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PHỤ LỤC

Phụ lục 1: Kiểm định tính dừng của dữ liệu gốc

Null Hypothesis: LNIIP has a unit root

Exogenous: Constant

Lag Length: 3 (Automatic - based on SIC, maxlag=13)



Augmented Dickey-Fuller test statistic

Test critical values:

1% level

5% level

10% level



t-Statistic



Prob.*



-2.545608

-3.470427

-2.879045

-2.576182



0.1067



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



Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNIIP)

Method: Least Squares

Date: 07/18/16 Time: 21:10

Sample (adjusted): 2002M05 2015M12

Included observations: 164 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



LNIIP(-1)

D(LNIIP(-1))

D(LNIIP(-2))

D(LNIIP(-3))

C



-0.018966

-0.726527

-0.464431

-0.212631

0.113953



0.007450

0.076454

0.088333

0.076570

0.036444



-2.545608

-9.502817

-5.257699

-2.776951

3.126852



0.0119

0.0000

0.0000

0.0061

0.0021



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

F-statistic

Prob(F-statistic)



0.371114

0.355293

0.041053

0.267971

293.4670

23.45702

0.000000



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.

Durbin-Watson stat



0.009183

0.051129

-3.517890

-3.423382

-3.479523

2.038481



Null Hypothesis: LNCPI has a unit root

Exogenous: Constant

Lag Length: 2 (Automatic - based on SIC, maxlag=13)



Augmented Dickey-Fuller test statistic

Test critical values:

1% level

5% level

10% level



t-Statistic



Prob.*



-0.868177

-3.470179

-2.878937

-2.576124



0.7962



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



Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNCPI)

Method: Least Squares

Date: 07/18/16 Time: 21:10

Sample (adjusted): 2002M04 2015M12

Included observations: 165 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



LNCPI(-1)

D(LNCPI(-1))

D(LNCPI(-2))

C



-0.000830

0.531741

0.255323

0.005748



0.000956

0.075949

0.075962

0.004996



-0.868177

7.001279

3.361220

1.150348



0.3866

0.0000

0.0010

0.2517



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

F-statistic

Prob(F-statistic)



0.554317

0.546012

0.004688

0.003539

652.7375

66.74769

0.000000



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.

Durbin-Watson stat



0.006602

0.006958

-7.863485

-7.788189

-7.832919

2.006216



Null Hypothesis: LNOIL has a unit root

Exogenous: Constant

Lag Length: 1 (Automatic - based on SIC, maxlag=13)



Augmented Dickey-Fuller test statistic

Test critical values:

1% level

5% level

10% level



t-Statistic



Prob.*



-2.210804

-3.469933

-2.878829

-2.576067



0.2033



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



Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNOIL)

Method: Least Squares

Date: 07/18/16 Time: 21:25

Sample (adjusted): 2002M03 2015M12

Included observations: 166 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



LNOIL(-1)

D(LNOIL(-1))

C



-0.025603

0.277482

0.361409



0.011581

0.074771

0.161820



-2.210804

3.711095

2.233396



0.0284

0.0003

0.0269



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

F-statistic

Prob(F-statistic)



0.105002

0.094021

0.087148

1.237962

171.0335

9.561676

0.000118



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.

Durbin-Watson stat



0.006001

0.091559

-2.024500

-1.968259

-2.001671

1.996340



Null Hypothesis: IR has a unit root

Exogenous: Constant

Lag Length: 1 (Automatic - based on SIC, maxlag=13)



Augmented Dickey-Fuller test statistic

Test critical values:

1% level

5% level

10% level



t-Statistic



Prob.*



-2.338136

-3.469933

-2.878829

-2.576067



0.1613



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



Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IR)

Method: Least Squares

Date: 11/12/16 Time: 22:34

Sample (adjusted): 2002M03 2015M12

Included observations: 166 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



IR(-1)

D(IR(-1))

C



-0.038801

0.393394

0.303519



0.016595

0.071788

0.135382



-2.338136

5.479920

2.241938



0.0206

0.0000

0.0263



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

F-statistic

Prob(F-statistic)



0.169137

0.158942

0.601410

58.95605

-149.6226

16.59076

0.000000



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.

Durbin-Watson stat



0.010241

0.655779

1.838826

1.895067

1.861655

2.101886



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