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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 29


*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


Variable

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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Mối quan hệ giữa thâm hụt ngân sách và thâm hụt thương mại Việt Nam - 29

* 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

-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


F-statistic

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


Test Statistic

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:


Equation: EQ0_NARDL_TM

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


Test Statistic

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:

Normalized Restriction (= 0)

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


Test Statistic

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


Test Statistic

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:

Normalized Restriction (= 0)

Value

Std. Err.

C(21) + C(22) + C(23)

0.809979

0.264279

Restrictions are linear in coefficients.


t-statistic

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:


Normalized Restriction (= 0)

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


Test Statistic

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.


F-statistic

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


Test Statistic

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.


F-statistic

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


Test Statistic

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.

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