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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 27



Variable

Coefficient

Std. Error t-Statistic

Prob.

D(TM_NEG(-1))

-0.973164

0.145541 -6.686505

0.0000

C

-0.201422

0.075700 -2.660797

0.0106

R-squared

0.487511

Mean dependent var

-0.003818

Adjusted R-squared

0.476607

S.D. dependent var

0.674332

S.E. of regression

0.487852

Akaike info criterion

1.442349

Sum squared resid

11.18596

Schwarz criterion

1.519566

Log likelihood

-33.33754

Hannan-Quinn criter.

1.471645

F-statistic

44.70935

Durbin-Watson stat

1.998452

Prob(F-statistic)

0.000000



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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 27


Phụ lục B-2 –Kiểm định tự tương quan cho mô hình NARDL Trường hợp TM là biến phụ thuộc

Breusch-Godfrey Serial Correlation LM Test:

Null hypothesis: No serial correlation at up to 3 lags


F-statistic

1.063091 Prob. F(3,16)

0.3923

Obs*R-squared

7.977641 Prob. Chi-Square(3)

0.0465


Test Equation:

Dependent Variable: RESID Method: ARDL

Date: 10/30/21 Time: 18:02 Sample: 2006Q1 2017Q4

Included observations: 48

Presample missing value lagged residuals set to zero.


Variable

Coefficient

Std. Error

t-Statistic

Prob.

TM(-1)

-0.047165

0.302678

-0.155825

0.8781

TM(-2)

0.087672

0.244505

0.358570

0.7246

NS_POS

0.003205

0.052862

0.060621

0.9524

NS_POS(-1)

0.009556

0.098640

0.096880

0.9240

NS_POS(-2)

0.047976

0.083227

0.576449

0.5723

NS_POS(-3)

0.000317

0.051741

0.006129

0.9952

NS_NEG

0.015357

0.071131

0.215899

0.8318

NS_NEG(-1)

0.027031

0.080751

0.334740

0.7422

LS_POS

0.101455

0.127072

0.798407

0.4363

LS_NEG

-0.006742

0.139360

-0.048377

0.9620



LS_NEG(-1)

0.014408

0.139609

0.103205

0.9191

LS_NEG(-2)

0.048085

0.111212

0.432377

0.6712

TG_POS

-0.014946

0.110589

-0.135147

0.8942

TG_POS(-1)

0.005683

0.155278

0.036601

0.9713

TG_POS(-2)

0.039014

0.169435

0.230260

0.8208

TG_POS(-3)

-0.083724

0.121602

-0.688507

0.5010

TG_NEG

0.043952

0.136470

0.322063

0.7516

TG_NEG(-1)

0.068230

0.197067

0.346227

0.7337

TG_NEG(-2)

-0.062246

0.217066

-0.286762

0.7780

TG_NEG(-3)

-0.010425

0.181875

-0.057319

0.9550

GDP_POS

0.001750

0.008538

0.204967

0.8402

GDP_POS(-1)

-0.003136

0.012070

-0.259815

0.7983

GDP_POS(-2)

0.000720

0.014239

0.050582

0.9603

GDP_NEG

-0.001206

0.006503

-0.185488

0.8552

GDP_NEG(-1)

4.16E-05

0.007669

0.005425

0.9957

@QUARTER=1

0.010695

1.036628

0.010317

0.9919

@QUARTER=2

-0.439183

1.310979

-0.335004

0.7420

@QUARTER=3

0.090697

1.648022

0.055034

0.9568

C

0.042951

1.073252

0.040019

0.9686

RESID(-1)

-0.189109

0.367986

-0.513903

0.6143

RESID(-2)

-0.457497

0.349916

-1.307450

0.2095

RESID(-3)

-0.450623

0.347947

-1.295091

0.2137





R-squared


0.166201


Mean dependent var


-1.12E-14

Adjusted R-squared

-1.449285

S.D. dependent var

0.291506

S.E. of regression

0.456212

Akaike info criterion

1.503004

Sum squared resid

3.330074

Schwarz criterion

2.750471

Log likelihood

-4.072093

Hannan-Quinn criter.

1.974424

F-statistic

0.102880

Durbin-Watson stat

2.310973

Prob(F-statistic)

1.000000



- Trường hợp NS là biến phụ thuộc


Breusch-Godfrey Serial Correlation LM Test:

Null hypothesis: No serial correlation at up to 3 lags


F-statistic

2.754502 Prob. F(3,24)

0.0645

Obs*R-squared

12.29402 Prob. Chi-Square(3)

0.0064


Test Equation:

Dependent Variable: RESID Method: ARDL

Date: 10/30/21 Time: 18:05


Sample: 2006Q1 2017Q4

Included observations: 48

Presample missing value lagged residuals set to zero.


Variable

Coefficient

Std. Error

t-Statistic

Prob.

NS(-1)

0.072991

0.326624

0.223471

0.8251

NS(-2)

0.386384

0.235357

1.641693

0.1137

TM_POS

0.952311

0.834350

1.141381

0.2650

TM_NEG

0.513503

0.702912

0.730537

0.4721

TM_NEG(-1)

-0.131713

0.897271

-0.146793

0.8845

LS_POS

0.319541

0.365295

0.874748

0.3904

LS_POS(-1)

-0.201743

0.582359

-0.346423

0.7320

LS_POS(-2)

0.365190

0.702284

0.520004

0.6078

LS_POS(-3)

-0.048751

0.412549

-0.118169

0.9069

LS_NEG

0.050493

0.145858

0.346176

0.7322

TG_POS

-0.251983

0.315929

-0.797594

0.4329

TG_NEG

0.508068

0.507982

1.000168

0.3272

GDP_POS

0.002444

0.022102

0.110575

0.9129

GDP_NEG

-0.003002

0.011595

-0.258919

0.7979

GDP_NEG(-1)

-0.005599

0.016102

-0.347739

0.7311

GDP_NEG(-2)

0.012358

0.011001

1.123263

0.2724

GDP_NEG(-3)

-0.002408

0.015225

-0.158150

0.8757

@QUARTER=1

-0.642724

3.564853

-0.180295

0.8584

@QUARTER=2

-3.041492

2.773908

-1.096465

0.2838

@QUARTER=3

0.512871

1.977860

0.259306

0.7976

C

1.018283

3.926225

0.259354

0.7976

RESID(-1)

-0.429623

0.366762

-1.171394

0.2529

RESID(-2)

-0.875731

0.364339

-2.403617

0.0243

RESID(-3)

-0.304420

0.229815

-1.324628

0.1978

R-squared

0.256126

Mean dependent var

-1.68E-14

Adjusted R-squared

-0.456754

S.D. dependent var

1.317201

S.E. of regression

1.589809

Akaike info criterion

4.071958

Sum squared resid

60.65986

Schwarz criterion

5.007559

Log likelihood

-73.72700

Hannan-Quinn criter.

4.425523

F-statistic

0.359283

Durbin-Watson stat

2.059653

Prob(F-statistic)

0.991648




Phụ lục B -3 – Kiểm định phương sai sai số thay đổi Trường hợp TM là biến phụ thuộc

Heteroskedasticity Test: Breusch-Pagan-Godfrey

Null hypothesis: Homoskedasticity


F-statistic

0.996579

Prob. F(28,19)

0.5140

Obs*R-squared

28.55611

Prob. Chi-Square(28)

0.4353

Scaled explained SS

4.555637

Prob. Chi-Square(28)

1.0000


Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Date: 10/30/21 Time: 18:11 Sample: 2006Q1 2017Q4

Included observations: 48


Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.035664

0.276438

0.129012

0.8987

TM(-1)

-5.57E-05

0.049172

-0.001132

0.9991

TM(-2)

0.004925

0.048979

0.100555

0.9210

NS_POS

0.002660

0.013908

0.191254

0.8504

NS_POS(-1)

-0.024974

0.023920

-1.044076

0.3096

NS_POS(-2)

0.050074

0.020680

2.421370

0.0256

NS_POS(-3)

-0.019607

0.013389

-1.464345

0.1595

NS_NEG

-0.024443

0.016874

-1.448571

0.1638

NS_NEG(-1)

0.031953

0.019582

1.631765

0.1192

LS_POS

0.000555

0.026511

0.020943

0.9835

LS_NEG

-0.028222

0.034992

-0.806546

0.4299

LS_NEG(-1)

-0.007504

0.035684

-0.210300

0.8357

LS_NEG(-2)

0.031518

0.026830

1.174735

0.2546


TG_POS


-0.019836


0.028851


-0.687545


0.5000

TG_POS(-1)

-0.019588

0.037403

-0.523702

0.6065

TG_POS(-2)

0.062063

0.038854

1.597352

0.1267

TG_POS(-3)

-0.024375

0.028810

-0.846032

0.4081



TG_NEG

0.019743

0.032228

0.612625

0.5474

TG_NEG(-1)

-0.002742

0.044940

-0.061006

0.9520

TG_NEG(-2)

-0.020831

0.055555

-0.374958

0.7118

TG_NEG(-3)

0.018596

0.045526

0.408476

0.6875

GDP_POS

-0.000348

0.002121

-0.164244

0.8713

GDP_POS(-1)

-0.003157

0.003133

-1.007655

0.3263

GDP_POS(-2)

0.004045

0.003445

1.174214

0.2548

GDP_NEG

-0.002282

0.001691

-1.349752

0.1930

GDP_NEG(-1)

0.002745

0.001849

1.484393

0.1541

@QUARTER=1

-0.074512

0.270970

-0.274982

0.7863

@QUARTER=2

-0.051835

0.311101

-0.166617

0.8694

@QUARTER=3

0.440184

0.414392

1.062240

0.3014




R-squared


0.594919


Mean dependent var


0.083205

Adjusted R-squared

-0.002042

S.D. dependent var

0.119992

S.E. of regression

0.120114

Akaike info criterion

-1.119180

Sum squared resid

0.274120

Schwarz criterion

0.011337

Log likelihood

55.86032

Hannan-Quinn criter.

-0.691956

F-statistic

0.996579

Durbin-Watson stat

2.228064

Prob(F-statistic)

0.513985



Trường hợp NS là biến phụ thuộc


Heteroskedasticity Test: Breusch-Pagan-Godfrey Null hypothesis: Homoskedasticity

F-statistic

0.829078

Prob. F(20,27)

0.6632

Obs*R-squared

18.26265

Prob. Chi-Square(20)

0.5701

Scaled explained SS

13.91843

Prob. Chi-Square(20)

0.8346


Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Date: 10/30/21 Time: 18:15 Sample: 2006Q1 2017Q4

Included observations: 48



Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

18.05617

9.131070

1.977443

0.0583

NS(-1)

-0.255139

0.415420

-0.614171

0.5442

NS(-2)

0.005423

0.349022

0.015538

0.9877

TM_POS

0.058616

1.880960

0.031163

0.9754

TM_NEG

0.404748

1.643116

0.246329

0.8073

TM_NEG(-1)

-1.175181

2.183260

-0.538269

0.5948

LS_POS

0.931071

0.834066

1.116304

0.2741

LS_POS(-1)

-0.609571

1.402315

-0.434689

0.6672

LS_POS(-2)

-0.397320

1.473811

-0.269587

0.7895

LS_POS(-3)

0.757854

0.849516

0.892101

0.3802

LS_NEG

0.102429

0.352981

0.290182

0.7739

TG_POS

-0.583664

0.730645

-0.798833

0.4314

TG_NEG

0.909011

1.098449

0.827541

0.4152

GDP_POS

-0.045278

0.050035

-0.904919

0.3735

GDP_NEG

-0.017862

0.024129

-0.740273

0.4655

GDP_NEG(-1)

-0.030713

0.032672

-0.940031

0.3555

GDP_NEG(-2)

-0.002079

0.023307

-0.089183

0.9296

GDP_NEG(-3)

-0.009987

0.033566

-0.297551

0.7683

@QUARTER=1

-7.599526

6.820210

-1.114266

0.2750

@QUARTER=2

-7.969749

5.294910

-1.505172

0.1439

@QUARTER=3

-6.720414

4.678812

-1.436350

0.1624

R-squared

0.380472

Mean dependent var

1.698871

Adjusted R-squared

-0.078438

S.D. dependent var

3.768235

S.E. of regression

3.913231

Akaike info criterion

5.866240

Sum squared resid

413.4613

Schwarz criterion

6.684890

Log likelihood

-119.7898

Hannan-Quinn criter.

6.175609

F-statistic

0.829078

Durbin-Watson stat

2.101008

Prob(F-statistic)

0.663219




Phụ lục B-4 – Kiểm định độ ổn định của mô hình Trường hợp TM là biến phụ thuộc































15


10

5


0


-5


-10


-15


II III IV I II III IV I II III IV I II III IV I II III IV 2013 2014 2015 2016 2017


CUSUM 5% Significance


- Trường hợp NS là biến phụ thuộc


























































16

12

8

4

0

-4

-8

-12

-16

2011 2012 2013 2014 2015 2016 2017


CUSUM 5% Significance


Phụ lục B – 5a – Mô hình tác động tổng thể (dạng tổng quát) Phụ lục B- 5a1 - Tác động tổng thể lên TM

Dependent Variable: TM Method: ARDL

Date: 08/31/21 Time: 18:33 Sample (adjusted): 2006Q1 2017Q4

Included observations: 48 after adjustments Maximum dependent lags: 2 (Automatic selection) Model selection method: Akaike info criterion (AIC)

Dynamic regressors (3 lags, automatic): NS_POS NS_NEG LS_POS LS_NEG TG_POS TG_NEG GDP_POS GDP_NEG

Fixed regressors: @EXPAND(@QUARTER,@DROPLAST) C Number of models evalulated: 131072

Selected Model: ARDL(2, 3, 1, 0, 2, 3, 3, 2, 1)


Variable

Coefficient

Std. Error

t-Statistic

Prob.*

TM(-1)

0.008109

0.187691

0.043203

0.9660

TM(-2)

-0.306909

0.186954

-1.641631

0.1171

NS_POS

-0.101999

0.053089

-1.921278

0.0698

NS_POS(-1)

-0.096565

0.091304

-1.057622

0.3035

NS_POS(-2)

-0.162534

0.078937

-2.059046

0.0535

NS_POS(-3)

0.073074

0.051108

1.429806

0.1690

NS_NEG

-0.104376

0.064408

-1.620530

0.1216

NS_NEG(-1)

-0.132888

0.074745

-1.777884

0.0914

LS_POS

-0.368061

0.101192

-3.637239

0.0018

LS_NEG

0.312887

0.133564

2.342601

0.0302

LS_NEG(-1)

-0.199645

0.136208

-1.465739

0.1591

LS_NEG(-2)

-0.207998

0.102411

-2.031008

0.0565

TG_POS

-0.116949

0.110124

-1.061983

0.3016

TG_POS(-1)

0.180840

0.142768

1.266669

0.2206

TG_POS(-2)

0.014380

0.148306

0.096964

0.9238

TG_POS(-3)

0.254625

0.109971

2.315397

0.0319

TG_NEG

0.256849

0.123014

2.087968

0.0505

TG_NEG(-1)

-0.282511

0.171536

-1.646954

0.1160

TG_NEG(-2)

0.212175

0.212055

1.000566

0.3296

TG_NEG(-3)

-0.382653

0.173773

-2.202022

0.0402

GDP_POS

0.005984

0.008094

0.739312

0.4688

GDP_POS(-1)

0.007236

0.011959

0.605122

0.5523

GDP_POS(-2)

-0.034478

0.013148

-2.622281

0.0168

GDP_NEG

-0.000690

0.006453

-0.106936

0.9160

GDP_NEG(-1)

-0.019441

0.007059

-2.753972

0.0126

@QUARTER=1

-0.811660

1.034300

-0.784744

0.4423

@QUARTER=2

-1.905430

1.187482

-1.604597

0.1251

@QUARTER=3

-3.546635

1.581748

-2.242226

0.0371

C

0.811527

1.055174

0.769093

0.4513

R-squared

0.906301

Mean dependent var

-0.609159

Adjusted R-squared

0.768218

S.D. dependent var

0.952313

S.E. of regression

0.458479

Akaike info criterion

1.559767

Sum squared resid

3.993856

Schwarz criterion

2.690284

Log likelihood

-8.434399

Hannan-Quinn criter.

1.986991

F-statistic

6.563461

Durbin-Watson stat

2.171999

Prob(F-statistic)

0.000041




*Note: p-values and any subsequent tests do not account for model

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