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Kết Quả Kiểm Định Tính Dừng


C

-0.007229

0.005172

-1.397657

0.1666

RM

1.056887

0.098258

10.75624

0.0000


R-squared


0.619704


Mean dependent var


-0.000231

Adjusted R-squared

0.614348

S.D. dependent var

0.070594

S.E. of regression

0.043839

Akaike info criterion

-3.389551

Sum squared resid

0.136455

Schwarz criterion

-3.326799

Log likelihood

125.7186

Hannan-Quinn criter.

-3.364544

F-statistic

115.6968

Durbin-Watson stat

1.508524

Prob(F-statistic)

0.000000



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Kiểm định mô hình tài sản vốn - CAPM trên thị trường chứng khoán Việt Nam - 17

Phụ lục 11:Kết quả kiểm định tính dừng


1. Kết quả kiểm định tính dừng chuỗi Rm


Null Hypothesis: RM has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-8.414485


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RM)

Method: Least Squares


Date: 12/24/18 Time: 19:22


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.


RM(-1)


-1.004527


0.119381 -8.414485


0.0000

C

0.007003

0.006327 1.106970

0.2721


R-squared


0.502853


Mean dependent var


0.000166

Adjusted R-squared

0.495751

S.D. dependent var

0.074974

S.E. of regression

0.053239

Akaike info criterion

-3.000651

Sum squared resid

0.198411

Schwarz criterion

-2.937410

Log likelihood

110.0234

Hannan-Quinn criter.

-2.975474

F-statistic

70.80356

Durbin-Watson stat

1.994315

Prob(F-statistic)

0.000000





2. Kết quả kiểm định tính dừng chuỗi S


Null Hypothesis: S has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-6.147693


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(S)

Method: Least Squares


Date: 12/24/18 Time: 19:24


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.


S(-1)


-0.699306


0.113751 -6.147693


0.0000

C

0.001335

0.005319 0.250903

0.8026


R-squared


0.350614


Mean dependent var


0.000171

Adjusted R-squared

0.341337

S.D. dependent var

0.055575

S.E. of regression

0.045104

Akaike info criterion

-3.332323

Sum squared resid

0.142404

Schwarz criterion

-3.269082

Log likelihood

121.9636

Hannan-Quinn criter.

-3.307147


F-statistic

37.79413

Durbin-Watson stat

1.914350

Prob(F-statistic)

0.000000




3. Kết quả kiểm định tính dừng chuỗi B


Null Hypothesis: B has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-7.206467


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(B)

Method: Least Squares


Date: 12/30/18 Time: 07:27


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.


B(-1)


-0.848580


0.117753 -7.206467


0.0000

C

0.001952

0.006363 0.306759

0.7599


R-squared


0.425915


Mean dependent var


0.000699

Adjusted R-squared

0.417714

S.D. dependent var

0.070726

S.E. of regression

0.053970

Akaike info criterion

-2.973405

Sum squared resid

0.203891

Schwarz criterion

-2.910164


Log likelihood

109.0426

Hannan-Quinn criter.

-2.948229

F-statistic

51.93316

Durbin-Watson stat

2.005617

Prob(F-statistic)

0.000000




4. Kết quả kiểm định tính dừng chuỗi H


Null Hypothesis: H has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-6.193373


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(H)

Method: Least Squares


Date: 12/24/18 Time: 19:19


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error

t-Statistic

Prob.


H(-1)


-0.702641


0.113450


-6.193373


0.0000

C

-0.001145

0.007384

-0.155077

0.8772


R-squared


0.353992


Mean dependent var


0.000794

Adjusted R-squared

0.344764

S.D. dependent var

0.077332


S.E. of regression

0.062597

Akaike info criterion

-2.676802

Sum squared resid

0.274290

Schwarz criterion

-2.613561

Log likelihood

98.36487

Hannan-Quinn criter.

-2.651626

F-statistic

38.35787

Durbin-Watson stat

1.878577

Prob(F-statistic)

0.000000




5. Kết quả kiểm định tính dừng chuỗi M


Null Hypothesis: M has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-6.586643


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(M)

Method: Least Squares


Date: 12/24/18 Time: 19:21


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error

t-Statistic

Prob.


M(-1)


-0.764919


0.116132


-6.586643


0.0000

C

0.002205

0.005101

0.432140

0.6670


R-squared


0.382628


Mean dependent var


2.81E-05


Adjusted R-squared

0.373809

S.D. dependent var

0.054588

S.E. of regression

0.043197

Akaike info criterion

-3.418728

Sum squared resid

0.130616

Schwarz criterion

-3.355487

Log likelihood

125.0742

Hannan-Quinn criter.

-3.393552

F-statistic

43.38387

Durbin-Watson stat

1.954475

Prob(F-statistic)

0.000000




6. Kết quả kiểm định tính dừng chuỗi L


Null Hypothesis: L has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-7.005902


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(L)

Method: Least Squares


Date: 12/24/18 Time: 19:21


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error

t-Statistic

Prob.


L(-1)


-0.824176


0.117640


-7.005902


0.0000

C

0.003745

0.005045

0.742274

0.4604


R-squared

0.412173

Mean dependent var

1.75E-05

Adjusted R-squared

0.403775

S.D. dependent var

0.055129

S.E. of regression

0.042569

Akaike info criterion

-3.448019

Sum squared resid

0.126846

Schwarz criterion

-3.384778

Log likelihood

126.1287

Hannan-Quinn criter.

-3.422842

F-statistic

49.08266

Durbin-Watson stat

2.026412

Prob(F-statistic)

0.000000




7. Kết quả kiểm định tính dừng chuỗi SH


Null Hypothesis: SH has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-6.153980


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SH)

Method: Least Squares


Date: 12/24/18 Time: 19:25


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error

t-Statistic

Prob.


SH(-1)


-0.696968


0.113255


-6.153980


0.0000

C

-0.000951

0.007301

-0.130264

0.8967

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