Null Hypothesis: D2 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -16.95536 0.0000
1% level | -3.481217 | |
5% level | -2.883753 | |
10% level | -2.578694 |
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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 - 25 -
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 - 26 -
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 - 28
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*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(D2)
Method: Least Squares Date: 11/30/07 Time: 22:58
Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D2(-1) | -1.383946 | 0.081623 -16.95536 | 0.0000 |
C | 0.015174 | 0.012661 1.198434 | 0.2330 |
R-squared | 0.691926 | Mean dependent var | 0.000555 |
Adjusted R-squared | 0.689519 | S.D. dependent var | 0.258479 |
S.E. of regression | 0.144027 | Akaike info criterion | -1.022373 |
Sum squared resid | 2.655188 | Schwarz criterion | -0.978257 |
Log likelihood | 68.45421 | F-statistic | 287.4844 |
Durbin-Watson stat | 2.099705 | Prob(F-statistic) | 0.000000 |
Ghi chó: D2 =
NDA DMB
Null Hypothesis: D(D2) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -16.62772 0.0000
1% level | -3.482035 | |
5% level | -2.884109 | |
10% level | -2.578884 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(D2,2)
Method: Least Squares Date: 02/14/08 Time: 22:59
Sample (adjusted): 1995M05 2005M12 Included observations: 128 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(D2(-1)) | -2.396979 | 0.144156 -16.62772 | 0.0000 |
D(D2(-1),2) | 0.456072 | 0.079323 5.749541 | 0.0000 |
C | -3.77E-05 | 0.015673 -0.002407 | 0.9981 |
R-squared | 0.860591 | Mean dependent var | 0.001853 |
Adjusted R-squared | 0.858361 | S.D. dependent var | 0.471158 |
S.E. of regression | 0.177320 | Akaike info criterion | -0.598560 |
Sum squared resid | 3.930311 | Schwarz criterion | -0.531715 |
Log likelihood | 41.30782 | F-statistic | 385.8215 |
Durbin-Watson stat | 2.299690 | Prob(F-statistic) | 0.000000 |
Ghi chó: D(D2) =
NDA -
DMB
NDA (1)
DMB
Null Hypothesis: D3 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.64040 0.0000
1% level | -3.481217 | |
5% level | -2.883753 | |
10% level | -2.578694 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(D3)
Method: Least Squares Date: 11/30/07 Time: 23:01
Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D3(-1) | -1.154739 | 0.084656 -13.64040 | 0.0000 |
C | 0.003604 | 0.001749 2.060555 | 0.0414 |
R-squared | 0.592435 | Mean dependent var | -0.000400 |
Adjusted R-squared | 0.589251 | S.D. dependent var | 0.030678 |
S.E. of regression | 0.019662 | Akaike info criterion | -5.005020 |
Sum squared resid | 0.049483 | Schwarz criterion | -4.960904 |
Log likelihood | 327.3263 | F-statistic | 186.0605 |
Durbin-Watson stat | 2.028342 | Prob(F-statistic) | 0.000000 |
Ghi chó: D3 =
RR DMB
Null Hypothesis: D(D3) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -14.09772 0.0000
1% level | -3.482035 | |
5% level | -2.884109 | |
10% level | -2.578884 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(D3,2)
Method: Least Squares Date: 11/30/07 Time: 23:02
Sample (adjusted): 1995M05 2005M12 Included observations: 128 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(D3(-1)) | -2.104380 | 0.149271 -14.09772 | 0.0000 |
D(D3(-1),2) | 0.322347 | 0.083437 3.863370 | 0.0002 |
C | -0.000252 | 0.002082 -0.121174 | 0.9037 |
R-squared | 0.817449 | Mean dependent var | 2.74E-05 |
Adjusted R-squared | 0.814528 | S.D. dependent var | 0.054674 |
S.E. of regression | 0.023546 | Akaike info criterion | -4.636544 |
Sum squared resid | 0.069303 | Schwarz criterion | -4.569700 |
Log likelihood | 299.7388 | F-statistic | 279.8702 |
Durbin-Watson stat | 2.228705 | Prob(F-statistic) | 0.000000 |
Ghi chó: D(D3) =
RR -
DMB
RR (1)
DMB
Null Hypothesis: DQP has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.059484 0.0000
1% level | -3.483751 | |
5% level | -2.884856 | |
10% level | -2.579282 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(DQP)
Method: Least Squares Date: 11/30/07 Time: 23:09
Sample (adjusted): 1995M06 2005M09 Included observations: 124 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
DQP(-1) | -0.611634 | 0.086640 -7.059484 | 0.0000 |
D(DQP(-1)) | 0.253971 | 0.087819 2.891984 | 0.0045 |
C | 0.003967 | 0.002434 1.629560 | 0.1058 |
R-squared | 0.293625 | Mean dependent var | 0.000201 |
Adjusted R-squared | 0.281950 | S.D. dependent var | 0.031211 |
S.E. of regression | 0.026447 | Akaike info criterion | -4.403416 |
Sum squared resid | 0.084636 | Schwarz criterion | -4.335184 |
Log likelihood | 276.0118 | F-statistic | 25.14858 |
Durbin-Watson stat | 2.172706 | Prob(F-statistic) | 0.000000 |
Ghi chó: DQP = lnQp
Null Hypothesis: D(DQP) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.63619 0.0000
1% level | -3.483751 | |
5% level | -2.884856 | |
10% level | -2.579282 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(DQP,2)
Method: Least Squares Date: 11/30/07 Time: 23:10
Sample (adjusted): 1995M06 2005M09 Included observations: 124 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(DQP(-1)) | -1.051858 | 0.090395 -11.63619 | 0.0000 |
C | 0.000201 | 0.002810 0.071376 | 0.9432 |
R-squared | 0.526031 | Mean dependent var | 0.000204 |
Adjusted R-squared | 0.522146 | S.D. dependent var | 0.045274 |
S.E. of regression | 0.031296 | Akaike info criterion | -4.074630 |
Sum squared resid | 0.119495 | Schwarz criterion | -4.029141 |
Log likelihood | 254.6271 | F-statistic | 135.4009 |
Durbin-Watson stat | 1.969240 | Prob(F-statistic) | 0.000000 |
Ghi chó: D(DQP) = lnQp - lnQp(-1)
Null Hypothesis: DP has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -9.117925 0.0000
1% level | -3.481217 | |
5% level | -2.883753 | |
10% level | -2.578694 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(DP)
Method: Least Squares Date: 11/30/07 Time: 23:13
Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
DP(-1) | -0.721368 | 0.079115 -9.117925 | 0.0000 |
C | 0.002656 | 0.000733 3.625564 | 0.0004 |
R-squared | 0.393757 | Mean dependent var | -0.000226 |
Adjusted R-squared | 0.389021 | S.D. dependent var | 0.009642 |
S.E. of regression | 0.007537 | Akaike info criterion | -6.922759 |
Sum squared resid | 0.007271 | Schwarz criterion | -6.878643 |
Log likelihood | 451.9794 | F-statistic | 83.13656 |
Durbin-Watson stat | 1.862472 | Prob(F-statistic) | 0.000000 |
Ghi chó: DP = lnP
Null Hypothesis: D(DP) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.00915 0.0000
1% level | -3.482035 | |
5% level | -2.884109 | |
10% level | -2.578884 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(DP,2)
Method: Least Squares Date: 11/30/07 Time: 23:14
Sample (adjusted): 1995M05 2005M12 Included observations: 128 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(DP(-1)) | -1.714230 | 0.131771 -13.00915 | 0.0000 |
D(DP(-1),2) | 0.308190 | 0.079665 3.868553 | 0.0002 |
C | -2.72E-05 | 0.000737 -0.036941 | 0.9706 |
R-squared | 0.691743 | Mean dependent var | 3.11E-05 |
Adjusted R-squared | 0.686811 | S.D. dependent var | 0.014890 |
S.E. of regression | 0.008333 | Akaike info criterion | -6.714010 |
Sum squared resid | 0.008680 | Schwarz criterion | -6.647165 |
Log likelihood | 432.6966 | F-statistic | 140.2527 |
Durbin-Watson stat | 2.127470 | Prob(F-statistic) | 0.000000 |
Ghi chó: D(DP) = lnP - lnP(-1)