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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 26


MÔ HÌNH NARLD


Phụ lục B- 1 –Kiểm định tính dừng


Null Hypothesis: D(GDP_POS,2) has a unit root Exogenous: Constant

Lag Length: 2 (Automatic - based on SIC, maxlag=10)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -31.44690 0.0001

Test critical values: 1% level -3.581152

5% level -2.926622

10% level -2.601424


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP_POS,3) Method: Least Squares

Date: 10/30/21 Time: 17:40 Sample (adjusted): 2006Q3 2017Q4

Included observations: 46 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(GDP_POS(-1),2)

-3.979242

0.126538 -31.44690

0.0000

D(GDP_POS(-1),3)

1.986874

0.100931 19.68556

0.0000

D(GDP_POS(-2),3)

1.011901

0.045826 22.08146

0.0000

C

6.374675

1.343904 4.743399

0.0000

R-squared

0.998879

Mean dependent var

1.197216

Adjusted R-squared

0.998799

S.D. dependent var

259.8309

S.E. of regression

9.004863

Akaike info criterion

7.316348

Sum squared resid

3405.677

Schwarz criterion

7.475360

Log likelihood

-164.2760

Hannan-Quinn criter.

7.375915

F-statistic

12474.75

Durbin-Watson stat

1.785579

Prob(F-statistic)

0.000000



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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 26


Null Hypothesis: D(GDP_NEG) has a unit root Exogenous: Constant

Bandwidth: 13 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -10.28444 0.0000



Test critical values:

1% level

-3.571310


5% level

-2.922449


10% level

-2.599224

*MacKinnon (1996) one-sided p-values.


Residual variance (no correction) 10548.61

HAC corrected variance (Bartlett kernel) 6238.376



Phillips-Perron Test Equation Dependent Variable: D(GDP_NEG,2) Method: Least Squares

Date: 10/30/21 Time: 17:43 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(GDP_NEG(-1))

-1.295431

0.139625 -9.277901

0.0000

C

-75.39834

17.06556 -4.418159

0.0001

R-squared

0.646828

Mean dependent var

0.428080

Adjusted R-squared

0.639313

S.D. dependent var

174.6150

S.E. of regression

104.8689

Akaike info criterion

12.18326

Sum squared resid

516882.0

Schwarz criterion

12.26048

Log likelihood

-296.4899

Hannan-Quinn criter.

12.21256

F-statistic

86.07945

Durbin-Watson stat

2.210663

Prob(F-statistic)

0.000000




Null Hypothesis: D(LS_POS) has a unit root Exogenous: Constant

Bandwidth: 10 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-2.844745

0.0595

Test critical values:

1% level

-3.571310



5% level

-2.922449




10% level

-2.599224


*MacKinnon (1996) one-sided p-values.


Residual variance (no correction)

1.370358

HAC corrected variance (Bartlett kernel)

0.527330


Phillips-Perron Test Equation Dependent Variable: D(LS_POS,2) Method: Least Squares

Date: 10/30/21 Time: 17:44 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(LS_POS(-1))

-0.417871

0.118780 -3.518030

0.0010

C

0.297926

0.191428 1.556333

0.1263

R-squared

0.208442

Mean dependent var

-0.006503

Adjusted R-squared

0.191600

S.D. dependent var

1.329392

S.E. of regression

1.195270

Akaike info criterion

3.234582

Sum squared resid

67.14755

Schwarz criterion

3.311799

Log likelihood

-77.24725

Hannan-Quinn criter.

3.263878

F-statistic

12.37654

Durbin-Watson stat

1.462849

Prob(F-statistic)

0.000976




Null Hypothesis: D(LS_NEG) has a unit root Exogenous: Constant

Bandwidth: 1 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-5.042194

0.0001

Test critical values:

1% level

-3.571310



5% level

-2.922449




10% level

-2.599224


*MacKinnon (1996) one-sided p-values.


Residual variance (no correction) 1.109635

HAC corrected variance (Bartlett kernel) 1.129553



Phillips-Perron Test Equation Dependent Variable: D(LS_NEG,2) Method: Least Squares

Date: 10/30/21 Time: 17:46 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.




R-squared


0.349697


Mean dependent var


0.000000

Adjusted R-squared

0.335861

S.D. dependent var

1.319805

S.E. of regression

1.075571

Akaike info criterion

3.023541

Sum squared resid

54.37213

Schwarz criterion

3.100758

Log likelihood

-72.07676

Hannan-Quinn criter.

3.052837

F-statistic

25.27402

Durbin-Watson stat

1.959306

Prob(F-statistic)

0.000008




D(LS_NEG(-1))

-0.699394

0.139119

-5.027328

0.0000

C

-0.473267

0.180198

-2.626367

0.0116

Null Hypothesis: D(NS_POS) has a unit root Exogenous: Constant

Bandwidth: 4 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-8.169592

0.0000

Test critical values:

1% level

-3.571310



5% level

-2.922449




10% level

-2.599224


*MacKinnon (1996) one-sided p-values.


Residual variance (no correction) 5.245427

HAC corrected variance (Bartlett kernel) 4.569547




Phillips-Perron Test Equation Dependent Variable: D(NS_POS,2) Method: Least Squares

Date: 10/30/21 Time: 17:47 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(NS_POS(-1))

-1.162943

0.144096 -8.070627

0.0000

C

1.355864

0.374299 3.622408

0.0007

R-squared

0.580862

Mean dependent var

-0.006493

Adjusted R-squared

0.571945

S.D. dependent var

3.574288

S.E. of regression

2.338512

Akaike info criterion

4.576866

Sum squared resid

257.0259

Schwarz criterion

4.654084



Log likelihood

-110.1332 Hannan-Quinn criter.

4.606163

F-statistic

65.13501 Durbin-Watson stat

2.032091

Prob(F-statistic)

0.000000



Null Hypothesis: D(NS_NEG) has a unit root Exogenous: Constant

Bandwidth: 4 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-7.981198

0.0000

Test critical values:

1% level

-3.571310



5% level

-2.922449




10% level

-2.599224


*MacKinnon (1996) one-sided p-values.


Residual variance (no correction) 5.289764

HAC corrected variance (Bartlett kernel) 4.999243




Phillips-Perron Test Equation Dependent Variable: D(NS_NEG,2) Method: Least Squares

Date: 10/30/21 Time: 17:48 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(NS_NEG(-1))

-1.143960

0.143920 -7.948595

0.0000

C

-1.445030

0.379837 -3.804347

0.0004

R-squared

0.573426

Mean dependent var

-0.029206

Adjusted R-squared

0.564350

S.D. dependent var

3.557938

S.E. of regression

2.348374

Akaike info criterion

4.585283

Sum squared resid

259.1984

Schwarz criterion

4.662500

Log likelihood

-110.3394

Hannan-Quinn criter.

4.614579

F-statistic

63.18016

Durbin-Watson stat

2.013617

Prob(F-statistic)

0.000000




Null Hypothesis: D(TG_POS) has a unit root Exogenous: Constant

Bandwidth: 3 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-4.651774

0.0004

Test critical values:

1% level

-3.571310



5% level

-2.922449




10% level

-2.599224


*MacKinnon (1996) one-sided p-values.


Residual variance (no correction)

1.537315

HAC corrected variance (Bartlett kernel)

1.426995


Phillips-Perron Test Equation Dependent Variable: D(TG_POS,2) Method: Least Squares

Date: 10/30/21 Time: 17:49 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(TG_POS(-1))

-0.644375

0.136607 -4.716983

0.0000

C

0.748560

0.244226 3.065029

0.0036

R-squared

0.321299

Mean dependent var

-0.025623

Adjusted R-squared

0.306859

S.D. dependent var

1.520616

S.E. of regression

1.265991

Akaike info criterion

3.349547

Sum squared resid

75.32846

Schwarz criterion

3.426765

Log likelihood

-80.06391

Hannan-Quinn criter.

3.378843

F-statistic

22.24993

Durbin-Watson stat

1.873364

Prob(F-statistic)

0.000022




Null Hypothesis: D(TG_NEG) has a unit root Exogenous: Constant

Bandwidth: 5 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-4.942433

0.0002

Test critical values:

1% level

-3.571310



5% level

-2.922449



10% level

-2.599224




*MacKinnon (1996) one-sided p-values.


Residual variance (no correction)

0.707590

HAC corrected variance (Bartlett kernel)

0.692467



Phillips-Perron Test Equation Dependent Variable: D(TG_NEG,2) Method: Least Squares

Date: 10/30/21 Time: 17:51 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(TG_NEG(-1))

-0.687250

0.138548 -4.960383

0.0000

C

-0.327001

0.139287 -2.347674

0.0232

R-squared

0.343625

Mean dependent var

0.000000

Adjusted R-squared

0.329659

S.D. dependent var

1.049041

S.E. of regression

0.858895

Akaike info criterion

2.573620

Sum squared resid

34.67193

Schwarz criterion

2.650837

Log likelihood

-61.05368

Hannan-Quinn criter.

2.602916

F-statistic

24.60540

Durbin-Watson stat

1.903779

Prob(F-statistic)

0.000010




Null Hypothesis: D(TM_POS) has a unit root Exogenous: Constant

Bandwidth: 2 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-4.845001

0.0002

Test critical values:

1% level

-3.571310



5% level

-2.922449




10% level

-2.599224


*MacKinnon (1996) one-sided p-values.


Residual variance (no correction) 0.158961

HAC corrected variance (Bartlett kernel) 0.166775



Phillips-Perron Test Equation Dependent Variable: D(TM_POS,2) Method: Least Squares

Date: 10/30/21 Time: 17:52 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.

D(TM_POS(-1))

-0.652858

0.135947 -4.802301

0.0000

C

0.144830

0.066777 2.168878

0.0352

R-squared

0.329166

Mean dependent var

-0.012768

Adjusted R-squared

0.314893

S.D. dependent var

0.491830

S.E. of regression

0.407093

Akaike info criterion

1.080412

Sum squared resid

7.789078

Schwarz criterion

1.157629

Log likelihood

-24.47009

Hannan-Quinn criter.

1.109708

F-statistic

23.06209

Durbin-Watson stat

1.917121

Prob(F-statistic)

0.000016




Null Hypothesis: D(TM_NEG) has a unit root Exogenous: Constant

Bandwidth: 5 (Newey-West automatic) using Bartlett kernel



Adj. t-Stat

Prob.*

Phillips-Perron test statistic


-6.699511

0.0000

Test critical values:

1% level

-3.571310



5% level

-2.922449




10% level

-2.599224


*MacKinnon (1996) one-sided p-values.


Residual variance (no correction) 0.228285

HAC corrected variance (Bartlett kernel) 0.179119




Phillips-Perron Test Equation Dependent Variable: D(TM_NEG,2) Method: Least Squares

Date: 10/30/21 Time: 17:53 Sample (adjusted): 2005Q4 2017Q4

Included observations: 49 after adjustments


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