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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

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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



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

Sample (adjusted): 2000Q2 2010Q4

Included observations: 43 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



DLREER(-1)



-1.503125



0.133630



-11.24843



0.0000



R-squared

Adjusted 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

Sample (adjusted): 2000Q3 2010Q4

Included observations: 42 after adjustments



96

Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq:



CointEq1



CAD(-1)



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(CAD)



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]



D(CAD(-1))



0.163611

(0.14013)

[ 1.16753]



0.006808

(0.04209)

[ 0.16176]



0.369903

(0.17243)

[ 2.14519]



-0.070033

(0.22807)

[-0.30707]



D(CAD(-2))



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 (dof adj.)

Determinant resid covariance

Log likelihood

Akaike information criterion

Schwarz criterion



4.19E-16

1.41E-16

528.0435

-23.04969

-21.22928



R-squared

Adj. 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

Sample (adjusted): 2001Q1 2010Q4

Included observations: 42 after adjustments



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

Sample (adjusted): 2000Q3 2010Q4

Included observations: 42 after adjustments

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

Sample (adjusted): 2000Q3 2010Q4

Included observations: 42 after adjustments

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

Sample (adjusted): 2000Q3 2010Q4

Included observations: 42 after adjustments

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



Dependent Variable: DCAD

Method: Least Squares



100

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

Sample (adjusted): 2002Q1 2010Q4

Included observations: 36 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



DCAD(-1)

DCAD(-2)

DCAD(-3)

DCAD(-4)

DCAD(-5)

DCAD(-6)

DCAD(-7)

DCAD(-8)

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

Adjusted 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

Sample (adjusted): 2000Q4 2010Q4

Included observations: 41 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



RESID01(-1)



-0.889205



0.157022



-5.662941



0.0000



R-squared

Adjusted 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

Sample (adjusted): 2000Q4 2010Q4

Included observations: 41 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



RESID02(-1)



-1.018865



0.158315



-6.435662



0.0000



R-squared

Adjusted 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

Sample (adjusted): 2000Q4 2010Q4

Included observations: 41 after adjustments



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

Adjusted 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

Sample (adjusted): 2000Q4 2010Q4

Included observations: 41 after adjustments

Variable



Coefficient Std. Error



t-Statistic



Prob.



RESID04(-1)



-1.129900 0.154218



-7.326622



0.0000



R-squared

Adjusted 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

CAD Residuals



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



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

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