Null Hypothesis: DM has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -15.72114 0.0000
1% level | -3.481623 | |
5% level | -2.883930 | |
10% level | -2.578788 |
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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 - 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 - 27
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*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(DM)
Method: Least Squares Date: 11/30/07 Time: 23:17
Sample (adjusted): 1995M04 2005M12 Included observations: 129 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
DM(-1) | -2.297599 | 0.146147 -15.72114 | 0.0000 |
D(DM(-1)) | 0.417455 | 0.081443 5.125726 | 0.0000 |
C | -0.012169 | 0.023933 -0.508466 | 0.6120 |
R-squared | 0.842705 | Mean dependent var | -0.001780 |
Adjusted R-squared | 0.840208 | S.D. dependent var | 0.679650 |
S.E. of regression | 0.271683 | Akaike info criterion | 0.254619 |
Sum squared resid | 9.300266 | Schwarz criterion | 0.321127 |
Log likelihood | -13.42295 | F-statistic | 337.5212 |
Durbin-Watson stat | 2.245614 | Prob(F-statistic) | 0.000000 |
Ghi chó: DM = lnm
Null Hypothesis: D(DM) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -19.63407 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(DM,2)
Method: Least Squares Date: 11/30/07 Time: 23:17
Sample (adjusted): 1995M05 2005M12 Included observations: 128 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(DM(-1)) | -2.715056 | 0.138283 -19.63407 | 0.0000 |
D(DM(-1),2) | 0.566786 | 0.074353 7.622962 | 0.0000 |
C | 0.001374 | 0.034279 0.040090 | 0.9681 |
R-squared | 0.907542 | Mean dependent var | -0.008503 |
Adjusted R-squared | 0.906063 | S.D. dependent var | 1.265306 |
S.E. of regression | 0.387806 | Akaike info criterion | 0.966533 |
Sum squared resid | 18.79915 | Schwarz criterion | 1.033378 |
Log likelihood | -58.85813 | F-statistic | 613.4844 |
Durbin-Watson stat | 2.537391 | Prob(F-statistic) | 0.000000 |
Ghi chó: D(DM) = lnm- lnm(-1)
Null Hypothesis: X has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 3.276941 0.9997
1% level | -2.582872 | |
5% level | -1.943304 | |
10% level | -1.615087 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(X)
Method: Least Squares Date: 11/30/07 Time: 23:20
Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
X(-1) | 0.003073 | 0.000938 3.276941 | 0.0014 |
D(X(-1)) | -0.203320 | 0.086778 -2.342985 | 0.0207 |
R-squared | 0.034332 | Mean dependent var | 37.46852 |
Adjusted R-squared | 0.026787 | S.D. dependent var | 146.7014 |
S.E. of regression | 144.7232 | Akaike info criterion | 12.80279 |
Sum squared resid | 2680933. | Schwarz criterion | 12.84690 |
Log likelihood | -830.1812 | Durbin-Watson stat | 2.029361 |
Ghi chó: X = TYGIA
Null Hypothesis: D(X) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.97498 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(X,2)
Method: Least Squares Date: 11/30/07 Time: 23:21
Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(X(-1)) | -1.208072 | 0.086445 -13.97498 | 0.0000 |
C | 45.24881 | 13.04092 3.469757 | 0.0007 |
R-squared | 0.604083 | Mean dependent var | 0.076215 |
Adjusted R-squared | 0.600990 | S.D. dependent var | 228.0445 |
S.E. of regression | 144.0494 | Akaike info criterion | 12.79345 |
Sum squared resid | 2656029. | Schwarz criterion | 12.83757 |
Log likelihood | -829.5745 | F-statistic | 195.3002 |
Durbin-Watson stat | 2.033391 | Prob(F-statistic) | 0.000000 |
Ghi chó: DX = TYGIA – TYGIA(-1)
Null Hypothesis: DAPF has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -344.3452 0.0001
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(DAPF)
Method: Least Squares Date: 11/30/07 Time: 23:24
Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
DAPF(-1) | -1.000364 | 0.002905 -344.3452 | 0.0000 |
C | 0.000674 | 0.001166 0.578102 | 0.5642 |
R-squared | 0.998922 | Mean dependent var | 0.035227 |
Adjusted R-squared | 0.998913 | S.D. dependent var | 0.401653 |
S.E. of regression | 0.013241 | Akaike info criterion | -5.795749 |
Sum squared resid | 0.022441 | Schwarz criterion | -5.751633 |
Log likelihood | 378.7237 | F-statistic | 118573.6 |
Durbin-Watson stat | 2.117251 | Prob(F-statistic) | 0.000000 |
Null Hypothesis: D(DAPF) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -235.7732 0.0001
1% level | -3.481623 | |
5% level | -2.883930 | |
10% level | -2.578788 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(DAPF,2) Method: Least Squares
Date: 11/30/07 Time: 23:25
Sample (adjusted): 1995M04 2005M12 Included observations: 129 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(DAPF(-1)) | -0.999539 | 0.004239 -235.7732 | 0.0000 |
C | 2.34E-05 | 0.001709 0.013691 | 0.9891 |
R-squared | 0.997721 | Mean dependent var | -0.035434 |
Adjusted R-squared | 0.997703 | S.D. dependent var | 0.403483 |
S.E. of regression | 0.019339 | Akaike info criterion | -5.037976 |
Sum squared resid | 0.047499 | Schwarz criterion | -4.993638 |
Log likelihood | 326.9494 | F-statistic | 55589.01 |
Durbin-Watson stat | 3.032300 | Prob(F-statistic) | 0.000000 |
Null Hypothesis: CGG has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.297726 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(CGG)
Method: Least Squares Date: 11/29/07 Time: 23:28
Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
CGG(-1) | -0.545747 | 0.103015 -5.297726 | 0.0000 |
D(CGG(-1)) | -0.228721 | 0.086499 -2.644211 | 0.0092 |
C | 16172.60 | 3567.957 4.532735 | 0.0000 |
R-squared | 0.387175 | Mean dependent var | 295.5270 |
Adjusted R-squared | 0.377525 | S.D. dependent var | 28551.03 |
S.E. of regression | 22525.94 | Akaike info criterion | 22.90553 |
Sum squared resid | 6.44E+10 | Schwarz criterion | 22.97170 |
Log likelihood | -1485.859 | F-statistic | 40.11855 |
Durbin-Watson stat | 2.082944 | Prob(F-statistic) | 0.000000 |
Null Hypothesis: D(CGG) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=1)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.74743 0.0000
1% level | -3.481623 | |
5% level | -2.883930 | |
10% level | -2.578788 |
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(CGG,2) Method: Least Squares
Date: 11/29/07 Time: 23:28
Sample (adjusted): 1995M04 2005M12 Included observations: 129 after adjustments
Coefficient | Std. Error t-Statistic | Prob. | |
D(CGG(-1)) | -2.002017 | 0.145628 -13.74743 | 0.0000 |
D(CGG(-1),2) | 0.333083 | 0.084029 3.963900 | 0.0001 |
C | 557.6965 | 2074.968 0.268773 | 0.7885 |
R-squared | 0.778486 | Mean dependent var | 21.84752 |
Adjusted R-squared | 0.774970 | S.D. dependent var | 49672.58 |
S.E. of regression | 23563.35 | Akaike info criterion | 22.99575 |
Sum squared resid | 7.00E+10 | Schwarz criterion | 23.06226 |
Log likelihood | -1480.226 | F-statistic | 221.4065 |
Durbin-Watson stat | 2.163454 | Prob(F-statistic) | 0.000000 |