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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 - 105trang

91

Variable



Coefficient



Std. Error



t-Statistic



Prob.



FDP(-1)



0.003139



0.011732



0.267557



0.7903



R-squared

Adjusted 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

Sample (adjusted): 2000Q1 2010Q4

Included observations: 44 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



INV(-1)



-0.009693



0.021314



-0.454794



0.6515



R-squared

Adjusted 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

Sample (adjusted): 2000Q2 2010Q4

Included observations: 43 after adjustments

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

Adjusted 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

Dependent Variable: D(DCAD)

Method: Least Squares

Date: 04/23/11 Time: 15:17

Sample (adjusted): 2000Q2 2010Q4

Included observations: 43 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



DCAD(-1)



-1.007461



0.152550



-6.604155



0.0000



R-squared

Adjusted 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

Sample (adjusted): 2000Q2 2010Q4

Included observations: 43 after adjustments



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

Adjusted 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

Sample (adjusted): 2000Q3 2010Q4

Included observations: 42 after adjustments

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

Adjusted 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



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