

2012Q1

5.5224

0.063

1.7088

-2.7646

0.6810

Q2

5.5714

0.0487

1.7177

-3.0227

0.6810

Q3

5.0667

0.0349

1.6227

-3.3544

0.6810

Q4

5.1646

0.0323

1.6418

-3.4336

0.6810

-50-

PHỤ LỤC 3
KẾT QUẢ KIỂM ĐỊNH CỦA MÔ HÌNH

1. Kiểm định nghiệm đơn vị
Sử dụng kiểm định nghiệm đơn vị (unit root test) ADF để xác định chuỗi dữ
liệu có dừng hay không? Kết quả cho thấy tất cả các chuỗi dữ liệu đều không dừng
ở chuỗi gốc, sau khi lấy sai phân bậc 1 thì tất cả đều dừng. Chi tiết như sau:


Chuỗi LnFIS là không dừng
Null Hypothesis: LNFIS has a unit root
Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=10)

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

t-Statistic

Prob.*

-1.609439
-2.600471
-1.945823
-1.613589

0.0932

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNFIS)
Method: Least Squares
Sample (adjusted): 1996Q3 2012Q4
Included observations: 66 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LNFIS(-1)
D(LNFIS(-1))

-0.082693
-0.205056

0.050134
0.120727

-1.649439
-1.698508

0.1040
0.0943

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



0.096635
0.082520
0.742865
35.31826
-73.01654
2.037438

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

Chuỗi FLI là không dừng
Null Hypothesis: FLI has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

-0.019085
0.775553
2.273228
2.339582
2.299448

-51-

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

t-Statistic

Prob.*

0.841244
-2.599934
-1.945745
-1.613633

0.8902

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(FLI)
Method: Least Squares
Sample (adjusted): 1996Q2 2012Q4
Included observations: 67 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

FLI(-1)

0.009607

0.011419

0.841244

0.4032

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



-0.023257
-0.023257
0.045764
0.138229
112.0797
1.633412

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.008307
0.045241
-3.315811
-3.282905
-3.302790

Chuỗi LnLRR là không dừng
Null Hypothesis: LNLRR has a unit root
Exogenous: None
Lag Length: 2 (Automatic - based on SIC, maxlag=10)

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

t-Statistic

Prob.*

-0.831527
-2.601024
-1.945903
-1.613543

0.3519

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNLRR)
Method: Least Squares
Sample (adjusted): 1996Q4 2012Q4
Included observations: 65 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LNLRR(-1)
D(LNLRR(-1))
D(LNLRR(-2))

-0.039632
0.050820
-0.436304

0.047662
0.115124
0.115296

-0.831527
0.441441
-3.784207

0.4089
0.6604
0.0003

R-squared

0.218083

Mean dependent var

-0.022903