Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 23


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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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 23

*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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