*Note: p-values and any subsequent tests do not account for model selection.
Phụ lục B-5b5- Mô hình tác động tổng thể lên GDP (dạng ARDL dài hạn)
ARDL Long Run Form and Bounds Test Dependent Variable: D(GDP)
Selected Model: ARDL(1, 3, 3, 1, 2, 3, 2, 0, 3)
Case 3: Unrestricted Constant and No Trend Date: 10/31/21 Time: 10:52
Sample: 2005Q1 2017Q4
Included observations: 48
Conditional Error Correction Regression
Coefficient | Std. Error | t-Statistic | Prob. | |
C | 363.7079 | 60.14019 | 6.047668 | 0.0000 |
GDP(-1)* | -0.868502 | 0.157990 | -5.497191 | 0.0000 |
TM_POS(-1) | -40.32201 | 25.03600 | -1.610561 | 0.1247 |
TM_NEG(-1) | 74.36309 | 19.69565 | 3.775609 | 0.0014 |
NS_POS(-1) | -1.341517 | 4.506144 | -0.297708 | 0.7693 |
NS_NEG(-1) | 0.404408 | 4.391028 | 0.092099 | 0.9276 |
LS_POS(-1) | 17.12374 | 6.743043 | 2.539468 | 0.0205 |
LS_NEG(-1) | -8.558808 | 5.394863 | -1.586474 | 0.1300 |
TG_POS** | 8.149892 | 3.041855 | 2.679251 | 0.0153 |
TG_NEG(-1) | -11.45965 | 5.582377 | -2.052827 | 0.0549 |
D(TM_POS) | -18.34996 | 25.99676 | -0.705856 | 0.4893 |
D(TM_POS(-1)) | 69.54180 | 28.50058 | 2.440014 | 0.0253 |
D(TM_POS(-2)) | 61.21523 | 28.76153 | 2.128372 | 0.0474 |
D(TM_NEG) | 18.02402 | 14.28607 | 1.261649 | 0.2232 |
D(TM_NEG(-1)) | -67.53136 | 21.89999 | -3.083625 | 0.0064 |
D(TM_NEG(-2)) | -39.79587 | 19.89351 | -2.000445 | 0.0608 |
D(NS_POS) | -7.879388 | 2.298803 | -3.427605 | 0.0030 |
D(NS_NEG) | -8.680796 | 4.078163 | -2.128605 | 0.0474 |
D(NS_NEG(-1)) | -5.520403 | 2.767717 | -1.994569 | 0.0615 |
D(LS_POS) | 28.55356 | 9.106227 | 3.135608 | 0.0057 |
D(LS_POS(-1)) | -22.55693 | 7.546430 | -2.989087 | 0.0079 |
D(LS_POS(-2)) | -12.67091 | 8.588018 | -1.475417 | 0.1574 |
D(LS_NEG) | -19.44723 | 7.722783 | -2.518163 | 0.0215 |
D(LS_NEG(-1)) | -7.659457 | 5.500584 | -1.392481 | 0.1807 |
D(TG_NEG) | -31.73432 | 9.108369 | -3.484084 | 0.0026 |
D(TG_NEG(-1)) | -17.89979 | 9.374106 | -1.909493 | 0.0723 |
D(TG_NEG(-2)) | -50.89331 | 10.22115 | -4.979217 | 0.0001 |
@QUARTER=1 | -276.1951 | 23.55212 | -11.72697 | 0.0000 |
@QUARTER=2 | -123.1682 | 29.99313 | -4.106547 | 0.0007 |
@QUARTER=3 | -99.23143 | 16.13700 | -6.149310 | 0.0000 |
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* 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 | -46.42706 | 30.88380 | -1.503282 | 0.1501 |
TM_NEG | 85.62221 | 28.04635 | 3.052883 | 0.0068 |
NS_POS | -1.544632 | 5.137299 | -0.300670 | 0.7671 |
NS_NEG | 0.465638 | 5.081241 | 0.091639 | 0.9280 |
LS_POS | 19.71640 | 9.784868 | 2.014989 | 0.0591 |
LS_NEG | -9.854674 | 6.869319 | -1.434593 | 0.1685 |
TG_POS | 9.383845 | 2.491379 | 3.766526 | 0.0014 |
TG_NEG | -13.19473 | 6.392338 | -2.064148 | 0.0537 |
EC = GDP - (-46.4271*TM_POS + 85.6222*TM_NEG -1.5446*NS_POS + 0.4656*NS_NEG + 19.7164*LS_POS -9.8547*LS_NEG + 9.3838
*TG_POS -13.1947*TG_NEG)
F-Bounds Test Null Hypothesis: No levels relationship
Test Statistic Value Signif. I(0) I(1)
Asymptotic: n=1000
8.554198 | 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 | -5.497191 | 10% | -2.57 | -4.4 |
5% | -2.86 | -4.72 | ||
2.5% | -3.13 | -5.02 |
1% -3.43 -5.37
Phụ lục B-5c
Dependent Variable: D(NS) Method: Least Squares Date: 08/31/21 Time: 18:23
Sample (adjusted): 2006Q1 2017Q4 Included observations: 48 after adjustments
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
R-squared 0.877012 Mean dependent var -0.168158 Adjusted R-squared 0.785909 S.D. dependent var 3.755952
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 9.626653 Durbin-Watson stat 2.180682
Prob(F-statistic) 0.000000
Phụ lục B- 6c – Kiểm định tác động ngắn hạn Tác động NS_POS tới TM
Wald Test:
Test Statistic | Value | df | Probability |
t-statistic | -0.761118 | 19 | 0.4559 |
F-statistic | 0.579300 | (1, 19) | 0.4559 |
Chi-square | 0.579300 | 1 | 0.4466 |
Null Hypothesis: C(12)+C(13)+C(14) = 0 Null Hypothesis Summary: | |||
Normalized Restriction (= 0) | Value | Std. Err. | |
C(12) + C(13) + C(14) | -0.085613 | 0.112484 | |
Restrictions are linear in coefficients.
Tác động NS_NEG tới TM
Wald Test:
Equation: EQ0_NARDL_TM
Value | df | Probability | |
t-statistic | 2.199503 | 19 | 0.0404 |
F-statistic | 4.837811 | (1, 19) | 0.0404 |
Chi-square | 4.837811 | 1 | 0.0278 |
Null Hypothesis: C(15)+C(16)+C(17)=0 Null Hypothesis Summary:
Value | Std. Err. | |
C(15) + C(16) + C(17) | 0.416510 | 0.189365 |
Restrictions are linear in coefficients.
Tác động TG_POS tới TM
Wald Test:
Equation: EQ0_NARDL_TM
Value | df | Probability | |
t-statistic | -2.938602 | 19 | 0.0084 |
F-statistic | 8.635383 | (1, 19) | 0.0084 |
Chi-square | 8.635383 | 1 | 0.0033 |
Null Hypothesis: C(18)+C(19)+C(20) =0 Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
C(18) + C(19) + C(20) -0.640581 0.217988
Restrictions are linear in coefficients.
Tác động TG_NEG tới TM
Wald Test:
Equation: EQ0_NARDL_TM
Value | df | Probability | |
t-statistic | 3.064865 | 19 | 0.0064 |
F-statistic | 9.393400 | (1, 19) | 0.0064 |
Chi-square | 9.393400 | 1 | 0.0022 |
Null Hypothesis: C(21)+C(22)+C(23)=0 Null Hypothesis Summary:
Value | Std. Err. | |
C(21) + C(22) + C(23) | 0.809979 | 0.264279 |
Restrictions are linear in coefficients.
2.266360 | 19 | 0.0353 | |
F-statistic | 5.136386 | (1, 19) | 0.0353 |
Chi-square | 5.136386 | 1 | 0.0234 |
Null Hypothesis: C(24)+C(25) = 0 Null Hypothesis Summary:
Value | Std. Err. | |
C(24) + C(25) | 0.040462 | 0.017854 |
Restrictions are linear in coefficients.
Tác động GDP_NEG tới TM
Wald Test:
Equation: EQ0_NARDL_TM
Value | df | Probability | |
t-statistic | -0.106936 | 19 | 0.9160 |
F-statistic | 0.011435 | (1, 19) | 0.9160 |
Chi-square | 0.011435 | 1 | 0.9148 |
Null Hypothesis: C(26)=0 Null Hypothesis Summary: | |||
Normalized Restriction (= 0) | Value | Std. Err. | |
C(26) | -0.000690 | 0.006453 | |
Restrictions are linear in coefficients.
0.053482 | (1, 27) | 0.8189 | |
Chi-square | 0.053482 | 1 | 0.8171 |
Null Hypothesis: C(12)=0 Null Hypothesis Summary: | |||
Normalized Restriction (= 0) | Value | Std. Err. | |
C(12) | -0.168754 | 0.729712 | |
Restrictions are linear in coefficients.
Tác động LS_POS tới NS
Wald Test:
Equation: EQ0_NARDL_NS
Value | df | Probability | |
t-statistic | -2.400454 | 27 | 0.0235 |
F-statistic | 5.762177 | (1, 27) | 0.0235 |
Chi-square | 5.762177 | 1 | 0.0164 |
Null Hypothesis: C(13)+C(14)+C(15)=0 Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
C(13) + C(14) + C(15) -0.880603 0.366849
Restrictions are linear in coefficients.
13.27771 | (1, 27) | 0.0011 | |
Chi-square | 13.27771 | 1 | 0.0003 |
Null Hypothesis: C(16)+C(17)+C(18)=0 Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
C(16) + C(17) + C(18) -0.111339 0.030555
Restrictions are linear in coefficients.
Tác động của TM_POS đến LS
Wald Test:
Equation: EQ0_NARDL_LS
Value | df | Probability | |
t-statistic | -2.666433 | 22 | 0.0141 |
F-statistic | 7.109866 | (1, 22) | 0.0141 |
Chi-square | 7.109866 | 1 | 0.0077 |
Null Hypothesis: C(12)+C(13)+C(14)=0 Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
C(12) + C(13) + C(14) -4.194622 1.573121
Restrictions are linear in coefficients.