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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*Note: Obtained using linear interpolation.
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.
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.
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
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
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 |
0.656366 | |
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
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
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 |