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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 - 27


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

Test critical values:

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 - 27

*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

Variable

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

Test critical values:

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

Variable

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

Test critical values:

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

Variable

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

Test critical values:

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

Variable

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

Test critical values:

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

Variable

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

Test critical values:

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

Variable

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

Test critical values:

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

Variable

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

Test critical values:

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

Variable

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)

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