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
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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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
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
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
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.
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
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 |
-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
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
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 |
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
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
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