Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 22



Seasonal Unit Root Test for LS

Method: Traditional HEGY

Null Hypothesis: Unit root at specified frequency Periodicity (Seasons): 4

Non-Seasonal Deterministics: None Seasonal Deterministics: None

Lag Selection: 0 (Automatic: AIC, maxlags=12) Sample Size: 48





Significance Level


Test Stat.

1% 5%

10%

Frequency 0 -2.969746 n=40


-2.53 -1.88


-1.59

n=60

-2.57 -1.92

-1.60

n=48*

-2.55 -1.90

-1.59

Frequency 2PI/4 and 6PI/4 13.00475

n=40


30.65 7.98


3.66

n=60

30.93 7.99

3.73

n=48*

30.76 7.98

3.69

Frequency PI -5.427517 n=40


-2.53 -1.88


-1.59

n=60

-2.57 -1.92

-1.60

n=48*

-2.55 -1.90

-1.59

All seasonal frequencies 154.8884 n=40


21.15 5.75


2.91

n=60

21.27 5.75

2.98

n=48*

21.20 5.75

2.94

All frequencies 122.1865 n=40


16.59 4.88


2.83

n=60

16.65 4.87

2.92

n=48*

16.61 4.88

2.86

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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 22

*Note: Obtained using linear interpolation.



Seasonal Unit Root Test for NS

Method: Traditional HEGY

Null Hypothesis: Unit root at specified frequency Periodicity (Seasons): 4

Non-Seasonal Deterministics: None Seasonal Deterministics: None

Lag Selection: 5 (Automatic: AIC, maxlags=12) Sample Size: 43





Significance Level


Test Stat.

1% 5%

10%

Frequency 0 -0.450300 n=40


-2.53 -1.88


-1.59

n=60

-2.57 -1.92

-1.60

n=43*

-2.54 -1.89

-1.59

Frequency 2PI/4 and 6PI/4 5.526042 n=40


30.65 7.98


3.66

n=60

30.93 7.99

3.73

n=43*

30.69 7.98

3.67

Frequency PI -3.392458 n=40


-2.53 -1.88


-1.59

n=60

-2.57 -1.92

-1.60

n=43*

-2.54 -1.89

-1.59

All seasonal frequencies 7.109448 n=40


21.15 5.75


2.91

n=60

21.27 5.75

2.98

n=43*

21.17 5.75

2.92

All frequencies 5.489919 n=40


16.59 4.88


2.83

n=60

16.65 4.87

2.92

n=43*

16.60 4.88

2.84

*Note: Obtained using linear interpolation.



Seasonal Unit Root Test for TG

Method: Traditional HEGY

Null Hypothesis: Unit root at specified frequency Periodicity (Seasons): 4

Non-Seasonal Deterministics: None Seasonal Deterministics: None

Lag Selection: 0 (Automatic: AIC, maxlags=12) Sample Size: 48





Significance Level


Test Stat.

1% 5%

10%

Frequency 0 -1.733403 n=40


-2.53 -1.88


-1.59

n=60

-2.57 -1.92

-1.60

n=48*

-2.55 -1.90

-1.59

Frequency 2PI/4 and 6PI/4 14.91793 n=40


30.65 7.98


3.66

n=60

30.93 7.99

3.73

n=48*

30.76 7.98

3.69

Frequency PI -4.624888 n=40


-2.53 -1.88


-1.59

n=60

-2.57 -1.92

-1.60

n=48*

-2.55 -1.90

-1.59

All seasonal frequencies 93.01049

n=40


21.15 5.75


2.91

n=60

21.27 5.75

2.98

n=48*

21.20 5.75

2.94

All frequencies 102.7873 n=40


16.59 4.88


2.83

n=60

16.65 4.87

2.92

n=48*

16.61 4.88

2.86

*Note: Obtained using linear interpolation.



Seasonal Unit Root Test for TM

Method: Traditional HEGY

Null Hypothesis: Unit root at specified frequency Periodicity (Seasons): 4

Non-Seasonal Deterministics: None Seasonal Deterministics: None

Lag Selection: 11 (Automatic: AIC, maxlags=12) Sample Size: 37





Significance Level


Test Stat.

1% 5%

10%

Frequency 0 -1.308644 n=20


-2.45 -1.85


-1.55

n=40

-2.53 -1.88

-1.59

n=37*

-2.52 -1.88

-1.58

Frequency 2PI/4 and 6PI/4 6.833039 n=20


24.78 7.20


3.38

n=40

30.65 7.98

3.66

n=37*

29.77 7.86

3.61

Frequency PI -1.020198 n=20


-2.45 -1.85


-1.55

n=40

-2.53 -1.88

-1.59

n=37*

-2.52 -1.88

-1.58

All seasonal frequencies 5.496060 n=20


17.41 5.23


2.74

n=40

21.15 5.75

2.91

n=37*

20.59 5.68

2.89

All frequencies 5.331548 n=20


13.77 4.56


2.73

n=40

16.59 4.88

2.83

n=37*

16.17 4.83

2.81

*Note: Obtained using linear interpolation.


Phụ lục A-2a - Xác định độ trễ của VAR


VAR Lag Order Selection Criteria Endogenous variables: NS TM LS TG GDP

Exogenous variables: C @EXPAND(@QUARTER,@DROPLAST) Date: 08/31/21 Time: 13:57

Sample: 2005Q1 2017Q4

Included observations: 48


Lag

LogL

LR

FPE

AIC

SC

HQ

0

-733.4833

NA

29730678

31.39514

32.17481

31.68978

1

-559.8075

282.2232

61906.24

25.20031

26.95456*

25.86325

2

-525.3009

48.88435

44445.66

24.80421

27.53304

25.83544

3

-503.4319

26.42507

58333.26

24.93466

28.63808

26.33419

4

-428.5312

74.90074*

9500.895*

22.85547*

27.53347

24.62329*


* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error

AIC: Akaike information criterion SC: Schwarz information criterion

HQ: Hannan-Quinn information criterion


Phụ lục A-2b1 – Kiểm định độ vững của VAR với mức trễ 4

Roots of Characteristic Polynomial Endogenous variables: NS TM LS TG GDP


Exogenous variables: C

@EXPAND(@QUARTER,@DROPLA ST)

Lag specification: 1 4

Date: 08/31/21 Time: 14:01


Root

Modulus

-0.005939 - 1.025484i

1.025501

-0.005939 + 1.025484i

1.025501

1.022976

1.022976

-1.009673

1.009673

0.839927 + 0.274626i

0.883683

0.839927 - 0.274626i

0.883683

0.483632 + 0.633557i

0.797054

0.483632 - 0.633557i

0.797054

0.734106

0.734106

-0.500026 - 0.534201i

0.731708

-0.500026 + 0.534201i

0.731708



0.556575 + 0.347909i

0.656366

0.556575 - 0.347909i

0.656366

-0.304961 - 0.553731i

0.632155

-0.304961 + 0.553731i

0.632155

0.208541 + 0.462776i

0.507593

0.208541 - 0.462776i

0.507593

-0.266155 + 0.151564i

0.306284

-0.266155 - 0.151564i

0.306284

0.106206

0.106206

Warning: At least one root outside the unit circle. VAR does not satisfy the stability condition.


Phụ lục A-2b2 – Kiểm định độ vững của VAR với mức trễ 3


Roots of Characteristic Polynomial Endogenous variables: NS TM LS TG GDP


Exogenous variables: C

@EXPAND(@QUARTER,@DROPLA ST)

Lag specification: 1 3


Date: 08/31/21 Time: 14:04


Root

Modulus

0.998454

0.998454

0.738556 - 0.369776i

0.825954

0.738556 + 0.369776i

0.825954

0.048989 - 0.793479i

0.794990

0.048989 + 0.793479i

0.794990

0.350752 - 0.633071i

0.723744

0.350752 + 0.633071i

0.723744

0.639825

0.639825

0.479548 - 0.419686i

0.637262

0.479548 + 0.419686i

0.637262

-0.597146

0.597146

-0.210694 - 0.511680i

0.553361

-0.210694 + 0.511680i

0.553361

-0.464501 - 0.193854i

0.503330

-0.464501 + 0.193854i

0.503330

No root lies outside the unit circle.


VAR satisfies the stability condition.



Phụ lục A-2c – Kết quả ước lượng mô hình tổng thể VAR (với trễ 3)

Vector Autoregression Estimates Date: 08/31/21 Time: 14:04 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Standard errors in ( ) &

t-statistics in [ ]



NS

TM

LS

TG

GDP

NS(-1)

-0.433080

0.048604

0.050800

0.046286

9.539932


(0.19446)

(0.04921)

(0.11737)

(0.13474)

(3.52052)


[-2.22705]

[ 0.98779]

[ 0.43281]

[ 0.34352]

[ 2.70981]

NS(-2)

-0.068276

-0.036474

0.086540

-0.093193

4.030488


(0.19776)

(0.05004)

(0.11936)

(0.13702)

(3.58013)


[-0.34525]

[-0.72891]

[ 0.72504]

[-0.68013]

[ 1.12579]

NS(-3)

0.013765

0.010332

0.104037

-0.062563

2.195009


(0.19230)

(0.04866)

(0.11607)

(0.13324)

(3.48134)


[ 0.07158]

[ 0.21235]

[ 0.89637]

[-0.46955]

[ 0.63051]

TM(-1)

-1.205157

0.699355

0.660682

0.053657

14.35595


(0.68823)

(0.17414)

(0.41539)

(0.47686)

(12.4595)


[-1.75110]

[ 4.01597]

[ 1.59050]

[ 0.11252]

[ 1.15220]

TM(-2)

-0.165859

-0.161559

0.000211

-0.376472

6.023171


(0.81202)

(0.20547)

(0.49011)

(0.56263)

(14.7006)


[-0.20425]

[-0.78630]

[ 0.00043]

[-0.66913]

[ 0.40972]

TM(-3)

-0.504020

-0.210158

0.753422

0.141696

16.95376


(0.77205)

(0.19535)

(0.46598)

(0.53494)

(13.9770)


[-0.65283]

[-1.07579]

[ 1.61684]

[ 0.26488]

[ 1.21298]

LS(-1)

3.53E-05

-0.007515

1.145907

-0.331224

-11.24692


(0.30288)

(0.07664)

(0.18281)

(0.20986)

(5.48325)


[ 0.00012]

[-0.09805]

[ 6.26839]

[-1.57832]

[-2.05114]

LS(-2)

-0.691108

0.160055

-0.608328

0.344352

11.11110


(0.45852)

(0.11602)

(0.27675)

(0.31770)

(8.30092)


[-1.50726]

[ 1.37955]

[-2.19814]

[ 1.08390]

[ 1.33854]

LS(-3)

0.577992

-0.129760

0.237150

-0.187151

1.462594


(0.32384)

(0.08194)

(0.19546)

(0.22438)

(5.86264)


[ 1.78483]

[-1.58359]

[ 1.21332]

[-0.83408]

[ 0.24948]

TG(-1)

-0.440495

0.142325

0.103990

1.273989

2.212760


(0.30894)

(0.07817)

(0.18647)

(0.21406)

(5.59296)


[-1.42583]

[ 1.82069]

[ 0.55769]

[ 5.95162]

[ 0.39563]

TG(-2)

0.049023

-0.068989

0.096733

-0.443043

-1.187871


(0.50164)

(0.12693)

(0.30277)

(0.34758)

(9.08157)



[ 0.09773]

[-0.54352]

[ 0.31949]

[-1.27466]

[-0.13080]

TG(-3)

0.079436

-0.086794

0.071805

0.032307

9.665360


(0.33145)

(0.08387)

(0.20005)

(0.22965)

(6.00046)


[ 0.23966]

[-1.03490]

[ 0.35893]

[ 0.14068]

[ 1.61077]

GDP(-1)

-0.015480

0.003191

-0.008774

0.012193

0.240262


(0.01325)

(0.00335)

(0.00800)

(0.00918)

(0.23984)


[-1.16850]

[ 0.95186]

[-1.09729]

[ 1.32831]

[ 1.00176]

GDP(-2)

0.011627

-0.000490

-0.007572

-0.003057

-0.067319


(0.01148)

(0.00290)

(0.00693)

(0.00795)

(0.20777)


[ 1.01312]

[-0.16860]

[-1.09317]

[-0.38448]

[-0.32401]

GDP(-3)

0.023532

0.001376

-0.007156

0.002960

-0.050112


(0.01029)

(0.00260)

(0.00621)

(0.00713)

(0.18622)


[ 2.28773]

[ 0.52865]

[-1.15256]

[ 0.41526]

[-0.26910]

C

23.34852

-1.190441

-15.67225

8.662233

-455.5278


(10.8899)

(2.75547)

(6.57275)

(7.54535)

(197.147)


[ 2.14406]

[-0.43203]

[-2.38443]

[ 1.14802]

[-2.31060]

@QUARTER=1

-1.806359

-0.872963

2.385525

-1.285540

-294.3785


(2.22915)

(0.56404)

(1.34544)

(1.54453)

(40.3560)


[-0.81034]

[-1.54769]

[ 1.77305]

[-0.83232]

[-7.29455]

@QUARTER=2

-7.628665

0.182270

0.756040

0.336772

-87.46177


(3.07067)

(0.77698)

(1.85335)

(2.12760)

(55.5907)


[-2.48436]

[ 0.23459]

[ 0.40793]

[ 0.15829]

[-1.57332]

@QUARTER=3

-6.497779

-0.090615

0.744281

-1.550075

-113.9739


(3.65381)

(0.92453)

(2.20532)

(2.53165)

(66.1478)


[-1.77836]

[-0.09801]

[ 0.33749]

[-0.61228]

[-1.72302]

R-squared

0.649615

0.735421

0.899116

0.987895

0.961559

Adj. R-squared

0.439385

0.576673

0.838585

0.980631

0.938494

Sum sq. Resids

176.1498

11.27794

64.17000

84.56627

57732.45

S.E. equation

2.423151

0.613132

1.462532

1.678951

43.86816

F-statistic

3.090012

4.632642

14.85393

136.0130

41.68932

Log likelihood

-100.8761

-33.53818

-76.13602

-82.89801

-242.7860

Akaike AIC

4.892902

2.144415

3.883103

4.159102

10.68514

Schwarz SC

5.626465

2.877978

4.616666

4.892665

11.41870

Mean dependent

-1.708539

-0.609990

0.053195

107.4782

570.0210

S.D. dependent

3.236294

0.942359

3.640272

12.06392

176.8844

Determinant resid covariance (dof adj.)

10110.04

Determinant resid covariance

869.7186

Log likelihood

-513.4601

Akaike information criterion

24.83511

Schwarz criterion

28.50292

Number of coefficients

95

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