selection.
Phụ lục B – 5a2 – Tác động tổng thể lên NS
Dependent Variable: NS Method: ARDL
Date: 08/31/21 Time: 18:04 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): TM_POS TM_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, 0, 1, 3, 0, 0, 0, 0, 3)
Coefficient | Std. Error | t-Statistic | Prob.* | |
NS(-1) | -0.263645 | 0.184489 | -1.429055 | 0.1645 |
NS(-2) | -0.191238 | 0.155002 | -1.233777 | 0.2279 |
TM_POS | -1.477216 | 0.835339 | -1.768401 | 0.0883 |
TM_NEG | -0.168754 | 0.729712 | -0.231261 | 0.8189 |
TM_NEG(-1) | -1.802993 | 0.969592 | -1.859539 | 0.0739 |
LS_POS | 0.351989 | 0.370411 | 0.950265 | 0.3504 |
LS_POS(-1) | -1.479271 | 0.622772 | -2.375301 | 0.0249 |
LS_POS(-2) | 0.272489 | 0.654524 | 0.416317 | 0.6805 |
LS_POS(-3) | 0.480051 | 0.377272 | 1.272426 | 0.2141 |
LS_NEG | 0.100743 | 0.156760 | 0.642660 | 0.5259 |
TG_POS | -0.014954 | 0.324482 | -0.046086 | 0.9636 |
TG_NEG | -0.390240 | 0.487824 | -0.799960 | 0.4307 |
GDP_POS | 0.008359 | 0.022221 | 0.376191 | 0.7097 |
GDP_NEG | -0.029432 | 0.010716 | -2.746551 | 0.0106 |
GDP_NEG(-1) | -3.70E-05 | 0.014510 | -0.002547 | 0.9980 |
GDP_NEG(-2) | 0.001414 | 0.010351 | 0.136563 | 0.8924 |
GDP_NEG(-3) | 0.040247 | 0.014907 | 2.699928 | 0.0118 |
@QUARTER=1 | -8.645183 | 3.028874 | -2.854257 | 0.0082 |
@QUARTER=2 | -10.11625 | 2.351484 | -4.302070 | 0.0002 |
@QUARTER=3 | -10.06555 | 2.077873 | -4.844159 | 0.0000 |
C | 4.254181 | 4.055133 | 1.049085 | 0.3034 |
R-squared | 0.828966 | Mean dependent var | -1.813580 | |
Adjusted R-squared | 0.702274 | S.D. dependent var | 3.185011 | |
S.E. of regression | 1.737877 | Akaike info criterion | 4.242841 | |
Sum squared resid | 81.54582 | Schwarz criterion | 5.061492 | |
Log likelihood | -80.82819 | Hannan-Quinn criter. | 4.552210 | |
F-statistic | 6.543176 | Durbin-Watson stat | 2.180682 | |
Prob(F-statistic) | 0.000006 |
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*Note: p-values and any subsequent tests do not account for model selection.
Phụ lục B- 5b1 - Mô hình tác động tổng thể lên TM (dạng ARDL dài hạn)
ARDL Long Run Form and Bounds Test Dependent Variable: D(TM)
Selected Model: ARDL(2, 3, 1, 0, 2, 3, 3, 2, 1)
Case 3: Unrestricted Constant and No Trend Date: 10/31/21 Time: 05:08
Sample: 2005Q1 2017Q4
Included observations: 48
Conditional Error Correction Regression
Coefficient | Std. Error | t-Statistic | Prob. | |
C | 0.811527 | 1.055174 | 0.769093 | 0.4513 |
TM(-1)* | -1.298800 | 0.219133 | -5.926986 | 0.0000 |
NS_POS(-1) | -0.288024 | 0.078970 | -3.647231 | 0.0017 |
NS_NEG(-1) | -0.237264 | 0.076217 | -3.112987 | 0.0057 |
LS_POS** | -0.368061 | 0.101192 | -3.637239 | 0.0018 |
LS_NEG(-1) | -0.094755 | 0.082760 | -1.144937 | 0.2665 |
TG_POS(-1) | 0.332896 | 0.089042 | 3.738630 | 0.0014 |
TG_NEG(-1) | -0.196140 | 0.099155 | -1.978109 | 0.0626 |
GDP_POS(-1) | -0.021257 | 0.008732 | -2.434453 | 0.0249 |
GDP_NEG(-1) | -0.020131 | 0.009101 | -2.211897 | 0.0394 |
D(TM(-1)) | 0.306909 | 0.186954 | 1.641631 | 0.1171 |
D(NS_POS) | -0.101999 | 0.053089 | -1.921278 | 0.0698 |
D(NS_POS(-1)) | 0.089460 | 0.074493 | 1.200912 | 0.2445 |
D(NS_POS(-2)) | -0.073074 | 0.051108 | -1.429806 | 0.1690 |
D(NS_NEG) | -0.104376 | 0.064408 | -1.620530 | 0.1216 |
D(LS_NEG) | 0.312887 | 0.133564 | 2.342601 | 0.0302 |
D(LS_NEG(-1)) | 0.207998 | 0.102411 | 2.031008 | 0.0565 |
D(TG_POS) | -0.116949 | 0.110124 | -1.061983 | 0.3016 |
D(TG_POS(-1)) | -0.269006 | 0.136429 | -1.971765 | 0.0634 |
D(TG_POS(-2)) | -0.254625 | 0.109971 | -2.315397 | 0.0319 |
D(TG_NEG) | 0.256849 | 0.123014 | 2.087968 | 0.0505 |
D(TG_NEG(-1)) | 0.170477 | 0.133015 | 1.281645 | 0.2154 |
D(TG_NEG(-2)) | 0.382653 | 0.173773 | 2.202022 | 0.0402 |
D(GDP_POS) | 0.005984 | 0.008094 | 0.739312 | 0.4688 |
D(GDP_POS(-1)) | 0.034478 | 0.013148 | 2.622281 | 0.0168 |
D(GDP_NEG) | -0.000690 | 0.006453 | -0.106936 | 0.9160 |
@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 |
* p-value incompatible with t-Bounds distribution.
** Variable interpreted as Z = Z(-1) + D(Z).
Levels Equation
Case 3: Unrestricted Constant and No Trend
Coefficient | Std. Error | t-Statistic | Prob. | |
NS_POS | -0.221761 | 0.058793 | -3.771931 | 0.0013 |
NS_NEG | -0.182679 | 0.056686 | -3.222624 | 0.0045 |
LS_POS | -0.283386 | 0.085075 | -3.330994 | 0.0035 |
LS_NEG | -0.072956 | 0.062642 | -1.164643 | 0.2586 |
TG_POS | 0.256310 | 0.072862 | 3.517742 | 0.0023 |
TG_NEG | -0.151016 | 0.082458 | -1.831435 | 0.0828 |
GDP_POS | -0.016367 | 0.007124 | -2.297589 | 0.0331 |
GDP_NEG | -0.015499 | 0.007388 | -2.097815 | 0.0495 |
EC = TM - (-0.2218*NS_POS -0.1827*NS_NEG -0.2834*LS_POS -0.0730
*LS_NEG + 0.2563*TG_POS -0.1510*TG_NEG -0.0164*GDP_POS
-0.0155*GDP_NEG)
F-Bounds Test Null Hypothesis: No levels relationship
Test Statistic Value Signif. I(0) I(1)
Asymptotic: n=1000
5.745500 | 10% | 1.95 | 3.06 | |
K | 8 | 5% | 2.22 | 3.39 |
2.5% | 2.48 | 3.7 | ||
1% | 2.79 | 4.1 | ||
Actual Sample Size | 48 | Finite Sample: n=50 | ||
10% | -1 | -1 | ||
5% | -1 | -1 | ||
1% | -1 | -1 | ||
Finite Sample: n=45 | ||||
10% | -1 | -1 | ||
5% | -1 | -1 | ||
1% | -1 | -1 |
t-Bounds Test Null Hypothesis: No levels relationship
Value | Signif. | I(0) | I(1) | |
t-statistic | -5.926986 | 10% | -2.57 | -4.4 |
5% | -2.86 | -4.72 | ||
2.5% | -3.13 | -5.02 |
1% -3.43 -5.37
Phụ lục B- 5b2 - Mô hình tác động tổng thể lên NS
(dạng ARDL dài hạn)
ARDL Long Run Form and Bounds Test Dependent Variable: D(NS)
Selected Model: ARDL(2, 0, 1, 3, 0, 0, 0, 0, 3)
Case 3: Unrestricted Constant and No Trend Date: 10/31/21 Time: 10:49
Sample: 2005Q1 2017Q4
Included observations: 48
Conditional Error Correction Regression
Coefficient | Std. Error | t-Statistic | Prob. | |
C | 4.254181 | 4.055133 | 1.049085 | 0.3034 |
NS(-1)* | -1.454883 | 0.250243 | -5.813869 | 0.0000 |
TM_POS** | -1.477216 | 0.835339 | -1.768401 | 0.0883 |
TM_NEG(-1) | -1.971748 | 0.788366 | -2.501056 | 0.0187 |
LS_POS(-1) | -0.374742 | 0.269195 | -1.392083 | 0.1753 |
LS_NEG** | 0.100743 | 0.156760 | 0.642660 | 0.5259 |
TG_POS** | -0.014954 | 0.324482 | -0.046086 | 0.9636 |
TG_NEG** | -0.390240 | 0.487824 | -0.799960 | 0.4307 |
GDP_POS** | 0.008359 | 0.022221 | 0.376191 | 0.7097 |
GDP_NEG(-1) | 0.012192 | 0.027569 | 0.442228 | 0.6618 |
D(NS(-1)) | 0.191238 | 0.155002 | 1.233777 | 0.2279 |
D(TM_NEG) | -0.168754 | 0.729712 | -0.231261 | 0.8189 |
D(LS_POS) | 0.351989 | 0.370411 | 0.950265 | 0.3504 |
D(LS_POS(-1)) | -0.752540 | 0.381548 | -1.972332 | 0.0589 |
D(LS_POS(-2)) | -0.480051 | 0.377272 | -1.272426 | 0.2141 |
D(GDP_NEG) | -0.029432 | 0.010716 | -2.746551 | 0.0106 |
D(GDP_NEG(-1)) | -0.041660 | 0.018156 | -2.294545 | 0.0298 |
D(GDP_NEG(-2)) | -0.040247 | 0.014907 | -2.699928 | 0.0118 |
@QUARTER=1 | -8.645183 | 3.028874 | -2.854257 | 0.0082 |
@QUARTER=2 | -10.11625 | 2.351484 | -4.302070 | 0.0002 |
@QUARTER=3 | -10.06555 | 2.077873 | -4.844159 | 0.0000 |
* p-value incompatible with t-Bounds distribution.
** Variable interpreted as Z = Z(-1) + D(Z).
Levels Equation
Case 3: Unrestricted Constant and No Trend
Coefficient | Std. Error | t-Statistic | Prob. | |
TM_POS | -1.015350 | 0.592339 | -1.714138 | 0.0980 |
TM_NEG | -1.355262 | 0.610022 | -2.221660 | 0.0349 |
LS_POS | -0.257575 | 0.159905 | -1.610802 | 0.1189 |
LS_NEG | 0.069245 | 0.108017 | 0.641058 | 0.5269 |
TG_POS | -0.010278 | 0.223371 | -0.046015 | 0.9636 |
TG_NEG | -0.268228 | 0.317152 | -0.845739 | 0.4051 |
GDP_POS | 0.005746 | 0.014815 | 0.387829 | 0.7012 |
GDP_NEG | 0.008380 | 0.018278 | 0.458457 | 0.6503 |
EC = NS - (-1.0154*TM_POS -1.3553*TM_NEG -0.2576*LS_POS + 0.0692
*LS_NEG -0.0103*TG_POS -0.2682*TG_NEG + 0.0057*GDP_POS + 0.0084*GDP_NEG)
F-Bounds Test Null Hypothesis: No levels relationship
Test Statistic Value Signif. I(0) I(1)
Asymptotic: n=1000
9.044857 | 10% | 1.95 | 3.06 | |
K | 8 | 5% | 2.22 | 3.39 |
2.5% | 2.48 | 3.7 | ||
1% | 2.79 | 4.1 | ||
Actual Sample Size | 48 | Finite Sample: n=50 | ||
10% | -1 | -1 | ||
5% | -1 | -1 | ||
1% | -1 | -1 | ||
Finite Sample: | ||||
n=45 | ||||
10% | -1 | -1 | ||
5% | -1 | -1 | ||
1% | -1 | -1 | ||
t-Bounds Test Null Hypothesis: No levels relationship | ||||
Test Statistic | Value | Signif. | I(0) | I(1) |
t-statistic | -5.813869 | 10% | -2.57 | -4.4 |
5% | -2.86 | -4.72 | ||
2.5% | -3.13 | -5.02 | ||
1% | -3.43 | -5.37 |
Phụ lục B-5b3- Mô hình tác động tổng thể lên LS (dạng ARDL dài hạn)
ARDL Long Run Form and Bounds Test Dependent Variable: D(LS)
Selected Model: ARDL(2, 3, 3, 0, 3, 1, 2, 0, 0)
Case 3: Unrestricted Constant and No Trend Date: 10/31/21 Time: 10:44
Sample: 2005Q1 2017Q4
Included observations: 48
Conditional Error Correction Regression
Coefficient | Std. Error | t-Statistic | Prob. | |
C | -2.883941 | 1.959166 | -1.472024 | 0.1552 |
LS(-1)* | -0.631341 | 0.132385 | -4.768959 | 0.0001 |
TM_POS(-1) | 0.172315 | 1.044881 | 0.164914 | 0.8705 |
TM_NEG(-1) | -1.089450 | 0.995587 | -1.094280 | 0.2857 |
NS_POS** | 0.139471 | 0.137547 | 1.013987 | 0.3216 |
NS_NEG(-1) | 0.325091 | 0.150716 | 2.156983 | 0.0422 |
TG_POS(-1) | 0.311857 | 0.201010 | 1.551449 | 0.1351 |
TG_NEG(-1) | 0.578617 | 0.292197 | 1.980232 | 0.0603 |
GDP_POS** | 0.008768 | 0.006383 | 1.373514 | 0.1834 |
GDP_NEG** | 0.012319 | 0.007255 | 1.698149 | 0.1036 |
D(LS(-1)) | 0.445379 | 0.170597 | 2.610708 | 0.0160 |
D(TM_POS) | 0.079364 | 1.159781 | 0.068430 | 0.9461 |
D(TM_POS(-1)) | -1.811943 | 0.842942 | -2.149547 | 0.0428 |
D(TM_POS(-2)) | -2.462044 | 0.956690 | -2.573501 | 0.0173 |
D(TM_NEG) | -0.283147 | 0.603474 | -0.469196 | 0.6435 |
D(TM_NEG(-1)) | 1.664420 | 1.001149 | 1.662510 | 0.1106 |
D(TM_NEG(-2)) | 1.287070 | 0.780286 | 1.649486 | 0.1133 |
D(NS_NEG) | 0.028972 | 0.132165 | 0.219213 | 0.8285 |
D(NS_NEG(-1)) | -0.255734 | 0.123411 | -2.072208 | 0.0502 |
D(NS_NEG(-2)) | -0.231698 | 0.116226 | -1.993521 | 0.0587 |
D(TG_POS) | -0.493407 | 0.265757 | -1.856609 | 0.0768 |
D(TG_NEG) | -0.019299 | 0.398718 | -0.048403 | 0.9618 |
D(TG_NEG(-1)) | -0.505799 | 0.366707 | -1.379301 | 0.1817 |
@QUARTER=1 | 2.826926 | 2.078828 | 1.359865 | 0.1876 |
@QUARTER=2 | 0.465378 | 1.252608 | 0.371527 | 0.7138 |
@QUARTER=3 | 0.552230 | 1.199845 | 0.460251 | 0.6499 |
* p-value incompatible with t-Bounds distribution.
** Variable interpreted as Z = Z(-1) + D(Z).
Levels Equation
Case 3: Unrestricted Constant and No Trend
Coefficient | Std. Error | t-Statistic | Prob. | |
TM_POS | 0.272936 | 1.683196 | 0.162153 | 0.8727 |
TM_NEG | -1.725614 | 1.451096 | -1.189179 | 0.2470 |
NS_POS | 0.220913 | 0.232097 | 0.951814 | 0.3515 |
NS_NEG | 0.514922 | 0.277240 | 1.857317 | 0.0767 |
TG_POS | 0.493960 | 0.305430 | 1.617260 | 0.1201 |
TG_NEG | 0.916490 | 0.477385 | 1.919814 | 0.0679 |
GDP_POS | 0.013887 | 0.010423 | 1.332359 | 0.1964 |
GDP_NEG | 0.019513 | 0.011896 | 1.640383 | 0.1151 |
EC = LS - (0.2729*TM_POS -1.7256*TM_NEG + 0.2209*NS_POS + 0.5149
*NS_NEG + 0.4940*TG_POS + 0.9165*TG_NEG + 0.0139*GDP_POS + 0.0195*GDP_NEG)
F-Bounds Test Null Hypothesis: No levels relationship
Test Statistic Value Signif. I(0) I(1)
Asymptotic: n=1000
4.944500 | 10% | 1.95 | 3.06 | |
K | 8 | 5% | 2.22 | 3.39 |
2.5% | 2.48 | 3.7 | ||
1% | 2.79 | 4.1 | ||
Actual Sample Size | 48 | Finite Sample: n=50 | ||
10% | -1 | -1 | ||
5% | -1 | -1 | ||
1% | -1 | -1 | ||
Finite Sample: n=45 | ||||
10% | -1 | -1 | ||
5% | -1 | -1 | ||
1% | -1 | -1 | ||
t-Bounds Test Null Hypothesis: No levels relationship | ||||
Test Statistic | Value | Signif. | I(0) | I(1) |
t-statistic | -4.768959 | 10% | -2.57 | -4.4 |
5% | -2.86 | -4.72 | ||
2.5% | -3.13 | -5.02 |
1% -3.43 -5.37
Phụ lục B-5b4- Mô hình tác động tổng thể lên TG (dạng ARDL dài hạn)
Dependent Variable: TG Method: ARDL
Date: 08/31/21 Time: 18:38 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): TM_POS TM_NEG NS_POS NS_NEG LS_POS LS_NEG GDP_POS GDP_NEG
Fixed regressors: @EXPAND(@QUARTER,@DROPLAST) C Number of models evalulated: 131072
Selected Model: ARDL(1, 3, 0, 2, 1, 0, 2, 3, 2)
Coefficient | Std. Error | t-Statistic | Prob.* | |
TG(-1) | 0.856027 | 0.125487 | 6.821634 | 0.0000 |
TM_POS | 0.076092 | 0.627915 | 0.121183 | 0.9046 |
TM_POS(-1) | 1.286211 | 0.886935 | 1.450174 | 0.1611 |
TM_POS(-2) | -2.239014 | 0.877063 | -2.552854 | 0.0181 |
TM_POS(-3) | -1.605683 | 1.084451 | -1.480641 | 0.1529 |
TM_NEG | -0.052803 | 0.497062 | -0.106229 | 0.9164 |
NS_POS | -0.027836 | 0.125067 | -0.222568 | 0.8259 |
NS_POS(-1) | -0.303235 | 0.184101 | -1.647107 | 0.1137 |
NS_POS(-2) | 0.226982 | 0.175200 | 1.295559 | 0.2086 |
NS_NEG | -0.356174 | 0.164284 | -2.168037 | 0.0412 |
NS_NEG(-1) | 0.366342 | 0.167784 | 2.183416 | 0.0400 |
LS_POS | 0.611589 | 0.248507 | 2.461054 | 0.0222 |
LS_NEG | -0.911769 | 0.214507 | -4.250531 | 0.0003 |
LS_NEG(-1) | 0.025917 | 0.284002 | 0.091255 | 0.9281 |
LS_NEG(-2) | 0.602535 | 0.268221 | 2.246411 | 0.0350 |
GDP_POS | 0.020846 | 0.017544 | 1.188183 | 0.2474 |
GDP_POS(-1) | -0.068180 | 0.038793 | -1.757547 | 0.0927 |
GDP_POS(-2) | 0.025777 | 0.034202 | 0.753673 | 0.4590 |
GDP_POS(-3) | 0.067242 | 0.036925 | 1.821062 | 0.0822 |
GDP_NEG | -0.013417 | 0.019393 | -0.691838 | 0.4963 |
GDP_NEG(-1) | 0.037112 | 0.019329 | 1.919975 | 0.0679 |
GDP_NEG(-2) | 0.024663 | 0.021576 | 1.143063 | 0.2653 |
@QUARTER=1 | -2.608367 | 4.240420 | -0.615120 | 0.5448 |
@QUARTER=2 | -2.596752 | 3.469858 | -0.748374 | 0.4622 |
@QUARTER=3 | 3.701425 | 4.167469 | 0.888171 | 0.3841 |
C | 12.90750 | 11.59295 | 1.113392 | 0.2776 |
R-squared | 0.995988 | Mean dependent var | 107.8391 | |
Adjusted R-squared | 0.991429 | S.D. dependent var | 11.92128 | |
S.E. of regression | 1.103682 | Akaike info criterion | 3.338355 | |
Sum squared resid | 26.79850 | Schwarz criterion | 4.351922 | |
Log likelihood | -54.12053 | Hannan-Quinn criter. | 3.721384 | |
F-statistic | 218.4590 | Durbin-Watson stat | 1.926613 | |
Prob(F-statistic) | 0.000000 |