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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 28


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)


Variable

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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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 28

*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


Variable

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


Variable

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


F-statistic

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


Test Statistic

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


Variable

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


Variable

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

F-statistic

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


Variable

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


Variable

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


F-statistic

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)


Variable

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



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