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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