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Phụ lục A-2d - Kiểm định tự tương quan của VAR

VAR Residual Serial Correlation LM Tests Date: 10/30/21 Time: 12:39

Sample: 2005Q1 2017Q4

Included observations: 49

Null hypothesis: No serial correlation at lag h


Lag	LRE* stat	df	Prob.	Rao F-stat	df	Prob.
1	45.97029	25	0.0065	2.090060	(25, 79.5)	0.0072
2	17.82642	25	0.8497	0.688153	(25, 79.5)	0.8535
3	25.49411	25	0.4350	1.028205	(25, 79.5)	0.4435
Null hypothesis: No serial correlation at lags 1 to h
Lag	LRE* stat	df	Prob.	Rao F-stat	df	Prob.
1	45.97029	25	0.0065	2.090060	(25, 79.5)	0.0072
2	92.61921	50	0.0002	2.316125	(50, 76.3)	0.0005
3	145.3049	75	0.0000	2.836272	(75, 56.9)	0.0000

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*Edgeworth expansion corrected likelihood ratio statistic.

Phụ lục A-2e – Kiểm định phương sai sai số thay đổi của VAR

VAR Residual Heteroskedasticity Tests (Levels and Squares) Date: 10/30/21 Time: 12:55

Sample: 2005Q1 2017Q4

Included observations: 49

Joint test:


Chi-sq	df				Prob.
521.7208	495				0.1961
Individual components:
Dependent	R-squared	F(33,15)	Prob.	Chi-sq(33)	Prob.
res1*res1	0.668853	0.918094	0.5980	32.77379	0.4783

res2*res2

0.483525	0.425547	0.9799	23.69274	0.8832
res3*res3	0.785732	1.666839	0.1464	38.50085	0.2346
res4*res4	0.785353	1.663096	0.1475	38.48230	0.2352
res5*res5	0.791158	1.721961	0.1315	38.76675	0.2256
res2*res1	0.673551	0.937847	0.5793	33.00399	0.4671
res3*res1	0.521432	0.495258	0.9544	25.55017	0.8194
res3*res2	0.468682	0.400961	0.9859	22.96544	0.9039
res4*res1	0.676751	0.951630	0.5663	33.16078	0.4594
res4*res2	0.657017	0.870728	0.6439	32.19386	0.5071
res4*res3	0.607098	0.702348	0.8064	29.74782	0.6298
res5*res1	0.697776	1.049457	0.4790	34.19103	0.4103
res5*res2	0.659922	0.882045	0.6328	32.33616	0.5000
res5*res3	0.577750	0.621939	0.8748	28.30975	0.6999
res5*res4	0.839307	2.374105	0.0386	41.12602	0.1565

Phụ lục A-2f – Hệ phương trình (tạo từ VAR)

NS = C(1)*NS(-1) + C(2)*NS(-2) + C(3)*NS(-3) + C(4)*TM(-1) + C(5)*TM(-2) + C(6)*TM(-3) + C(7)*LS(-1) +

C(8)*LS(-2) + C(9)*LS(-3) + C(10)*TG(-1) + C(11)*TG(-2) + C(12)*TG(-3) + C(13)*GDP(-1) + C(14)*GDP(-2) + C(15)*GDP(-3) + C(16) + C(17)*(@QUARTER=1) + C(18)*(@QUARTER=2) + C(19)*(@QUARTER=3)

TM = C(20)*NS(-1) + C(21)*NS(-2) + C(22)*NS(-3) + C(23)*TM(-1) + C(24)*TM(-2) + C(25)*TM(-3) + C(26)*LS(-1)

+ C(27)*LS(-2) + C(28)*LS(-3) + C(29)*TG(-1) + C(30)*TG(-2) + C(31)*TG(-3) + C(32)*GDP(-1) + C(33)*GDP(-2)

+ C(34)*GDP(-3) + C(35) + C(36)*(@QUARTER=1) + C(37)*(@QUARTER=2) + C(38)*(@QUARTER=3)

LS = C(39)*NS(-1) + C(40)*NS(-2) + C(41)*NS(-3) + C(42)*TM(-1) + C(43)*TM(-2) + C(44)*TM(-3) + C(45)*LS(-1)

+ C(46)*LS(-2) + C(47)*LS(-3) + C(48)*TG(-1) + C(49)*TG(-2) + C(50)*TG(-3) + C(51)*GDP(-1) + C(52)*GDP(-2)

+ C(53)*GDP(-3) + C(54) + C(55)*(@QUARTER=1) + C(56)*(@QUARTER=2) + C(57)*(@QUARTER=3)

TG = C(58)*NS(-1) + C(59)*NS(-2) + C(60)*NS(-3) + C(61)*TM(-1) + C(62)*TM(-2) + C(63)*TM(-3) + C(64)*LS(-1)

+ C(65)*LS(-2) + C(66)*LS(-3) + C(67)*TG(-1) + C(68)*TG(-2) + C(69)*TG(-3) + C(70)*GDP(-1) + C(71)*GDP(-2)

+ C(72)*GDP(-3) + C(73) + C(74)*(@QUARTER=1) + C(75)*(@QUARTER=2) + C(76)*(@QUARTER=3)

GDP = C(77)*NS(-1) + C(78)*NS(-2) + C(79)*NS(-3) + C(80)*TM(-1) + C(81)*TM(-2) + C(82)*TM(-3) + C(83)*LS(-

1) + C(84)*LS(-2) + C(85)*LS(-3) + C(86)*TG(-1) + C(87)*TG(-2) + C(88)*TG(-3) + C(89)*GDP(-1) + C(90)*GDP(-

2) + C(91)*GDP(-3) + C(92) + C(93)*(@QUARTER=1) + C(94)*(@QUARTER=2) + C(95)*(@QUARTER=3)

Kết quả ước lượng riêng của từng phương trình

System: UNTITLED

Estimation Method: Least Squares Date: 10/30/21 Time: 15:12 Sample: 2005Q4 2017Q4

Included observations: 49

Total system (balanced) observations 245

Coefficient	Std. Error	t-Statistic	Prob.
C(1)	-0.433080	0.194463	-2.227052	0.0274
C(2)	-0.068276	0.197756	-0.345254	0.7304
C(3)	0.013765	0.192299	0.071583	0.9430
C(4)	-1.205157	0.688229	-1.751098	0.0820
C(5)	-0.165859	0.812019	-0.204255	0.8384
C(6)	-0.504020	0.772049	-0.652834	0.5149
C(7)	3.53E-05	0.302879	0.000116	0.9999
C(8)	-0.691108	0.458519	-1.507261	0.1338
C(9)	0.577992	0.323836	1.784832	0.0763
C(10)	-0.440495	0.308939	-1.425830	0.1560
C(11)	0.049023	0.501640	0.097726	0.9223
C(12)	0.079436	0.331448	0.239664	0.8109
C(13)	-0.015480	0.013248	-1.168500	0.2445
C(14)	0.011627	0.011477	1.013118	0.3126
C(15)	0.023532	0.010286	2.287727	0.0236
C(16)	23.34852	10.88985	2.144062	0.0336
C(17)	-1.806359	2.229148	-0.810336	0.4190
C(18)	-7.628665	3.070672	-2.484363	0.0141
C(19)	-6.497779	3.653813	-1.778356	0.0774
C(20)	0.048604	0.049205	0.987790	0.3248
C(21)	-0.036474	0.050038	-0.728911	0.4672
C(22)	0.010332	0.048658	0.212346	0.8321
C(23)	0.699355	0.174143	4.015974	0.0001
C(24)	-0.161559	0.205466	-0.786303	0.4329
C(25)	-0.210158	0.195352	-1.075791	0.2837
C(26)	-0.007515	0.076638	-0.098054	0.9220
C(27)	0.160055	0.116020	1.379549	0.1698
C(28)	-0.129760	0.081940	-1.583586	0.1154
C(29)	0.142325	0.078171	1.820689	0.0706
C(30)	-0.068989	0.126930	-0.543515	0.5876
C(31)	-0.086794	0.083867	-1.034900	0.3024

C(32)

0.003191	0.003352	0.951857	0.3427
C(33)	-0.000490	0.002904	-0.168602	0.8663
C(34)	0.001376	0.002603	0.528654	0.5978
C(35)	-1.190441	2.755470	-0.432028	0.6663
C(36)	-0.872963	0.564043	-1.547688	0.1238
C(37)	0.182270	0.776975	0.234590	0.8148
C(38)	-0.090615	0.924528	-0.098012	0.9221
C(39)	0.050800	0.117371	0.432810	0.6658
C(40)	0.086540	0.119359	0.725037	0.4696
C(41)	0.104037	0.116065	0.896366	0.3715
C(42)	0.660682	0.415392	1.590503	0.1138
C(43)	0.000211	0.490107	0.000430	0.9997
C(44)	0.753422	0.465983	1.616844	0.1080
C(45)	1.145907	0.182807	6.268385	0.0000
C(46)	-0.608328	0.276747	-2.198140	0.0295
C(47)	0.237150	0.195456	1.213317	0.2269
C(48)	0.103990	0.186465	0.557693	0.5779
C(49)	0.096733	0.302773	0.319490	0.7498
C(50)	0.071805	0.200051	0.358934	0.7201
C(51)	-0.008774	0.007996	-1.097288	0.2743
C(52)	-0.007572	0.006927	-1.093168	0.2761
C(53)	-0.007156	0.006208	-1.152560	0.2509
C(54)	-15.67225	6.572747	-2.384428	0.0184
C(55)	2.385525	1.345438	1.773047	0.0783
C(56)	0.756040	1.853354	0.407931	0.6839
C(57)	0.744281	2.205318	0.337494	0.7362
C(58)	0.046286	0.134740	0.343521	0.7317
C(59)	-0.093193	0.137021	-0.680135	0.4975
C(60)	-0.062563	0.133240	-0.469551	0.6394
C(61)	0.053657	0.476860	0.112522	0.9106
C(62)	-0.376472	0.562631	-0.669127	0.5044
C(63)	0.141696	0.534937	0.264884	0.7915
C(64)	-0.331224	0.209858	-1.578323	0.1166
C(65)	0.344352	0.317698	1.083895	0.2802
C(66)	-0.187151	0.224379	-0.834083	0.4056
C(67)	1.273989	0.214057	5.951624	0.0000
C(68)	-0.443043	0.347576	-1.274665	0.2044
C(69)	0.032307	0.229653	0.140679	0.8883
C(70)	0.012193	0.009179	1.328306	0.1861
C(71)	-0.003057	0.007952	-0.384485	0.7012
C(72)	0.002960	0.007127	0.415264	0.6785
C(73)	8.662233	7.545352	1.148022	0.2528

C(74)

-1.285540	1.544530	-0.832318	0.4066
C(75)	0.336772	2.127605	0.158287	0.8744
C(76)	-1.550075	2.531651	-0.612278	0.5413
C(77)	9.539932	3.520518	2.709809	0.0075
C(78)	4.030488	3.580133	1.125793	0.2621
C(79)	2.195009	3.481339	0.630507	0.5293
C(80)	14.35595	12.45954	1.152205	0.2511
C(81)	6.023171	14.70061	0.409723	0.6826
C(82)	16.95376	13.97700	1.212976	0.2270
C(83)	-11.24692	5.483245	-2.051144	0.0420
C(84)	11.11110	8.300923	1.338538	0.1827
C(85)	1.462594	5.862644	0.249477	0.8033
C(86)	2.212760	5.592959	0.395633	0.6929
C(87)	-1.187871	9.081572	-0.130800	0.8961
C(88)	9.665360	6.000457	1.610771	0.1093
C(89)	0.240262	0.239840	1.001759	0.3181
C(90)	-0.067319	0.207769	-0.324009	0.7464
C(91)	-0.050112	0.186221	-0.269098	0.7882
C(92)	-455.5278	197.1473	-2.310596	0.0222
C(93)	-294.3785	40.35596	-7.294547	0.0000
C(94)	-87.46177	55.59073	-1.573316	0.1178
C(95)	-113.9739	66.14777	-1.723019	0.0869

Determinant residual covariance 869.7186

Equation: NS = C(1)*NS(-1) + C(2)*NS(-2) + C(3)*NS(-3) + C(4)*TM(-1) +

C(5)*TM(-2) + C(6)*TM(-3) + C(7)*LS(-1) + C(8)*LS(-2) + C(9)*LS(-3) +

C(10)*TG(-1) + C(11)*TG(-2) + C(12)*TG(-3) + C(13)*GDP(-1) + C(14)

*GDP(-2) + C(15)*GDP(-3) + C(16) + C(17)*(@QUARTER=1) + C(18)

*(@QUARTER=2) + C(19)*(@QUARTER=3)

Observations: 49

R-squared

0.649615	Mean dependent var	-1.708539
Adjusted R-squared	0.439385	S.D. dependent var	3.236295
S.E. of regression	2.423151	Sum squared resid	176.1498
Durbin-Watson stat	1.786810

Equation: TM = C(20)*NS(-1) + C(21)*NS(-2) + C(22)*NS(-3) + C(23)*TM(-1)

+ C(24)*TM(-2) + C(25)*TM(-3) + C(26)*LS(-1) + C(27)*LS(-2) + C(28)

*LS(-3) + C(29)*TG(-1) + C(30)*TG(-2) + C(31)*TG(-3) + C(32)*GDP(-1)

+ C(33)*GDP(-2) + C(34)*GDP(-3) + C(35) + C(36)*(@QUARTER=1) +

C(37)*(@QUARTER=2) + C(38)*(@QUARTER=3)

Observations: 49


R-squared	0.735421	Mean dependent var	-0.609990
Adjusted R-squared	0.576673	S.D. dependent var	0.942359
S.E. of regression	0.613132	Sum squared resid	11.27794
Durbin-Watson stat	1.994763

Equation: LS = C(39)*NS(-1) + C(40)*NS(-2) + C(41)*NS(-3) + C(42)*TM(-1)

+ C(43)*TM(-2) + C(44)*TM(-3) + C(45)*LS(-1) + C(46)*LS(-2) + C(47)

*LS(-3) + C(48)*TG(-1) + C(49)*TG(-2) + C(50)*TG(-3) + C(51)*GDP(-1)

+ C(52)*GDP(-2) + C(53)*GDP(-3) + C(54) + C(55)*(@QUARTER=1) + C(56)*(@QUARTER=2) + C(57)*(@QUARTER=3)

Observations: 49


R-squared	0.899116	Mean dependent var	0.053195
Adjusted R-squared	0.838585	S.D. dependent var	3.640272
S.E. of regression	1.462532	Sum squared resid	64.17000
Durbin-Watson stat	1.959191

Equation: TG = C(58)*NS(-1) + C(59)*NS(-2) + C(60)*NS(-3) + C(61)*TM(-1)

+ C(62)*TM(-2) + C(63)*TM(-3) + C(64)*LS(-1) + C(65)*LS(-2) + C(66)

*LS(-3) + C(67)*TG(-1) + C(68)*TG(-2) + C(69)*TG(-3) + C(70)*GDP(-1)

+ C(71)*GDP(-2) + C(72)*GDP(-3) + C(73) + C(74)*(@QUARTER=1) + C(75)*(@QUARTER=2) + C(76)*(@QUARTER=3)

Observations: 49


R-squared	0.987895	Mean dependent var	107.4782
Adjusted R-squared	0.980631	S.D. dependent var	12.06392
S.E. of regression	1.678951	Sum squared resid	84.56627
Durbin-Watson stat	2.178317

Equation: GDP = C(77)*NS(-1) + C(78)*NS(-2) + C(79)*NS(-3) + C(80)*TM(

-1) + C(81)*TM(-2) + C(82)*TM(-3) + C(83)*LS(-1) + C(84)*LS(-2) +

C(85)*LS(-3) + C(86)*TG(-1) + C(87)*TG(-2) + C(88)*TG(-3) + C(89)

*GDP(-1) + C(90)*GDP(-2) + C(91)*GDP(-3) + C(92) + C(93)

*(@QUARTER=1) + C(94)*(@QUARTER=2) + C(95)*(@QUARTER=3)

Observations: 49


R-squared	0.961559	Mean dependent var	570.0210
Adjusted R-squared	0.938494	S.D. dependent var	176.8844
S.E. of regression	43.86816	Sum squared resid	57732.45
Durbin-Watson stat	1.617587

Phụ lục A-2g – Kiểm định quan hệ dài hạn

Tác động của TM tới NS

Wald Test:

System: sys04


Test Statistic	Value	df	Probability
Chi-square	6.198792	1	0.0128
Null Hypothesis: (C(4)+C(5)+C(6))/(1-C(1)-C(2)-C(3))=0 Null Hypothesis Summary:
Normalized Restriction (= 0)		Value	Std. Err.
(C(4) + C(5) + C(6)) / (1 - C(1) - C(2) - C(3))		-1.260452	0.506259
Delta method computed using analytic derivatives.
Tác động của LS tới NS
Wald Test: Equation: EQ0NS
Test Statistic	Value	df	Probability
t-statistic	-0.583273	30	0.5641
F-statistic	0.340208	(1, 30)	0.5641
Chi-square	0.340208	1	0.5597

Null Hypothesis: (C(7)+C(8)+C(9))/(1-C(1)-C(2)-C(3))=0

Null Hypothesis Summary:

Normalized Restriction (= 0)

Value	Std. Err.
(C(7) + C(8) + C(9)) / (1 - C(1) - C(2) - C(3))	-0.076016	0.130327

Delta method computed using analytic derivatives.

Tác động của TG tới NS

Wald Test:

Equation: EQ0NS


Test Statistic	Value	df	Probability
t-statistic	-1.955477	30	0.0599
F-statistic	3.823891	(1, 30)	0.0599
Chi-square	3.823891	1	0.0505

Null Hypothesis: (C(10)+C(11)+C(12))/(1-C(1)-C(2)-C(3))=0

Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

(C(10) + C(11) + C(12)) / (1 - C(1) - C(2) - C(3)) -0.209759 0.107267

Delta method computed using analytic derivatives.

Tác động của GDP tới NS

Wald Test: Equation: EQ0NS

Test Statistic Value df Probability

t-statistic 1.349277 30 0.1873

F-statistic 1.820549 (1, 30) 0.1873

Chi-square 1.820549 1 0.1772

Null Hypothesis: (C(13)+C(14)+C(15))/(1-C(1)-C(2)-C(3))=0

Null Hypothesis Summary:

Normalized Restriction (= 0)

Value	Std. Err.
(C(13) + C(14) + C(15)) / (1 - C(1) - C(2) - C(3))	0.013229	0.009804

Delta method computed using analytic derivatives.

Tác động của NS tới TM

Wald Test: Equation: EQ0TM


Test Statistic	Value	df	Probability
t-statistic	0.276600	30	0.7840
F-statistic	0.076508	(1, 30)	0.7840
Chi-square	0.076508	1	0.7821

Null Hypothesis: (C(20)+C(21)+C(22))/(1-C(23)-C(24)

-C(25))=0

Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

(C(20) + C(21) + C(22)) / (1 - C(23) - C(24) - C(25)) 0.033409 0.120786

Delta method computed using analytic derivatives.

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