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Phân tích định lượng về tác động của chính sách tiền tệ tới một số nhân tố vĩ mô của Việt Nam trong thời kì đổi mới - 24


ADF Test Statistic

-3.362569

1% Critical Value*

-3.6353



5% Critical Value

-2.9499



10% Critical Value

-2.6133

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Phân tích định lượng về tác động của chính sách tiền tệ tới một số nhân tố vĩ mô của Việt Nam trong thời kì đổi mới - 24

*MacKinnon critical values for rejection of hypothesis of a unit root.


Dependent Variable: D(C/DD) Method: Least Squares

Date: 11/22/07 Time: 09:19 Sample(adjusted): 1996:3 2004:4

Included observations: 34 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

C/DD(-1)


-0.232794

0.069231 -3.362569

0.0021

D(C/DD(-1))


-0.248589

0.149853 -1.658884

0.1072

C


0.325647

0.112746 2.888313

0.0070

R-squared


0.298276

Mean dependent var

-0.037708

Adjusted R-squared


0.253004

S.D. dependent var

0.139596

S.E. of regression


0.120651

Akaike info criterion

-1.307728

Sum squared resid


0.451258

Schwarz criterion

-1.173049

Log likelihood


25.23138

F-statistic

6.588460

Durbin-Watson stat

2.135348

Prob(F-statistic)

0.004126


ADF Test Statistic


-4.668648


1% Critical Value*


-3.6422



5% Critical Value

-2.9527



10% Critical Value

-2.6148

*MacKinnon critical values for rejection of hypothesis of a unit root.



Augmented Dickey-Fuller Test Equation Dependent Variable: D(C/DD,2) Method: Least Squares

Date: 11/22/07 Time: 09:39 Sample(adjusted): 1996:4 2004:4

Included observations: 33 after adjusting endpoints

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(C/DD(-1))

-1.295649

0.277521 -4.668648

0.0001

D(C/DD(-1),2)

0.055788

0.178291 0.312906

0.7565

C

-0.046014

0.026922 -1.709158

0.0977

R-squared

0.619519

Mean dependent var

0.004952

Adjusted R-squared

0.594154

S.D. dependent var

0.221014

S.E. of regression

0.140799

Akaike info criterion

-0.996455

Sum squared resid

0.594733

Schwarz criterion

-0.860408

Log likelihood

19.44150

F-statistic

24.42383

Durbin-Watson stat

2.031061

Prob(F-statistic)

0.000001



ADF Test Statistic

-2.221669

1% Critical Value*

-3.6353



5% Critical Value

-2.9499



10% Critical Value

-2.6133

*MacKinnon critical values for rejection of hypothesis of a unit root.



Augmented Dickey-Fuller Test Equation Dependent Variable: D(DR)

Method: Least Squares Date: 11/22/07 Time: 09:40

Sample(adjusted): 1996:3 2004:4 Included observations: 34 after adjusting endpoints

Variable

Coefficient

Std. Error t-Statistic

Prob.

DR(-1)

-0.153382

0.069039 -2.221669

0.0337

D(DR(-1))

0.266428

0.161200 1.652776

0.1085

C

0.967281

0.497700 1.943500

0.0611

R-squared

0.190901

Mean dependent var

-0.127500

Adjusted R-squared

0.138701

S.D. dependent var

0.894308

S.E. of regression

0.829974

Akaike info criterion

2.549252

Sum squared resid

21.35454

Schwarz criterion

2.683930

Log likelihood

-40.33728

F-statistic

3.657111

Durbin-Watson stat

2.070408

Prob(F-statistic)

0.037500



ADF Test Statistic

-3.207098

1% Critical Value*

-3.6422



5% Critical Value

-2.9527



10% Critical Value

-2.6148

*MacKinnon critical values for rejection of hypothesis of a unit root.



Augmented Dickey-Fuller Test Equation Dependent Variable: D(DR,2)

Method: Least Squares Date: 11/22/07 Time: 09:42

Sample(adjusted): 1996:4 2004:4 Included observations: 33 after adjusting endpoints

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(DR(-1))

-0.716710

0.223476 -3.207098

0.0032

D(DR(-1),2)

-0.056075

0.182444 -0.307354

0.7607

C

-0.072156

0.160956 -0.448293

0.6572

R-squared

0.383746

Mean dependent var

0.021394

Adjusted R-squared

0.342662

S.D. dependent var

1.114810

S.E. of regression

0.903847

Akaike info criterion

2.722196

Sum squared resid

24.50820

Schwarz criterion

2.858242

Log likelihood

-41.91623

F-statistic

9.340616

Durbin-Watson stat

1.995378

Prob(F-statistic)

0.000702


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP)

Method: Least Squares Date: 11/28/07 Time: 08:52

Sample (adjusted): 1995Q3 2006Q4 Included observations: 46 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

GDP(-1)

0.069560

0.027548 2.525080

0.0152

D(GDP(-1))

-0.853715

0.092868 -9.192805

0.0000

R-squared

0.652075

Mean dependent var

5282.265

Adjusted R-squared

0.644167

S.D. dependent var

41830.43

S.E. of regression

24952.57

Akaike info criterion

23.12985

Sum squared resid

2.74E+10

Schwarz criterion

23.20935

Log likelihood

-529.9865

Durbin-Watson stat

2.340346



Augmented Dickey-Fuller test statistic

-19.94557

0.0001

Test critical values: 1% level

-3.581152


5% level

-2.926622


10% level

-2.601424


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP,2)

Method: Least Squares Date: 11/28/07 Time: 09:05

Sample (adjusted): 1995Q3 2006Q4 Included observations: 46 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(GDP(-1))

-1.814420

0.090969 -19.94557

0.0000

C

8718.692

3732.941 2.335609

0.0241

R-squared

0.900413

Mean dependent var

1062.788

Adjusted R-squared

0.898150

S.D. dependent var

78911.64

S.E. of regression

25183.84

Akaike info criterion

23.14830

Sum squared resid

2.79E+10

Schwarz criterion

23.22780

Log likelihood

-530.4108

F-statistic

397.8256

Durbin-Watson stat

2.226775

Prob(F-statistic)

0.000000


Augmented Dickey-Fuller test statistic

2.664886

0.9977

Test critical values: 1% level

-2.616203


5% level

-1.948140


10% level

-1.612320


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ADY)

Method: Least Squares Date: 11/28/07 Time: 11:24

Sample (adjusted): 1995Q3 2006Q4 Included observations: 46 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

ADY(-1)

0.062486

0.023448 2.664886

0.0107

D(ADY(-1))

-0.721605

0.112786 -6.397986

0.0000

R-squared

0.471798

Mean dependent var

4801.820

Adjusted R-squared

0.459794

S.D. dependent var

28504.56

S.E. of regression

20950.49

Akaike info criterion

22.78022

Sum squared resid

1.93E+10

Schwarz criterion

22.85972

Log likelihood

-521.9450

Durbin-Watson stat

2.525635





*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ADY,2)

Method: Least Squares Date: 11/28/07 Time: 11:29

Sample (adjusted): 1995Q4 2006Q4 Included observations: 45 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(ADY(-1))

-2.263035

0.273590 -8.271616

0.0000

D(ADY(-1),2)

0.346059

0.149390 2.316479

0.0255

C

10280.83

3249.877 3.163452

0.0029

R-squared

0.857642

Mean dependent var

83.28527

Adjusted R-squared

0.850863

S.D. dependent var

52801.91

S.E. of regression

20391.16

Akaike info criterion

22.74793

Sum squared resid

1.75E+10

Schwarz criterion

22.86837

Log likelihood

-508.8284

F-statistic

126.5157

Durbin-Watson stat

2.107294

Prob(F-statistic)

0.000000

Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDPAG/GDP) Method: Least Squares

Date: 11/22/07 Time: 10:00 Sample(adjusted): 1996:3 2004:4

Included observations: 34 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

GDPAG/GDP(-1)


-1.313217

0.317736 -4.133047

0.0003

D(GDPAG/GDP(-1))


-0.044385

0.193386 -0.229515

0.8200

C


0.300903

0.072604 4.144420

0.0002

R-squared


0.686851

Mean dependent var

0.000618

Adjusted R-squared


0.666648

S.D. dependent var

0.071002

S.E. of regression


0.040994

Akaike info criterion

-3.466691

Sum squared resid


0.052095

Schwarz criterion

-3.332012

Log likelihood


61.93374

F-statistic

33.99724

Durbin-Watson stat

1.924345

Prob(F-statistic)

0.000000


ADF Test Statistic


-5.758198


1% Critical Value*


-3.6422



5% Critical Value

-2.9527



10% Critical Value

-2.6148

*MacKinnon critical values for rejection of hypothesis of a unit root.



Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDPAG/GDP,2) Method: Least Squares

Date: 11/22/07 Time: 10:01 Sample(adjusted): 1996:4 2004:4

Included observations: 33 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

D(GDPAG/GDP(-1))


-1.945436

0.337855 -5.758198

0.0000

D(GDPAG/GDP(-1),2)


0.129003

0.182913 0.705272

0.4861

C


0.002794

0.008977 0.311229

0.7578

R-squared


0.859518

Mean dependent var

-0.001636

Adjusted R-squared


0.850153

S.D. dependent var

0.132933

S.E. of regression


0.051458

Akaike info criterion

-3.009582

Sum squared resid


0.079439

Schwarz criterion

-2.873536

Log likelihood


52.65811

F-statistic

91.77552

Durbin-Watson stat

2.178968

Prob(F-statistic)

0.000000


Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDPNA/GDP) Method: Least Squares

Date: 11/22/07 Time: 10:07 Sample(adjusted): 1996:3 2004:4

Included observations: 34 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

GDPNA/GDP(-1)


-1.313217

0.317736 -4.133047

0.0003

D(GDPNA/GDP(-1))


-0.044385

0.193386 -0.229515

0.8200

C


1.012314

0.245574 4.122241

0.0003

R-squared


0.686851

Mean dependent var

-0.000618

Adjusted R-squared


0.666648

S.D. dependent var

0.071002

S.E. of regression


0.040994

Akaike info criterion

-3.466691

Sum squared resid


0.052095

Schwarz criterion

-3.332012

Log likelihood


61.93374

F-statistic

33.99724

Durbin-Watson stat

1.924345

Prob(F-statistic)

0.000000



ADF Test Statistic

-5.758198

1% Critical Value*

-3.6422



5% Critical Value

-2.9527



10% Critical Value

-2.6148

*MacKinnon critical values for rejection of hypothesis of a unit root.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDPNA/GDP,2) Method: Least Squares

Date: 11/22/07 Time: 10:08 Sample(adjusted): 1996:4 2004:4

Included observations: 33 after adjusting endpoints

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(GDPNA/GDP(-1))

-1.945436

0.337855 -5.758198

0.0000

D(GDPNA/GDP(-1),2)

0.129003

0.182913 0.705272

0.4861

C

-0.002794

0.008977 -0.311229

0.7578

R-squared

0.859518

Mean dependent var

0.001636

Adjusted R-squared

0.850153

S.D. dependent var

0.132933

S.E. of regression

0.051458

Akaike info criterion

-3.009582

Sum squared resid

0.079439

Schwarz criterion

-2.873536

Log likelihood

52.65811

F-statistic

91.77552

Durbin-Watson stat

2.178968

Prob(F-statistic)

0.000000

Augmented Dickey-Fuller Test Equation Dependent Variable: D(TD)

Method: Least Squares Date: 11/22/07 Time: 10:11

Sample(adjusted): 1996:3 2004:4 Included observations: 34 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

TD(-1)


-0.173953

0.131801 -1.319814

0.1966

D(TD(-1))


-0.202722

0.182112 -1.113175

0.2742

C


0.104789

0.078109 1.341582

0.1895

R-squared


0.138351

Mean dependent var

0.001618

Adjusted R-squared


0.082761

S.D. dependent var

0.040062

S.E. of regression


0.038368

Akaike info criterion

-3.599063

Sum squared resid


0.045636

Schwarz criterion

-3.464384

Log likelihood


64.18407

F-statistic

2.488767

Durbin-Watson stat

2.139721

Prob(F-statistic)

0.099453



ADF Test Statistic

-6.870556

1% Critical Value*

-3.6422



5% Critical Value

-2.9527



10% Critical Value

-2.6148

*MacKinnon critical values for rejection of hypothesis of a unit root.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(TD,2)

Method: Least Squares Date: 11/22/07 Time: 10:12

Sample(adjusted): 1996:4 2004:4 Included observations: 33 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

D(TD(-1))


-1.839110

0.267680 -6.870556

0.0000

D(TD(-1),2)


0.412908

0.165917 2.488633

0.0186

C


0.003347

0.006359 0.526332

0.6025

R-squared


0.710976

Mean dependent var

0.000121

Adjusted R-squared


0.691708

S.D. dependent var

0.065616

S.E. of regression


0.036433

Akaike info criterion

-3.700203

Sum squared resid


0.039820

Schwarz criterion

-3.564156

Log likelihood


64.05334

F-statistic

36.89883

Durbin-Watson stat

1.977247

Prob(F-statistic)

0.000000

Dependent Variable: D(TD/DD) Method: Least Squares

Date: 11/22/07 Time: 10:13 Sample(adjusted): 1996:3 2004:4

Included observations: 34 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

TD/DD(-1)


-0.092069

0.108017 -0.852357

0.4006

D(TD/DD(-1))


-0.221019

0.182717 -1.209626

0.2356

C


0.153220

0.164322 0.932437

0.3583

R-squared


0.098200

Mean dependent var

0.013048

Adjusted R-squared


0.040019

S.D. dependent var

0.210238

S.E. of regression


0.205988

Akaike info criterion

-0.237900

Sum squared resid


1.315364

Schwarz criterion

-0.103221

Log likelihood


7.044294

F-statistic

1.687845

Durbin-Watson stat

2.100093

Prob(F-statistic)

0.201469


ADF Test Statistic

-5.797645

1% Critical Value*

-3.6422



5% Critical Value

-2.9527



10% Critical Value

-2.6148

*MacKinnon critical values for rejection of hypothesis of a unit root.



Augmented Dickey-Fuller Test Equation Dependent Variable: D(TD/DD,2) Method: Least Squares

Date: 11/22/07 Time: 10:14 Sample(adjusted): 1996:4 2004:4

Included observations: 33 after adjusting endpoints

Variable


Coefficient

Std. Error t-Statistic

Prob.

D(TD/DD(-1))


-1.626571

0.280557 -5.797645

0.0000

D(TD/DD(-1),2)


0.269446

0.175280 1.537227

0.1347

C


0.023855

0.035618 0.669747

0.5081

R-squared


0.667461

Mean dependent var

0.000589

Adjusted R-squared


0.645292

S.D. dependent var

0.341464

S.E. of regression


0.203367

Akaike info criterion

-0.261103

Sum squared resid


1.240742

Schwarz criterion

-0.125057

Log likelihood


7.308194

F-statistic

30.10754

Durbin-Watson stat

1.954623

Prob(F-statistic)

0.000000

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