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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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
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.
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 |
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
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.
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
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
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 |
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
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
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
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10
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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
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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)
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